FILED PURSUANT TO RULE 424(B)(2)
FILE NO. 33-78368
PROSPECTUS SUPPLEMENT
(To Prospectus dated October 28, 1997)
$55,809,878
Financial Asset Securitization, Inc.
Seller
Mortgage Participation Securities, Series 1997-1
The Mortgage Participation Securities, Series 1997-1, Class A-1 (the
"Securities"), will represent, in the aggregate, the entire beneficial ownership
interest in a trust (the "Trust") consisting primarily of all or a portion of
(i) nine classes of Guaranteed REMIC Pass-Through Certificates ("FNMA REMIC
Certificates") issued by the Federal National Mortgage Association ("FNMA")
representing beneficial ownership interests in nine separate trusts established
by FNMA (the "Pooled FNMA Certificates") and (ii) nine classes of Multiclass
Mortgage Securities or Multiclass Mortgage Participation Certificates issued by
the Federal Home Loan Mortgage Corporation ("FHLMC") as part of nine separate
series of such securities or certificates (the "Pooled FHLMC Certificates," and
together with the Pooled FNMA Certificates, the "Pooled Certificates"). The
designations used herein for each Pooled Certificate are set forth under
"Description of the Pooled Certificates -- General" and the characteristics of
the Pooled Certificates are described herein under "Description of the Pooled
Certificates" and in Annex 1 and Annex 2 attached hereto. Capitalized terms used
herein and not otherwise defined herein are defined in the Glossary in the
Prospectus.
(Cover continued on next page)
THESE SECURITIES DO NOT REPRESENT AN INTEREST IN OR OBLIGATION OF THE
SELLER, THE TRUSTEE, THE UNDERWRITER OR ANY OF THEIR RESPECTIVE
AFFILIATES. DISTRIBUTIONS ON THE SECURITIES WILL BE MADE SOLELY
FROM ASSETS TRANSFERRED OR PLEDGED TO THE TRUST FOR THE
BENEFIT OF SECURITYHOLDERS.
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.
Prospective investors should consider, among other things, the factors
set forth on page (ii) herein, those under "Risk Factors," commencing at Page 9
of the Prospectus and at Page S-10 of this Prospectus Supplement, and the
discussion under "Yield and Prepayment Considerations" commencing at page S-24
herein.
INITIAL PRINCIPAL AMOUNT PASS-THROUGH RATE
Class A-1 $55,809,878 (1)
- ------------------
(1) The effective per annum interest rate borne by the Securities during
each Interest Accrual Period (as defined herein) with respect to a
Distribution Date (as defined herein) will equal a fraction, expressed
as a percentage truncated at the fourth decimal place, the numerator of
which is equal to the aggregate amount in respect of interest paid to
the Securityholders for the related Interest Accrual Period multiplied
by 12, and the denominator of which is the principal amount of the
Securities immediately prior to such Distribution Date. The effective
per annum interest rate borne by the Securities during the first
Interest Accrual Period is projected to be approximately 6.8825%.
It is a condition to the issuance of the Securities that they be
assigned a rating of "Aaa" by Moody's Investors Service, Inc. ("Moody's") and
"AAA" by Fitch Investors Service, Inc. ("Fitch," and together with Moody's,
the "Rating Agencies"). See "Ratings" herein.
The Securities will be purchased by Bear, Stearns & Co. Inc. (the
"Underwriter") from Financial Asset Securitization, Inc. (the "Seller") and will
be offered by the Underwriter from time to time in negotiated transactions at
varying prices to be determined at the time of sale. Proceeds to the Seller from
the sale of the Securities are expected to be approximately 99% of the aggregate
principal balance of the Securities, plus accrued interest thereon from October
1, 1997 to but not including the Closing Date, but before deducting expenses
payable by the Seller, estimated to be $250,000.
The Securities are offered by the Underwriter when, as and if issued,
delivered to and accepted by the Underwriter and subject to certain other
conditions. Delivery of the Securities is expected to be made in book entry form
only, through the same day funds settlement system of The Depository Trust
Company on or about October 30, 1997.
Bear, Stearns & Co. Inc.
The date of this Prospectus Supplement is October 28, 1997
<PAGE>
(cover continued from previous page)
The Pooled FNMA Certificates are guaranteed as to timely distribution
of principal and interest by FNMA. FHLMC guarantees to the record holder of the
Pooled FHLMC Certificates the timely payment of interest and the payment of the
principal amount of the Pooled FHLMC Certificates as described in the FHLMC
Offering Circular Term Sheets.
The Pooled FNMA Certificates are each one class of nine separate series
of FNMA REMIC Certificates (each, an "Underlying FNMA Series") which represent
beneficial ownership interests in nine separate trusts established by FNMA (the
"Underlying FNMA Trusts"). The assets of the Underlying FNMA Trusts consist of
direct or indirect beneficial ownership interests in certain FNMA mortgage
backed securities ("FNMA MBS"), each of which represents a beneficial ownership
interest in a pool of first lien, single-family, fixed rate residential mortgage
loans ("FNMA Mortgages").
The Pooled FHLMC Certificates are each one class of nine separate
series of FHLMC Multiclass Mortgage Securities or Multiclass Mortgage
Participation Certificates (each, an "Underlying FHLMC Series" and together with
the Underlying FNMA Series, each an "Underlying Series") which receive payments
from the cash flows provided by separate groups of FHLMC Gold Mortgage
Participation Certificates ("Gold PCs") and/or FHLMC Gold Giant Mortgage
Participation Certificates ("Gold Giant PCs") or by certain "fully modified
pass-through" mortgage backed securities ("GNMA Certificates") guaranteed as to
timely payment of principal and interest by the Government National Mortgage
Association ("GNMA"). Underlying the Gold PCs and Gold Giant PCs are pools of
fixed-rate, first lien, residential mortgages and mortgage participations. Each
GNMA Certificate is based on and backed by a pool of first-lien, single-family,
fixed-rate residential mortgage loans (together with the mortgage loans
underlying the Gold PCs and Gold Giant PCs, the "FHLMC Mortgages") which are
either insured by the Federal Housing Administration or partially guaranteed by
the Department of Veterans Affairs.
Two classes of the Pooled Certificates are entitled to receive
distributions of interest on the principal balance thereof based on separate
formulae that vary directly with the London interbank offered quotations for
one-month Eurodollar deposits ("LIBOR"), subject to minimum and maximum rates
("Pooled Floating Rate Certificates"). Fourteen classes of the Pooled
Certificates are entitled to receive distributions of interest on the principal
balance thereof based on separate formulae that vary inversely with LIBOR,
subject to minimum and maximum rates ("Pooled Inverse Floating Rate
Certificates"). Two of the classes of the Pooled FNMA Certificates are accrual
classes ("Pooled Accrual Certificates") with fixed interest rates.
In addition to the Pooled Certificates, the Trust shall include a
Reserve Fund. The Reserve Fund includes four United States Treasury Securities
(the "Treasury Securities") having an aggregate principal amount of $5,000,000.
Distributions from the Reserve Fund shall be applied to principal on the
Securities. See "The Trusts -- Reserve Fund or Accounts" in the Prospectus and
"The Reserve Fund" herein.
Distributions of principal and interest on the Securities with respect
to a month will be made on the 25th day of such month (each, a "Distribution
Date") or, if such day is not a Business Day (as defined herein), then on the
next succeeding Business Day. On each Distribution Date, holders of Securities
will be entitled to receive interest from funds received as interest on the
Pooled Certificates and principal from funds received as principal on the Pooled
Certificates, as more fully described herein under "Description of the
Securities" herein.
THE SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS.
IN PARTICULAR, NO INVESTOR SHOULD PURCHASE THE SECURITIES UNLESS THE INVESTOR
UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND MARKET
RISKS ASSOCIATED WITH THE SECURITIES.
The Securities are complex securities and it is important that each
investor in the Securities possess, either alone or together with an investment
advisor, the expertise necessary to evaluate the information contained and
incorporated in this Prospectus Supplement in the context of that investor's
financial situation.
The yield to maturity on the Securities will depend on the purchase
price and the rate and timing of principal payments on the Pooled Certificates
which in turn will be affected by the rate and timing of principal payments
(including prepayments, repurchases, defaults and liquidations) on the FNMA
Mortgages and the FHLMC Mortgages (collectively, the "Mortgage Loans" and with
respect to any Pooled Certificates, the "Underlying Mortgage Loans" or a
"Mortgage Pool"). Generally, the Mortgage Loans may be prepaid at any time
(ii)
<PAGE>
without penalty. The yield to maturity on the Securities also will be sensitive
to the level of LIBOR. Mortgage Loan prepayment rates are likely to fluctuate
significantly from time to time, as is the level of LIBOR. Investors should
consider the associated risks, including:
o Low levels of LIBOR can reduce the interest due on the Pooled
Floating Rate Certificates. High levels of LIBOR can significantly
reduce the interest due on the Pooled Inverse Floating Rate
Certificates. Generally, a high level of LIBOR will have a
negative effect on the yield to investors in the Securities.
o Slight variations in Mortgage Loan characteristics could
substantially affect the weighted average lives and yields of the
Securities.
o The Pooled Certificates were issued as parts of different
Underlying Series and the rates of prepayments on the Underlying
Mortgage Loans will be different. Under various circumstances,
including differing prepayment rates of the Underlying Mortgage
Loans, the Pooled FNMA Certificates or the Pooled FHLMC
Certificates could mature at times other than expected by
investors and the Securities could have a cash flow profile
different from that expected by investors. For example, if the
Pooled Accrual Certificates and the Pooled Floating Rate
Certificates were to mature prior to the maturity of one or more
of the Pooled Inverse Floating Rate Certificates, the Securities
would at that point have the yield characteristics of an inverse
floating rate security.
o If, on any Distribution Date, the amount by which the Pooled
Accrual Certificates have accreted exceeds the aggregate
distributions of principal on the other Pooled Certificates, the
principal balance of the Securities will be increased by the
amount of such excess.
o The yield to maturity of Securities purchased at a discount or
premium will be more sensitive to the rate and timing of payments
thereon. Holders of Securities purchased at a discount (or
premium) should consider the risk that a slower (or faster) than
anticipated rate of principal payments to the Securities could
result in an actual yield that is lower than the anticipated
yield.
To the extent statements contained herein do not relate to historic or
current information, this Prospectus Supplement may be deemed to contain
forward-looking statements within the meaning of Section 27A of the Securities
Act of 1933, as amended (the "1933 Act"), and Section 21E of the Securities and
Exchange Act of 1934, as amended (the "1934 Act"). Actual results could differ
materially from those projected in such statements as a result of the matters
set forth below, under "Summary of Terms -- Yield and Prepayment Considerations"
and "Yield and Prepayment Considerations" and elsewhere in this Prospectus
Supplement.
There is currently no secondary market for the Securities and there
can be no assurance that one will develop. The Underwriter intends to
establish a market in the Securities, but is not obligated to do so. There is
no assurance that any such market, if established, will continue.
No election will be made to treat the Trust or any of its assets as a
"real estate mortgage investment conduit" ("REMIC") for Federal income tax
purposes.
The Securities offered by this Prospectus Supplement constitute a
separate series of Securities being offered by the Seller pursuant to its
Prospectus dated October 28, 1997, of which this Prospectus Supplement is a part
and which accompanies this Prospectus Supplement. The Prospectus contains
important information regarding this offering which is not contained herein and
prospective investors are urged to read the Prospectus and this Prospectus
Supplement in full. Prospective investors are also urged to read the documents
relating to the Pooled Certificates described under "Description of the Pooled
Certificates -- Additional Information" herein.
REPORTS TO SECURITYHOLDERS
Unless and until definitive certificates are issued with respect to the
Securities, monthly reports containing information concerning the Trust and
prepared by Trustee will be sent to Cede & Co., as nominee of The Depository
Trust Company ("DTC") and registered holder of the Securities. Such reports may
be available to beneficial owners of the Securities in accordance with the
regulations and procedures of DTC.
(iii)
<PAGE>
TABLE OF CONTENTS
PROSPECTUS SUPPLEMENT
Page
SUMMARY OF TERMS...............................................S-2
RISK FACTORS..................................................S-10
General..............................................S-10
Uncertainty of Yield.................................S-10
DESCRIPTION OF THE SECURITIES.................................S-11
Book Entry...........................................S-11
Payments of Interest and Principal...................S-11
Optional Termination.................................S-13
Mandatory Termination................................S-13
Exchange of Securities...............................S-14
DESCRIPTION OF THE POOLED CERTIFICATES........................S-14
General..............................................S-14
Pooled FNMA Certificates.............................S-14
Pooled FHLMC Certificates............................S-16
Pooled Certificates - Principal Types................S-19
Pooled Certificates - Interest Types.................S-19
The Underlying Mortgage Loans........................S-20
Additional Information...............................S-20
THE RESERVE FUND..............................................S-24
YIELD AND PREPAYMENT CONSIDERATIONS...........................S-24
General Considerations...............................S-24
Final Scheduled Distribution Date....................S-25
Weighted Average Lives...............................S-26
SPA Model............................................S-26
Pricing Assumption...................................S-26
Decrement and Weighted Average Life Table............S-26
Pre-Tax Yield Table..................................S-28
Actual Experience Will Vary from Assumptions.........S-28
THE POOLING AGREEMENT.........................................S-29
General..............................................S-29
Assignment of Pooled Certificates....................S-29
Accounts.............................................S-30
Reports to Securityholders...........................S-30
Amendments...........................................S-31
Securityholder Action................................S-31
Termination..........................................S-31
Indemnification of the Trustee.......................S-31
Certain Matters Regarding the Trustee................S-32
FEDERAL INCOME TAX CONSIDERATIONS.............................S-32
Tax Characterization of the Trust....................S-32
ERISA CONSIDERATIONS..........................................S-33
LEGAL INVESTMENT..............................................S-34
UNDERWRITING..................................................S-34
LEGAL MATTERS.................................................S-34
RATINGS.......................................................S-35
INDEX OF TERMS................................................S-36
ANNEX 1.......................................................S-37
ANNEX 2.......................................................S-40
S-1
<PAGE>
SUMMARY OF TERMS
The following summary is qualified in its entirety by reference to the
detailed information appearing elsewhere in this Prospectus Supplement and in
the accompanying prospectus dated October 28, 1997 (the "Prospectus"). A
description of the Pooled Certificates being deposited into the Trust is set
forth under "Description of the Pooled Certificates--General" and in Annex 1 and
Annex 2 hereto. Unless otherwise specified herein, references herein to an
amount or percentage of Pooled Certificates refers to the amount or percentage
calculated based on the aggregate outstanding principal balance as reported by
the Federal National Mortgage Association ("FNMA") and the Federal Home Loan
Mortgage Corporation ("FHLMC") with respect to the Underlying Series (the
"Pooled Certificate Principal Balance") of such Pooled Certificates as of each
Certificate's October 1997 Pooled Certificate Distribution Date, after giving
effect to distributions made on the Pooled Certificates on or prior to such
dates. References to the "Trust Agreement" in the Prospectus shall be deemed to
refer to the "Pooling Agreement" in this Prospectus Supplement.
<TABLE>
<S> <C>
Title of Securities............. Mortgage Participation Securities, Series
1997-1, Class A-1 (the "Securities").
Trust........................... The Securities will represent the entire
beneficial ownership interest in a trust
(the "Trust") formed pursuant to a Pooling
Agreement (the "Agreement") between
Financial Asset Securitization, Inc., as
depositor (the "Seller"), and Norwest Bank
Minnesota, National Association, as
trustee (the "Trustee"). The Seller expects
to acquire the Pooled Certificates and
Treasury Securities from Bear, Stearns &
Co. Inc. (the "Underwriter") on the
Closing Date. See "Underwriting" herein
and "The Seller" in the Prospectus. The
Trustee will act as securities
administrator and will perform securities
administrative functions for the Trust,
including, among other things,
calculating amounts due to
Securityholders and the preparation and
distribution of monthly reports.
Consequently, there will be no separate
servicing agreement among the parties
relating to the transaction. See "The
Pooling Agreement" herein.
Book-Entry;
Denominations................... The Securities will be registered as a
single certificate held by Cede & Co. as
nominee of The Depository Trust Company
("DTC"), and beneficial interests will be
held by investors through the book-entry
facilities of DTC in minimum denominations
of $25,000 and increments of $1 in
excess thereof. See "Description of the
Securities-- Book Entry; Physical
Certificates" herein and "Description of
the Securities-- Book Entry Procedures" in
the Prospectus.
Pooled Certificates............. The Trust will consist primarily of the
Pooled Certificates and the Reserve Fund.
The Pooled Certificates will consist of
all or a portion of (i) nine classes of
Guaranteed REMIC Pass-Through
Certificates issued by FNMA
representing beneficial ownership
interests in nine separate Underlying FNMA
Trusts (the "Pooled FNMA Certificates")
and (ii) nine classes of Multiclass
Mortgage Securities or Multiclass Mortgage
Participation Certificates issued by FHLMC
as part of nine separate Underlying
FHLMC Series (the "Pooled FHLMC
Certificates" and together with the
Pooled FNMA Certificates, the "Pooled
Certificates"). The designations used
herein for each Pooled Certificate are set
forth under "Description of the Pooled
Certificates--General" and the
characteristics of the Pooled
Certificates are described herein under
"Description of the Pooled Certificates"
and in Annex 1 and Annex 2 attached hereto.
The Pooled FNMA Certificates are guaranteed
as to timely distribution of principal and
interest by FNMA. FHLMC guarantees to the
S-2
<PAGE>
record holder of the Pooled FHLMC
Certificates the timely payment of interest
and the payment of the principal amount of
the Pooled FHLMC Certificates as described
in the Underlying FHLMC Offering Circular
Term Sheets. See "Description of the Pooled
Certificates -- Pooled FHLMC
Certificates--General."
The Pooled FNMA Certificates are each one
class of nine separate series of FNMA REMIC
Certificates (each, an "Underlying FNMA
Series") which represent beneficial
ownership interests in nine separate trusts
established by FNMA (the "Underlying FNMA
Trusts"). The assets of the Underlying FNMA
Trusts are direct or indirect beneficial
ownership interests in certain FNMA MBS,
each of which represents a beneficial
ownership interest in a pool of first lien,
single-family, fixed-rate residential
mortgage loans (the "FNMA Mortgages").
The Pooled FHLMC Certificates are each one
class of nine separate series of FHLMC
Multiclass Mortgage Securities or
Multiclass Mortgage Participation
Certificates (each, an "Underlying FHLMC
Series") which receive payments from the
cash flows provided by separate groups of
FHLMC Gold Mortgage Participation
Certificates ("Gold PCs") and/or FHLMC Gold
Giant Mortgage Participation Certificates
("Gold Giant PCs") or by certain "fully
modified pass-through" mortgage backed
securities ("GNMA Certificates") guaranteed
as to timely payment of principal and
interest by the Government National
Mortgage Association. Underlying the Gold
PCs and Gold Giant PCs are pools of
fixed-rate, first lien, residential
mortgages and mortgage participations. Each
GNMA Certificate is based on and backed by
a pool of first-lien, single-family,
fixed-rate residential mortgage loans
(together with the mortgage loans
underlying the Gold PCs and Gold Giant PCs,
the "FHLMC Mortgages"), which are either
insured by the Federal Housing
Administration or partially guaranteed by
the Department of Veterans Affairs.
Each Underlying Series was issued pursuant
to a separate agreement (each, an
"Underlying Agreement").
In the case of the Pooled FNMA
Certificates, the distribution date is the
25th day of each month, except for two
Pooled FNMA Certificates for which the
distribution date is the 18th day of the
month (the "Pooled FNMA Certificate
Distribution Date") and, in the case of the
Pooled FHLMC Certificates, the distribution
date is the 15th day of each month, except
for two Pooled FHLMC Certificates for which
the distribution date is the 25th day of
the month (the "Pooled FHLMC Certificate
Distribution Date" and, with the Pooled
FNMA Certificate Distribution Date, a
"Pooled Certificate Distribution Date"), or
if, in each case, such day is not a
business day as defined in the applicable
Underlying Agreement, then the next
succeeding business day, as so defined.
Two classes of the Pooled Certificates are
entitled to receive distributions of
interest on the principal balance thereof
based on separate formulae that vary
directly with the London interbank offered
quotations for one-month Eurodollar
deposits ("LIBOR"), subject to minimum and
maximum rates ("Pooled Floating Rate
Certificates"). Fourteen classes of the
Pooled Certificates are entitled to receive
distributions of interest on the principal
balance thereof based on separate formulae
that vary inversely with LIBOR, subject to
minimum and maximum rates ("Pooled Inverse
Floating Rate Certificates"). Two of the
classes of Pooled Certificates are accrual
classes bearing interest at a fixed rate
("Pooled Accrual Certificates").
S-3
<PAGE>
Annex 1 hereto sets forth approximate
information for each of the Pooled
Certificates. The tables and the
descriptions of the Pooled Certificates
herein are subject to and qualified by
reference to the provisions of the
Underlying Prospectus Information (as
defined below) and the other documents
related to the Pooled Certificates or the
other mortgage-backed securities issued as
part of the Underlying Series. The
information set forth in the tables and
elsewhere herein has been derived from
information provided by FNMA and FHLMC, but
such information has not been independently
verified. This information comprises all
material information on the subject that
the Seller and the Underwriter possess or
can acquire without unreasonable effort and
expense.
Annex 2 hereto contains portions of the
Prospectus Supplements for each of the
Pooled FNMA Certificates (the "Underlying
FNMA Prospectus Information"), and the
cover page and terms sheet from the
Offering Circular Supplements for each of
the Pooled FHLMC Certificates (the
"Underlying FHLMC Offering Circular Term
Sheets" and together with the Underlying
FNMA Prospectus Information, the
"Underlying Prospectus Information"). The
Prospectuses underlying the Prospectus
Supplements for each of the Pooled FNMA
Certificates are incorporated herein by
reference, and the Offering Circular
Supplements and the related Offering
Circulars for each of the Pooled FHLMC
Certificates are incorporated herein by
reference. The related Prospectuses and
Offering Circulars are hereinafter referred
to as the "Underlying Prospectuses."
Investors should purchase Securities only
if they have read and understood this
Prospectus Supplement, the Prospectus, the
Underlying Prospectus Information and the
other documents described herein
"Description of the Pooled
Certificates--Additional Information."
It should be noted that there have been
material changes in facts and circumstances
since the dates of the Underlying
Prospectus Information, including changes
in prepayment rates, prevailing interest
rates and other economic factors, which may
limit the usefulness of, and be directly
contrary to the assumptions used in
preparing the information set forth in,
such documents.
The Reserve Fund................ On the Closing Date, the Seller will fund
a reserve fund (the "Reserve Fund") with
four United States Treasury Securities
(the "Treasury Securities"). The Treasury
Securities are each in the principal
amount of $1,250,000 and mature on February
15, 1998, August 15, 1998, February 15,
1999 and August 15, 1999, respectively.
Payments on the Treasury Securities
will be applied to pay principal on the
Securities on the Distribution Date
immediately following receipt. See "The
Reserve Fund" herein.
Closing Date.................... On or about October 30, 1997 (the "Closing
Date").
Distribution Dates.............. Distributions of principal and interest
on the Securities with respect to a month
will be made on the 25th day of such month
(each, a "Distribution Date") or, if such
day is not a Business Day (as defined
herein), then on the next succeeding
Business Day. A "Business Day" means a
day other than a Saturday, a Sunday or a
day on which banking institutions in New
York, New York or the city in which the
corporate trust office of the Trustee
is located are authorized or obligated
by law or executive order to be closed.
The first Distribution Date is expected to
be November 25, 1997. In addition, if
the Trustee has not received a distribution
on, or distribution information with
respect to, any of the Pooled Certificates
by noon on the Distribution Date (the
"Determination Time"), the distribution
allocable to such Pooled Certificates
will not be made on the Distribution
Date, but, (i) if such distribution and
such distribution information are
S-4
<PAGE>
received by noon on the third Business Day
after the Determination Time, it will be
made on the third Business Day after the
Determination Time (a "Supplemental
Distribution Date") or (ii) if received
after noon on the third Business Day
after the Determination Time, it will be
made on the next succeeding Distribution
Date, and in neither case will additional
interest be paid thereon.
Record Date..................... Distributions will be made on each
Distribution Date to holders of record as
of the close of business on the last
Business Day of the calendar month
preceding the month in which such
Distribution Date occurs; provided that
for this purpose the Distribution Date
is deemed to occur on the 25th of each
month, without regard to whether such
day is a Business Day (the "Record
Date"). See "Description of the
Securities--Payments of Interest and
Principal" herein.
Original Principal
Amount.......................... The initial aggregate principal amount of
the Securities will be equal to the sum of
the (i) principal balance of the Pooled
Certificates following the October 1997
Pooled Certificate Distribution Date and
(ii) the principal amount of the Treasury
Securities deposited in the Reserve Fund.
Distributions of Interest
and Principal................... The effective per annum interest rate
borne by the Securities during the
calendar month preceding the month in
which the Distribution Date occurs
(each, an "Interest Accrual Period")
will equal a fraction, expressed as a
percentage truncated at the fourth
decimal place, the numerator of which is
equal to the aggregate amount in
respect of interest paid to the
Securityholders for the related Interest
Accrual Period multiplied by 12, and the
denominator of which is the principal
amount of the Securities immediately prior
to such Distribution Date. The effective
per annum interest rate borne by the
Securities during the first Interest
Accrual Period is projected to be
approximately 6.8825%.
On each Distribution Date, holders of the
Securities will be entitled to receive
interest from funds received as interest
(and, on some Distribution Dates, from
funds received as principal, up to the
amount of accrual on the Pooled Accrual
Certificates for such Distribution Date) on
the Pooled Certificates (less the Trustee's
Fees), and principal from funds received as
principal on the Pooled Certificates and
Treasury Securities, as more fully
described herein under "Description of the
Securities."
Optional Termination by
the Seller...................... The Trust may be terminated, at the option
of the Seller, on any Distribution Date on
or after the date on which the aggregate
principal balance of the Pooled
Certificates and Treasury Securities has
declined to 10% or less of the aggregate
principal balance of the Pooled
Certificates and Treasury Securities on the
Closing Date. In such event, the
Securityholders will receive the unpaid
principal balance of the Securities plus
accrued interest thereon. See
"Description of the Securities--Optional
Termination" herein.
Mandatory Termination........... On the Distribution Date following the
first Distribution Date on which the
principal balance of all but one of the
S-5
<PAGE>
Pooled Certificates has been reduced to
zero, the Trust will be terminated and
the remaining Pooled Certificate will be
distributed in kind pro rata among
Securityholders. See "Description of the
Securities--Mandatory Termination" herein.
Exchange of Securities.......... Beginning on the Distribution Date in
November 1998, holders of a minimum of 10%
of the outstanding principal amount of
the Securities will be entitled to exchange
such Securities for a pro rata portion
of each of the Pooled Certificates and
Treasury Securities. Holders of
Securities to be exchanged will be charged
an exchange fee by the Trustee equal to
the greater of (i) $500 and (ii) 0.02% of
the outstanding principal amount of such
Securities.
Yield and Prepayment
Considerations.................. General Considerations. The yield to
maturity and weighted average life of
the Securities will be affected by, among
other things, the amount and timing of
principal and interest payments, the level
of LIBOR, the payment priorities and other
characteristics of the Pooled
Certificates, the occurrence of an
optional or mandatory termination with
respect to the Pooled Certificates and the
purchase price paid for the Securities.
In addition to the discussion below,
prospective investors should review the
discussion under "Yield and Prepayment
Considerations" herein.
Mortgage Loan Prepayments. If prevailing
mortgage rates fall significantly below the
mortgage rates on the FNMA Mortgages or the
FHLMC Mortgages (collectively, the
"Mortgage Loans" and with respect to any
Pooled Certificates, the "Underlying
Mortgage Loans" or a "Mortgage Pool"), the
Mortgage Loans are likely to be subject to
higher prepayment rates than if prevailing
rates remain at or above the mortgage rates
on the Mortgage Loans. Other factors
affecting prepayments of Mortgage Loans
include changes in mortgagors' housing
needs, job transfers, unemployment, net
equity in the mortgaged properties and
servicing decisions. The Mortgage Loans may
be prepaid at any time without penalty and,
except for Mortgage Loans backing GNMA
Certificates, usually have due-on-sale
clauses. Since FNMA and FHLMC guarantee the
payment of installments of principal of and
interest on the respective Underlying
Mortgage Loans, losses in respect of the
respective Underlying Mortgage Loans will
have the effect of a prepayment.
Timing of Payments. The timing and amount
of payments on the Mortgage Loans may
significantly affect an investor's yield.
In general, the earlier a prepayment of
principal on a Mortgage Loan, the greater
will be the effect on an investor's yield
to maturity. As a result, the effect on an
investor's yield of principal prepayments
occurring at a rate higher (or lower) than
the rate anticipated during the period
immediately following the issuance of the
Securities will not be offset by a
subsequent like reduction (or increase) in
the rate of principal prepayments.
Furthermore, the effective yield to
Securityholders will be slightly lower than
the yield that would otherwise be produced
because, while interest generally will
accrue on the Securities from the first day
of a month, the distribution of such
interest will not be made earlier than the
25th day of the month following the month
of accrual.
Underlying Securities. The Trust contains
Pooled Certificates which were issued at
different times, are backed by different
Mortgage Pools, have different allocations
of principal and interest among various
classes and will perform differently in
various interest and prepayment rate
environments. The performance
characteristics of the Securities will
reflect a combination of the performance
characteristics of the Pooled Certificates.
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<PAGE>
As a result, it may be more difficult to
analyze the likely yield and payment
experience of the Securities.
Discounts and Premiums. In the case of any
Securities purchased at a discount, a
slower than anticipated rate of principal
payments to the Securities, other things
being equal, could result in an actual
yield that is lower than the anticipated
yield. In the case of any Securities
purchased at a premium, a faster than
anticipated rate of principal payments to
the Securities, other things being equal,
could result in an actual yield that is
lower than the anticipated yield.
Reinvestment Risk. Because prevailing
interest rates are subject to fluctuation,
there can be no assurance that investors in
the Securities will be able to reinvest the
distributions thereon at yields equaling or
exceeding the yield on the Securities.
Yields on any such reinvestments may be
lower, and may even be significantly lower,
than the yield on the Securities.
Generally, when prevailing interest rates
increase, prepayment rates on mortgage
loans tend to decrease, resulting in a
reduced return of principal to investors at
a time when reinvestment at such higher
prevailing rates would be desirable.
Conversely, when prevailing interest rates
decline, prepayment rates on mortgage loans
tend to increase, resulting in a greater
return of principal to investors at a time
when reinvestment at comparable yields may
not be possible. Prospective investors in
the Securities should consider the related
reinvestment risks in light of other
investments that may be available to such
investors.
LIBOR. The amount of interest payable on
the Pooled Floating Rate Securities will be
sensitive, and the amount of interest
payable on the Pooled Inverse Floating Rate
Certificates will be highly sensitive, to
the level of LIBOR. In general, a high
level of LIBOR will reduce the yield to
investors in the Securities.
Unrelated Underlying Securities. The assets
of the Trust consist primarily of the
Pooled FNMA Certificates and the Pooled
FHLMC Certificates. Because each of the
Pooled Certificates were issued as parts of
different Underlying Series, the rates of
prepayment of each of the Pooled
Certificates will be different from the
rates of prepayment on each of the other
Pooled Certificates. Under various
circumstances, the principal balance of one
or more of the Pooled Certificates could be
reduced to zero prior to the other Pooled
Certificates. In addition, one or more of
the Pooled Certificates could be
repurchased as described under "The Pooling
Agreement--Assignment of Pooled
Certificates" or any of the Underlying
Agreements could be terminated. In such
event, the Trust might consist solely of
one or more of the Pooled FNMA Certificates
or one or more of the Pooled FHLMC
Certificates, or a combination thereof, and
investors would be exposed to the risk that
the Securities could take on a cash flow
profile different from that expected by
investors. For example, if the Pooled
Accrual Certificates and the Pooled
Floating Rate Certificates were to mature
prior to the maturity of one or more of the
Pooled Inverse Floating Rate Certificates,
the Securities would at that point have the
yield characteristics of an inverse
floating rate security.
Liquidity....................... There is currently no secondary market for
the Securities, and there can be no
assurance that one will develop. The
Underwriter intends to establish a
market in the Securities, but it is not
obligated to do so. There is no
assurance that any such market, if
established, will continue. Each
Securityholder will receive monthly
reports pertaining to the Security as
described under "The Pooling Agreement--
Reports to Securityholders" herein. There
are a limited number of sources which
provide certain information about
mortgage pass-through certificates in the
secondary market; however, there can be no
assurance that any of these sources will
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provide information about the Securities.
Investors should consider the effect of
limited information on the liquidity of
the Securities.
Certain Federal Income Tax
Consequences.................... No election will be made to treat the
Trust as a real estate mortgage
investment conduit (a "REMIC") for federal
income tax purposes. For federal income
tax purposes, the Trust will be
classified as a grantor trust under
Subpart E, part I of Subchapter J of the
Code and not as a partnership or as an
association taxable as a corporation.
See "Federal Income Tax
Considerations" herein and "Certain
Federal Income Tax Consequences--Non-REMIC
Securities" in the Prospectus.
ERISA Considerations............ Fiduciaries of employee benefit plans
subject to Title I of the Employee
Retirement Income Security Act of 1974, as
amended ("ERISA"), should consider the
ERISA fiduciary investment standards
before authorizing an investment by a plan
in the Securities. In addition,
fiduciaries of employee benefit plans or
other retirement arrangements (such as
individual retirement accounts or
certain Keogh plans) which are subject
to Title I of ERISA, and/or Section 4975
of the Code, as well as any entity,
including an insurance company general
account, whose underlying assets include
plan assets by reason of a plan or account
investing in such entity (collectively,
"Plan(s)"), should consult with their
legal counsel to determine whether an
investment in the Securities will cause
the assets of the Trust ("Trust
Assets") to be considered plan assets
pursuant to the plan asset regulations set
forth in 29 C.F.R. 2510.3-101, thereby
subjecting the Plan to the prohibited
transaction rules with respect to the
Trust Assets and the Trustee to the
fiduciary investment standards of ERISA,
or cause the excise tax provisions of
Section 4975 of the Internal Revenue Code
of 1986, as amended (the "Code") to apply
to the Trust Assets, unless some exemption
granted by the Department of Labor (an
"Exemption") applies to the
acquisition, holding or transfer of
the Securities. Each purchaser of a
Security, by virtue of its purchase of
such Security, will be deemed to have
represented either that (i) it is not a
Plan or (ii) an Exemption exists which
exempts the acquisition, holding or
transfer of a security by such purchaser
from the prohibited transaction rules of
ERISA and the related excise tax provisions
of the Code.
Legal Investment................ Institutions whose investment activities
are subject to legal investment laws and
regulations or to review by certain
regulatory authorities may be subject to
restrictions on investment in the
Securities. Any such institution should
consult its legal advisors in determining
whether and to what extent there may be
restrictions on its ability to invest in
the Securities. The Securities will not
constitute "mortgage related
securities" for purposes of the
Secondary Mortgage Market Enhancement
Act of 1984 ("SMMEA"). See "Legal
Investment" herein and in the Prospectus.
Rating.......................... As a condition of their issuance, the
Securities will be rated "Aaa" by
Moody's and "AAA" by Fitch. Moody's and
Fitch are referred to herein as the
"Rating Agencies."
The ratings of the Securities should be
evaluated independently from similar
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ratings on other types of 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
rating Agencies. See "Ratings" herein.
The Seller has not requested a rating of
the Securities by any rating agency other
than the Rating Agencies. However, there
can be no assurance as to whether any other
rating agency will rate the Securities or,
if it does, what rating would be assigned
by such other rating agency. The rating
assigned by such other rating agency to the
Securities could be lower than the
respective ratings assigned by the Rating
Agencies.
</TABLE>
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RISK FACTORS
General
THE SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS.
IN PARTICULAR, NO INVESTOR SHOULD PURCHASE THE SECURITIES UNLESS THE INVESTOR
UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND MARKET
RISKS ASSOCIATED WITH THE SECURITIES.
The Securities are complex securities and it is important that each
investor in the Securities possess, either alone or together with an investment
advisor, the expertise necessary to evaluate the information contained and
incorporated in this Prospectus Supplement in the context of that investor's
financial situation.
In addition to the matters described elsewhere in this Prospectus
Supplement and Prospectus, particularly "Yield and Prepayment Considerations,"
and "Risk Factors" in the Prospectus, prospective investors should consider the
following:
Uncertainty of Yield
The Securities have no stated interest rate. Instead, Securityholders
will receive on each Distribution Date an amount equal to interest paid on the
Pooled Certificates for such month, less the Trustee's Fee. The amount of
interest payable on the Pooled Certificates will vary based upon a number of
factors, including the rate of prepayments thereon and levels of LIBOR. High
rates of LIBOR may significantly reduce the amount of interest payable on the
Securities. See "Yield and Prepayment Considerations" herein.
The yield to maturity on the Securities will depend on the purchase
price and the rate and timing of principal payments on the Pooled Certificates
which in turn will be affected by the rate and timing of principal payments
(including prepayments, repurchases, defaults and liquidations) on the FNMA
Mortgages and the FHLMC Mortgages (collectively, the "Mortgage Loans" and with
respect to any Pooled Certificates, the "Underlying Mortgage Loans" or a
"Mortgage Pool"). Generally, the Mortgage Loans may be prepaid at any time
without penalty. The yield to maturity on the Securities also will be sensitive
to the level of LIBOR. Mortgage Loan prepayment rates are likely to fluctuate
significantly from time to time, as is the level of LIBOR. Investors should
consider the associated risks, including:
o Low levels of LIBOR can reduce the interest due on the Pooled
Floating Rate Certificates. High levels of LIBOR can significantly
reduce the interest due on the Pooled Inverse Floating Rate
Certificates. Generally, a high level of LIBOR will have a
negative effect on the yield to investors in the Securities.
o Slight variations in Mortgage Loan characteristics could
substantially affect the weighted average lives and yields of the
Securities.
o The Pooled Certificates were issued as parts of different
Underlying Series and the rates of prepayments on the Underlying
Mortgage Loans will be different. Under various circumstances,
including differing prepayment rates of the Underlying Mortgage
Loans, the Pooled FNMA Certificates or the Pooled FHLMC
Certificates could mature at times other than expected by
investors and the Securities could have a cash flow profile
different from that expected by investors. For example, if the
Pooled Accrual Certificates and Pooled Floating Rate Certificates
were to mature prior to the maturity of one or more of the Pooled
Inverse Floating Rate Certificates, the Securities would at that
point have the yield characteristics of an inverse floating rate
security.
o If, on any Distribution Date, the amount by which the Pooled
Accrual Certificates have accreted exceeds the aggregate
distributions of principal on the other Pooled Certificates, the
principal balance of the Securities will be increased by the
amount of such excess.
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o The yield to maturity of Securities purchased at a discount or
premium will be more sensitive to the rate and timing of payments
thereon. Holders of Securities purchased at a discount (or
premium) should consider the risk that a slower (or faster) than
anticipated rate of principal payments to the Securities could
result in an actual yield that is lower than the anticipated
yield.
DESCRIPTION OF THE SECURITIES
The following summaries describing certain provisions of the Securities
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the Prospectus and the provisions of the Agreement
relating to the Securities offered hereby.
Book Entry
The Securities will be represented by a single certificate registered
in the name of Cede & Co. ("Cede") as the nominee of DTC, and beneficial
interests therein will be held by investors through the book-entry facilities of
DTC, in minimum denominations of $25,000 and increments of $1 in excess thereof.
The certificate registered in the name of Cede can be held in physical
certificate form by investors only if (i) the Seller advises the Trustee in
writing that DTC is no longer willing or able to discharge properly its
responsibilities as depository with respect to the Securities and the Seller is
unable to locate a qualified successor within 30 days or (ii) the Seller, at its
option, elects to terminate the book-entry system through DTC.
With respect to the certificate registered in the name of Cede, all
references herein to actions by holders of the Securities shall refer to actions
taken by DTC upon instructions from its participants, and all references herein
to distributions, notices, reports and statements to holders of the Securities
shall refer to distributions, notices, reports and statements to DTC or Cede, as
the case may be, for distribution to the beneficial owners of the Securities in
accordance with DTC procedures. Because DTC can only act on behalf of
participants, who in turn act on behalf of indirect participants and certain
banks, the ability of a beneficial owner of a Security to pledge such Security
to persons or entities who do not participate in the DTC system may be limited.
In addition, beneficial owners of Security held through DTC may experience
delays in the receipt of distributions on such Securities. The book entry
procedures of DTC are more fully described under "Description of the
Securities--Book-Entry Procedures" in the Prospectus.
If Securities are issued in physical certificate form, they will be
transferable and exchangeable on a "Securities Register" to be maintained by the
Trustee at the office or agency of the Trustee maintained for that purpose in
Minneapolis, Minnesota. Securities surrendered to the Trustee for registration
of transfer or exchange must be accompanied by a written instrument of transfer
in form satisfactory to the Trustee. No service charge will be made for any
registration of transfer or exchange of Securities, but payment of a sum
sufficient to cover any tax or other governmental charge may be required. Such
office or agency of the Trustee is currently located at Sixth & Marquette
Streets, Minneapolis, Minnesota 55479.
Payments of Interest and Principal
Distributions of principal and interest on the Securities with respect
to a month will be made on the 25th day of such month (each, a "Distribution
Date") or, if such day is not a Business Day (as defined below), then on the
next succeeding Business Day. A "Business Day" means a day other than a
Saturday, a Sunday or a day on which banking institutions in New York, New York
or Minneapolis, Minnesota, the city in which the corporate trust office of the
Trustee is located, are authorized or obligated by law or executive order to be
closed. The first Distribution Date is expected to be November 25, 1997. In
addition, if the Trustee has not received a distribution on, or distribution
information with respect to, any of the Pooled Certificates or Treasury
Securities by noon on the Distribution Date (the "Determination Time"), the
distribution allocable to such Pooled Certificates or Treasury Securities will
not be made on such Distribution Date, but (i) if such distribution and such
distribution information are received by noon on the third Business Day after
the Determination Time, it will be made on the third Business Day after the
Determination Time (a "Supplemental Distribution Date") or (ii) if received
after noon on the third Business Day after the Determination Time, it will be
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<PAGE>
made on the next succeeding Distribution Date, and in neither case will
additional interest be paid thereon. Notwithstanding the foregoing, for
accounting purposes, each Distribution Date and, if applicable, Supplemental
Distribution Date is deemed to occur in the same month as the concurrent or
immediately preceding Pooled Certificate Distribution Date.
Distributions will be made on each Distribution Date to holders of
record as of the close of business on the last Business Day of the calendar
month preceding the month in which such Distribution Date occurs; provided that
for this purpose the Distribution Date is deemed to occur on the 25th of each
month, without regard to whether such day is a Business Day (the "Record Date").
The effective per annum interest rate borne by the Securities during
the calendar month preceding the month in which the Distribution Date occurs
(each, an "Interest Accrual Period") will equal a fraction, expressed as a
percentage truncated at the fourth decimal place, the numerator of which is
equal to the aggregate amount in respect of interest paid to Securityholders for
the related Interest Accrual Period, multiplied by 12, and the denominator of
which is the principal amount of the Securities immediately prior to such
Distribution Date. The effective per annum interest rate borne by the Securities
during the first Interest Accrual Period is projected to be approximately
6.8825%.
On each Distribution Date, holders of the Securities will be entitled
to receive interest from funds received as interest (and, on some Distribution
Dates, from funds received as principal, up to the amount of accrual on the
Pooled Accrual Certificates for such Distribution Date) on the Pooled
Certificates. On each Distribution Date, holders of the Securities will be
entitled to receive principal from funds received as principal on the Pooled
Certificates and from the Treasury Securities on deposit in the Reserve Fund.
If, on any Distribution Date, the amount by which the Pooled Accrual
Certificates have accreted exceeds the aggregate distributions of principal on
the other Pooled Certificates, the principal balance of the Securities will be
increased by the amount of such excess.
The Trustee as holder of the Pooled Certificates and the Reserve Fund,
will cause all distributions received by it on the Pooled Certificates and the
Treasury Securities, from whatever source, to be deposited directly into one or
more accounts held in trust by the Trustee for the benefit of the
Securityholders (such accounts referred to collectively herein as the "Asset
Proceeds Account").
On each Distribution Date, the Trustee will apply the Available
Distribution (as defined below) on deposit in the Asset Proceeds Account as of
such Distribution Date, in the following manner and order of priority:
first, from amounts with respect to interest received on the
Pooled Certificates, to the Trustee, to pay the portion of the Trustee
Fee not being covered by a withdrawal from the Trustee Fee Escrow
Account (as defined below) and, after payment of the Trustee Fee, to
deposit the Escrow Amount (as defined below) in the Trustee Fee Escrow
Account;
second, from amounts with respect to principal received on the
Pooled Certificates and Treasury Securities, to the Securityholders, an
amount with respect to principal, if any, such that the principal
balance of the Securities after such distribution is equal to the
aggregate principal balance of the Pooled Certificates and Treasury
Securities; and
third, from the remaining Available Distribution, to the
Securityholders as interest.
"Available Distribution" means, as of any Distribution Date, the
aggregate amount on deposit in the Asset Proceeds Account.
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The "Trustee Fee" means, with respect to any Distribution Date, the
monthly fee equal to 1/12th of the product of 0.0175% and the principal balance
of the Securities immediately prior to the Distribution Date, but not less than
$210 with respect to any Distribution Date. In addition, an amount equal to
1/12th of the product of 0.0025% and the principal balance of the Securities
immediately prior to each Distribution Date (the "Escrow Amount") will be
deposited by the Trustee in a separate escrow account (the "Trustee Fee Escrow
Account"). The Trustee Fee Escrow Account will not be part of the Trust. Any
amount deposited in the Trustee Fee Escrow Account will be permitted to be
invested as described in the Agreement. If on any Distribution Date, the Trustee
Fee exceeds the amount of interest received on the Pooled Certificates for such
Distribution Date, the Trustee shall withdraw the amount of the excess from the
Trustee Fee Escrow Account. If the Trustee resigns or is removed and a successor
trustee is appointed, any amounts on deposit in the Trustee Fee Escrow Account
shall thereafter be held by and for the benefit of the successor trustee. Any
funds remaining in the Trustee Fee Escrow Account upon the termination of the
Trust will be remitted to the Trustee or any successor thereto.
The full name of each abbreviated Underlying Series is set forth herein
under "Description of the Pooled Certificates--General." Copies of the
Underlying Agreements are available from the Underwriter, at 245 Park Avenue New
York, New York, Attention: Mortgage Department.
The Underwriter will convey the Pooled Certificates and Treasury
Securities to the Seller on the Closing Date pursuant to a Purchase Agreement
dated as of the Closing Date. The Underwriter will be obligated to make certain
representations and warranties (see "The Pooling Agreement--Assignment of Pooled
Certificates" herein) with respect to the Pooled Certificates and Treasury
Securities, and those representations and warranties will be assigned to the
Trust for the benefit of the Securityholders. If the Underwriter breaches a
representation or warranty with respect to the Pooled Certificates or Treasury
Securities which materially and adversely affects the interests of the
Securityholders and the Underwriter repurchases, or elects to substitute one or
more securities for, a Pooled Certificate or Treasury Security, the foregoing
definition will be modified with respect to the related Distribution Date to
delete the portion thereof relating to the Pooled Certificate or Treasury
Security being repurchased or substituted for and to reflect, in the case of a
repurchase, the repurchase price received with respect thereto as described
herein under "The Pooling Agreement--Assignment of Pooled Certificates" or in
the case of a substitution, the addition of a comparable provision with respect
to the new mortgage related security or securities.
The sole source of payment on the Securities will be distributions on
the Pooled Certificates and Treasury Securities. The Securities will not be
guaranteed by the Seller, the Underwriter, the Trustee or any other person.
Optional Termination
The Trust may be terminated at the option of the Seller on any
Distribution Date on or after the date on which the aggregate principal balance
of the Pooled Certificates and Treasury Securities has declined to 10% or less
of the aggregate principal balance of the Pooled Certificates and Treasury
Securities on the Closing Date. In such event, the Securityholders will receive
the unpaid principal balance of the Securities plus accrued interest thereon. In
connection with any such termination, the Available Distribution then on deposit
in the Asset Proceeds Account will be disbursed to the Trustee, Securityholders
and other persons entitled thereto, in accordance with the terms of the
Agreement.
Mandatory Termination
On the Distribution Date following the first Distribution Date on which
the principal balance of all but one of the Pooled Certificates has been reduced
to zero, the Trust will be terminated and the remaining Pooled Certificate will
be distributed in kind pro rata among Securityholders.
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Exchange of Securities
Beginning on the Distribution Date in November 1998, holders of a
minimum of 10% of the outstanding principal amount of the Securities will be
entitled to exchange such Securities for a pro rata portion of each of the
Pooled Certificates and Treasury Securities. Holders of Securities to be
exchanged will be charged an exchange fee by the Trustee equal to the greater of
(i) $500 and (ii) 0.02% of the outstanding principal amount of such Securities.
Holders will be required to provide the Trustee with irrevocable written notice,
accompanied by the exchange fee, of any proposed exchange of Securities at least
five Business Days prior to the proposed date of such exchange, which must be a
Business Day.
DESCRIPTION OF THE POOLED CERTIFICATES
General
The Securities will represent, in the aggregate, the entire beneficial
ownership interest in a Trust consisting primarily of the Pooled Certificates
and the Reserve Fund containing the Treasury Securities. The following is a list
of the Pooled Certificates with the designations used herein for such Pooled
Certificates and other related information. Definitions of abbreviations used
for principal types and interest types appear under " --Pooled
Certificates--Principal Types" and "--Pooled Certificates--Interest Types"
herein.
Pooled FNMA Certificates
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1993-41
Designation: SA
% of Class: 3.33%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $268,807.98
Interest Type: INVERSE
Interest Rate or Formula: 23.88888% - (LIBOR x 3.1851851);
Minimum Rate: 0%; Maximum Rate:
23.88888%
Guaranteed REMIC Pass-Through Certificates,
Fannie Mae REMIC Trust 1993-56
Designation: SB
% of Class: 48.29%
Principal Type: COMPONENT
Current Principal Amount
of Pooled Certificates: $7,961,315.64
Interest Type: INVERSE
Interest Rate or Formula: 20.41666% - (LIBOR x 2.33333334);
Minimum Rate: 0%; Maximum Rate:
20.41666%
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Guaranteed REMIC Pass-Through Certificates,
Fannie Mae REMIC Trust 1993-60
Designation: SB
% of Class: 15.55%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $640,181.76
Interest Type: INVERSE
Interest Rate or Formula: 23.95354% - (LIBOR x 3.11074243);
Minimum Rate: 0%; Maximum Rate:
23.95354%
Guaranteed REMIC Pass-Through Certificates,
Fannie Mae REMIC Trust 1993-113
Designation: SF
% of Class: 24.53%
Principal Type: SCHEDULED
Current Principal Amount
of Pooled Certificates: $579,380.20
Interest Type: INVERSE
Interest Rate or Formula: 27.38583% - (LIBOR x 2.642264);
Minimum Rate: 4%; Maximum Rate:
8.88998%
Guaranteed REMIC Pass-Through Certificates,
Fannie Mae REMIC Trust 1993-120
Designation: SP
% of Class: 8.31%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $155,416.30
Interest Type: INVERSE
Interest Rate or Formula: 26.7146% - (LIBOR x 3.561946);
Minimum Rate: 0%; Maximum Rate:
26.7146%
Guaranteed REMIC Pass-Through Certificates,
Fannie Mae REMIC Trust 1993-179
Designation: SX
% of Class: 2.68%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $125,620.63
Interest Type: INVERSE
Interest Rate or Formula: 39.1875% - (LIBOR x 6.21153846);
Minimum Rate: 0%; Maximum Rate: 19%
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Guaranteed REMIC Pass-Through Certificates,
Fannie Mae REMIC Trust 1994-17
Designation: S
% of Class: 0.86%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $198,824.59
Interest Type: INVERSE
Interest Rate or Formula: 21.84% - (LIBOR x 2.6);
Minimum Rate: 0%; Maximum rate:
21.84%
Prospectus Supplement Guaranteed REMIC Pass-Through,
Certificates, Fannie Mae REMIC Trust 1997-44
Designation: Z
% of Class: 52.60%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $9,503,692.48
Interest Type: FIX/ACCRUAL
Interest Rate or Formula: 8.5%
Guaranteed REMIC Pass-Through Certificates,
Fannie Mae REMIC Trust 1997-57
Designation: ZH
% of Class: 53.10%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $11,299,162.25
Interest Type: FIX/ACCRUAL
Interest Rate or Formula: 8.0%
Pooled FHLMC Certificates
Multiclass Mortgage Securities, Series G003
Designation: SA
% of Class: 33.96%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $702,795.17
Interest Type: INVERSE
Interest Rate or Formula: 35% - (LIBOR x 4);
Minimum Rate: 0%; Maximum Rate: 35%
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Multiclass Mortgage Securities, Series G020
Designation: SB
% of Class: 100.00%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $384,309.90
Interest Type: INVERSE
Interest Rate or Formula: 99.20011% - (LIBOR x 12.80001);
Minimum Rate: 0%; Maximum Rate: 8%
Multiclass Mortgage Participation Certificates, Series 1041
Designation: F
% of Class: 31.43%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $221,374.78
Interest Type: INVERSE
Interest Rate or Formula: 32.06428571% - (LIB0R X 3.190476);
Minimum Rate: 0%; Maximum Rate:
32.06428571%
Multiclass Mortgage Participation Certificates, Series 1385
Designation: S
% of Class: 26.67%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $145,332.90
Interest Type: INVERSE
Interest Rate or Formula: 12.75% - (LIBOR x 1);
Minimum Rate: 4.5%; Maximum Rate:
12.75%
Multiclass Mortgage Participation Certificates, Series 1435
Designation: SB
% of Class: 71.22%
Principal Type: TAC
Current Principal Amount
of Pooled Certificates: $3,184,158.32
Interest Type: INVERSE
Interest Rate or Formula: 26.7% - (LIBOR x 3);
Minimum Rate: 0%; Maximum Rate:
26.7%
S-17
<PAGE>
Multiclass Mortgage Participation Certificates, Series 1483
Designation: FD
% of Class: 54.60%
Principal Type: SCHEDULED
Current Principal Amount
of Pooled Certificates: $10,073,742.81
Interest Type: FLOATER
Interest Rate or Formula: .5% + (LIBOR x 1);
Minimum Rate: .5%; Maximum Rate: 10%
Multiclass Mortgage Participation Certificates, Series 1504
Designation: FA
% of Class: 86.67%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $4,212,204.78
Interest Type: FLOATER
Interest Rate or Formula: 1.1% + (LIBOR x1);
Minimum Rate: 1.1%; Maximum Rate:
10%
Multiclass Mortgage Participation Certificates, Series 1578
Designation: SC
% of Class : 5.58%
Principal Type: TAC
Current Principal Amount
of Pooled Certificates: $555,580.32
Interest Type: INVERSE
Interest Rate or Formula: 16.99285714 - (LIBOR x 1.857142);
Minimum Rate: 0%; Maximum Rate:
16.99285714%
Multiclass Mortgage Participation Certificates, Series 1585
Designation: PM
% of Class: 4.81%
Principal Type: COMPANION
Current Principal Amount
of Pooled Certificates: $597,977.28
Interest Type: INVERSE
Interest Rate or Formula: 27.33611644 - (LIBOR x 4.205563);
Minimum Rate: 0%; Maximum Rate:
13.517855%
----------
The Pooled FNMA Certificates are guaranteed as to timely distribution
of principal and interest by FNMA. FHLMC guarantees to each holder of the Pooled
FHLMC Certificates the timely payment of interest at the rates described above
and the payment of the principal amount of the Pooled FHLMC Certificates as
described in the Underlying FHLMC Offering Circular Term Sheets.
The Pooled FNMA Certificates are each one class of nine separate
Underlying FNMA Series which represent beneficial ownership interests in nine
separate Underlying FNMA Trusts. The assets of the Underlying FNMA REMIC Trusts
consist of direct or indirect beneficial ownership interests in certain FNMA
MBS. The Pooled FHLMC Certificates are each one class of nine separate
Underlying FHLMC Series, the assets of each of which consist of direct or
indirect beneficial ownership interests in Gold PCs and/or Gold Giant PCs or
GNMA Certificates. Underlying the FNMA MBS, Gold PCs, Gold Giant PCs and GNMA
Certificates are pools of fixed-rate, first lien, residential mortgages and
mortgage participations.
The distribution date for the Pooled FNMA Certificates is the 25th day
of each month, except for two Pooled FNMA Certificates for which the
distribution date is the 18th day of the month, and the distribution date for
the Pooled FHLMC Certificates is the 15th day of each month, except for two
Pooled FHLMC Certificates for which the distribution date is the 25th day of the
month, or if, in each case, such day is not a business day as defined in the
applicable Underlying Agreement, then the next succeeding business day, as so
defined.
Additional characteristics of the Pooled Certificates are described
below and in Annex 1 and Annex 2.
Pooled Certificates - Principal Types
The Pooled Certificates were structured as targeted amortization
classes ("TAC Classes"), scheduled classes ("Scheduled Classes"), support or
companion classes ("Companion Classes"), or component classes ("Component
Classes").
A TAC Class is designed to receive principal payments using a
predetermined principal balance schedule derived by assuming a single constant
prepayment rate for the underlying Mortgage Loans. A Scheduled Class is designed
to receive principal payments using a predetermined principal balance schedule
but is not designated as a planned amortization class ("PAC Class") or TAC
Class. In many cases, the schedule is derived by assuming two constant
prepayment rates for the underlying Mortgage Loans. These two rates are the
endpoints for the "structuring range" for the Scheduled Class. A Companion Class
receives principal payments on a distribution date only if scheduled payments
have been made on specified PAC, TAC and/or Scheduled Classes and receives all
excess distributions of principal to the extent not required to make scheduled
payments on the related PAC, TAC or Scheduled Classes. The components of a
Component Class may have different principal and/or interest payment
characteristics but together constitute a single class.
In general, since TAC or Scheduled Classes will receive distributions
of principal on a given distribution date in a pre-determined amount if
prepayments on the underlying mortgage loans occur within a certain range or at
a certain rate, distributions of principal should in such cases be more stable
than would otherwise be the case. If prepayments on the underlying mortgage
loans occur at different rates, principal payments will be received at a greater
or lesser rate. As a result of receiving principal payments at a different rate,
the weighted average life of the TAC or Scheduled Classes will be shortened or
extended. No assurance can be given that any of the TAC or Scheduled Classes
have paid in accordance with their respective schedules or, to the extent that
any such class has done so, that such class will continue to do so in the
future. No assurance can be given that prepayments on the related underlying
Mortgage Loans will occur at a constant rate within any particular range in the
future.
Pooled Certificates - Interest Types
Two classes of the Pooled Certificates are entitled to receive
distributions of interest on the principal balance thereof based on separate
formulae that vary directly with LIBOR, subject to minimum and maximum rates
("Floater"). Fourteen classes of the Pooled Certificates are entitled to receive
distributions of interest on the principal balance thereof based on separate
formulae that vary inversely with LIBOR, subject to minimum and maximum rates
("Inverse"). The two Pooled Accrual Certificates accrue interest at a fixed rate
("Fix").
Two classes of the Pooled Certificates are Pooled Accrual Certificates.
Pooled Accrual Certificates accrete all of their interest at a fixed rate, which
is added to the outstanding principal balance. This accretion may continue until
the class begins receiving principal payments, until some other event has
occurred or until the class is retired. In the case of both the Pooled Accrual
Certificates, the accretion continues so long as such respective class remains
outstanding and the accreted interest is paid as principal.
The Underlying Mortgage Loans
The Mortgage Loans consist of conventional, fixed rate, one- to
four-family, fully-amortizing, level monthly payment, first mortgage loans with
original maturities of up to approximately 30 years, except in the case of
Pooled FNMA 1994-17 Certificate and Pooled FHLMC 1385 Certificate, with original
maturities of up to approximately 15 years.
Additional Information
The descriptions of the Pooled Certificates and the Mortgage Loans do
not purport to be complete. Set forth below are lists of documents relevant to
each of the Pooled Certificates.
Documents relevant to the Pooled FNMA 1993-41 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1993-41, dated February 23, 1993.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
December 29, 1992.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
January 1, 1993.
o FNMA Information Statement dated February 16, 1993 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1993-56 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1993-56, dated March 17, 1993.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
December 29, 1992.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
January 1, 1993.
o FNMA Information Statement dated February 16, 1993 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1993-60 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1993-60, dated March 24, 1993.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
December 29, 1992.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
January 1, 1993.
o FNMA Information Statement dated February 16, 1993 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1993-113 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1993-113, dated June 3, 1993.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
December 29, 1992.
o FNMA Prospectus for Stripped Mortgage-Backed Securities dated December
1, 1992.
o FNMA Prospectus for Guaranteed MBS Pass-Through Certificates dated
December 1, 1992.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
May 1, 1993.
o FNMA Information Statement dated February 16, 1993 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1993-120 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1993-120, dated June 10, 1993.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
December 29, 1992.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
May 1, 1993.
o FNMA Information Statement dated February 16, 1993 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1993-179 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1993-179, dated August 10, 1993.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
December 29, 1992.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
May 1, 1993.
o FNMA Information Statement dated February 16, 1993 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1994-17 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1994-17, dated January 4, 1994.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
December 29, 1992.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
January 1, 1994.
o FNMA Information Statement dated February 16, 1993 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1997-44 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1997-44, dated May 16, 1997.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
June 14, 1996.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
January 1, 1997.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates (backed
by GNMA Certificates) dated June 14, 1996.
o FNMA Information Statement dated March 31,1997 and any supplements
thereto.
Documents relevant to the Pooled FNMA 1997-57 Certificates include the
following:
o FNMA Prospectus Supplement for Guaranteed REMIC Pass-Through
Certificates, Fannie Mae REMIC Trust 1997-57, dated July 15, 1997.
o FNMA Prospectus for Guaranteed REMIC Pass-Through Certificates dated
June 14, 1996.
o FNMA Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
January 1, 1997.
o FNMA Information Statement dated March 31, 1997 and any supplements
thereto.
Documents relevant to the Pooled FHLMC G003 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage Securities,
Series G003, dated October 21, 1992.
o FHLMC Multiclass Mortgage Securities Backed by GNMA Certificates
Offering Circular dated September 1, 1992.
o FHLMC Giant GNMA-Backed Securities Mortgage Offering Circular dated
September 1, 1992.
o FHLMC Information Statement dated March 19, 1992, its Information
Statement Supplements dated April 28, 1992, July 30, 1992, and November
13, 1992, and any other Information Statement Supplements subsequently
published by FHLMC.
Documents relevant to the Pooled FHLMC G020 Certificate include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage Securities,
Series G020, dated August 1, 1993.
o FHLMC Multiclass Mortgage Securities Backed by GNMA Certificates
Offering Circular, dated August 1, 1993.
o FHLMC Giant GNMA-Backed Securities Mortgage Offering Circular, dated
September 1, 1992.
o FHLMC Information Statement, dated April 9, 1992, its Information
Statement Supplements, dated April 30, 1993 and August 2, 1993, and any
other Information Statement Supplements subsequently published by
FHLMC.
Documents relevant to the Pooled FHLMC 1041 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage
Participation Certificates, Series 1041, dated January 14, 1991.
o FHLMC Multiclass Mortgage Participation Certificates Offering Circular
dated August 27, 1990.
o FHLMC Mortgage Participation Certificates Offering Circular dated June
30, 1989 and its Mortgage Participation Certificates Offering Circular
Supplement dated June 30, 1990.
o FHLMC Giant Mortgage Participation Certificates Offering Circular dated
October 2, 1989 and its Giant Mortgage Participation Certificates
Offering Circular Supplement dated November 1, 1990.
o FHLMC Information Statement dated March 30, 1990, its Information
Statement Supplements dated May 11, 1990, August 7, 1990, and November
20, 1990, and any other information Statement Supplements subsequently
published by FHLMC.
Documents relevant to the Pooled FHLMC 1385 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage
Participation Certificates, Series 1385, dated August 24, 1992.
o FHLMC Multiclass Mortgage Participation Certificates Offering Circular
dated May 1, 1992.
o FHLMC Mortgage Participation Certificates Offering Circular dated June
30, 1992 and its Mortgage Participation Certificates Offering Circular
Supplement dated August 3, 1992.
o FHLMC Giant Mortgage Participation Certificates Offering Circular dated
December 23, 1991.
o FHLMC Information Statement dated March 19, 1992, its Information
Statement Supplements dated April 28, 1992 and July 30, 1992, and any
other information Statement Supplements subsequently published by
FHLMC.
Documents relevant to the Pooled FHLMC 1435 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage
Participation Certificates, Series 1983, dated November 2, 1992.
o FHLMC Multiclass Mortgage Participation Certificates Offering Circular
dated May 1, 1992.
o FHLMC Mortgage Participation Certificates Offering Circular dated June
30, 1992 and its Mortgage Participation Certificates Offering Circular
Supplements dated August 3, 1992 and November 2, 1992.
o FHLMC Giant Mortgage Participation Certificates Offering Circular dated
December 23, 1991.
o FHLMC Information Statement dated March 19, 1992, its Information
Statement Supplements dated April 28, 1992, July 30, 1992 and November
13, 1992, and any other information Statement Supplements subsequently
published by FHLMC.
Documents relevant to the Pooled FHLMC 1483 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage
Participation Certificates, Series 1483, dated February 12, 1993.
o FHLMC Multiclass Mortgage Participation Certificates Offering Circular
dated January 1, 1993.
o FHLMC Mortgage Participation Certificates Offering Circular dated June
30, 1992 and its Mortgage Participation Certificates Offering Circular
Supplements dated August 3, 1992 and November 2, 1992.
o FHLMC Giant Mortgage Participation Certificates Offering Circular dated
December 23, 1991 and its Giant Mortgage Participation Offering
Circular Supplement dated December 3, 1992.
o FHLMC Information Statement dated March 19, 1992, its Information
Statement Supplements dated April 28, 1992, July 30, 1992, November 13,
1992, and February 5, 1993, and any other information Statement
Supplements subsequently published by FHLMC.
Documents relevant to the Pooled FHLMC 1504 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage
Participation Certificates, Series 1504, dated March 17, 1993.
o FHLMC Multiclass Mortgage Participation Certificates Offering Circular
dated January 1, 1993.
o FHLMC Mortgage Participation Certificates Offering Circular dated June
30, 1992 and its Mortgage Participation Certificates Offering Circular
Supplements dated August 3, 1992 and November 2, 1992.
o FHLMC Giant Mortgage Participation Certificates Offering Circular dated
December 23, 1991 and its Giant Mortgage Participation Offering
Circular Supplement dated December 3, 1992.
o FHLMC Information Statement dated April 9, 1993, and any other
information Statement Supplements subsequently published by FHLMC.
Documents relevant to the Pooled FHLMC 1578 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage
Participation Certificates, Series 1578, dated July 27, 1993.
o FHLMC Multiclass Mortgage Participation Certificates Offering Circular
dated January 1, 1993.
o FHLMC Mortgage Participation Certificates Offering Circular dated June
30, 1992 and its Mortgage Participation Certificates Offering Circular
Supplements dated August 3, 1992, November 2, 1992, April 30, 1993, and
August 17, 1993.
o FHLMC Giant Mortgage Participation Certificates Offering Circular dated
December 23, 1991 and its Giant Mortgage Participation Offering
Circular Supplement dated December 3, 1992.
o FHLMC Information Statement dated April 9, 1993, its Information
Statement Supplements dated April 30, 1993 and August 2, 1993, and any
other information Statement Supplements subsequently published by
FHLMC.
Documents relevant to the Pooled FHLMC 1585 Certificates include the following:
o FHLMC Offering Circular Supplement for Multiclass Mortgage
Participation Certificates, Series 1585, dated August 10, 1993.
o FHLMC Multiclass Mortgage Participation Certificates Offering Circular
dated August 1, 1993.
o FHLMC Mortgage Participation Certificates Offering Circular dated June
30, 1992 and its Mortgage Participation Certificates Offering Circular
Supplements dated August 3, 1992, November 2, 1992, April 30, 1993, and
August 17, 1993.
o FHLMC Giant Mortgage Participation Certificates Offering Circular dated
December 23, 1991 and its Giant Mortgage Participation Offering
Circular Supplement dated December 3, 1992.
o FHLMC Information Statement dated April 9, 1993, its Information
Statement Supplements dated April 30, 1993 and August 2, 1993, and any
other information Statement Supplements subsequently published by
FHLMC.
Copies of the respective Prospectus Supplements, Prospectuses and the other
documents set forth above relating to the Pooled Certificates may be obtained
from the Underwriter by writing Bear, Stearns & Co. Inc., 245 Park Avenue, New
York, New York 10167, Attention: Mortgage Department.
THE RESERVE FUND
On the Closing Date, the Seller will fund the Reserve Fund with four
United States Treasury Securities. The Treasury Securities are each in the
principal amount of $1,250,000 and mature on February 15, 1998, August 15, 1998,
February 15, 1999 and August 15, 1999, respectively. Payments on the Treasury
Securities will be applied to pay principal on the Securities on the
Distribution Date immediately following receipt.
YIELD AND PREPAYMENT CONSIDERATIONS
General Considerations
The yield to maturity and weighted average life of the Securities will
be affected by, among other things, the amount and timing of principal payments,
including prepayments (for this purpose the term "prepayments" includes payments
resulting from refinancing, liquidations, purchases by the original transferors
or others), and interest payments on the Mortgage Loans, the level of LIBOR, the
payment priorities and other characteristics of the Pooled Certificates, the
purchase price paid for the Securities and the occurrence of an optional
termination with respect to the Securities or the Pooled Certificates. No
representation is made as to the anticipated rate of prepayments on the Mortgage
Loans or the anticipated yield to maturity of the Securities. Prospective
investors are urged to consider their own estimates as to the anticipated rate
of future prepayments on the Mortgage Loans and the suitability of the
Securities to their investment objectives. If prevailing mortgage rates fall
significantly below the mortgage rates on the Mortgage Loans, the Mortgage Loans
are likely to be subject to higher prepayment rates than if prevailing rates
remain at or above the mortgage rates on the Mortgage Loans. Other factors
affecting prepayments of Mortgage Loans include changes in mortgagors' housing
needs, job transfers, unemployment, net equity in the mortgaged properties and
servicing decisions. The Mortgage Loans may be prepaid at any time without
penalty and generally have due-on-sale clauses. Since FNMA and FHLMC guarantee
the payment of installments of principal of and interest on the respective
Underlying Mortgage Loans, liquidations resulting from default, casualty or
condemnation in respect of the respective Underlying Mortgage Loans will have
the effect of a prepayment.
The timing and amount of payments, including prepayments, on the
Mortgage Loans may significantly affect an investor's yield. In general, the
earlier a prepayment of principal on the Mortgage Loans, the greater will be the
effect on an investor's yield to maturity. As a result, the effect on an
investor's yield of principal prepayments occurring at a rate higher (or lower)
than the rate anticipated by the investor during the period immediately
following the issuance of the Securities will not be offset by a subsequent like
reduction (or increase) in the rate of principal prepayments.
The Pooled Certificates were issued at different times, are backed
directly or indirectly by different Mortgage Pools, have different allocations
of principal and interest and payment priorities among various classes, are
subject to optional termination to the extent described herein and in the
Underlying Agreements and will perform differently in various interest and
prepayment rate environments. The performance characteristics of the Securities
will reflect a combination of the performance characteristics of the Pooled
Certificates and Reserve Fund. As a result, it will be difficult to predict the
likely yield and payment experience of the Securities.
Since interest generally will be due on each Mortgage Loan on the first
day of the month, but the distribution of such interest will not be made until
the Pooled Certificate Distribution Dates and then the amounts received with
respect to a Pooled Certificate Distribution Date will not be distributed until
the related Distribution Date, the yield to investors in the Securities will be
lower than the yield produced without such delays. Since the amount of the
distributions on the Securities is based on information in respect of the
Underlying Series, if such information is not received in a timely manner,
payments will not be made until the following Distribution Date and the yield to
investors may be lower than the yield produced if such information had been
received in a timely manner.
In the case of any Securities purchased at a discount, a slower than
anticipated rate of principal payments to the Securities, other things being
equal, could result in an actual yield that is lower than the anticipated yield.
In the case of any Securities purchased at a premium, a faster than anticipated
rate of principal payments to the Securities, other things being equal, could
result in an actual yield that is lower than the anticipated yield.
Since prevailing interest rates are subject to fluctuation, there can
be no assurance that investors in the Securities will be able to reinvest the
payments thereon at yields equaling or exceeding the yields on the Securities.
Yields on any such reinvestments may be lower, and may even be significantly
lower, than yields on the Securities. Prospective investors in the Securities
should consider the related reinvestment risks in light of other investments
that may be available to such investors.
The yield to investors in the Securities will also be affected by
changes in LIBOR. In general, a high level of LIBOR will reduce the yield to
investors in the Securities. Changes in LIBOR may not correlate with changes in
mortgage interest rates. It is possible that lower mortgage interest rates could
occur concurrently with a decrease in the level of LIBOR. Conversely, higher
mortgage interest rates could occur concurrently with a decrease in the level of
LIBOR. The amount of interest payable on the Pooled Floating Rate Certificates
will be sensitive, and the amount of interest payable on the Pooled Inverse
Floating Rate Certificates will be highly sensitive, to the level of LIBOR.
The assets of the Trust consist of only the Pooled FNMA Certificates,
the Pooled FHLMC Certificates and the Reserve Fund consisting of Treasury
Securities. Because each of the Pooled Certificates were issued as parts of
different Underlying Series, the rates of prepayment of each of the Pooled
Certificates will be different from the rates of prepayment on each of the other
Pooled Certificates. Under various circumstances, the principal balance of one
or more of the Pooled Certificates could be reduced to zero prior to the other
Pooled Certificates. In addition, either one or more of the Pooled Certificates
could be repurchased as described under "The Pooling Agreement--Assignment of
Pooled Certificates" or any of the Underlying Agreements could be terminated. In
such an event, the Trust might consist solely of one or more of the Pooled FNMA
Certificates or one or more of the Pooled FHLMC Certificates, or a combination
thereof, and investors would be exposed to the risk that the Securities could
take on a cash flow profile different from that expected by investors. For
example, if the Pooled Accrual Certificates and the Pooled Floating Rate
Certificates were to pay prior to the maturity of one or more of the Pooled
Inverse Floating Rate Certificates, the Securities would at that point have the
yield characteristics of an inverse floating rate security.
Final Scheduled Distribution Date
The "Final Scheduled Distribution Date" for distributions on the
Securities is the Distribution Date in October, 2027. The Final Scheduled
Distribution Date is the Distribution Date one month after the latest final
distribution date of any of the Pooled Certificates. Since the rate of payment
of principal on the Mortgage Loans can be expected to exceed the rate of
payments used in calculating such final distribution date, the date of the final
distribution on the Securities is expected to be earlier, and could be
substantially earlier, than the Final Scheduled Distribution Date.
Weighted Average Lives
The weighted average life of a security refers to the average amount of
time that will elapse from the applicable settlement date until each dollar of
principal of such security will be distributed to the investor. The weighted
average life of a Security is determined by (i) multiplying the amount of
payments made in respect of principal on such Security on each Distribution Date
by the number of years from the Closing Date to such Distribution Date; (ii)
summing the results and (iii) dividing the sum by the aggregate amount of the
principal payments on such Security referred to in clause (i). The weighted
average lives of the Securities will be influenced by, among other factors, the
rate at which principal is paid on the Mortgage Loans.
SPA Model
Prepayments on mortgage loans are commonly measured relative to a
prepayment standard or model. The standard prepayment assumption model used in
this Prospectus Supplement ("SPA") represents an assumed rate of prepayment each
month of the then outstanding principal balance of a pool of new mortgage loans.
SPA 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
underlying the Pooled Certificates. 100% SPA assumes prepayment rates of 0.2%
per annum of the then outstanding principal balance of such mortgage loans in
the first month of the life of the mortgage loans and an additional 0.2% per
annum in each month thereafter (for example 0.4% per annum in the second month)
until the thirtieth month. Beginning in the thirtieth month and in each month
thereafter during the life of the mortgage loans, 100% SPA assumes a constant
prepayment rate of 6% per annum. Multiples will be calculated from this
prepayment rate series; for example, 50% SPA assumes prepayment rates will be
0.1% per annum in month one, 0.2% per annum in month two, reaching 3.0% per
annum in month 30 and remaining constant at 3.0% per annum thereafter. 0% SPA
assumes no prepayments.
Pricing Assumption
The Securities were structured assuming, among other things, a
prepayment assumption of 300% SPA with respect to the Pooled Certificates. The
prepayment assumptions to be used for pricing purposes for the Securities may
vary as determined at the time of sale. The actual prepayment rates may vary
considerably from the rates used for any pricing assumption.
Decrement and Weighted Average Life Table
The following table indicates the percentages of the Original Principal
Balance of the Securities outstanding after certain dates and the weighted
average lives (in years), assuming various constant percentages of SPA.
For the following table it was assumed, among other things, that (i)
the Trust consists of the Pooled Certificates in the principal amounts described
in Annex 1 hereto and the Treasury Securities in the principal amount set forth
under "The Reserve Fund" herein; (ii) the initial principal balance of the
Securities will be $55,809,878; (iii) Distribution Dates on the Certificates
occur on the 25th of each month commencing in November 1997; (iv) each Mortgage
Loan underlying a mortgage-backed security issued by FNMA, certificate issued by
GNMA, or a participation certificate issued by FHLMC has a mortgage rate,
remaining term to maturity and loan age equal to the weighted average mortgage
rate, weighted average remaining term to maturity and weighted average loan age,
respectively, of all of the Mortgage Loans underlying such mortgage-backed
security or participation certificate; (v) the Mortgage Loans prepay at the
constant percentages of SPA specified in the tables; (vi) all amounts due with
respect to the Mortgage Loans underlying the Pooled Certificates are applied to
the payment of the respective Pooled Certificates on the 25th day of each month
and payments on the Treasury Securities are applied to the payment of the
Securities on the Distribution Dates occurring in the months in which they
mature; (vii) there are no optional terminations of the Securities or the Pooled
Certificates and the mandatory termination is assumed not to occur; (viii) the
settlement date is the Closing Date, which is October 30, 1997; (ix) each month
consists of 30 days; (x) any reinvestment income on funds in the Asset Proceeds
Account will be paid to the Trustee and will not be available to make principal
and interest payments on the Securities; (xi) the only expenses to be paid on
any Distribution Date by the Trust will be the monthly payment of the Trustee
Fee and the Escrow Amount, the sum of which is assumed to equal 1/12 of the
product of 0.02% and the principal balance immediately prior to the applicable
Distribution Date, but without giving effect to the minimum Trustee Fee of $210
for any Distribution Date; (xii) the effective interest rate borne by the
Securities during the first Interest Accrual Period is 6.8825% per annum; (xiii)
there will be no substitution of Pooled Certificates; and (xiv) no Securities
will be exchanged for pro rata portions of each of the Pooled Certificates and
Treasury Securities.
Percentage of Original Principal Balance Outstanding of the Securities
% of SPA
<TABLE>
<CAPTION>
100% 175% 250% 300% 350% 400% 500%
<S> <C>
Initial Balance 100% 100% 100% 100% 100% 100% 100%
October 25, 1998 99 97 79 66 58 36 8
October 25, 1999 98 90 65 44 14 2 1
October 25, 2000 101 91 59 34 10 1 *
October 25, 2001 106 94 56 30 10 * *
October 25, 2002 110 97 54 32 11 * *
October 25, 2003 115 102 54 33 * * *
October 25, 2004 120 106 54 36 * * *
October 25, 2005 125 111 55 39 * * *
October 25, 2006 131 116 57 38 * * *
October 25, 2007 138 121 59 35 * * *
October 25, 2008 145 124 62 31 * * *
October 25, 2009 152 125 65 27 * * *
October 25, 2010 160 127 67 24 * * *
October 25, 2011 169 127 63 20 * * *
October 25, 2012 178 126 53 17 * * *
October 25, 2013 181 125 45 14 * * *
October 25, 2014 181 124 38 12 * * *
October 25, 2015 177 122 31 10 * * *
October 25, 2016 175 106 26 8 * * *
October 25, 2017 175 88 21 6 * * *
October 25, 2018 173 73 16 5 * * *
October 25, 2019 167 58 13 4 * * *
October 25, 2020 148 45 10 3 * 0 0
October 25, 2021 116 34 7 2 0 0 0
October 25, 2022 91 26 5 1 0 0 0
October 25, 2023 68 19 4 1 0 0 0
October 25, 2024 47 12 2 1 0 0 0
October 25, 2025 26 7 1 * 0 0 0
October 25, 2026 8 2 * * 0 0 0
October 25, 2027 0 0 0 0 0 0 0
Weighted Average 24.1 20.2 11.6 6.3 1.5 0.9 0.6
Life (in years)
</TABLE>
- -------------
* Principal balance less than 0.5% of Original Principal Balance.
Pre-Tax Yield Table
The significance of the effects of prepayments and changes in LIBOR on
the Securities is illustrated in the following table entitled "Sensitivity of
the Securities to Prepayments and LIBOR," which shows the pre-tax yield (on a
corporate bond equivalent basis) to the holders of such Securities under
different constant percentages of SPA and levels of LIBOR. The yields of such
Securities set forth in the following table were calculated using the
assumptions specified above under "--Decrement and Weighted Average Life Tables"
and assuming that (i) interest rates applicable to the Pooled Certificates for
each Interest Accrual Period subsequent to the first Interest Accrual Period
will be calculated based on the indicated level of LIBOR, (ii) the aggregate
purchase price (expressed as a percentage of the initial principal balance) of
the Securities is 99% (plus accrued interest from October 1, 1997) and (iii) the
Securities are purchased on October 30, 1997.
The yield to investors in the Certificates will be sensitive to the
level of LIBOR and to the rate and timing of principal payments (including
prepayments) of the Mortgage Loans, which generally can be prepaid at any time.
Generally, a high level of LIBOR will have a material negative effect on the
yield to investors in the Securities.
Changes in LIBOR may not correlate with changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur
concurrently with an increased level of LIBOR.
Sensitivity of the Securities to Prepayments and LIBOR
(Pre-Tax Yield to Maturity)
% of SPA
<TABLE>
<CAPTION>
LIBOR 100% 175% 250% 300% 350% 400% 500%
<S> <C>
3.65% 8.54% 8.68% 8.69% 8.92% 9.55% 9.85% 9.67%
4.65% 8.21 8.27 8.25 8.46 8.72 8.84 8.74
5.65% 7.89 7.87 7.84 8.02 7.90 7.83 7.80
6.65% 7.58 7.48 7.44 7.60 7.10 6.84 6.88
7.65% 7.26 7.09 7.06 7.20 6.32 5.86 5.98
8.65% 7.01 6.78 6.75 6.86 5.65 5.02 5.20
9.65% 7.06 6.83 6.78 6.80 5.52 4.83 4.99
</TABLE>
The yields set forth in the above table were calculated by determining
the monthly discount rates which when applied to the assumed stream of cash
flows to be paid on the Securities, would cause the discounted present value of
such assumed stream of cash flows to equal the assumed purchase price of the
Securities indicated, 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 payments of principal of and interest on the Securities and
consequently does not purport to reflect the return of any investment in the
Securities when such reinvestment rates are considered.
Actual Experience Will Vary from Assumptions
Discrepancies will exist between the characteristics of the actual
Pooled Certificates and Mortgage Loans and characteristics of the Pooled
Certificates and Mortgage Loans assumed in preparing the tables contained
herein. To the extent that the Pooled Certificates and Mortgage Loans have
characteristics which differ from those assumed in preparing the tables, the
Securities may mature earlier or later than indicated by the tables, and the
weighted average lives and pre-tax yields and the cash flows on the Securities
may also differ. In addition, it is unlikely that the Mortgage Loans will prepay
at any constant rate. The timing of changes in the rate of prepayment may
significantly affect the yield realized by a holder of the Securities.
THE POOLING AGREEMENT
General
The Securities will be issued pursuant to a Pooling Agreement between
Financial Asset Securitization, Inc., as the depositor, and Norwest Bank,
Minnesota, National Association, as the Trustee (the "Agreement" ). Reference is
made to the Prospectus for important information in addition to that set forth
herein regarding the terms and conditions of the Pooling Agreement and the
Securities. References to the "Trust Agreement" in the Prospectus shall be
deemed to mean the "Pooling Agreement" in this Prospectus Supplement. The
Securities will be transferable and exchangeable at the Corporate Trust Office
of the Trustee, which will serve as Security Registrar and Paying Agent. The
Trustee will provide to a prospective or actual Securityholder without charge,
upon written request, a copy of the Agreement. Requests should be addressed to
the Trustee at 11000 Broken Land Parkway, Columbia, Maryland 21044, Attention:
FASI 1997-1. The Trustee will also act as securities administrator for the
Trust. Consequently, there will be no separate servicing agreement among the
parties relating to the transaction.
Assignment of Pooled Certificates
At the time of issuance of the Securities, the Seller will cause the
Pooled Certificates and Treasury Securities to be assigned to the Trustee. The
Underwriter will represent to the Seller, among other things, that as of the
Closing Date (i) it is the owner of the Pooled Certificates and Treasury
Securities free and clear of any lien or adverse interests of any person and
(ii) that it has acquired its ownership in the Pooled Certificates and Treasury
Securities in good faith without notice of any adverse claim. The Seller will
make similar representations.
Upon discovery or receipt of notice by either the Seller or the Trustee
of a breach of any of the representations and warranties regarding the Pooled
Certificates or Treasury Securities which materially and adversely affects the
interests of the Securityholders, the Seller or the Trustee, the party
discovering such breach will give prompt notice to the other and to the
Underwriter. Within thirty days of the earlier of either discovery by or notice
to the Seller of any such breach, the Underwriter shall use its best efforts
promptly to cure such breach in all material respects and, if such breach cannot
be cured, the Underwriter shall, at the election of the Majority
Securityholders, repurchase each Pooled Certificate or Treasury Security
affected by the breach at a repurchase price equal to the outstanding principal
balance of the Pooled Certificate or Treasury Security as of the date of
repurchase plus accrued interest thereon.
Notwithstanding the foregoing, for a period of 90 days following the
Closing Date, in lieu of repurchasing Pooled Certificates as described above,
the Underwriter may substitute therefor one or more mortgage related securities
issued by GNMA, FNMA or FHLMC (each a "Substitute Pooled Certificate") which
meet the following criteria: (i) such substitution shall be (a) in the case of
the Pooled Floating Rate Certificates, with at least one floating rate
certificate which is entitled to receive interest based on LIBOR and whose
coupon will at least equal the coupon of the Pooled Certificate for which the
Substitute Pooled Certificate is being substituted for at all levels of LIBOR,
(b) in the case of the Pooled Accrual Certificates, with one or more accrual
certificates bearing a coupon no less than the coupon of the Pooled Accrual
Certificates being substituted for, or (c) in the case of the Pooled Inverse
Floating Rate Certificates, one or more inverse floating rate certificates based
on LIBOR whose combined coupon will be at least equal to the coupon of the
Pooled Certificates being substituted for at all levels of LIBOR, (ii) the sum
of the outstanding principal amounts of the Substitute Pooled Certificates
equals or exceeds the sum of the outstanding principal amounts of the Pooled
Certificates being substituted for, (iii) the Substitute Pooled Certificates as
of the date of substitution ultimately are backed by mortgage loans (a) with a
weighted average pass-through rate no more than 50 basis points below or no more
than 50 basis points above the weighted average pass-through rate of the
mortgages loans ultimately backing the Pooled Certificates being substituted for
and (b) which are conventional, fixed rate, one- to four-family, fully
amortizing, level payment, first mortgage loans with original maturities of up
to 30 years, except with respect to Pooled FNMA 1994-17 Certificate and Pooled
FHLMC 1385 Certificate, for which the original maturity of the Mortgage Loans
shall be up to 15 years, (iv) the inclusion of which in the Trust Fund will not
result in a withdrawal or downgrading in the ratings assigned to the Securities
by the Rating Agencies, written confirmation of which shall be provided by the
Rating Agencies to the Trustee and (v) will not cause the Trust to lose its
status as a grantor trust for federal income tax purposes as indicated in an
opinion of counsel to be provided to the Trustee. The Underwriter also may
substitute for any Treasury Security another Treasury Security with a maturity
within 90 days of the Treasury Security being substituted for.
Accounts
The Trustee shall establish and maintain the Asset Proceeds Account in
the name of the Trustee for the benefit of the Securityholders. The Asset
Proceeds Account shall be an Eligible Account as defined in the Agreement. The
Trustee, in its capacity as holder of the Pooled Certificates and Treasury
Securities, will cause all distributions received by it on the Pooled
Certificates and Treasury Securities from whatever source, to be deposited
directly into the Asset Proceeds Account. Amounts on deposit in the Asset
Proceeds Account will be invested in certain investments permitted by the
Agreement ("Permitted Investments"). Any income on such investments will be paid
to the Trustee as additional compensation and losses on such investments shall
be reimbursed by the Trustee from its own funds.
Reports to Securityholders
On each Distribution Date, the Trustee will prepare, to the extent it
receives distribution information with respect to the Pooled Certificates and
Treasury Securities, and will forward by mail, a statement to each
Securityholder and to the Seller stating:
(i) the Available Distribution such Distribution Date;
(ii) the interest distribution amount and the principal distribution
amount for such Distribution Date and, with respect to each, the
components thereof as described in the definitions of such terms and
as reported in the related distribution information;
(iii) the principal balance of the Securities before and after applying
payments on such Distribution Date;
(iv) the effective interest rate on the Securities for such Distribution
Date;
(v) the outstanding principal amount, as the case may be, immediately
prior to and after taking into account distributions made on such
Distribution Date of, and the current interest rate, on each of the
Pooled Certificates on such Distribution Date;
(vi) the outstanding principal amount, immediately prior to and after
taking into account distributions made on such Distribution Date, of
each of the Treasury Securities; and
(vii) the amount of the Trustee Fee for such Distribution Date.
In the case of the information furnished pursuant to clauses (ii) and (iii)
above, the amounts shall also be expressed as a dollar amount per $1000 of
principal face amount.
In addition, the Trustee promptly will furnish to the Seller and, upon
request, to the Securityholders, copies of any notices, statements, reports or
other information received by the Trustee in its capacity as the holder of the
Pooled Certificates.
On or before March 31st of each calendar year, commencing in 1998, the
Trustee will prepare and deliver by first class mail to the Seller and each
person who at any time during the prior calendar year was a Securityholder of
record a statement containing the information required to be contained in the
regular monthly report to Securityholders, as set forth in clauses (ii) and (v)
above aggregated for such prior calendar year or in the case of a
Securityholder, the applicable portion thereof during which such person was a
Securityholder. Such obligation of the Trustee will be satisfied to the extent
that substantially comparable information is provided by the Trustee pursuant to
any requirements of the Code and regulations thereunder as from time to time are
in force.
Amendments
The Agreement may be amended by the Seller and the Trustee, without the
prior written consent of any Securityholder (i) to cure any ambiguity or
mistake, (ii) to correct or supplement any provision therein which may be
inconsistent with any other provision therein, (iii) to make any other
provisions with respect to matters or questions arising under the Agreement that
are not materially inconsistent with other provisions of the Agreement and (iv)
to make such modifications as may be required in connection with a substitution
or repurchase of a Pooled Certificate permitted under the Agreement; provided,
however, that such amendment will not, as evidenced by an opinion of counsel (at
the expense of the party seeking such amendment) delivered to the Trustee,
adversely affect in any material respect the interests of any Securityholder.
Counsel shall be entitled to rely on a letter from each Rating Agency that the
modification will not cause the then-existing rating of the Securities to be
downgraded as conclusive evidence that the modification does not adversely
affect in any material respect the interests of any Securityholder. The
Agreement may also be amended by the Seller and the Trustee and the holders of
Securities evidencing more than 50% of the aggregate principal amount of the
Securities (the "Majority Securityholders") for the purpose of adding any
provisions to or changing in any manner or eliminating any of the provisions of
the Agreement or modifying in any manner the rights of Securityholders;
provided, however, that no such amendment may (i) reduce in any manner the
amount of, or delay the timing of, amounts required to be distributed on any
Security without the consent of the holder of such Security; (ii) modify the
provisions of the Section of the Agreement governing amendments of the
Agreement, without the consent of the holders of all Securities; or (iii) be
made unless the Trustee has received an opinion of counsel (at the expense of
the party seeking such amendment) that such amendment will not adversely affect
the status of the Trust as a grantor trust for federal income tax purposes.
Securityholder Action
No Securityholder will have any right to institute any action, suit or
proceeding in equity or at law upon or under or with respect to the Agreement
unless such holder previously has given to the Trustee and the Seller a written
notice of default and unless also the Majority Securityholders have made written
request upon the Trustee to institute such action, suit or proceeding in its own
name as Trustee thereunder and have offered to the Trustee such reasonable
indemnity as it may require against the costs, expenses and liabilities to be
incurred therein or thereby, and the Trustee, for 30 days after its receipt of
such notice, request and offer of indemnity, will have neglected or refused to
institute any such action, suit or proceeding.
Termination
The respective obligations and responsibilities of the Seller and the
Trustee created by the Agreement will terminate upon the final distribution to
Securityholders by the Trustee of all amounts required to be distributed
pursuant to the Agreement. Such distribution will occur, among other
circumstances, on the Distribution Date following the first Distribution Date on
which the principal balance of all but one of the Pooled Certificates has been
reduced to zero, and if the Seller exercises its option to purchase the Pooled
Certificates as described herein under "Description of the Securities--Optional
Termination."
Indemnification of the Trustee
The Trustee and its directors, officers, employees and agents, will be
indemnified by the Trust against any loss, liability or expense arising out of
or incurred in connection with, the exercise and performance of any powers and
duties of the Trustee under the Agreement, with certain exceptions described in
the Agreement. The Trustee and its directors, officers, employees and agents
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 the
obligations and duties of the Trustee.
Certain Matters Regarding the Trustee
The Trustee for the Securities will be Norwest Bank Minnesota, National
Association. The Trustee's corporate office is located at Sixth & Marquette
Streets, Minneapolis, Minnesota 55479, Attention: FASI 1997-1, and its
Bondholder Services telephone number is 410-884-2000.
The Trustee may at any time resign and be discharged from the trust by
giving 30 days' written notice thereof to the Seller and the Securityholders.
Upon receiving such notice of resignation, the Seller shall promptly appoint a
successor trustee. If no successor trustee has been so appointed and has
accepted appointment within 30 days after the giving of such notice of
resignation, the resigning Trustee may petition any court of competent
jurisdiction for the appointment of a successor trustee. If at any time the
Trustee fails to meet the eligibility requirements or is incapable of acting, or
certain insolvency events occur, then the Seller shall remove the Trustee and
appoint a successor trustee. The Majority Securityholders may at any time remove
the Trustee and appoint a successor trustee. No resignation, discharge or
removal of the Trustee will become effective until a successor trustee shall
have assumed the Trustee's responsibilities and obligations under the Agreement.
FEDERAL INCOME TAX CONSIDERATIONS
The following discussion represents the opinion of Hunton & Williams,
special tax counsel to the Trust ("Tax Counsel"), as to the material federal
income tax consequences of the purchase, ownership and disposition of
Certificates. However, the discussion does not purport to deal with Federal
income tax consequences applicable to all categories of holders, some of which
may be subject to special rules. For example, it does not discuss the tax
treatment of Securityholders that are insurance companies, regulated investment
companies or dealers in securities. Prospective investors are urged to consult
their own tax advisors in determining the Federal, state, local, foreign and any
other tax consequences to them of the purchase, ownership and disposition of
Securities.
The following discussion is based upon current provisions of the
Internal Revenue Code of 1986, as amended (the "Code"), the Treasury regulations
promulgated thereunder and judicial or ruling authority, all of which are
subject to change, which change may be retroactive. No ruling on any of the
issues discussed below will be sought from the Internal Revenue Service (the
"IRS"). As a result, the IRS may disagree with all or part of the discussion
below.
Tax Characterization of the Trust
Tax counsel is of the opinion that the Trust will be classified for
federal income tax purposes as a grantor trust under subpart E, Part I of
subchapter J of the Code and not as an association taxable as a corporation.
Accordingly, each holder of a Security will be treated for federal income tax
purposes as the owner of a pro rata undivided interest in the Pooled
Certificates and Treasury Securities included in the Trust.
As further described below, each holder of a Security must report on
its federal income tax return the interest income and original issue discount
attributable to the portion of the Pooled Certificates and Treasury Securities
that is allocable to such Security and may deduct the portion of the expenses
incurred by the Trust that is allocable to such Security, at the same time and
to the same extent as such items would be reported by such holder if it had
purchased and held directly such interest in the Pooled Certificates and
Treasury Securities and incurred directly its share of expenses incurred by the
Trust. In general, the securities will be treated as Pass-Through Securities as
described in "Certain Federal Income Tax Consequences--Non-REMIC
Securities--Treatment of Pass-Through Securities" in the Prospectus.
A Securityholder that is an individual, estate or trust will be allowed
deductions for such expenses only to the extent that the sum of those expenses
and the holder's other miscellaneous itemized deductions exceeds two percent of
such holder's adjusted gross income. In addition, in the case of a
Securityholder who is an individual, certain otherwise allowable itemized
deductions will be reduced, but not by more than 80%, by an amount equal to 3%
of such Securityholder's adjusted gross income in excess of a statutorily
defined threshold. Moreover, a Securityholder that is not a corporation cannot
deduct such expenses for purposes of the alternative minimum tax (if
applicable). Such deductions will include servicing and administrative fees paid
to the Trustee.
A Securityholder must allocate the purchase price of its Securities
among its share of the Pooled Certificates and Treasury Securities based upon
the relative fair market value of the Pooled Certificates as of the date such
Securityholder purchased its Securities.
The tax consequences to a Securityholder of ownership of an undivided
interest in each Pooled Certificate are described in the Underlying
Prospectuses. The Underlying Prospectuses for each of the Pooled Certificates
state that such Pooled Certificates are REMIC Regular Interests. A general
discussion of the tax consequences to a holder of REMIC Regular Interests can be
found in "Certain Federal Income Tax Consequences--REMIC Securities" in the
Prospectus. It should be noted that recently enacted tax legislation made a
number of changes to the Code. Included among the changes are (i) lower tax
rates for certain capital gains of individuals resulting from the holding of
property for more than 18 months and (ii) a provision that would subject pools
of prepayable debt obligations to the provisions of section 1272(a)(6) of the
Code for taxable years beginning after August 5, 1997. The consequences of the
application of section 1272(a)(6) in the case of the Trust are not clear, but
may require the use of a prepayment assumption that differs from the prepayment
assumptions used for computing the inclusion of any original issue discount on
the Pooled Certificates.
The Securities will be treated as qualifying assets for domestic
building and loan associations, mutual savings banks, and real estate investment
trusts, and income from the Securities will constitute qualifying income for
such entities to the extent that the Pooled Certificates and the income
therefrom are treated as such. See "Certain Federal Income Tax
Consequences--REMIC Securities" in the Prospectus.
A Securityholder may be subject to backup withholding as described in
"Certain Federal Income Tax Consequences--REMIC Securities" in the Prospectus.
The backup withholding rate for reportable payments (including interest payments
and original issue discount) made on or after January 1, 1993 is 31%.
ERISA CONSIDERATIONS
Fiduciaries of employee benefit plans subject to Title I of ERISA
should consider the ERISA fiduciary investment standards before authorizing an
investment by a plan in the Securities. In addition, fiduciaries of employee
benefit plans subject to Title I of ERISA, as well as certain plans or other
retirement arrangements not subject to ERISA, but which are subject to Section
4975 of the Code (such as individual retirement accounts and Keogh plans
covering only a sole proprietor, or partners), or any entity whose underlying
assets include plan assets by reason of a plan or account investing in such
entity, including an insurance company general account (collectively,
"Plan(s)"), should consult with their legal counsel to determine whether an
investment in the Securities will cause the assets of the Trust ("Trust Assets")
to be considered plan assets pursuant to the plan asset regulations set forth at
29 C.F.R. 2510.3-101 (the "Plan Asset Regulations"), thereby subjecting the Plan
to the prohibited transaction rules with respect to the Trust Assets and the
Trustee to the fiduciary investments standards of ERISA, or cause the excise tax
provisions of Section 4975 of the Code to apply to the Trust Assets, unless an
exemption granted by the Department of Labor (an "Exemption") applies to the
purchase, sale, transfer or holding of the Certificates and the operation and
management of the Trust and its assets. In particular, investors that are
insurance companies should consult with their legal counsel with respect to the
United States Supreme Court case John Hancock Mutual Life Insurance Co. v.
Harris Trust and Savings Bank, 114 S. Ct. 517 (1993). In John Hancock, the
Supreme Court ruled that assets held in an insurance company's general account
may be deemed to be plan assets under certain circumstances. Investors should
analyze whether that decision or federal legislation recently enacted affecting
insurance company general accounts (see Section 1460 of the Small Business Job
Protection Act of 1996) may have an impact with respect to purchases of
Securities. Each purchaser of a Security, by virtue of its purchase of such
Security, will be deemed to have represented either that (i) it is not a Plan or
(ii) an Exemption exists which exempts the acquisition, holding or transfer of a
Security by such purchaser from the prohibited transaction rules of ERISA and
the related excise tax provisions of the Code.
A governmental plan as defined in Section 3(32) of ERISA is not
subject to ERISA, or Code Section 4975. However, such governmental plan may be
subject to Federal, state and local law, which is, to a material extent, similar
to the provisions of ERISA or Code Section 4975 ("Similar Law"). A fiduciary of
a governmental plan should make its own determination as to the propriety of
such investment under applicable fiduciary or other investment standards, and
the need for the availability of any exemptive relief under any Similar Law.
LEGAL INVESTMENT
Institutions whose investment activities are subject to legal
investment laws and regulations or to review by certain regulatory authorities
may be subject to restrictions on investment in the Securities. Any such
institution should consult its legal advisors in determining whether and to what
extent there may be restrictions on its ability to invest in the Securities. The
Securities will not constitute "mortgage related securities" for purposes of the
Secondary Mortgage Market Enhancement Act of 1984.
UNDERWRITING
Subject to the terms and conditions set forth in the Underwriting
Agreement dated October 28, 1997 (the "Underwriting Agreement") between the
Seller and Bear, Stearns & Co. Inc. (the "Underwriter"), the Seller has agreed
to sell to the Underwriter, and the Underwriter has agreed to purchase from the
Seller, all of the Securities. The Underwriting Agreement provides that the
Underwriter's obligations thereunder are subject to certain conditions
precedent, and that the Underwriter will be obligated to purchase all of the
Securities if any are purchased.
The Underwriter has advised the Seller that it proposes to offer the
Securities from time to time in one or more negotiated transactions, or
otherwise, at varying prices to be determined, in each case, at the time of
sale. The Underwriter may effect such transactions by selling the Securities to
or through dealers, and such dealers may receive compensation in the form of
discounts, concessions or commissions from the Underwriter and/or commissions
from any purchaser of the Securities for whom they may act as agents. The
Underwriter and any dealers that participate with the Underwriter in the
distribution of the Securities may be deemed to be underwriters, and any
discounts, concessions or commissions received by them, and any profit on the
resale of the Securities positioned by them, may be deemed to be underwriting
discounts and commissions under the 1933 Act.
The Seller has agreed to indemnify the Underwriter against certain
civil liabilities, including liabilities under the Act, to the extent and under
the circumstances set forth in the Underwriting Agreement.
Because the Pooled Certificates and Treasury Securities were sold by
the Underwriter to the Seller and, thereafter, the Securities will be purchased
initially by the Underwriter from the Seller, the economic risks and benefits
associated with the sale of the Pooled Certificates and Treasury Securities and
the purchase by the Underwriter of the Securities are borne or realized
primarily by the Underwriter and its affiliates.
LEGAL MATTERS
Certain legal matters relating to the Securities will be passed upon
for the Seller and the Trust by Hunton & Williams, Richmond, Virginia. Certain
legal matters with respect to the Underwriter will be passed upon by Stroock &
Stroock & Lavan LLP, New York, New York.
RATINGS
As a condition to their issuance, the Securities will be rated "Aaa" by
Moody's and "AAA" by Fitch.
The rating assigned by Moody's to the Securities addresses the
likelihood of the receipt by Securityholders of all distributions to which such
Securityholders are entitled. The rating is based principally on the guarantees
of FNMA and FHLMC on the Pooled Certificates. Moody's ratings do not represent
any assessment of the likelihood that prepayments will be made by borrowers or
the degree to which such prepayments will differ from that originally
anticipated. The rating does not address the possibility that, as a result of
prepayments, Securityholders may suffer a lower than anticipated yield on the
Security.
The rating by Fitch on the Security addresses the likelihood of the
receipt by Securityholders of all distributions to which such Securityholders
are entitled. Fitch takes into consideration the credit quality of FNMA and
FHLMC, structural and legal aspects associated with the Securities and the
extent to which the payment stream on the Pooled Certificates and Treasury
Securities is adequate to make payments required under the Securities. The
rating of Fitch does not constitute a statement regarding frequency of
prepayments on the Mortgage Loans or the corresponding effects on yield to
investors, and does not represent any assessment of the likelihood or rate of
prepayments.
A security rating is not a recommendation to buy, sell or hold
securities and may be subject to revision or withdrawal at any time by the
assigning rating organization. Each security rating should be evaluated
independently of any other security rating. In the event that the ratings
initially assigned to the Securities are subsequently lowered for any reason, no
person or entity is obligated to provide any additional credit support or credit
enhancement with respect to the Securities.
The Seller has not requested a rating of the Securities by any rating
agency other than Moody's and Fitch. However, there can be no assurance as to
whether any other rating agency will rate the Securities or, in such event, what
rating would be assigned to the Securities by such other rating agency. The
rating assigned by such other rating agency to the Securities may be lower than
the rating assigned by or Moody's or Fitch.
<PAGE>
INDEX OF TERMS
<PAGE>
1933 Act..........................................iii
1934 Act..........................................iii
Agreement...................................S-2, S-29
Asset............................................S-12
Available............................S-12, S-13, S-30
Business Day................................S-4, S-11
Cede...................................iii, S-2, S-11
Certificate......................................S-11
Closing...........................................S-4
Code........................................S-8, S-32
Companion Classes................................S-19
Depositor.........................................S-2
Determination.....................................S-5
Determination Time...............................S-11
Distribution......................................S-4
Distribution Date............................ii, S-11
DTC..........................................iii, S-2
ERISA.............................................S-8
Escrow...........................................S-13
FHLMC..........................................i, S-2
FHLMC Mortgages...............................ii, S-3
Final............................................S-25
Fitch...............................................i
FNMA...........................................i, S-2
FNMA MBS...........................................ii
FNMA Mortgages....................................S-3
FNMA REMIC Certificates.............................i
GNMA Certificates.............................ii, S-3
Gold Giant PCs................................ii, S-3
Gold PCs......................................ii, S-3
Interest Accrual Period.....................S-5, S-12
IRS..............................................S-32
LIBOR.........................................ii, S-3
MACRs...............................................i
Majority.........................................S-31
Moody's.............................................i
Mortgage Loans..........................ii, S-6, S-10
Mortgage Pool...........................ii, S-6, S-10
PAC Classes......................................S-19
Permitted........................................S-30
Plan.............................................S-33
Plan(s).....................................S-8, S-33
Pooled.......................................S-2, S-3
Pooled Accrual Certificates...................ii, S-3
Pooled Certificate Distribution Date..............S-3
Pooled FHLMC Certificates......................i, S-2
Pooled Floating Rate Certificates.............ii, S-3
Pooled FNMA Certificate Distribution Date.........S-3
Pooled FNMA Certificates............................i
Pooled Inverse Floating Rate Certificates.....ii, S-3
Prospectus........................................S-2
Rating Agencies................................i, S-8
Record Date.................................S-5, S-12
REMIC........................................iii, S-8
Reserve Fund......................................S-4
Scheduled Classes................................S-19
Securities.....................................i, S-2
Seller..............................................i
Similar Law......................................S-34
SMMEA.............................................S-8
SPA..............................................S-26
Substitute Pooled Certificate....................S-29
Supplemental Distribution Date..............S-5, S-11
TAC Classes......................................S-19
Tax Counsel......................................S-32
Treasury Securities...........................ii, S-4
Trust..........................................i, S-2
Trust Assets................................S-8, S-33
Trustee...........................................S-2
Trustee Fee......................................S-13
Trustee Fee Escrow Account.......................S-13
Underlying........................................S-3
Underlying Agreement..............................S-3
Underlying FHLMC Offering Circular
Term Sheets.......................................S-4
Underlying FHLMC Series............................ii
Underlying FNMA Prospectus Information............S-4
Underlying FNMA Series.............................ii
Underlying FNMA Trusts.............................ii
Underlying Mortgage Loans...............ii, S-6, S-10
Underlying Prospectus Information.................S-4
Underlying Prospectuses...........................S-4
Underlying Series..................................ii
Underwriter..............................i, S-2, S-34
Underwriting Agreement...........................S-34
<PAGE>
Annex 1
POOLED CERTIFICATE CURRENT INFORMATION
The table in this Annex 1 sets forth information for each of the Pooled
Certificates concerning such Pooled Certificates and the related Mortgage Loans.
The table and the descriptions of the Pooled Certificates herein are subject to
and qualified by reference to the information with respect to the provisions of
the Underlying Agreements and Underlying Prospectuses and the other prospectuses
related to the Pooled Certificates. The information set forth in the table and
elsewhere herein has been derived from information provided by FNMA and FHLMC,
but such information has not been independently verified by the Depositor or the
Underwriter. This information comprises all material information on the subject
that the Depositor and the Underwriter possess or can acquire without
unreasonable expense or effort.
"Weighted average" numbers are calculated based on the loan balances as
of October 1, 1997.
The issue dates for the Pooled FNMA Certificates are as follows:
1993-41/SA, March 26, 1993; 1993-56/SB, May 28, 1993; 1993-60/SB, May 28, 1993;
1993-113/SF, July 30, 1993; 1993-120/SP, July 30, 1993; 1993-179/SX, October 29,
1993; 1994-17/S, February 28, 1994; 1997-44/Z, June 30, 1997; and 1997-57/ZH,
August 29, 1997. The issue dates for the Pooled FHLMC Certificates are as
follows: G003/SA, November 30, 1992; G020/SB, October 29, 1993; 1041/F, February
28, 1991; 1385/S, October 30, 1992; 1435/SB, December 30, 1992; 1483/FD, March
30, 1993; 1504/FA, May 28, 1993; 1578/SC, September 30, 1993; and 1585/PM,
September 30, 1993.
The following is a description of each item reported in the following
table. The table should be read in conjunction with these descriptions and the
additional information contained in Annex 2.
Issuer and Series/Class. These first two columns indicate,
collectively, the issuer name, series, and class
designation of each Pooled Certificate. For the full
name of each Pooled Certificate, see "Description of
the Pooled Certificates --General".
Certificate Interest Type. INV indicates that the Pooled
Certificates bear interest at rates that are based on
an index (in this case, LIBOR) and that vary
inversely with changes in the index. FLT indicates
that the Pooled Certificates bear interest at rates
that are based on an index (in this case, LIBOR) and
that vary directly with changes in the index. FIX
indicates that the Pooled Certificates bear interest
at a fixed rate. Z indicates that the Pooled
Certificates accrete the amount of accrual interest
otherwise distributable on such Pooled Certificates,
which amount will be added as principal to the
principal balance of such Pooled Certificates on each
applicable distribution date. Such accretion will
continue until some specified event has occurred or
until such Pooled Certificates are retired.
Current Coupon. This coupon indicates the interest rates
applicable to the November 1997 distribution on
the Pooled Certificates.
Class Original Principal Balance. This column lists the
original principal balance of the Pooled
Certificates.
Class % in Trust. This is the percentage which the respective
Pooled Certificates constitute of its class.
Class Current Principal Balance In Trust. This column shows
the principal balance of the Pooled Certificates
included in the Trust after the distributions made in
October 1997.
Original Mortgage Loan Balance. This is the original
aggregate scheduled principal balance of the
Mortgage Loans underlying each Pooled Certificate.
Current Mortgage Loan Balance. This is the aggregate scheduled
principal balance of the Mortgage Loans underlying
each Pooled Certificate as of October 1, 1997.
WAC. Under this heading is the current weighted average
of the note rates on the Mortgage Loans underlying
each Pooled Certificate.
CNWAC. Under this heading is the current weighted average of
the net rates (that is, note rate less any servicing
fee and any other administrative fees) on the
Mortgage Loans underlying each Pooled Certificate.
WAM. Under this heading is the current weighted average of
the remaining terms to maturity of the Mortgage
Loans underlying each Pooled Certificate (in months).
WALA/CAGE. Under this heading is the weighted average
months since origination for the Mortgage Loans
underlying each Pooled Certificate.
<PAGE>
<TABLE>
<CAPTION>
Class Class Current
Certificate Original Principal Original
Interest Current Principal Class % Balance Mortgage
Issuer Series/Class Type Coupon Balance in Trust in Trust Loan Balance
------ ------------ ---- ------ -------- -------- -------- ------------
<S> <C>
FNMA 1993-41/SA INV 5.87267% $12,609,000 3.33095 $268,808 $500,000,000
FNMA 1993-56/SB INV 7.21874% $24,852,000 48.28585 $7,961,316 $1,000,000,000
FNMA 1993-60/SB INV 6.35840% $4,822,000 15.55371 $640,182 $300,000,000
FNMA 1993-113/SF INV 8.88998% $2,650,000 24.52830 $579,380 $370,500,000
FNMA 1993-120/SP INV 6.56733% $2,407,391 8.30775 $155,416 $750,000,000
FNMA 1993-179/SX INV 4.05348% $5,221,783 2.68108 $125,621 $1,602,735,416
FNMA 1994-17/S INV 7.13375% $24,666,667 0.85743 $198,825 $500,000,000
FNMA 1997-44/Z1 FIX/Z 8.50000% $19,583,117 52.59633 $9,503,692 $300,000,000
FNMA 1997-57/ZH1 FIX/Z 8.00000% $21,000,000 53.09524 $11,299,162 $1,300,000,000
FHLMC G003/SA INV 12.25000% $4,240,000 33.96226 $702,795 $350,000,000
FHLMC G020/SB INV 8.00000% $387,148 100.00000 $384,310 $300,000,000
FHLMC 1041/F INV 14.11786% $7,000,000 31.42857 $221,375 $300,416,000
FHLMC 1385/S INV 7.12500% $3,750,000 26.66667 $145,333 $1,008,550,000
FHLMC 1435/SB INV 9.82500% $5,385,000 71.21634 $3,184,158 $500,000,000
FHLMC 1483/FD FLT 6.12500% $64,920,000 54.59638 $10,073,743 $800,000,000
FHLMC 1504/FA FLT 6.72500% $35,000,000 86.6666 $4,212,205 $500,100,000
FHLMC 1578/SC INV 6.54643% $10,758,600 5.57693 $555,580 $1,500,000,000
FHLMC 1585/PM INV 3.41697% $12,469,016 4.81193 $597,977 $651,000,000
US Treasury 1,250,000
US Treasury 1,250,000
US Treasury 1,250,000
US Treasury 1,250,000
</TABLE>
<TABLE>
<CAPTION>
Current
Mortgage WALA/
Issuer Loan Balance WAC CNWAC WAM CAGE
------ ------------ --- ---- --- ----
<S> <C>
FNMA $355,346,361 7.664% 7.000% 287 59
FNMA $718,146,765 7.569% 7.000% 292 56
FNMA $217,983,579 7.531% 7.000% 292 56
FNMA $234,718,755 7.898% 7.500% 295 54
FNMA $550,605,659 7.551% 7.000% 295 53
FNMA $1,188,459,120 7.499% 7.000% 299 50
FNMA $329,638,559 6.989% 6.500% 128 47
FNMA $295,056,533 8.057% 7.500% 352 7
FNMA $1,270,359,089 8.485% 8.000% 352 7
FHLMC $166,805,867 8.500% 8.000% 223 127
FHLMC $229,677,896 7.500% 7.000% 302 50
FHLMC $32,281,582 10.595% 10.000% 257 91
FHLMC $453,717,641 7.613% 7.000% 111 61
FHLMC $270,402,897 8.127% 7.500% 284 60
FHLMC $370,588,813 8.523% 8.000% 285 58
FHLMC $331,821,744 7.723% 7.000% 291 54
FHLMC $1,105,665,244 7.528% 7.000% 294 50
FHLMC $521,147,974 7.133% 6.500% 296 50
US Treasury
US Treasury
US Treasury
US Treasury
</TABLE>
1 In cases where the Pooled Certificates receive payment from a specified
collateral group, only the characteristics of the group relating to the Pooled
Certificates have been used in calculating the above information.
<PAGE>
Annex 2
Pooled Certificate Information
<PAGE>
Annex 2(a)
Prospectus Supplement
dated February 23, 1993
to
Prospectus dated December 29, 1992
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1993-41
<PAGE>
Prospectus Supplement
(To Prospectus dated December 29, 1992)
$500,000,000
Federal National Mortgage Association
[FANNIE MAE LOGO]
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1993-41
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1993-41 (the "Trust").
The assets of the Trust will consist of (i) the "regular interests" in a
separate trust fund (the "Lower Tier REMIC") and (ii) a non-interest bearing
cash deposit of $999.99 (the "Retail Cash Deposit") to be applied as described
herein. The assets of the Lower Tier REMIC will consist of Fannie Mae Guaranteed
Mortgage Pass-Through Certificates (the "MBS"), each of which will represent a
beneficial interest in a pool (the "Pool") of first lien, single-family, fixed-
rate residential mortgage loans (the "Mortgage Loans") having the
characteristics described herein. The Certificates will be issued and guaranteed
as to timely distribution of principal and interest by Fannie Mae and offered by
Fannie Mae pursuant to its Prospectus for Guaranteed Mortgage Pass-Through
Certificates (the "MBS Prospectus"), available as described herein, and its
Prospectus for Guaranteed REMIC Pass-Through Certificates (the "REMIC
Prospectus"), accompanying this Prospectus Supplement.
Prospective investors in the LL Certificates should consider carefully, as
should prospective investors in any Class of Certificates, whether such an
investment is appropriate for their investment objectives. See "Description of
the Certificates-The Retail Certificates" herein.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates-Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates-Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
(Cover continued on next page)
---------------
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY THE
UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF OTHER
THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE REGISTRATION REQUIREMENTS
OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF
THE SECURITIES EXCHANGE ACT OF 1934.
Original
Principal Principal Interest Interest Final Distribution
Class Balance Type(1) Rate Type(1) Date
PA $25,550,000 PAC 5.00% FIX December 2004
PB 25,451,000 PAC 5.25 FIX May 2010
PC 20,354,000 PAC 5.00 FIX May 2013
PD 24,055,000 PAC 5.75 FIX January 2016
PE 38,378,000 PAC 5.75 FIX April 2019
PG 40,116,000 PAC 6.20 FIX October 2021
PH 26,779,000 PAC 6.00 FIX March 2023
N (2) NTL 7.00 FIX/IO March 2023
A 26,010,355 PAC 5.75 FIX February 2019
B 12,331,000 PAC 7.00 FIX August 2019
C 43,398,000 PAC 7.00 FIX March 2021
D 34,155,000 PAC 7.00 FIX April 2022
E 9,319,000 PAC 7.00 FIX March 2023
LL 20,000,000 PAC 6.80 FIX/RTL March 2023
G (2) NTL 7.00% FIX/IO April 2019
H (2) NTL 7.00 FIX/IO March 2023
J $15,032,250 SCH 6.00 FIX March 2023
F 15,848,395 CPT (3) FLT March 2023
S (2) NTL (3) INV/IO March 2023
FC 29,803,900 SCH (3) FLT November 2022
SC 12,773,100 SCH (3) INV November 2022
L 5,615,000 SCH 7.00 FIX January 2023
M 9,786,000 SCH 7.00 FIX March 2023
FA 40,162,000 SUP (3) FLT March 2023
SA 12,609,000 SUP (3) INV March 2023
SB 7,472,000 SUP (3) INV March 2023
R 1,000 SCH 7.00 FIX March 2023
RL 1,000 SCH 7.00 FIX March 2023
(1) See "Description of the Certificates-Class Definitions and Abbreviations" in
the REMIC Prospectus and "Description of the Certificates-Distributions of
Interest" and "-Distributions of Principal" herein.
(2) The N, G, H and S Classes will be Notional Classes, will have no principal
balances and will bear interest on their notional principal balances (initially,
$2,295,342, $30,626,928, $6,114,914 and $15,848,395, respectively), as described
herein under "Description of the Certificates-General-Notional Classes."
(3) These Classes will bear interest based on "LIBOR," as described under
"Description of the Certificates-Distributions of Interest" herein and
"Description of the Certificates-Indices Applicable to Floating Rate and Inverse
Floating Rate Classes" in the REMIC Prospectus.
The Certificates will be offered by Shearson Lehman Brothers Inc., including
Lehman Government Securities Inc. (the "Dealer") from time to time in negotiated
transactions, at varying prices to be determined at the time of sale.
The Certificates will be offered by the Dealer, subject to receipt and
acceptance by it and subject to its right to reject any order in whole or in
part. It is expected that the Certificates, except for the LL, R and RL Classes,
will be available through the book-entry system of the Federal Reserve Banks on
or about March 26, 1993 (the "Settlement Date"). It is expected that the R and
RL Classes in registered, certificated form will be available for delivery at
the offices of the Dealer, New York, New York, on or about the Settlement Date.
It is expected that the LL Class will be available for delivery through the
book-entry facilities of The Depository Trust Company on or about such date.
---------------
LEHMAN BROTHERS
February 23, 1993
<PAGE>
(Cover continued from previous page)
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH
SUCH CERTIFICATES.
The yield to investors in each Class will be sensitive in varying degrees to
the rate of principal payments of the Mortgage Loans, the characteristics of the
Mortgage Loans actually included in the Pool, the purchase price paid for the
related Class and, in the case of any Floating Rate and Inverse Floating Rate
Classes, the level of the applicable Index (as defined herein). Accordingly,
investors should consider the following risks:
o The Mortgage Loans generally may be prepaid at any time without penalty,
and, accordingly, the rate of principal payments thereon is likely to vary
considerably from time to time.
o Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the Classes.
o In the case of any Certificates purchased at a discount to their principal
amounts, a slower than anticipated rate of principal payments is likely to
result in a lower than anticipated yield.
o In the case of any Certificates purchased at a premium to their principal
amounts, a faster than anticipated rate of principal payments is likely to
result in a lower than anticipated yield.
o In the case of any Interest Only Class, a faster than anticipated rate of
principal payments is likely to result in a lower than anticipated yield
and, in certain cases, an actual loss on the investment.
o The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index, particularly if the
interest rate thereon fluctuates as a multiple of such Index.
See "Description of the Certificates-Yield Considerations" herein.
In addition, investors should purchase Certificates only after considering
the following:
o The actual final payment of any Class will likely occur earlier, and could
occur much earlier, than the Final Distribution Date for such Class
specified on the cover page. See "Description of the Certificates- Weighted
Average Lives of the Certificates" herein and "Description of the
Certificates-Weighted Average Life and Final Distribution Dates" in the
REMIC Prospectus.
o The rate of principal distributions of the Certificates is uncertain and
investors may be unable to reinvest the distributions thereon at yields
equaling the yields on the Certificates. See "Description of the
Certificates-Reinvestment Risk" in the REMIC Prospectus.
o Investors whose investment activities are subject to legal investment laws
and regulations or to review by regulatory authorities may be subject to
restrictions on investment in certain Classes of the Certificates.
Investors should consult their legal advisors to determine whether and to
what extent the Certificates constitute legal investments or are subject to
restrictions on investment. See "Legal Investment Considerations" in the
REMIC Prospectus.
The LL Certificates (the "Retail Certificates") may not be an appropriate
investment for all prospective investors. The Retail Certificates would not be
an appropriate investment for any investor requiring a particular distribution
of principal on a specific date or an otherwise predictable stream of principal
distributions. Any investor who purchases a Retail Certificate at a premium (or
a discount) should consider the risk that relatively early (or late) principal
distributions following issuance of the Certificates could result in an actual
yield that is lower than such investor's anticipated yield. In addition,
although the Dealer intends to make a secondary market in Retail Certificates,
it has no obligation to do so, and any such market making may be discontinued at
any time. Finally, there can be no assurance that the price at which an investor
may be able to sell a Retail Certificate will be the same as the price at which
such investor purchased such Certificate. See "Description of the
Certificates-The Retail Certificates" herein.
The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary market will
develop or, if developed, that it will continue. Thus, investors may not be able
to sell their Certificates readily or at prices that will enable them to realize
their anticipated yield. No investor should purchase Certificates unless such
investor understands and is able to bear the risk that the value of the
Certificates will fluctuate over time and that the Certificates may not be
readily salable.
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, the REMIC Prospectus or the
MBS Prospectus. Any representation to the contrary is a criminal offense.
This Prospectus Supplement does not contain complete information about the
Certificates. Investors should purchase Certificates only after reading this
Prospectus Supplement, the REMIC Prospectus, the MBS Prospectus dated January 1,
1993 and the Fannie Mae Information Statement dated February 16, 1993 and any
supplements thereto (the "Information Statement"). The MBS Prospectus and the
Information Statement are incorporated herein by reference and may be obtained
from Fannie Mae by writing or calling its MBS Helpline at 3900 Wisconsin Avenue,
N.W., Area 2H-2N, Washington, D.C. 20016 (telephone 1-800-BEST-MBS or
202-752-6547). Such documents may also be obtained from the Dealer by writing or
calling its Registration Department at 250 West Street, 3rd Floor, New York, New
York 10013 (telephone 212-464-6929).
<PAGE>
TABLE CONTENTS
Page
----
Description of the Certificates S- 4
General S- 4
Structure S- 4
MBS Distributions S- 4
Fannie Mae Guaranty S- 4
Characteristics of Certificates S- 4
Notional Classes S- 5
Components S- 6
Authorized Denominations S- 6
Distribution Dates S- 6
Calculation of Distributions S- 6
Record Date S- 6
REMIC Trust Factors S- 6
Optional Termination S- 6
The Retail Certificates S- 7
General S- 7
Method of Distribution S- 7
Retail Interest Distributions S- 7
Retail Principal Distributions S- 7
Certain Principal Distribution Considerations S- 8
Investment Determination S-11
The MBS S-12
Distributions of Interest S-12
Categories of Classes S-12
General S-12
Interest Accrual Periods S-13
Floating Rate and Inverse Floating
Rate Classes S-13
Calculation of LIBOR S-13
Distributions of Principal S-14
Categories of Classes S-14
Principal Distribution Amount S-14
Structuring Assumptions S-15
Pricing Assumptions S-15
PSA Assumptions S-15
Principal Balance Schedules S-17
Characteristics of the R and RL Classes S-32
Yield Considerations S-32
General S-32
The Interest Only Classes S-33
The Inverse Floating Rate Classes S-33
Weighted Average Lives of the Certificates S-35
Decrement Tables S-36
Certain Additional Federal Income
Tax Consequences S-40
REMIC Elections and Special Tax
Attributes S-40
Taxation of Beneficial Owners of
Regular Certificates S-40
Taxation of Beneficial Owners of
Residual Certificates S-40
Plan of Distribution S-41
General S-41
Increase in Certificates S-41
Legal Matters S-41
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates do
not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the REMIC Prospectus, the MBS Prospectus and the
provisions of the Trust Agreement (defined below). Capitalized terms used and
not otherwise defined in this Prospectus Supplement have the respective meanings
assigned to such terms in the REMIC Prospectus (including the Glossary contained
therein), the MBS Prospectus or the Trust Agreement (as the context may
require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant to a
trust agreement dated as of March 1, 1993 (the "Trust Agreement"), executed by
the Federal National Mortgage Association ("Fannie Mae") in its corporate
capacity and in its capacity as Trustee, and the Certificates in the Classes and
aggregate original principal balances set forth on the cover hereof will be
issued by Fannie Mae pursuant thereto. A description of Fannie Mae and its
business, together with certain financial statements and other financial
information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as the
"regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests,
and the Certificates, other than the RL Class, will evidence the entire
beneficial ownership interest in the distributions of principal and interest on
the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of the MBS, and the Lower
Tier Regular Interests and the RL Class (collectively, the "Lower Tier
Interests") will in the aggregate evidence the entire beneficial ownership
interest in the distributions of principal and interest on the MBS.
MBS Distributions. The MBS will provide that principal and interest on the
underlying Mortgage Loans will be passed through monthly, commencing on the 25th
day of the month following the month of the initial issuance of the MBS (or, if
such 25th day is not a business day, on the first business day next succeeding
such 25th day).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. In addition, Fannie Mae will be obligated to distribute
on a timely basis to the Holders of Certificates required installments of
principal and interest and to distribute the principal balance of each Class of
Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the MBS Account. The guaranties
of Fannie Mae are not backed by the full faith and credit of the United States.
See "Description of the Certificates-Fannie Mae's Guaranty" in the REMIC
Prospectus and "Description of Certificates-The Corporation's Guaranty" in the
MBS Prospectus.
Characteristics of Certificates. The Certificates, other than the LL, R and
RL Certificates, will be issued and maintained and may be transferred by Holders
only on the book-entry system of the Federal Reserve Banks. The LL Certificates
will be represented by one certificate to be registered at all times in the name
of the nominee of the Depository (as defined herein), which Depository will
maintain the LL Certificates through its book-entry facilities. When used
herein, the terms "Holders" and "Certificateholders" refer to (i) such entities
whose names appear on the book-entry records of a Federal Reserve Bank as the
entities for whose accounts such Certificates (other than the LL, R or RL
Certificates) have been deposited and (ii) the nominee of the Depository, in the
<PAGE>
case of the LL Certificates. A Holder is not necessarily the beneficial owner of
a book-entry Certificate. Beneficial owners will ordinarily hold book-entry
Certificates through one or more financial intermediaries, such as banks,
brokerage firms and securities clearing organizations. See "Description of the
Certificates-Denominations, Book-Entry Form" in the REMIC Prospectus.
The R and RL Certificates will not be issued in book-entry form but will be
issued in fully registered, certificated form. As to an R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R
and RL Certificates will be transferable and exchangeable, if applicable, at the
corporate trust office of the Transfer Agent, or at the agency of the Transfer
Agent in New York, New York. The Transfer Agent initially will be State Street
Bank and Trust Company in Boston, Massachusetts ("State Street"). A service
charge may be imposed for any exchange or registration of transfer of the R and
RL Certificates and Fannie Mae may require payment of a sum sufficient to cover
any tax or other governmental charge. See also "Characteristics of the R and RL
Classes" herein.
Distributions on the R and RL Classes will be made by check mailed by the
Paying Agent to the address of each person entitled thereto as it appears on the
Certificate Register maintained by the Certificate Registrar (initially State
Street) not later than each Distribution Date; provided, however, that the final
distribution to the Holders of the R and RL Classes of the proceeds of any
remaining assets of the Trust and the Lower Tier REMIC, as applicable, will be
made only upon presentation and surrender of the respective Certificates at the
office of the Paying Agent. The Paying Agent initially will be State Street.
Notional Classes. The N, G, H and S Classes will be Notional Classes. A
Notional Class will have no principal balance and will bear interest at the per
annum interest rate set forth on the cover or described herein during each
Interest Accrual Period on the related notional principal balance. The notional
principal balance of each Notional Class will be equal to the indicated
percentage of the outstanding principal balance of the following Classes
immediately prior to the related Distribution Date:
Percentage of
Principal Balance
Class of Specified Class
- ----- ------------------
N 8.5714285714% of PH Class
G 28.5714285714% of PA Class
25.00% of PB Class
28.5714285714% of PC Class
17.8571428571% of PD Class
17.8571428571% of PE Class
H 11.4285714286% of PG Class
5.7142857143% of PH Class
S 100% of F Class
The notional principal balance of a Notional Class is used for purposes of
the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the MBS or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to any such
Class that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally shall
be deemed to refer also to the notional principal balance of any Notional Class.
<PAGE>
Components. For purposes of calculating payments of principal, the F Class
is comprised of multiple payment components having the designations and original
principal balances set forth below:
Original Principal
Designation Balance
- ----------- ------------------
F1 Component $10,837,645
F2 Component 5,010,750
Components are not separately transferable from the related Class of
Certificates.
Authorized Denominations. The Certificates, other than the LL, R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. The LL Certificates will be issued in minimum
denominations of $1,000 and integral multiples thereof; and the R and RL
Certificates will each be issued as a single certificate in a denomination of
$1,000.
Distribution Dates. Distributions on the Certificates will be made on the
25th day of each month (or, if such 25th day is not a business day, on the first
business day next succeeding such 25th day), commencing in the month following
the Settlement Date.
Calculation of Distributions. Interest on the interest-bearing Certificates
is calculated on the basis of a 360-day year consisting of twelve 30-day months
and is distributable monthly on each Distribution Date, commencing (except with
respect to the Accrual Classes, if any) in the month after the Settlement Date.
Interest to be distributed or, in the case of any Accrual Classes, added to
principal on each interest-bearing Certificate on a Distribution Date will
consist of one month's interest on the outstanding principal balance of such
Certificate immediately prior to such Distribution Date. Interest to be
distributed or, in the case of any Accrual Classes, added to principal on a
Distribution Date will accrue on the interest-bearing Certificates during the
one month periods set forth herein under "Distributions of Interest-Interest
Accrual Periods." Principal on the Certificates will be distributed on each
Distribution Date in an amount equal to the sum of the aggregate distributions
of principal concurrently made on the MBS and any interest accrued and added on
such Distribution Date to the principal balances of the Accrual Classes, if any.
See "Distributions of Principal" herein.
Record Date. Each monthly distribution on the Certificates will be made to
Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh calendar
day of each month, Fannie Mae will publish or otherwise make available for each
Class of Certificates the factor (carried to eight decimal places) which (i) in
the case of each such Class other than the Retail Certificates, when multiplied
by the original principal balance of a Certificate of such Class, will equal the
amount of principal remaining to be distributed with respect to such Certificate
and (ii) in the case of the Retail Certificates, when multiplied by the
aggregate original principal balance of such Class, will equal the aggregate
amount of principal remaining to be distributed with respect to such Class, in
each case after giving effect to the distribution of principal to be made on the
following Distribution Date and any interest to be added as principal to the
principal balances of any Accrual Certificates on such Distribution Date. As a
result, the factor for the Retail Certificates will reflect the reduction in
aggregate principal balance of such Class taken as a whole, and will not reflect
the reduction in principal balance of the Retail Certificates owned by any
particular investor. For purposes of determining the factor for the Retail
Certificates, any rounding of the distribution of principal thereof will be
disregarded.
Optional Termination. Consistent with its policy described under
"Description of Certificates-Termination" in the MBS Prospectus, Fannie Mae will
agree not to effect indirectly an early termination of the Trust or the Lower
Tier REMIC through the exercise of its right to repurchase the Mortgage Loans
underlying any MBS unless only one Mortgage Loan remains in the related Pool or
the principal balance of such Pool at the time of repurchase is less than one
percent of the original principal balance thereof.
<PAGE>
The Retail Certificates
General
The LL Certificates will be Retail Certificates. The Retail Certificates
will be represented by one certificate to be registered at all times in the name
of the nominee of The Depository Trust Company, a New York-chartered limited
purpose trust company, or any successor depository selected or approved by
Fannie Mae (the "Depository"). The Depository will maintain the Retail
Certificates in integral multiples of $1,000 through its book-entry facilities.
In accordance with its normal procedures, the Depository will record the
positions held by each Depository participating firm (each, a "Depository
Participant") in the Retail Certificates, whether held for its own account or as
a nominee for another person. State Street will act as paying agent for, and
perform certain administrative functions with respect to, the Retail
Certificates.
No person acquiring a beneficial ownership interest in the Retail
Certificates (a "beneficial owner" or an "investor") will be entitled to receive
a physical certificate representing such ownership interest. An investor's
interest in a Retail Certificate will be recorded, in integral multiples of
$1,000, on the records of the brokerage firm, bank, thrift institution or other
financial intermediary (a "financial intermediary") that maintains such
investor's account for such purpose. In turn, the financial intermediary's
record ownership of such Certificate will be recorded, in integral multiples of
$1,000, on the records of the Depository (or of a Depository Participant that
acts as agent for the financial intermediary if such intermediary is not a
Depository Participant). Therefore, the investor must rely on the foregoing
arrangements to evidence its interest in the Retail Certificates. Beneficial
ownership of Retail Certificates may be transferred only by compliance with the
procedures of an investor's financial intermediary and of Depository
Participants. In general, beneficial ownership of Retail Certificates will be
subject to the rules, regulations and procedures governing the Depository and
Depository Participants as in effect from time to time.
Method of Distribution
Each distribution of principal and interest on the Retail Certificates will
be distributed by State Street to the Depository in immediately available funds.
The Depository will be responsible for crediting the amount of such
distributions to the accounts of the Depository Participants entitled thereto,
in accordance with the Depository's normal procedures, which currently provide
for distributions in next-day funds settled through the New York Clearing House.
Each Depository Participant and each financial intermediary will be responsible
for disbursing such distributions to the beneficial owners of the Retail
Certificates that it represents.
Retail Interest Distributions
Interest to be distributed on the Retail Certificates on each Distribution
Date will consist of one month's interest at the per annum rate of 6.80% on the
outstanding principal balance of such Certificates immediately prior to such
Distribution Date. For further discussion, see "Distributions of Interest"
herein.
Retail Principal Distributions
General. Distributions of principal of the Retail Certificates on any
Distribution Date (collectively, a "Retail Principal Distribution") will be
made, in each case in integral multiples of $1,000, in accordance with the
priorities and limitations set forth herein. On each Distribution Date, the
Depository will determine the portion of the Retail Principal Distribution, if
any, to be made on Retail Certificates held for the account of each Depository
Participant. Each Depository Participant and each financial intermediary will in
turn determine the portion of the Retail Principal Distribution to be made on
the Retail Certificates held for the account of each investor that it
represents.
<PAGE>
Rounding of Retail Principal Distributions. On each Distribution Date on which
amounts are available for the distribution of principal of the Retail
Certificates (as described under "Distributions of Principal" herein), the
amount of such distribution will be rounded, as necessary, to an amount equal to
an integral multiple of $1,000. Such rounding will be accomplished on the first
Distribution Date on which a Retail Principal Distribution is made by
withdrawing from the Retail Cash Deposit the amount of funds, if any, needed to
round the amount otherwise allocable as principal of the Retail Certificates to
the next higher integral multiple of $1,000. On each succeeding Distribution
Date on which a Retail Principal Distribution is to be made, the aggregate
amount allocable to the Retail Certificates will be applied first to repay any
funds withdrawn from the Retail Cash Deposit on the preceding Distribution Date,
and then the remainder of such allocable amount, if any, will be similarly
rounded upward and applied as a Retail Principal Distribution. This procedure
will continue on succeeding Distribution Dates until the principal balance of
the Class of Retail Certificates has been reduced to zero. Thus, the Retail
Principal Distribution on any Distribution Date may be slightly more or less
than would be the case in the absence of such rounding procedures, but such
difference will in no event exceed $999.99 on any Distribution Date. The
aggregate of all Retail Principal Distributions made through any Distribution
Date will in no event be less than would have been the case in the absence of
such rounding procedures.
Retail Principal Distribution by Random Lot. On each Distribution Date on which
a Retail Principal Distribution is to be made, the Retail Certificates in
respect of which distributions of principal are to be made (in integral
multiples of $1,000) will be determined in accordance with the then applicable
random lot procedures of the Depository and the established procedures of the
Depository Participants and financial intermediaries. Accordingly, a Depository
Participant or financial intermediary may elect to allot such Retail Principal
Distribution to the accounts of some investors (which could include such
Depository Participant or financial intermediary) without allotting such
distributions to the accounts of other investors.
Tax Information. Information allowing beneficial owners of the Retail
Certificates to calculate properly the taxable income attributable to the Retail
Certificates will be made available by Fannie Mae to Depository Participants and
financial intermediaries as required by federal income tax law. Financial
intermediaries, in turn, will be obligated to supply such information to
individuals and other beneficial owners who are not "exempt recipients."
Beneficial owners should be aware, however, that generally such information need
not be furnished before March 15 of any calendar year following a calendar year
in which income accrues on a Retail Certificate. Prospective investors in the
Retail Certificates also should be aware that beneficial owners of Retail
Certificates should treat any premium and any market discount with respect to
such Certificates in the same manner as beneficial owners of other "regular
interests" in a REMIC. See "Certain Federal Income Tax Consequences-Taxation of
Beneficial Owners of Regular Certificates" in the REMIC Prospectus. Because the
Retail Certificates will not receive payments of principal on a pro rata basis,
however, a payment in full of a Retail Certificate may be treated as a
prepayment for purposes of the premium and market discount rules. Additional tax
consequences affecting beneficial owners of Retail Certificates are discussed
under "Certain Additional Federal Income Tax Consequences" herein and "Certain
Federal Income Tax Consequences-Taxation of Beneficial Owners of Regular
Certificates" in the REMIC Prospectus.
Certain Principal Distribution Considerations
Because the rate of Retail Principal Distributions is dependent upon the
rate of principal distributions (including prepayments) on the Mortgage Loans,
no assurance can be given as to the Distribution Date on which the Retail
Certificates will begin to receive principal distributions, as to the rate at
which such distributions will continue thereafter or as to the date on which the
principal balance of all the Retail Certificates will be distributed in full. In
addition, it is possible that certain investors in the Retail Certificates may
not receive Retail Principal Distributions until the Final Distribution Date for
such Class. Any investor who purchases a Retail Certificate at a premium (or a
<PAGE>
discount) should consider the risk that relatively early (or late) principal
distributions following issuance of the Certificates could result in an actual
yield that is lower than such investor's anticipated yield. See "Distributions
of Principal" and "Weighted Average Lives of the Certificates" herein.
As described under "Distributions of Principal" herein, the amount of
principal allocated on each Distribution Date to the Retail Certificates
primarily will depend on the sufficiency of the Principal Distribution Amount
(as defined herein) to reduce the principal balances of those Classes of
Certificates that have higher principal payment priorities than the Retail
Certificates to their respective Planned or Scheduled Principal Balances, as set
forth in the Principal Balance Schedules herein, or to zero, as the case may be.
As a result, the amount of principal distributable on the Retail Certificates on
any Distribution Date will be very sensitive to the level of prepayments of the
Mortgage Loans.
The following table shows the amounts that would be available for
distributions of principal of the Retail Certificates during the periods
indicated at various constant percentages of PSA (as defined under "Structuring
Assumptions-PSA Assumptions" herein), based on the allocations of principal
described under "Distributions of Principal" herein. The amounts shown have been
calculated on the basis of the Pricing Assumptions (as defined herein), except
with respect to the information set forth under 0% PSA where it has been assumed
that the Mortgage Loans have the coupon and original and remaining term to
maturity specified under "Decrement Tables" and on the assumption that principal
distributions on the Retail Certificates are not rounded to integral multiples
of $1,000 and are made on the 25th day of each month in which such distributions
are required to be made. Because of the distribution priorities and allocations
described above and because investors in the Retail Certificates will receive
principal distributions in integral multiples of $1,000, there is no assurance
that any investor will receive a distribution of principal on any particular
Distribution Date.
<PAGE>
Aggregate Retail Principal Distributions
(for illustrative purposes only)
(Amounts in thousands)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
Twelve Consecutive -----------------------------------------------------------
Months Through 50% 65% 95% 175% 225% 450% 500%
- ------------------ --- --- --- ---- ---- ---- ----
<S> <C>
March 1994 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
March 1995 0 0 0 0 0 0 0
March 1996 0 0 0 0 0 0 0
March 1997 0 0 0 0 0 0 0
March 1998 0 0 0 0 0 274 12,289
March 1999 0 0 0 0 0 10,404 7,711
March 2000 0 0 0 0 0 4,445 0
March 2001 0 0 0 0 0 549 0
March 2002 0 0 0 0 0 0 0
March 2003 0 0 0 0 0 0 0
March 2004 0 0 0 0 0 0 0
March 2005 0 0 0 0 0 0 0
March 2006 0 0 0 0 0 0 0
March 2007 0 0 0 0 0 376 0
March 2008 0 0 0 0 0 1,164 0
March 2009 0 0 0 0 0 829 0
March 2010 0 0 0 0 0 589 0
March 2011 0 1,959 3,368 3,368 3,368 417 0
March 2012 0 4,429 3,021 3,021 3,021 295 0
March 2013 4,101 2,562 2,562 2,562 2,562 207 0
March 2014 7,018 2,168 2,168 2,168 2,168 145 0
March 2015 1,831 1,831 1,831 1,831 1,831 101 0
March 2016 1,542 1,542 1,542 1,542 1,542 70 0
March 2017 1,295 1,295 1,295 1,295 1,295 48 0
March 2018 1,084 1,084 1,084 1,084 1,084 33 0
March 2019 903 903 903 903 903 22 0
March 2020 750 750 750 750 750 14 0
March 2021 619 619 619 619 619 9 0
March 2022 508 508 508 508 508 6 0
March 2023 350 350 350 350 350 3 0
-------- ------- ------- ------- ------- ------- -------
Total Principal Payments* $ 20,000 $20,000 $20,000 $20,000 $20,000 $20,000 $20,000
======== ======= ======= ======= ======= ======= =======
</TABLE>
- ----------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
There can be no assurance that the Mortgage Loans will have the assumed
characteristics or will prepay at any of the constant rates shown in the table
or at any other particular rate, or that the amounts available for distribution
of principal of the Retail Certificates will correspond to any of the amounts
shown herein. The rates of Retail Principal Distributions will be directly
related to the actual amortization and prepayments of the Mortgage Loans, which
will likely include Mortgage Loans that have remaining terms to maturity shorter
or longer than those assumed and interest rates higher or lower than those
assumed. As a result, the amounts available for distribution of principal of the
Retail Certificates are likely to differ from those shown in the table above
even if all the Mortgage Loans prepay at the indicated constant percentages of
PSA. In particular, the diverse remaining terms to maturity of the Mortgage
Loans could produce lower yields than those produced by Mortgage Loans having
the assumed characteristics. In addition, it is not likely that the Mortgage
Loans will prepay at a constant level of PSA until maturity or that all of such
Mortgage Loans will prepay at the same rate. The timing of changes in the rate
of prepayments may significantly affect the actual amounts available for
distribution of principal to an investor (and the resulting yield to maturity),
even if the average rate of principal prepayments is consistent with an
investor's expectation. In general, the earlier the payment of principal of the
Mortgage Loans, the greater the effect on an investor's yield to maturity. As a
<PAGE>
result, the effect on an investor's yield of principal prepayments occurring at
a rate slower (or faster) than the rate anticipated by the investor during the
period immediately following the issuance of the Retail Certificates will not be
equally offset by a subsequent like increase (or decrease) in the rate of
principal prepayments. Investors must make their own decisions as to the
appropriate prepayment assumption to be used in deciding whether to purchase the
Retail Certificates.
The weighted average lives of the Retail Certificates shown in the table
referenced under "Decrement Tables" herein apply to such Class taken as a whole;
as a result of the distribution priorities and allocations described above, the
weighted average lives of the Retail Certificates beneficially owned by
individual investors may vary significantly from the weighted average life of
the Class as a whole. Although distributions of principal and interest on the
Retail Certificates are guaranteed by Fannie Mae as described herein, Fannie Mae
can give no assurance as to any particular principal distribution scenario, as
to any particular weighted average life for the Retail Certificates or as to the
date or dates on which any particular investor will receive distributions of
principal. In addition, there is no assurance that procedures of the financial
intermediaries or the Depository will not change. Investors in the Retail
Certificates should understand, as should investors in the other Classes of
Certificates, that they are assuming all risks and benefits associated with the
rate of principal distributions on such Certificates, whether such rate is rapid
or slow, and with variations in such rate from time to time. Investors in the
Retail Certificates should also consider the fact, described under
"Distributions of Interest" herein, that the effective yields to Holders of the
Retail Certificates will be lower than the yields otherwise produced because
interest distributable with respect to an Interest Accrual Period will not be
distributed until the 25th day following the end of such Interest Accrual Period
and will not bear interest during such delay.
Investment Determination
The Retail Certificates may not be an appropriate investment for all
prospective investors. The Retail Certificates, like the other Classes of
Certificates, would not be an appropriate investment for any investor requiring
a particular distribution of principal on a specific date or an otherwise
predictable stream of principal distributions. There is no assurance that any
investor in the Retail Certificates will receive a principal distribution (in
integral multiples of $1,000) on any particular Distribution Date. Any investor
who purchases a Retail Certificate at a premium (or a discount) should consider
the risk that relatively early (or late) principal distributions following
issuance of the Certificates could result in an actual yield that is lower than
such investor's anticipated yield. In addition, although the Dealer intends to
make a secondary market in the Retail Certificates, it has no obligation to do
so, and any such market making may be discontinued at any time. There is no
assurance that such a secondary market will develop, that any such market will
continue or that information on any such secondary market will be as readily
available as information regarding certain other types of investments. The price
of the Retail Certificates in any such secondary market will be affected by
various factors, and the volatility of such price may differ from that evidenced
by certain other types of investments. Finally, there can be no assurance that
the price at which an investor may be able to sell a Retail Certificate will be
the same as the purchase price at which such investor purchased such
Certificate.
<PAGE>
The MBS
The MBS underlying the Certificates will have the aggregate unpaid principal
balance and Pass-Through Rate set forth below and the general characteristics
described in the MBS Prospectus. The Mortgage Loans will be conventional Level
Payment Mortgage Loans secured by a first mortgage or deed of trust on a one- to
four-family ("single-family") residential property and having an original
maturity of up to 30 years, as described under "The Mortgage Pools" and "Yield
Considerations" in the MBS Prospectus. The characteristics of the MBS and
Mortgage Loans as of March 1, 1993 (the "Issue Date") are expected to be as
follows:
MBS
Aggregate Unpaid Principal Balance. $500,000,000
Pass-Through Rate 7.00%
Mortgage Loans
Range of WACs (per annum percentages) 7.25% to 9.50%
Range of WAMs 180 months to 360 months
Approximate Weighted Average WAM 358 months
Approximate Weighted Average CAGE 2 months
Following the issuance of the Certificates, Fannie Mae will prepare a Final
Data Statement setting forth the Pool number, the current WAC (or original WAC,
if the current WAC is not available) and the current WAM (or Adjusted WAM, if
the current WAM is not available) of the Mortgage Loans underlying each MBS,
along with the weighted average of all the current or original WACs and the
weighted average of all the current or Adjusted WAMs, based on the current
unpaid principal balances of the Mortgage Loans underlying the MBS as of the
Issue Date. The Final Data Statement will not accompany this Prospectus
Supplement but will be made available by Fannie Mae. To request the Final Data
Statement, telephone Fannie Mae at 1-800-BEST-MBS or 202-752-6547. The contents
of the Final Data Statement and other data specific to the Certificates are
available in electronic form by calling Fannie Mae at 1-800-752-6440 or
202-752-6000.
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
Interest Type* Classes
- -------------- -------
Fixed Rate All Classes except F, S, FC, SC, FA, SA and SB
Floating Rate F, FC and FA
Inverse Floating Rate S, SC, SA and SB
Interest Only N, G, H and S
- ----------
* See "Description of the Certificates-Class Definitions and Abbreviations" in
the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
respective per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to any Accrual Classes)
in the month after the Settlement Date. Interest to be distributed or, in the
case of any Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date.
<PAGE>
Interest Accrual Periods. Interest to be distributed or added to principal
on a Distribution Date will accrue on the interest-bearing Certificates during
the one-month periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Period
------- -----------------------
<S> <C>
F, S, FC, SC, FA, SA and SB (collectively, One month period beginning on the 25th
the "No Delay Classes") day of the month preceding the month of
the Distribution Date and ending on the
24th day of the month of the Distribution
Date
All other Classes (collectively, the "Delay Calendar month preceding the month in
Classes") which the Distribution Date occurs
</TABLE>
See "Yield Considerations" herein.
Floating Rate and Inverse Floating Rate Classes. Each of the following
Classes will bear interest during its initial Interest Accrual Period at the
Initial Interest Rate set forth below, and will bear interest during each
Interest Accrual Period thereafter, subject to the applicable Maximum and
Minimum Interest Rates, at the rate determined as described below:
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
- ----- -------- --------- -------- -----------------------
F 3.62500% 10.00000% 0.50% LIBOR + 50 basis points
S 6.37500% 9.50000% 0.00% 9.5% - LIBOR
FA 4.12500% 10.50000% 1.00% LIBOR + 100 basis points
SA 13.93518% 23.88888% 0.00% 23.88888% - (3.1851851 LIBOR)
SB 10.75000% 10.75000% 0.00% 51.0625% - (5.375 LIBOR)
FC 4.12500% 10.00000% 1.00% LIBOR + 100 basis points
SC 13.70833% 21.00000% 0.00% 21.0% - (2.33333333 LIBOR)
The yields with respect to such Classes will be affected by changes in the
applicable index as set forth in the table above (each, an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with an
increase in the level of an Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of an Index.
Each Index value will be established as described herein by Fannie Mae two
business days prior to the commencement of the related Interest Accrual Period.
The establishment of each Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for the applicable Classes for the related
Interest Accrual Period shall (in the absence of manifest error) be final and
binding. Each such rate of interest may be obtained by telephoning Fannie Mae at
1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each LIBOR Determination Date, until the principal balances of the F, S,
FA, SA, SB, FC and SC Classes (the "LIBOR Classes") have been reduced to zero,
Fannie Mae will establish LIBOR for the related Interest Accrual Period in the
manner described in the REMIC Prospectus under "Description of the
Certificates-Indices Applicable to Floating Rate and Inverse Floating Rate
Classes-LIBOR."
If on the initial LIBOR Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be 3.125%.
<PAGE>
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized as
follows:
Principal Type* Classes
- --------------- -------
PAC I PA, PB, PC, PD, PE, PG and PH
PAC II A, B, C, D, E, EA and LL
Scheduled J, FC, SC, L, M, R and RL
Notional N, G, H and S
Support FA, SA and SB
Component F
- ----------
* See "Description of the Certificates-Class Definitions and Abbreviations" in
the REMIC Prospectus.
Principal Distribution Amount
Principal will be distributed monthly on the Certificates in an amount (the
"Principal Distribution Amount") equal to the aggregate distributions of
principal concurrently made on the MBS.
On each Distribution Date, the Principal Distribution Amount will be
distributed as principal of the Classes in the following order of priority:
(i) sequentially, to the PAC I Classes, in alphabetical order, | PAC I
until the principal balances thereof are reduced to their respective | Classes
Planned Balances for such Distribution Date; |
(ii) to the PAC II Classes and the F1 Component, in the order |
and proportions set forth in the following table, until the principal |
balances thereof are reduced to their respective Planned Balances for |
such Distribution Date: |
|
Allocated to |
------------------------------------------------------------ |
Class listed in the |
Preceding column EA Class F1 Component LL Class |
------------------- --------- -------------- -------- |
A 70.5882408815% 0% 29.4117591185% 0% |PAC II
B 100% 0% 0% 0% |Classes
C 100% 0% 0% 0% |and
D 100% 0% 0% 0% |Component
E 27.1540546054% 14.5691890789% 0% 58.2767563157% |
(iii) to the Scheduled Classes and the F2 Component, in the order |
and proportions set forth in the following table, until the principal |
balances thereof are reduced to their respective Scheduled Balances |
for such Distribution Date: |
|
<TABLE> |
<CAPTION> |
|
Allocated to |
------------------------------------------------------------------------ |
Class listed in the |
preceding column F2 Component SC Class R Class RL Class | Scheduled
------------------- ------------ -------- ------- -------- | Classes
<S> <C> | and
J 75% 25% 0% 0% 0% | Component
FC 70% 0% 30% 0% 0% |
L 99.9643938046% 0% 0% 0.0178030977% 0.0178030977% |
M 100% 0% 0% 0% 0% |
</TABLE>
(iv) concurrently, to the FA, SA and SB Classes, in proportion to |
their original principal balances (or 66.6666666667%, 20.9302325581% | Support
and 12.4031007752%, respectively), until the principal balances | Classes
thereof are reduced to zero; |
<PAGE>
(v) to the Scheduled Classes and the F2 Component, in the order |
and proportions set forth in the following table, without regard to |
the Scheduled Balances and until the respective principal balances |
thereof are reduced to zero: |
|
<TABLE> |
<CAPTION> |
|
Allocated to | Scheduled
------------------------------------------------------------------------- | Classes
Class listed in the | and
preceding column F2 Component SC Class R Class RL Class | Component
------------------- ------------ -------- ------------- ------------- |
<S> <C> |
FC 70% 0% 30% 0% 0% |
L 99.9643938046% 0% 0% 0.0178030977% 0.0178030977% |
M 100% 0% 0% 0% 0% |
J 75% 25% 0% 0% 0% |
</TABLE>
(vi) to the PAC II Classes and the F1 Component, in the order and |PAC II
proportions set forth in clause (ii) above, without regard to the |Classes
Planned Balances and until the respective principal balances thereof |and
are reduced to zero; and |Component
(vii) sequentially, to the PAC I Classes, in alphabetical order, |PAC I
without regard to the Planned Balances and until the respective |Classes
principal balances thereof are reduced to zero. |
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
following assumptions (the "Pricing Assumptions"):
o each Mortgage Loan bears interest at a rate of 7.70% per annum and has an
original term to maturity of 360 months, a CAGE of 2 months and a remaining
term to maturity of 358 months;
o the Mortgage Loans prepay at the constant percentages of PSA specified in
the related table;
o the closing date for the sale of the Certificates is the Settlement Date;
and
o the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
PSA Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA (for example, 175% PSA) is to assume
a specified rate of prepayment each month of the then outstanding principal
balance of a pool of new mortgage loans computed as described under "Description
of the Certificates-Prepayment Considerations and Risks" in the REMIC
Prospectus. There is no assurance that prepayments will occur at any PSA rate or
at any other constant rate.
The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the Mortgage Loans prepay at the
approximate constant levels set forth in the following table.
Principal Balance Related Classes
Schedule References and Components PSA Levels
------------------- --------------- ----------------
Planned Balances PAC I Between 65% and 450%
Planned Balances PAC II and F1 Between 95% and 225%
Scheduled Balances J and F2 Between 112% and 200%
Scheduled Balances FC, SC, L, M, R and RL Between 150% and 200%
<PAGE>
There is no assurance that the principal balances of the Classes or
Components listed above will conform on any Distribution Date to the applicable
balances specified for such Distribution Date in the Principal Balance Schedules
below, or that distributions of principal on the related Classes or Components
will begin or end on the respective Distribution Dates specified therein.
Because any excess of the principal available for distribution on any
Distribution Date over the amount necessary to reduce the principal balances of
the applicable Classes or Components to their respective scheduled balances will
be distributed, the ability to so reduce the principal balances of such Classes
or Components will not be enhanced by the averaging of high and low principal
payments. In addition, even if prepayments remain within the ranges specified
above, the principal available for distribution may be insufficient to reduce
the applicable Classes and Components to such respective balances, if
prepayments do not occur at a constant PSA rate. Moreover, because of the
diverse remaining terms to maturity of the Mortgage Loans (which may include
recently originated Mortgage Loans), the Classes or Components specified above
may not be reduced to their respective scheduled amounts, even if prepayments
occur at a constant level within the ranges specified above.
<PAGE>
Principal Balance Schedules
PA Class B Class PC Class PD Class
Distribution Planned Planned Planned Planned
Date Balance Balance Balance Balance
- ------------ ------- ------- ------- --------
Initial
Balance $25,550,000.00 $25,451,000.00 $20,354,000.00 $24,055,000.00
April 1993 25,025,752.00 25,451,000.00 20,354,000.00 24,055,000.00
May 1993 24,445,178.00 25,451,000.00 20,354,000.00 24,055,000.00
June 1993 23,808,382.00 25,451,000.00 20,354,000.00 24,055,000.00
July 1993 23,115,492.00 25,451,000.00 20,354,000.00 24,055,000.00
August 1993 22,366,651.00 25,451,000.00 20,354,000.00 24,055,000.00
September 1993 21,562,023.00 25,451,000.00 20,354,000.00 24,055,000.00
October 1993 20,701,792.00 25,451,000.00 20,354,000.00 24,055,000.00
November 1993 19,786,158.00 25,451,000.00 20,354,000.00 24,055,000.00
December 1993 18,815,342.00 25,451,000.00 20,354,000.00 24,055,000.00
January 1994 17,789,584.00 25,451,000.00 20,354,000.00 24,055,000.00
February 1994 16,709,141.00 25,451,000.00 20,354,000.00 24,055,000.00
March 1994 15,574,289.00 25,451,000.00 20,354,000.00 24,055,000.00
April 1994 14,385,325.00 25,451,000.00 20,354,000.00 24,055,000.00
May 1994 13,142,561.00 25,451,000.00 20,354,000.00 24,055,000.00
June 1994 11,846,330.00 25,451,000.00 20,354,000.00 24,055,000.00
July 1994 10,496,980.00 25,451,000.00 20,354,000.00 24,055,000.00
August 1994 9,094,881.00 25,451,000.00 20,354,000.00 24,055,000.00
September 1994 7,640,417.00 25,451,000.00 20,354,000.00 24,055,000.00
October 1994 6,133,991.00 25,451,000.00 20,354,000.00 24,055,000.00
November 1994 4,576,026.00 25,451,000.00 20,354,000.00 24,055,000.00
December 1994 2,966,958.00 25,451,000.00 20,354,000.00 24,055,000.00
January 1995 1,307,242.00 25,451,000.00 20,354,000.00 24,055,000.00
February 1995 0.00 25,048,352.00 20,354,000.00 24,055,000.00
March 1995 0.00 23,288,775.00 20,354,000.00 24,055,000.00
April 1995 0.00 21,480,016.00 20,354,000.00 24,055,000.00
May 1995 0.00 19,622,597.00 20,354,000.00 24,055,000.00
June 1995 0.00 17,717,054.00 20,354,000.00 24,055,000.00
July 1995 0.00 15,763,942.00 20,354,000.00 24,055,000.00
August 1995 0.00 13,816,033.00 20,354,000.00 24,055,000.00
September 1995 0.00 11,873,307.00 20,354,000.00 24,055,000.00
October 1995 0.00 9,935,741.00 20,354,000.00 24,055,000.00
November 1995 0.00 8,003,317.00 20,354,000.00 24,055,000.00
December 1995 0.00 6,076,011.00 20,354,000.00 24,055,000.00
January 1996 0.00 4,153,804.00 20,354,000.00 24,055,000.00
February 1996 0.00 2,236,675.00 20,354,000.00 24,055,000.00
March 1996 0.00 324,602.00 20,354,000.00 24,055,000.00
April 1996 0.00 0.00 18,771,566.00 24,055,000.00
May 1996 0.00 0.00 16,869,546.00 24,055,000.00
June 1996 0.00 0.00 14,972,520.00 24,055,000.00
July 1996 0.00 0.00 13,080,469.00 24,055,000.00
August 1996 0.00 0.00 11,193,372.00 24,055,000.00
September 1996 0.00 0.00 9,311,208.00 24,055,000.00
October 1996 0.00 0.00 7,433,957.00 24,055,000.00
November 1996 0.00 0.00 5,561,599.00 24,055,000.00
December 1996 0.00 0.00 3,694,114.00 24,055,000.00
January 1997 0.00 0.00 1,831,481.00 24,055,000.00
February 1997 0.00 0.00 0.00 24,028,680.00
March 1997 0.00 0.00 0.00 22,175,691.00
April 1997 0.00 0.00 0.00 20,327,494.00
May 1997 0.00 0.00 0.00 18,484,070.00
June 1997 0.00 0.00 0.00 16,645,397.00
PE Class PG Class PH Class A Class
Distribution Planned Planned Planned Planned
Date Balance Balance Balance Balance
- ------------ -------- -------- -------- -------
Initial
Balance $38,378,000.00 $40,116,000.00 $26,779,000.00 $26,010,355.00
April 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,957,475.94
May 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,886,669.58
June 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,798,233.10
July 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,692,220.15
August 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,568,700.61
September 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,427,757.07
October 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,269,488.35
November 1993 38,378,000.00 40,116,000.00 26,779,000.00 25,094,005.99
December 1993 38,378,000.00 40,116,000.00 26,779,000.00 24,901,438.44
January 1994 38,378,000.00 40,116,000.00 26,779,000.00 24,691,926.90
February 1994 38,378,000.00 40,116,000.00 26,779,000.00 24,465,627.35
March 1994 38,378,000.00 40,116,000.00 26,779,000.00 24,222,709.92
April 1994 38,378,000.00 40,116,000.00 26,779,000.00 23,963,358.84
May 1994 38,378,000.00 40,116,000.00 26,779,000.00 23,687,773.17
June 1994 38,378,000.00 40,116,000.00 26,779,000.00 23,396,163.26
July 1994 38,378,000.00 40,116,000.00 26,779,000.00 23,088,756.42
August 1994 38,378,000.00 40,116,000.00 26,779,000.00 22,765,791.21
September 1994 38,378,000.00 40,116,000.00 26,779,000.00 22,427,520.36
October 1994 38,378,000.00 40,116,000.00 26,779,000.00 22,074,208.57
November 1994 38,378,000.00 40,116,000.00 26,779,000.00 21,706,134.66
December 1994 38,378,000.00 40,116,000.00 26,779,000.00 21,323,588.75
January 1995 38,378,000.00 40,116,000.00 26,779,000.00 20,926,874.36
February 1995 38,378,000.00 40,116,000.00 26,779,000.00 20,516,306.33
March 1995 38,378,000.00 40,116,000.00 26,779,000.00 20,092,211.47
April 1995 38,378,000.00 40,116,000.00 26,779,000.00 19,654,927.91
May 1995 38,378,000.00 40,116,000.00 26,779,000.00 19,204,805.76
June 1995 38,378,000.00 40,116,000.00 26,779,000.00 18,742,204.31
July 1995 38,378,000.00 40,116,000.00 26,779,000.00 18,267,494.86
August 1995 38,378,000.00 40,116,000.00 26,779,000.00 17,797,730.11
September 1995 38,378,000.00 40,116,000.00 26,779,000.00 17,332,883.25
October 1995 38,378,000.00 40,116,000.00 26,779,000.00 16,872,925.34
November 1995 38,378,000.00 40,116,000.00 26,779,000.00 16,417,830.24
December 1995 38,378,000.00 40,116,000.00 26,779,000.00 15,967,569.73
January 1996 38,378,000.00 40,116,000.00 26,779,000.00 15,522,116.99
February 1996 38,378,000.00 40,116,000.00 26,779,000.00 15,081,445.19
March 1996 38,378,000.00 40,116,000.00 26,779,000.00 14,645,528.22
April 1996 38,378,000.00 40,116,000.00 26,779,000.00 14,214,337.83
May 1996 38,378,000.00 40,116,000.00 26,779,000.00 13,787,848.62
June 1996 38,378,000.00 40,116,000.00 26,779,000.00 13,366,033.76
July 1996 38,378,000.00 40,116,000.00 26,779,000.00 12,948,867.85
August 1996 38,378,000.00 40,116,000.00 26,779,000.00 12,536,324.05
September 1996 38,378,000.00 40,116,000.00 26,779,000.00 12,128,376.96
October 1996 38,378,000.00 40,116,000.00 26,779,000.00 11,725,000.46
November 1996 38,378,000.00 40,116,000.00 26,779,000.00 11,326,169.84
December 1996 38,378,000.00 40,116,000.00 26,779,000.00 10,931,859.69
January 1997 38,378,000.00 40,116,000.00 26,779,000.00 10,542,043.89
February 1997 38,378,000.00 40,116,000.00 26,779,000.00 10,156,697.75
March 1997 38,378,000.00 40,116,000.00 26,779,000.00 9,775,796.54
April 1997 38,378,000.00 40,116,000.00 26,779,000.00 9,399,315.57
May 1997 38,378,000.00 40,116,000.00 26,779,000.00 9,027,230.13
June 1997 38,378,000.00 40,116,000.00 26,779,000.00 8,659,515.51
<PAGE>
<TABLE>
<CAPTION>
PA Class B Class PC Class PD Class PE Class PG Class PH Class A Class
Distribution Planned Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance Balance
- ------------ ------- ------- ------- -------- -------- -------- -------- -------
<S> <C>
July 1997 $ 0.00 $ 0.00 $ 0.00 $14,811,456.00 $38,378,000.00 $40,116,000.00 $26,779,000.00 $8,296,147.72
August 1997 0.00 0.00 0.00 12,982,228.00 38,378,000.00 40,116,000.00 26,779,000.00 7,937,102.04
September 1997 0.00 0.00 0.00 11,157,693.00 38,378,000.00 40,116,000.00 26,779,000.00 7,582,355.19
October 1997 0.00 0.00 0.00 9,337,830.00 38,378,000.00 40,116,000.00 26,779,000.00 7,231,883.16
November 1997 0.00 0.00 0.00 7,522,620.00 38,378,000.00 40,116,000.00 26,779,000.00 6,885,661.96
December 1997 0.00 0.00 0.00 5,712,044.00 38,378,000.00 40,116,000.00 26,779,000.00 6,543,668.28
January 1998 0.00 0.00 0.00 3,906,082.00 38,378,000.00 40,116,000.00 26,779,000.00 6,205,878.14
February 1998 0.00 0.00 0.00 2,104,714.00 38,378,000.00 40,116,000.00 26,779,000.00 5,872,268.94
March 1998 0.00 0.00 0.00 307,921.00 38,378,000.00 40,116,000.00 26,779,000.00 5,542,817.38
April 1998 0.00 0.00 0.00 0.00 36,893,684.00 40,116,000.00 26,779,000.00 5,217,500.18
May 1998 0.00 0.00 0.00 0.00 35,105,983.00 40,116,000.00 26,779,000.00 4,896,294.03
June 1998 0.00 0.00 0.00 0.00 33,322,799.00 40,116,000.00 26,779,000.00 4,579,177.77
July 1998 0.00 0.00 0.00 0.00 31,544,111.80 40,116,000.00 26,779,000.00 4,266,127.40
August 1998 0.00 0.00 0.00 0.00 29,769,903.40 40,116,000.00 26,779,000.00 3,957,121.02
September 1998 0.00 0.00 0.00 0.00 28,000,154.30 40,116,000.00 26,779,000.00 3,652,136.05
October 1998 0.00 0.00 0.00 0.00 26,234,845.20 40,116,000.00 26,779,000.00 3,351,150.62
November 1998 0.00 0.00 0.00 0.00 24,473,957.10 40,116,000.00 26,779,000.00 3,054,142.83
December 1998 0.00 0.00 0.00 0.00 22,717,470.90 40,116,000.00 26,779,000.00 2,761,090.81
January 1999 0.00 0.00 0.00 0.00 20,965,367.80 40,116,000.00 26,779,000.00 2,471,971.96
February 1999 0.00 0.00 0.00 0.00 19,217,628.80 40,116,000.00 26,779,000.00 2,186,765.82
March 1999 0.00 0.00 0.00 0.00 17,474,235.00 40,116,000.00 26,779,000.00 1,905,450.50
April 1999 0.00 0.00 0.00 0.00 15,735,167.60 40,116,000.00 26,779,000.00 1,628,004.13
May 1999 0.00 0.00 0.00 0.00 14,000,407.90 40,116,000.00 26,779,000.00 1,354,406.22
June 1999 0.00 0.00 0.00 0.00 12,269,937.10 40,116,000.00 26,779,000.00 1,084,634.91
July 1999 0.00 0.00 0.00 0.00 10,543,736.40 40,116,000.00 26,779,000.00 818,670.42
August 1999 0.00 0.00 0.00 0.00 8,821,787.40 40,116,000.00 26,779,000.00 556,490.87
September 1999 0.00 0.00 0.00 0.00 7,104,071.40 40,116,000.00 26,779,000.00 298,075.79
October 1999 0.00 0.00 0.00 0.00 5,390,569.90 40,116,000.00 26,779,000.00 43,405.42
November 1999 0.00 0.00 0.00 0.00 3,681,264.40 40,116,000.00 26,779,000.00 0.00
December 1999 0.00 0.00 0.00 0.00 1,976,136.50 40,116,000.00 26,779,000.00 0.00
January 2000 0.00 0.00 0.00 0.00 275,167.70 40,116,000.00 26,779,000.00 0.00
February 2000 0.00 0.00 0.00 0.00 0.00 38,694,339.80 26,779,000.00 0.00
March 2000 0.00 0.00 0.00 0.00 0.00 37,001,634.30 26,779,000.00 0.00
April 2000 0.00 0.00 0.00 0.00 0.00 35,313,033.20 26,779,000.00 0.00
May 2000 0.00 0.00 0.00 0.00 0.00 33,628,518.10 26,779,000.00 0.00
June 2000 0.00 0.00 0.00 0.00 0.00 31,948,071.00 26,779,000.00 0.00
July 2000 0.00 0.00 0.00 0.00 0.00 30,271,673.60 26,779,000.00 0.00
August 2000 0.00 0.00 0.00 0.00 0.00 28,599,308.00 26,779,000.00 0.00
September 2000 0.00 0.00 0.00 0.00 0.00 26,930,956.10 26,779,000.00 0.00
October 2000 0.00 0.00 0.00 0.00 0.00 25,266,599.90 26,779,000.00 0.00
November 2000 0.00 0.00 0.00 0.00 0.00 23,644,861.20 26,779,000.00 0.00
December 2000 0.00 0.00 0.00 0.00 0.00 22,066,717.30 26,779,000.00 0.00
January 2001 0.00 0.00 0.00 0.00 0.00 20,531,007.80 26,779,000.00 0.00
February 2001 0.00 0.00 0.00 0.00 0.00 19,036,603.20 26,779,000.00 0.00
March 2001 0.00 0.00 0.00 0.00 0.00 17,582,403.90 26,779,000.00 0.00
April 2001 0.00 0.00 0.00 0.00 0.00 16,167,339.30 26,779,000.00 0.00
May 2001 0.00 0.00 0.00 0.00 0.00 14,790,367.00 26,779,000.00 0.00
June 2001 0.00 0.00 0.00 0.00 0.00 13,450,472.30 26,779,000.00 0.00
July 2001 0.00 0.00 0.00 0.00 0.00 12,146,667.30 26,779,000.00 0.00
August 2001 0.00 0.00 0.00 0.00 0.00 10,877,990.20 26,779,000.00 0.00
September 2001 0.00 0.00 0.00 0.00 0.00 9,643,504.60 26,779,000.00 0.00
October 2001 0.00 0.00 0.00 0.00 0.00 8,442,299.00 26,779,000.00 0.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
PA Class B Class PC Class PD Class PE Class PG Class PH Class A Class
Distribution Planned Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance Balance
- ------------ ------- ------- ------- -------- -------- -------- -------- -------
<S> <C>
November 2001 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $7,273,485.80 $26,779,000.00 $ 0.00
December 2001 0.00 0.00 0.00 0.00 0.00 6,136,201.00 26,779,000.00 0.00
January 2002 0.00 0.00 0.00 0.00 0.00 5,029,603.70 26,779,000.00 0.00
February 2002 0.00 0.00 0.00 0.00 0.00 3,952,874.80 26,779,000.00 0.00
March 2002 0.00 0.00 0.00 0.00 0.00 2,905,217.20 26,779,000.00 0.00
April 2002 0.00 0.00 0.00 0.00 0.00 1,885,854.80 26,779,000.00 0.00
May 2002 0.00 0.00 0.00 0.00 0.00 894,032.20 26,779,000.00 0.00
June 2002 0.00 0.00 0.00 0.00 0.00 0.00 26,708,013.80 0.00
July 2002 0.00 0.00 0.00 0.00 0.00 0.00 25,769,083.50 0.00
August 2002 0.00 0.00 0.00 0.00 0.00 0.00 24,855,544.30 0.00
September 2002 0.00 0.00 0.00 0.00 0.00 0.00 23,966,717.60 0.00
October 2002 0.00 0.00 0.00 0.00 0.00 0.00 23,101,942.90 0.00
November 2002 0.00 0.00 0.00 0.00 0.00 0.00 22,260,576.90 0.00
December 2002 0.00 0.00 0.00 0.00 0.00 0.00 21,441,993.70 0.00
January 2003 0.00 0.00 0.00 0.00 0.00 0.00 20,645,583.90 0.00
February 2003 0.00 0.00 0.00 0.00 0.00 0.00 19,870,754.10 0.00
March 2003 0.00 0.00 0.00 0.00 0.00 0.00 19,116,926.80 0.00
April 2003 0.00 0.00 0.00 0.00 0.00 0.00 18,383,539.70 0.00
May 2003 0.00 0.00 0.00 0.00 0.00 0.00 17,670,045.70 0.00
June 2003 0.00 0.00 0.00 0.00 0.00 0.00 16,975,911.80 0.00
July 2003 0.00 0.00 0.00 0.00 0.00 0.00 16,300,619.40 0.00
August 2003 0.00 0.00 0.00 0.00 0.00 0.00 15,643,663.80 0.00
September 2003 0.00 0.00 0.00 0.00 0.00 0.00 15,004,553.30 0.00
October 2003 0.00 0.00 0.00 0.00 0.00 0.00 14,382,809.60 0.00
November 2003 0.00 0.00 0.00 0.00 0.00 0.00 13,777,967.00 0.00
December 2003 0.00 0.00 0.00 0.00 0.00 0.00 13,189,572.20 0.00
January 2004 0.00 0.00 0.00 0.00 0.00 0.00 12,617,183.80 0.00
February 2004 0.00 0.00 0.00 0.00 0.00 0.00 12,060,372.40 0.00
March 2004 0.00 0.00 0.00 0.00 0.00 0.00 11,518,719.60 0.00
April 2004 0.00 0.00 0.00 0.00 0.00 0.00 10,991,818.70 0.00
May 2004 0.00 0.00 0.00 0.00 0.00 0.00 10,479,273.20 0.00
June 2004 0.00 0.00 0.00 0.00 0.00 0.00 9,980,697.62 0.00
July 2004 0.00 0.00 0.00 0.00 0.00 0.00 9,495,716.50 0.00
August 2004 0.00 0.00 0.00 0.00 0.00 0.00 9,023,964.42 0.00
September 2004 0.00 0.00 0.00 0.00 0.00 0.00 8,565,085.69 0.00
October 2004 0.00 0.00 0.00 0.00 0.00 0.00 8,118,734.08 0.00
November 2004 0.00 0.00 0.00 0.00 0.00 0.00 7,684,572.59 0.00
December 2004 0.00 0.00 0.00 0.00 0.00 0.00 7,262,273.19 0.00
January 2005 0.00 0.00 0.00 0.00 0.00 0.00 6,851,516.56 0.00
February 2005 0.00 0.00 0.00 0.00 0.00 0.00 6,451,991.93 0.00
March 2005 0.00 0.00 0.00 0.00 0.00 0.00 6,063,396.78 0.00
April 2005 0.00 0.00 0.00 0.00 0.00 0.00 5,685,436.66 0.00
May 2005 0.00 0.00 0.00 0.00 0.00 0.00 5,317,824.96 0.00
June 2005 0.00 0.00 0.00 0.00 0.00 0.00 4,960,282.73 0.00
July 2005 0.00 0.00 0.00 0.00 0.00 0.00 4,612,538.44 0.00
August 2005 0.00 0.00 0.00 0.00 0.00 0.00 4,274,327.82 0.00
September 2005 0.00 0.00 0.00 0.00 0.00 0.00 3,945,393.63 0.00
October 2005 0.00 0.00 0.00 0.00 0.00 0.00 3,625,485.50 0.00
November 2005 0.00 0.00 0.00 0.00 0.00 0.00 3,314,359.76 0.00
December 2005 0.00 0.00 0.00 0.00 0.00 0.00 3,011,779.22 0.00
January 2006 0.00 0.00 0.00 0.00 0.00 0.00 2,717,513.03 0.00
February 2006 0.00 0.00 0.00 0.00 0.00 0.00 2,431,336.52 0.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
PA Class B Class PC Class PD Class PE Class PG Class PH Class A Class
Distribution Planned Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance Balance
- ------------ ------- ------- ------- -------- -------- -------- -------- -------
<S> <C>
March 2006 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $2,153,030.99 $ 0.00
April 2006 0.00 0.00 0.00 0.00 0.00 0.00 1,882,383.63 0.00
May 2006 0.00 0.00 0.00 0.00 0.00 0.00 1,619,187.27 0.00
June 2006 0.00 0.00 0.00 0.00 0.00 0.00 1,363,240.30 0.00
July 2006 0.00 0.00 0.00 0.00 0.00 0.00 1,114,346.50 0.00
August 2006 0.00 0.00 0.00 0.00 0.00 0.00 872,314.90 0.00
September 2006 0.00 0.00 0.00 0.00 0.00 0.00 636,959.63 0.00
October 2006 0.00 0.00 0.00 0.00 0.00 0.00 408,099.80 0.00
November 2006 0.00 0.00 0.00 0.00 0.00 0.00 185,559.35 0.00
December 2006 and
thereafter 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F1 B Class C Class D Class E Class EA Class LL Class
Distribution Component Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- --------------- ----------------- ------- ------- ------- ------- ------- --------
<S> <C>
Initial Balance $10,837,645.00 $12,331,000.00 $43,398,000.00 $34,155,000.00 $9,319,000.00 $5,000,000.00 $20,000,000.00
April 1993 10,815,612.06 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 1993 10,786,109.42 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 1993 10,749,260.90 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 1993 10,705,088.85 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 1993 10,653,622.39 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 1993 10,594,895.93 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 1993 10,528,950.65 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 1993 10,455,833.01 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 1993 10,375,596.56 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 1994 10,288,300.10 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 1994 10,194,008.65 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 1994 10,092,793.08 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 1994 9,984,730.16 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 1994 9,869,902.83 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 1994 9,748,398.74 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 1994 9,620,312.58 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 1994 9,485,743.79 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 1994 9,344,797.64 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 1994 9,197,584.43 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 1994 9,044,220.34 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 1994 8,884,826.25 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 1995 8,719,528.64 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 1995 8,548,458.67 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 1995 8,371,752.53 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 1995 8,189,551.09 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 1995 8,002,000.24 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 1995 7,809,249.69 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 1995 7,611,454.14 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 1995 7,415,718.89 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 1995 7,222,032.75 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 1995 7,030,383.66 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 1995 6,840,760.76 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 1995 6,653,152.27 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 1996 6,467,547.01 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 1996 6,283,933.81 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 1996 6,102,301.78 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 1996 5,922,639.17 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 1996 5,744,935.38 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 1996 5,569,179.24 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 1996 5,395,360.15 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 1996 5,223,466.95 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 1996 5,053,489.04 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 1996 4,885,415.54 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 1996 4,719,236.16 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 1996 4,554,940.31 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 1997 4,392,517.11 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 1997 4,231,956.25 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 1997 4,073,247.46 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 1997 3,916,380.43 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 1997 3,761,344.87 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 1997 3,608,130.49 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F1 B Class C Class D Class E Class EA Class LL Class
Distribution Component Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- --------------- ----------------- ------- ------- ------- ------- ------- --------
<S> <C>
July 1997 $3,456,727.28 $12,331,000.00 $43,398,000.00 $34,155,000.00 $9,319,000.00 $5,000,000.00 $20,000,000.00
August 1997 3,307,124.96 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 1997 3,159,313.81 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 1997 3,013,283.84 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 1997 2,869,025.04 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 1997 2,726,527.72 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 1998 2,585,781.86 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 1998 2,446,778.06 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 1998 2,309,506.62 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 1998 2,173,957.82 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 1998 2,040,121.97 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 1998 1,907,990.23 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 1998 1,777,552.60 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 1998 1,648,799.98 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 1998 1,521,722.95 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 1998 1,396,312.38 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 1998 1,272,559.17 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 1998 1,150,454.19 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 1999 1,029,988.04 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 1999 911,152.18 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 1999 793,937.50 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 1999 678,334.87 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 1999 564,335.78 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 1999 451,931.09 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 1999 341,112.58 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 1999 231,871.13 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 1999 124,198.21 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 1999 18,085.58 12,331,000.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 1999 0.00 12,036,983.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 1999 0.00 11,686,721.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 2000 0.00 11,341,677.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2000 0.00 11,001,823.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 2000 0.00 10,667,130.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 2000 0.00 10,337,570.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 2000 0.00 10,013,116.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 2000 0.00 9,693,739.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 2000 0.00 9,379,413.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 2000 0.00 9,070,110.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 2000 0.00 8,765,803.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2000 0.00 8,466,464.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 2000 0.00 8,133,428.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 2000 0.00 7,765,672.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 2001 0.00 7,364,313.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2001 0.00 6,930,436.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 2001 0.00 6,465,097.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 2001 0.00 5,969,323.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 2001 0.00 5,444,112.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 2001 0.00 4,890,436.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 2001 0.00 4,309,241.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 2001 0.00 3,701,444.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 2001 0.00 3,067,940.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2001 0.00 2,409,599.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F1 B Class C Class D Class E Class EA Class LL Class
Distribution Component Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- --------------- ----------------- ------- ------- ------- ------- ------- --------
<S> <C>
November 2001 $ 0.00 $1,727,264.00 $43,398,000.00 $34,155,000.00 $9,319,000.00 $5,000,000.00 $20,000,000.00
December 2001 0.00 1,021,759.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 2002 0.00 293,882.00 43,398,000.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2002 0.00 0.00 42,942,411.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 2002 0.00 0.00 42,172,101.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 2002 0.00 0.00 41,381,689.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 2002 0.00 0.00 40,571,887.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 2002 0.00 0.00 39,743,391.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 2002 0.00 0.00 38,896,876.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 2002 0.00 0.00 38,032,999.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 2002 0.00 0.00 37,152,398.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2002 0.00 0.00 36,255,695.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 2002 0.00 0.00 35,344,281.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 2002 0.00 0.00 34,432,372.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 2003 0.00 0.00 33,520,303.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2003 0.00 0.00 32,608,396.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 2003 0.00 0.00 31,696,960.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 2003 0.00 0.00 30,786,291.90 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 2003 0.00 0.00 29,876,678.20 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 2003 0.00 0.00 28,968,393.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 2003 0.00 0.00 28,061,699.60 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 2003 0.00 0.00 27,156,850.80 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 2003 0.00 0.00 26,254,088.80 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2003 0.00 0.00 25,353,646.10 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 2003 0.00 0.00 24,455,745.20 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 2003 0.00 0.00 23,560,599.50 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 2004 0.00 0.00 22,668,412.80 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2004 0.00 0.00 21,779,380.50 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 2004 0.00 0.00 20,893,689.30 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 2004 0.00 0.00 20,011,517.50 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 2004 0.00 0.00 19,133,035.50 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 2004 0.00 0.00 18,258,405.80 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 2004 0.00 0.00 17,387,783.40 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 2004 0.00 0.00 16,521,316.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 2004 0.00 0.00 15,659,144.30 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2004 0.00 0.00 14,801,402.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 2004 0.00 0.00 13,948,216.20 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 2004 0.00 0.00 13,099,707.70 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 2005 0.00 0.00 12,255,991.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2005 0.00 0.00 11,417,174.70 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
March 2005 0.00 0.00 10,583,361.30 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
April 2005 0.00 0.00 9,754,648.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 2005 0.00 0.00 8,931,126.40 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
June 2005 0.00 0.00 8,112,882.80 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
July 2005 0.00 0.00 7,299,998.50 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
August 2005 0.00 0.00 6,492,549.90 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
September 2005 0.00 0.00 5,690,608.50 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2005 0.00 0.00 4,894,241.30 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
November 2005 0.00 0.00 4,103,510.90 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
December 2005 0.00 0.00 3,318,475.40 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
January 2006 0.00 0.00 2,539,189.00 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2006 0.00 0.00 1,765,701.80 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F1 B Class C Class D Class E Class EA Class LL Class
Distribution Component Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- --------------- ----------------- ------- ------- ------- ------- ------- --------
<S> <C>
March 2006 $ 0.00 $ 0.00 $998,059.90 $34,155,000.00 $9,319,000.00 $5,000,000.00 $20,000,000.00
April 2006 0.00 0.00 236,305.90 34,155,000.00 9,319,000.00 5,000,000.00 20,000,000.00
May 2006 0.00 0.00 0.00 33,635,478.50 9,319,000.00 5,000,000.00 20,000,000.00
June 2006 0.00 0.00 0.00 32,885,613.20 9,319,000.00 5,000,000.00 20,000,000.00
July 2006 0.00 0.00 0.00 32,141,741.90 9,319,000.00 5,000,000.00 20,000,000.00
August 2006 0.00 0.00 0.00 31,403,893.50 9,319,000.00 5,000,000.00 20,000,000.00
September 2006 0.00 0.00 0.00 30,672,093.50 9,319,000.00 5,000,000.00 20,000,000.00
October 2006 0.00 0.00 0.00 29,946,364.70 9,319,000.00 5,000,000.00 20,000,000.00
November 2006 0.00 0.00 0.00 29,226,726.70 9,319,000.00 5,000,000.00 20,000,000.00
December 2006 0.00 0.00 0.00 28,482,363.30 9,319,000.00 5,000,000.00 20,000,000.00
January 2007 0.00 0.00 0.00 27,564,543.80 9,319,000.00 5,000,000.00 20,000,000.00
February 2007 0.00 0.00 0.00 26,658,676.90 9,319,000.00 5,000,000.00 20,000,000.00
March 2007 0.00 0.00 0.00 25,764,613.70 9,319,000.00 5,000,000.00 20,000,000.00
April 2007 0.00 0.00 0.00 24,882,207.10 9,319,000.00 5,000,000.00 20,000,000.00
May 2007 0.00 0.00 0.00 24,011,312.00 9,319,000.00 5,000,000.00 20,000,000.00
June 2007 0.00 0.00 0.00 23,151,784.80 9,319,000.00 5,000,000.00 20,000,000.00
July 2007 0.00 0.00 0.00 22,303,484.00 9,319,000.00 5,000,000.00 20,000,000.00
August 2007 0.00 0.00 0.00 21,466,269.50 9,319,000.00 5,000,000.00 20,000,000.00
September 2007 0.00 0.00 0.00 20,640,003.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2007 0.00 0.00 0.00 19,824,548.10 9,319,000.00 5,000,000.00 20,000,000.00
November 2007 0.00 0.00 0.00 19,019,769.70 9,319,000.00 5,000,000.00 20,000,000.00
December 2007 0.00 0.00 0.00 18,225,534.70 9,319,000.00 5,000,000.00 20,000,000.00
January 2008 0.00 0.00 0.00 17,441,711.30 9,319,000.00 5,000,000.00 20,000,000.00
February 2008 0.00 0.00 0.00 16,668,169.70 9,319,000.00 5,000,000.00 20,000,000.00
March 2008 0.00 0.00 0.00 15,904,781.40 9,319,000.00 5,000,000.00 20,000,000.00
April 2008 0.00 0.00 0.00 15,151,419.50 9,319,000.00 5,000,000.00 20,000,000.00
May 2008 0.00 0.00 0.00 14,407,958.70 9,319,000.00 5,000,000.00 20,000,000.00
June 2008 0.00 0.00 0.00 13,674,275.30 9,319,000.00 5,000,000.00 20,000,000.00
July 2008 0.00 0.00 0.00 12,950,246.90 9,319,000.00 5,000,000.00 20,000,000.00
August 2008 0.00 0.00 0.00 12,235,753.00 9,319,000.00 5,000,000.00 20,000,000.00
September 2008 0.00 0.00 0.00 11,530,674.00 9,319,000.00 5,000,000.00 20,000,000.00
October 2008 0.00 0.00 0.00 10,834,892.40 9,319,000.00 5,000,000.00 20,000,000.00
November 2008 0.00 0.00 0.00 10,148,291.50 9,319,000.00 5,000,000.00 20,000,000.00
December 2008 0.00 0.00 0.00 9,470,756.60 9,319,000.00 5,000,000.00 20,000,000.00
January 2009 0.00 0.00 0.00 8,802,174.10 9,319,000.00 5,000,000.00 20,000,000.00
February 2009 0.00 0.00 0.00 8,142,431.80 9,319,000.00 5,000,000.00 20,000,000.00
March 2009 0.00 0.00 0.00 7,491,418.80 9,319,000.00 5,000,000.00 20,000,000.00
April 2009 0.00 0.00 0.00 6,849,025.90 9,319,000.00 5,000,000.00 20,000,000.00
May 2009 0.00 0.00 0.00 6,215,144.90 9,319,000.00 5,000,000.00 20,000,000.00
June 2009 0.00 0.00 0.00 5,589,669.10 9,319,000.00 5,000,000.00 20,000,000.00
July 2009 0.00 0.00 0.00 4,972,492.90 9,319,000.00 5,000,000.00 20,000,000.00
August 2009 0.00 0.00 0.00 4,363,512.30 9,319,000.00 5,000,000.00 20,000,000.00
September 2009 0.00 0.00 0.00 3,762,624.30 9,319,000.00 5,000,000.00 20,000,000.00
October 2009 0.00 0.00 0.00 3,169,727.30 9,319,000.00 5,000,000.00 20,000,000.00
November 2009 0.00 0.00 0.00 2,584,721.00 9,319,000.00 5,000,000.00 20,000,000.00
December 2009 0.00 0.00 0.00 2,007,506.20 9,319,000.00 5,000,000.00 20,000,000.00
January 2010 0.00 0.00 0.00 1,437,985.00 9,319,000.00 5,000,000.00 20,000,000.00
February 2010 0.00 0.00 0.00 876,060.60 9,319,000.00 5,000,000.00 20,000,000.00
March 2010 0.00 0.00 0.00 321,637.50 9,319,000.00 5,000,000.00 20,000,000.00
April 2010 0.00 0.00 0.00 0.00 9,257,800.55 4,967,164.15 19,868,656.60
May 2010 0.00 0.00 0.00 0.00 9,111,249.44 4,888,533.87 19,554,135.49
June 2010 0.00 0.00 0.00 0.00 8,966,659.30 4,810,955.74 19,243,822.96
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F1 B Class C Class D Class E Class EA Class LL Class
Distribution Component Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- --------------- ----------------- ------- ------- ------- ------- ------- --------
<S> <C>
July 2010 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $8,824,005.45 $4,734,416.49 $18,937,665.96
August 2010 0.00 0.00 0.00 0.00 8,683,263.46 4,658,903.03 18,635,612.11
September 2010 0.00 0.00 0.00 0.00 8,544,409.28 4,584,402.44 18,337,609.78
October 2010 0.00 0.00 0.00 0.00 8,407,419.08 4,510,901.96 18,043,607.86
November 2010 0.00 0.00 0.00 0.00 8,272,269.39 4,438,388.98 17,753,555.93
December 2010 0.00 0.00 0.00 0.00 8,138,936.95 4,366,851.03 17,467,404.12
January 2011 0.00 0.00 0.00 0.00 8,007,398.88 4,296,275.82 17,185,103.30
February 2011 0.00 0.00 0.00 0.00 7,877,632.50 4,226,651.20 16,906,604.80
March 2011 0.00 0.00 0.00 0.00 7,749,615.47 4,157,965.17 16,631,860.66
April 2011 0.00 0.00 0.00 0.00 7,623,325.66 4,090,205.85 16,360,823.39
May 2011 0.00 0.00 0.00 0.00 7,498,741.25 4,023,361.55 16,093,446.20
June 2011 0.00 0.00 0.00 0.00 7,375,840.70 3,957,420.70 15,829,682.80
July 2011 0.00 0.00 0.00 0.00 7,254,602.74 3,892,371.89 15,569,487.57
August 2011 0.00 0.00 0.00 0.00 7,135,006.29 3,828,203.82 15,312,815.29
September 2011 0.00 0.00 0.00 0.00 7,017,030.64 3,764,905.37 15,059,621.49
October 2011 0.00 0.00 0.00 0.00 6,900,655.20 3,702,465.50 14,809,862.00
November 2011 0.00 0.00 0.00 0.00 6,785,859.78 3,640,873.36 14,563,493.46
December 2011 0.00 0.00 0.00 0.00 6,672,624.33 3,580,118.21 14,320,472.86
January 2012 0.00 0.00 0.00 0.00 6,560,929.11 3,520,189.46 14,080,757.83
February 2012 0.00 0.00 0.00 0.00 6,450,754.58 3,461,076.60 13,844,306.42
March 2012 0.00 0.00 0.00 0.00 6,342,081.44 3,402,769.31 13,611,077.25
April 2012 0.00 0.00 0.00 0.00 6,234,890.68 3,345,257.36 13,381,029.46
May 2012 0.00 0.00 0.00 0.00 6,129,163.46 3,288,530.67 13,154,122.67
June 2012 0.00 0.00 0.00 0.00 6,024,881.19 3,232,579.24 12,930,316.97
July 2012 0.00 0.00 0.00 0.00 5,922,025.57 3,177,393.27 12,709,573.06
August 2012 0.00 0.00 0.00 0.00 5,820,578.45 3,122,963.01 12,491,852.04
September 2012 0.00 0.00 0.00 0.00 5,720,521.93 3,069,278.85 12,277,115.42
October 2012 0.00 0.00 0.00 0.00 5,621,838.31 3,016,331.32 12,065,325.27
November 2012 0.00 0.00 0.00 0.00 5,524,510.14 2,964,111.03 11,856,444.13
December 2012 0.00 0.00 0.00 0.00 5,428,520.20 2,912,608.76 11,650,435.04
January 2013 0.00 0.00 0.00 0.00 5,333,851.42 2,861,815.34 11,447,261.34
February 2013 0.00 0.00 0.00 0.00 5,240,486.99 2,811,721.74 11,246,886.97
March 2013 0.00 0.00 0.00 0.00 5,148,410.30 2,762,319.08 11,049,276.32
April 2013 0.00 0.00 0.00 0.00 5,057,604.91 2,713,598.52 10,854,394.07
May 2013 0.00 0.00 0.00 0.00 4,968,054.65 2,665,551.37 10,662,205.48
June 2013 0.00 0.00 0.00 0.00 4,879,743.47 2,618,169.04 10,472,676.19
July 2013 0.00 0.00 0.00 0.00 4,792,655.58 2,571,443.07 10,285,772.25
August 2013 0.00 0.00 0.00 0.00 4,706,775.37 2,525,365.05 10,101,460.18
September 2013 0.00 0.00 0.00 0.00 4,622,087.41 2,479,926.72 9,919,706.87
October 2013 0.00 0.00 0.00 0.00 4,538,576.48 2,435,119.90 9,740,479.62
November 2013 0.00 0.00 0.00 0.00 4,456,227.49 2,390,936.52 9,563,746.09
December 2013 0.00 0.00 0.00 0.00 4,375,025.62 2,347,368.62 9,389,474.46
January 2014 0.00 0.00 0.00 0.00 4,294,956.22 2,304,408.32 9,217,633.26
February 2014 0.00 0.00 0.00 0.00 4,216,004.72 2,262,047.82 9,048,191.26
March 2014 0.00 0.00 0.00 0.00 4,138,156.87 2,220,279.47 8,881,117.86
April 2014 0.00 0.00 0.00 0.00 4,061,398.49 2,179,095.66 8,716,382.65
May 2014 0.00 0.00 0.00 0.00 3,985,715.64 2,138,488.91 8,553,955.65
June 2014 0.00 0.00 0.00 0.00 3,911,094.53 2,098,451.83 8,393,807.34
July 2014 0.00 0.00 0.00 0.00 3,837,521.54 2,058,977.11 8,235,908.45
August 2014 0.00 0.00 0.00 0.00 3,764,983.20 2,020,057.52 8,080,230.08
September 2014 0.00 0.00 0.00 0.00 3,693,466.24 1,981,685.93 7,926,743.73
October 2014 0.00 0.00 0.00 0.00 3,622,957.54 1,943,855.31 7,775,421.25
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F1 B Class C Class D Class E Class EA Class LL Class
Distribution Component Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- --------------- ----------------- ------- ------- ------- ------- ------- --------
<S> <C>
November 2014 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $3,553,444.13 $1,906,558.71 $7,626,234.86
December 2014 0.00 0.00 0.00 0.00 3,484,913.25 1,869,789.27 7,479,157.08
January 2015 0.00 0.00 0.00 0.00 3,417,352.22 1,833,540.19 7,334,160.79
February 2015 0.00 0.00 0.00 0.00 3,350,748.56 1,797,804.79 7,191,219.15
March 2015 0.00 0.00 0.00 0.00 3,285,089.95 1,762,576.43 7,050,305.72
April 2015 0.00 0.00 0.00 0.00 3,220,364.24 1,727,848.61 6,911,394.45
May 2015 0.00 0.00 0.00 0.00 3,156,559.35 1,693,614.85 6,774,459.40
June 2015 0.00 0.00 0.00 0.00 3,093,663.48 1,659,868.80 6,639,475.22
July 2015 0.00 0.00 0.00 0.00 3,031,664.82 1,626,604.16 6,506,416.62
August 2015 0.00 0.00 0.00 0.00 2,970,551.85 1,593,814.71 6,375,258.84
September 2015 0.00 0.00 0.00 0.00 2,910,313.11 1,561,494.32 6,245,977.27
October 2015 0.00 0.00 0.00 0.00 2,850,937.30 1,529,636.92 6,118,547.68
November 2015 0.00 0.00 0.00 0.00 2,792,413.27 1,498,236.55 5,992,946.18
December 2015 0.00 0.00 0.00 0.00 2,734,730.00 1,467,287.26 5,869,149.04
January 2016 0.00 0.00 0.00 0.00 2,677,876.59 1,436,783.23 5,747,132.92
February 2016 0.00 0.00 0.00 0.00 2,621,842.32 1,406,718.70 5,626,874.81
March 2016 0.00 0.00 0.00 0.00 2,566,616.57 1,377,087.98 5,508,351.90
April 2016 0.00 0.00 0.00 0.00 2,512,188.86 1,347,885.43 5,391,541.71
May 2016 0.00 0.00 0.00 0.00 2,458,548.84 1,319,105.50 5,276,422.01
June 2016 0.00 0.00 0.00 0.00 2,405,686.28 1,290,742.72 5,162,970.88
July 2016 0.00 0.00 0.00 0.00 2,353,591.09 1,262,791.66 5,051,166.64
August 2016 0.00 0.00 0.00 0.00 2,302,253.31 1,235,246.98 4,940,987.90
September 2016 0.00 0.00 0.00 0.00 2,251,663.09 1,208,103.38 4,832,413.54
October 2016 0.00 0.00 0.00 0.00 2,201,810.70 1,181,355.67 4,725,422.68
November 2016 0.00 0.00 0.00 0.00 2,152,686.54 1,154,998.68 4,619,994.72
December 2016 0.00 0.00 0.00 0.00 2,104,281.13 1,129,027.33 4,516,109.32
January 2017 0.00 0.00 0.00 0.00 2,056,585.11 1,103,436.59 4,413,746.36
February 2017 0.00 0.00 0.00 0.00 2,009,589.24 1,078,221.50 4,312,886.01
March 2017 0.00 0.00 0.00 0.00 1,963,284.37 1,053,377.17 4,213,508.67
April 2017 0.00 0.00 0.00 0.00 1,917,661.48 1,028,898.75 4,115,594.99
May 2017 0.00 0.00 0.00 0.00 1,872,711.69 1,004,781.46 4,019,125.85
June 2017 0.00 0.00 0.00 0.00 1,828,426.18 981,020.59 3,924,082.37
July 2017 0.00 0.00 0.00 0.00 1,784,796.27 957,611.48 3,830,445.92
August 2017 0.00 0.00 0.00 0.00 1,741,813.40 934,549.52 3,738,198.08
September 2017 0.00 0.00 0.00 0.00 1,699,469.08 911,830.17 3,647,320.69
October 2017 0.00 0.00 0.00 0.00 1,657,754.94 889,448.95 3,557,795.79
November 2017 0.00 0.00 0.00 0.00 1,616,662.75 867,401.41 3,469,605.65
December 2017 0.00 0.00 0.00 0.00 1,576,184.33 845,683.19 3,382,732.77
January 2018 0.00 0.00 0.00 0.00 1,536,311.64 824,289.96 3,297,159.85
February 2018 0.00 0.00 0.00 0.00 1,497,036.71 803,217.46 3,212,869.84
March 2018 0.00 0.00 0.00 0.00 1,458,351.68 782,461.47 3,129,845.88
April 2018 0.00 0.00 0.00 0.00 1,420,248.82 762,017.83 3,048,071.30
May 2018 0.00 0.00 0.00 0.00 1,382,720.46 741,882.42 2,967,529.69
June 2018 0.00 0.00 0.00 0.00 1,345,759.03 722,051.20 2,888,204.80
July 2018 0.00 0.00 0.00 0.00 1,309,357.06 702,520.15 2,810,080.60
August 2018 0.00 0.00 0.00 0.00 1,273,507.18 683,285.32 2,733,141.27
September 2018 0.00 0.00 0.00 0.00 1,238,202.10 664,342.80 2,657,371.18
October 2018 0.00 0.00 0.00 0.00 1,203,434.64 645,688.72 2,582,754.88
November 2018 0.00 0.00 0.00 0.00 1,169,197.68 627,319.29 2,509,277.14
December 2018 0.00 0.00 0.00 0.00 1,135,484.23 609,230.72 2,436,922.91
January 2019 0.00 0.00 0.00 0.00 1,102,287.34 591,419.33 2,365,677.31
February 2019 0.00 0.00 0.00 0.00 1,069,600.19 573,881.42 2,295,525.69
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F1 B Class C Class D Class E Class EA Class LL Class
Distribution Component Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- --------------- ----------------- ------- ------- ------- ------- ------- --------
<S> <C>
March 2019 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $1,037,416.03 $556,613.38 $2,226,453.53
April 2019 0.00 0.00 0.00 0.00 1,005,728.17 539,611.63 2,158,446.54
May 2019 0.00 0.00 0.00 0.00 974,530.04 522,872.64 2,091,490.58
June 2019 0.00 0.00 0.00 0.00 943,815.13 506,392.93 2,025,571.70
July 2019 0.00 0.00 0.00 0.00 913,577.04 490,169.03 1,960,676.12
August 2019 0.00 0.00 0.00 0.00 883,809.41 474,197.56 1,896,790.23
September 2019 0.00 0.00 0.00 0.00 854,505.99 458,475.15 1,833,900.60
October 2019 0.00 0.00 0.00 0.00 825,660.59 442,998.49 1,771,993.97
November 2019 0.00 0.00 0.00 0.00 797,267.11 427,764.31 1,711,057.23
December 2019 0.00 0.00 0.00 0.00 769,319.54 412,769.36 1,651,077.44
January 2020 0.00 0.00 0.00 0.00 741,811.90 398,010.47 1,592,041.85
February 2020 0.00 0.00 0.00 0.00 714,738.33 383,484.46 1,533,937.84
March 2020 0.00 0.00 0.00 0.00 688,093.03 369,188.24 1,476,752.94
April 2020 0.00 0.00 0.00 0.00 661,870.27 355,118.72 1,420,474.88
May 2020 0.00 0.00 0.00 0.00 636,064.38 341,272.88 1,365,091.50
June 2020 0.00 0.00 0.00 0.00 610,669.79 327,647.71 1,310,590.82
July 2020 0.00 0.00 0.00 0.00 585,680.98 314,240.25 1,256,961.01
August 2020 0.00 0.00 0.00 0.00 561,092.50 301,047.59 1,204,190.37
September 2020 0.00 0.00 0.00 0.00 536,898.98 288,066.84 1,152,267.36
October 2020 0.00 0.00 0.00 0.00 513,095.10 275,295.15 1,101,180.59
November 2020 0.00 0.00 0.00 0.00 489,675.62 262,729.71 1,050,918.82
December 2020 0.00 0.00 0.00 0.00 466,635.38 250,367.73 1,001,470.92
January 2021 0.00 0.00 0.00 0.00 443,969.25 238,206.48 952,825.93
February 2021 0.00 0.00 0.00 0.00 421,672.18 226,243.26 904,973.02
March 2021 0.00 0.00 0.00 0.00 399,739.20 214,475.38 857,901.50
April 2021 0.00 0.00 0.00 0.00 378,165.40 202,900.20 811,600.81
May 2021 0.00 0.00 0.00 0.00 356,945.90 191,515.13 766,060.52
June 2021 0.00 0.00 0.00 0.00 336,075.91 180,317.59 721,270.34
July 2021 0.00 0.00 0.00 0.00 315,550.71 169,305.03 677,220.11
August 2021 0.00 0.00 0.00 0.00 295,365.61 158,474.95 633,899.79
September 2021 0.00 0.00 0.00 0.00 275,515.99 147,824.87 591,299.48
October 2021 0.00 0.00 0.00 0.00 255,997.31 137,352.35 549,409.39
November 2021 0.00 0.00 0.00 0.00 236,805.05 127,054.97 508,219.87
December 2021 0.00 0.00 0.00 0.00 217,934.78 116,930.35 467,721.38
January 2022 0.00 0.00 0.00 0.00 199,382.11 106,976.13 427,904.51
February 2022 0.00 0.00 0.00 0.00 181,142.71 97,189.99 388,759.96
March 2022 0.00 0.00 0.00 0.00 163,212.29 87,569.64 350,278.56
April 2022 0.00 0.00 0.00 0.00 145,586.65 78,112.81 312,451.24
May 2022 0.00 0.00 0.00 0.00 128,261.62 68,817.26 275,269.06
June 2022 0.00 0.00 0.00 0.00 111,233.07 59,680.79 238,723.19
July 2022 0.00 0.00 0.00 0.00 94,496.94 50,701.22 202,804.90
August 2022 0.00 0.00 0.00 0.00 78,049.23 41,876.39 167,505.59
September 2022 0.00 0.00 0.00 0.00 61,885.97 33,204.19 132,816.76
October 2022 0.00 0.00 0.00 0.00 46,003.25 24,682.50 98,730.02
November 2022 0.00 0.00 0.00 0.00 30,397.21 16,309.27 65,237.08
December 2022 0.00 0.00 0.00 0.00 15,064.06 8,082.44 32,329.76
January 2023 and
thereafter 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F2
J Class Component FC Class SC Class L Class R Class RL Class M Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
- ------------ --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C>
Initial Balance $15,032,250.00 $5,010,750.00 $29,803,900.00 $12,773,100.00 $5,615,000.00 $1,000.00 $1,000.00 $9,786,000.00
April 1993 15,000,215.62 5,000,071.87 29,736,965.65 12,744,413.85 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 1993 14,957,520.30 4,985,840.10 29,647,734.62 12,706,171.98 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 1993 14,904,187.72 4,968,062.57 29,536,255.98 12,658,395.42 5,615,000.00 1,000.00 1,000.00 9,786,000.00
July 1993 14,840,252.85 4,946,750.95 29,402,608.76 12,601,118.04 5,615,000.00 1,000.00 1,000.00 9,786,000.00
August 1993 14,765,762.10 4,921,920.70 29,246,901.88 12,534,386.52 5,615,000.00 1,000.00 1,000.00 9,786,000.00
September 1993 14,680,773.38 4,893,591.12 29,069,274.50 12,458,260.50 5,615,000.00 1,000.00 1,000.00 9,786,000.00
October 1993 14,585,355.83 4,861,785.27 28,869,895.32 12,372,812.28 5,615,000.00 1,000.00 1,000.00 9,786,000.00
November 1993 14,479,589.78 4,826,529.92 28,648,963.07 12,278,127.03 5,615,000.00 1,000.00 1,000.00 9,786,000.00
December 1993 14,363,566.95 4,787,855.65 28,406,706.16 12,174,302.64 5,615,000.00 1,000.00 1,000.00 9,786,000.00
January 1994 14,237,390.25 4,745,796.75 28,143,382.40 12,061,449.60 5,615,000.00 1,000.00 1,000.00 9,786,000.00
February 1994 14,101,173.67 4,700,391.22 27,859,278.79 11,939,690.91 5,615,000.00 1,000.00 1,000.00 9,786,000.00
March 1994 13,955,042.17 4,651,680.72 27,554,711.24 11,809,161.96 5,615,000.00 1,000.00 1,000.00 9,786,000.00
April 1994 13,799,131.58 4,599,710.52 27,230,024.08 11,670,010.32 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 1994 13,633,588.43 4,544,529.47 26,885,589.92 11,522,395.68 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 1994 13,458,569.93 4,486,189.97 26,521,808.88 11,366,489.52 5,615,000.00 1,000.00 1,000.00 9,786,000.00
July 1994 13,274,243.85 4,424,747.95 26,139,108.38 11,202,475.02 5,615,000.00 1,000.00 1,000.00 9,786,000.00
August 1994 13,080,787.88 4,360,262.62 25,737,942.23 11,030,546.67 5,615,000.00 1,000.00 1,000.00 9,786,000.00
September 1994 12,878,390.17 4,292,796.72 25,318,790.49 10,850,910.21 5,615,000.00 1,000.00 1,000.00 9,786,000.00
October 1994 12,667,248.53 4,222,416.17 24,882,158.35 10,663,782.15 5,615,000.00 1,000.00 1,000.00 9,786,000.00
November 1994 12,447,570.45 4,149,190.15 24,428,575.64 10,469,389.56 5,615,000.00 1,000.00 1,000.00 9,786,000.00
December 1994 12,219,572.93 4,073,190.97 23,958,596.27 10,267,969.83 5,615,000.00 1,000.00 1,000.00 9,786,000.00
January 1995 11,983,482.00 3,994,494.00 23,472,797.04 10,059,770.16 5,615,000.00 1,000.00 1,000.00 9,786,000.00
February 1995 11,739,532.88 3,913,177.62 22,971,777.29 9,845,047.41 5,615,000.00 1,000.00 1,000.00 9,786,000.00
March 1995 11,487,969.08 3,829,323.02 22,456,157.43 9,624,067.47 5,615,000.00 1,000.00 1,000.00 9,786,000.00
April 1995 11,229,042.83 3,743,014.27 21,926,578.80 9,397,105.20 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 1995 10,963,014.23 3,654,338.07 21,383,701.92 9,164,443.68 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 1995 10,690,151.25 3,563,383.75 20,828,206.14 8,926,374.06 5,615,000.00 1,000.00 1,000.00 9,786,000.00
July 1995 10,410,729.30 3,470,243.10 20,260,788.31 8,683,194.99 5,615,000.00 1,000.00 1,000.00 9,786,000.00
August 1995 10,134,971.40 3,378,323.80 19,702,666.41 8,443,999.89 5,615,000.00 1,000.00 1,000.00 9,786,000.00
September 1995 9,862,848.83 3,287,616.27 19,153,742.65 8,208,746.85 5,615,000.00 1,000.00 1,000.00 9,786,000.00
October 1995 9,594,332.85 3,198,110.95 18,613,920.15 7,977,394.35 5,615,000.00 1,000.00 1,000.00 9,786,000.00
November 1995 9,329,394.98 3,109,798.32 18,083,103.08 7,749,901.32 5,615,000.00 1,000.00 1,000.00 9,786,000.00
December 1995 9,068,007.08 3,022,669.02 17,561,196.24 7,526,226.96 5,615,000.00 1,000.00 1,000.00 9,786,000.00
January 1996 8,810,141.03 2,936,713.67 17,048,105.62 7,306,330.98 5,615,000.00 1,000.00 1,000.00 9,786,000.00
February 1996 8,555,769.00 2,851,923.00 16,543,737.77 7,090,173.33 5,615,000.00 1,000.00 1,000.00 9,786,000.00
March 1996 8,304,863.48 2,768,287.82 16,048,000.36 6,877,714.44 5,615,000.00 1,000.00 1,000.00 9,786,000.00
April 1996 8,057,396.85 2,685,798.95 15,560,801.90 6,668,915.10 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 1996 7,813,342.05 2,604,447.35 15,082,051.53 6,463,736.37 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 1996 7,572,671.93 2,524,223.97 14,611,659.44 6,262,139.76 5,615,000.00 1,000.00 1,000.00 9,786,000.00
July 1996 7,335,359.73 2,445,119.91 14,149,536.66 6,064,087.14 5,615,000.00 1,000.00 1,000.00 9,786,000.00
August 1996 7,101,378.77 2,367,126.26 13,695,594.99 5,869,540.71 5,615,000.00 1,000.00 1,000.00 9,786,000.00
September 1996 6,870,702.61 2,290,234.20 13,249,747.00 5,678,463.00 5,615,000.00 1,000.00 1,000.00 9,786,000.00
October 1996 6,643,304.99 2,214,435.00 12,811,906.17 5,490,816.93 5,615,000.00 1,000.00 1,000.00 9,786,000.00
November 1996 6,419,159.86 2,139,719.95 12,381,986.82 5,306,565.78 5,615,000.00 1,000.00 1,000.00 9,786,000.00
December 1996 6,198,241.33 2,066,080.44 11,959,903.97 5,125,673.13 5,615,000.00 1,000.00 1,000.00 9,786,000.00
January 1997 5,980,523.72 1,993,507.91 11,545,573.48 4,948,102.92 5,615,000.00 1,000.00 1,000.00 9,786,000.00
February 1997 5,765,981.54 1,921,993.84 11,138,911.98 4,773,819.42 5,615,000.00 1,000.00 1,000.00 9,786,000.00
March 1997 5,554,589.47 1,851,529.82 10,739,836.94 4,602,787.26 5,615,000.00 1,000.00 1,000.00 9,786,000.00
April 1997 5,346,322.37 1,782,107.46 10,348,266.53 4,434,971.37 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 1997 5,141,155.32 1,713,718.44 9,964,119.76 4,270,337.04 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 1997 4,939,063.55 1,646,354.51 9,587,316.34 4,108,849.86 5,615,000.00 1,000.00 1,000.00 9,786,000.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F2
J Class Component FC Class SC Class L Class R Class RL Class M Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
- ------------ --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C>
July 1997 $4,740,022.47 $1,580,007.49 $9,217,776.82 $3,950,475.78 $5,615,000.00 $1,000.00 $1,000.00 $9,786,000.00
August 1997 4,544,007.68 1,514,669.23 8,855,422.31 3,795,180.99 5,615,000.00 1,000.00 1,000.00 9,786,000.00
September 1997 4,350,994.97 1,450,331.65 8,500,174.90 3,642,932.10 5,615,000.00 1,000.00 1,000.00 9,786,000.00
October 1997 4,160,960.28 1,386,986.76 8,151,957.31 3,493,695.99 5,615,000.00 1,000.00 1,000.00 9,786,000.00
November 1997 3,973,879.75 1,324,626.58 7,810,692.96 3,347,439.84 5,615,000.00 1,000.00 1,000.00 9,786,000.00
December 1997 3,789,729.68 1,263,243.23 7,476,305.97 3,204,131.13 5,615,000.00 1,000.00 1,000.00 9,786,000.00
January 1998 3,608,486.57 1,202,828.85 7,148,721.23 3,063,737.67 5,615,000.00 1,000.00 1,000.00 9,786,000.00
February 1998 3,430,127.03 1,143,375.68 6,827,864.40 2,926,227.60 5,615,000.00 1,000.00 1,000.00 9,786,000.00
March 1998 3,254,627.93 1,084,875.98 6,513,661.74 2,791,569.32 5,615,000.00 1,000.00 1,000.00 9,786,000.00
April 1998 3,081,966.24 1,027,322.08 6,206,040.23 2,659,731.53 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 1998 2,912,119.13 970,706.37 5,904,927.57 2,530,683.24 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 1998 2,745,063.92 915,021.31 5,610,252.12 2,404,393.76 5,615,000.00 1,000.00 1,000.00 9,786,000.00
July 1998 2,580,778.13 860,259.37 5,321,942.92 2,280,832.68 5,615,000.00 1,000.00 1,000.00 9,786,000.00
August 1998 2,419,239.40 806,413.13 5,039,929.71 2,159,969.87 5,615,000.00 1,000.00 1,000.00 9,786,000.00
September 1998 2,260,425.57 753,475.19 4,764,142.85 2,041,775.51 5,615,000.00 1,000.00 1,000.00 9,786,000.00
October 1998 2,104,314.64 701,438.21 4,494,513.42 1,926,220.04 5,615,000.00 1,000.00 1,000.00 9,786,000.00
November 1998 1,950,884.75 650,294.92 4,230,973.09 1,813,274.18 5,615,000.00 1,000.00 1,000.00 9,786,000.00
December 1998 1,800,114.23 600,038.07 3,973,454.23 1,702,908.95 5,615,000.00 1,000.00 1,000.00 9,786,000.00
January 1999 1,651,981.54 550,660.51 3,721,889.84 1,595,095.64 5,615,000.00 1,000.00 1,000.00 9,786,000.00
February 1999 1,506,465.32 502,155.11 3,476,213.53 1,489,805.80 5,615,000.00 1,000.00 1,000.00 9,786,000.00
March 1999 1,363,544.38 454,514.79 3,236,359.60 1,387,011.26 5,615,000.00 1,000.00 1,000.00 9,786,000.00
April 1999 1,223,197.65 407,732.55 3,002,262.91 1,286,684.11 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 1999 1,085,404.24 361,801.41 2,773,859.00 1,188,796.71 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 1999 950,143.41 316,714.47 2,551,083.98 1,093,321.70 5,615,000.00 1,000.00 1,000.00 9,786,000.00
July 1999 817,394.58 272,464.86 2,333,874.59 1,000,231.97 5,615,000.00 1,000.00 1,000.00 9,786,000.00
August 1999 687,137.31 229,045.77 2,122,168.18 909,500.65 5,615,000.00 1,000.00 1,000.00 9,786,000.00
September 1999 559,351.33 186,450.44 1,915,902.70 821,101.16 5,615,000.00 1,000.00 1,000.00 9,786,000.00
October 1999 434,016.49 144,672.16 1,715,016.68 735,007.15 5,615,000.00 1,000.00 1,000.00 9,786,000.00
November 1999 311,112.84 103,704.28 1,519,449.25 651,192.53 5,615,000.00 1,000.00 1,000.00 9,786,000.00
December 1999 190,620.52 63,540.17 1,329,140.11 569,631.48 5,615,000.00 1,000.00 1,000.00 9,786,000.00
January 2000 72,519.85 24,173.28 1,144,029.56 490,298.38 5,615,000.00 1,000.00 1,000.00 9,786,000.00
February 2000 0.00 0.00 923,730.33 395,884.43 5,615,000.00 1,000.00 1,000.00 9,786,000.00
March 2000 0.00 0.00 643,022.65 275,581.14 5,615,000.00 1,000.00 1,000.00 9,786,000.00
April 2000 0.00 0.00 369,515.76 158,363.90 5,615,000.00 1,000.00 1,000.00 9,786,000.00
May 2000 0.00 0.00 103,134.37 44,200.44 5,615,000.00 1,000.00 1,000.00 9,786,000.00
June 2000 0.00 0.00 0.00 0.00 5,391,942.13 960.27 960.27 9,786,000.00
July 2000 0.00 0.00 0.00 0.00 5,031,565.48 896.09 896.09 9,786,000.00
August 2000 0.00 0.00 0.00 0.00 4,681,047.83 833.67 833.67 9,786,000.00
September 2000 0.00 0.00 0.00 0.00 4,340,285.54 772.98 772.98 9,786,000.00
October 2000 0.00 0.00 0.00 0.00 4,009,175.92 714.01 714.01 9,786,000.00
November 2000 0.00 0.00 0.00 0.00 3,687,617.20 656.74 656.74 9,786,000.00
December 2000 0.00 0.00 0.00 0.00 3,375,508.60 601.16 601.16 9,786,000.00
January 2001 0.00 0.00 0.00 0.00 3,072,750.20 547.24 547.24 9,786,000.00
February 2001 0.00 0.00 0.00 0.00 2,779,243.03 494.97 494.97 9,786,000.00
March 2001 0.00 0.00 0.00 0.00 2,494,889.02 444.33 444.33 9,786,000.00
April 2001 0.00 0.00 0.00 0.00 2,219,590.99 395.30 395.30 9,786,000.00
May 2001 0.00 0.00 0.00 0.00 1,953,252.65 347.86 347.86 9,786,000.00
June 2001 0.00 0.00 0.00 0.00 1,695,778.63 302.01 302.01 9,786,000.00
July 2001 0.00 0.00 0.00 0.00 1,447,074.41 257.72 257.72 9,786,000.00
August 2001 0.00 0.00 0.00 0.00 1,207,046.31 214.97 214.97 9,786,000.00
September 2001 0.00 0.00 0.00 0.00 975,601.57 173.75 173.75 9,786,000.00
October 2001 0.00 0.00 0.00 0.00 752,648.25 134.04 134.04 9,786,000.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F2
J Class Component FC Class SC Class L Class R Class RL Class M Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
- ------------ --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C>
November 2001 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $538,095.26 $ 95.83 $ 95.83 $9,786,000.00
December 2001 0.00 0.00 0.00 0.00 331,852.36 59.10 59.10 9,786,000.00
January 2002 0.00 0.00 0.00 0.00 133,830.13 23.83 23.83 9,786,000.00
February 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9,734,270.23
March 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9,563,395.95
April 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9,406,455.39
May 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9,263,250.63
June 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9,133,586.07
July 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 9,017,268.48
August 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,914,106.90
September 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,823,912.65
October 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,746,499.30
November 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,680,896.13
December 2002 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,613,353.80
January 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,543,926.73
February 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,472,668.35
March 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,399,631.13
April 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,324,866.57
May 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,248,425.25
June 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,170,356.81
July 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,090,709.98
August 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 8,009,532.61
September 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,926,871.66
October 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,842,773.19
November 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,757,282.48
December 2003 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,670,443.88
January 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,582,300.99
February 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,492,896.55
March 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,402,272.51
April 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,310,470.02
May 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,217,529.48
June 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,123,490.51
July 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 7,028,391.97
August 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,932,271.97
September 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,835,167.93
October 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,737,116.54
November 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,638,153.73
December 2004 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,538,314.82
January 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,437,634.40
February 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,336,146.39
March 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,233,884.04
April 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,130,879.98
May 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6,027,166.17
June 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,922,773.95
July 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,817,734.05
August 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,712,076.57
September 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,605,831.02
October 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,499,026.33
November 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,391,690.82
December 2005 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,283,852.28
January 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,175,537.90
February 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 5,066,774.32
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
F2
J Class Component FC Class SC Class L Class R Class RL Class M Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
- ------------ --------- --------- --------- --------- --------- --------- --------- ---------
<S> <C>
March 2006 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $4,957,587.67
April 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,848,003.49
May 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,738,046.86
June 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,627,742.28
July 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,517,113.78
August 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,406,184.89
September 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,294,978.59
October 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,183,517.46
November 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4,071,823.54
December 2006 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,959,918.44
January 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,847,823.27
February 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,735,558.73
March 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,623,145.03
April 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,510,601.98
May 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,397,948.96
June 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,285,204.87
July 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,172,388.25
August 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 3,059,517.22
September 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,946,609.48
October 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,833,682.34
November 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,720,752.74
December 2007 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,607,837.20
January 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,494,951.90
February 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,382,112.63
March 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,269,334.81
April 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,156,633.53
May 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,044,023.50
June 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,931,519.10
July 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,819,134.36
August 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,706,882.99
September 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,594,778.36
October 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,482,833.52
November 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,371,061.21
December 2008 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,259,473.86
January 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,148,083.56
February 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1,036,902.17
March 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 925,941.18
April 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 815,211.83
May 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 704,725.06
June 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 594,491.56
July 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 484,521.69
August 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 374,825.60
September 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 265,413.12
October 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 156,293.87
November 2009 0.00 0.00 0.00 0.00 0.00 0.00 0.00 47,477.16
December 2009 and
thereafter 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
<PAGE>
Characteristics of the R and RL Classes
In addition to distributions of principal and interest, the Holders of the R
Class will be entitled to receive the proceeds of the remaining assets of the
Trust, including the Retail Cash Deposit, after the principal balances of all
Classes (other than the RL Class) have been reduced to zero, and the Holders of
the RL Class will be entitled to receive the proceeds of the remaining assets of
the Lower Tier REMIC, if any, after the principal balances of the Lower Tier
Interests have been reduced to zero. It is not anticipated that there will be
any material assets remaining in either such circumstance.
The R Class and the RL Class will be subject to certain transfer
restrictions. No transfer of record or beneficial ownership of an R or RL
Certificate will be allowed to a "disqualified organization." In addition, no
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to any person that is not a "U.S. Person" without the written consent of
Fannie Mae. Under regulations issued by the Treasury Department on December 23,
1992 (the "Regulations"), a transfer of a "noneconomic residual interest" to a
U.S. Person will be disregarded for all federal tax purposes unless no
significant purpose of the transfer is to impede the assessment or collection of
tax. Any transferee of an R or RL Certificate must execute and deliver an
affidavit and an Internal Revenue Service Form W-9 on which the transferee
provides its taxpayer identification number. See "Description of the
Certificates-Additional Characteristics of Residual Certificates" and "Certain
Federal Income Tax Consequences-Taxation of Beneficial Owners of Residual
Certificates" in the REMIC Prospectus. Transferors of an R or RL Certificate
should consult with their own tax advisors for further information regarding
such transfers.
The Holders of the R Class will be considered to be the holders of the
"residual interest" in the REMIC constituted by the Trust, and the Holders of
the RL Class will be considered to be the holders of the "residual interest" in
the REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, Fannie
Mae will be obligated to provide to such Holders (i) such information as is
necessary to enable them to prepare their federal income tax returns and (ii)
any reports regarding the Certificates that may be required under the Code.
Yield Considerations
General. There can be no assurance that the Mortgage Loans will have the
characteristics assumed herein or will prepay at any of the rates assumed herein
or at any other particular rate, that the pre-tax yields on the Certificates
will correspond to any of the pre-tax yields shown herein or that the aggregate
purchase prices of the Certificates will be as assumed. In addition, there can
be no assurance that the applicable Index will correspond to the levels shown
herein. Because the rate of principal distributions on the Certificates will be
related to the amortization of the Mortgage Loans in each Pool, which are likely
to include Mortgage Loans that have remaining terms to maturity shorter or
longer than those assumed and interest rates higher or lower than those assumed,
the principal distributions on the Certificates are likely to differ from those
assumed, even if all Mortgage Loans prepay at the indicated constant percentages
of PSA. In addition, it is not likely that the Mortgage Loans will prepay at a
constant PSA rate until maturity, that all of such Mortgage Loans will prepay at
the same rate or that the level of the applicable Index will remain constant.
The timing of changes in the rate of prepayments or the level of the
applicable Index may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments or the average
level of such Index is consistent with the expectations of investors. In
general, the earlier the payment of principal of the Mortgage Loans or change in
the level of an Index, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal
prepayments or the level of an Index occurring at a rate or level higher (or
lower) than the rate or level anticipated by the investor during the period
immediately following the issuance of the Certificates will not be offset by a
subsequent like reduction (or increase) in the rate of principal prepayments or
level of such Index.
<PAGE>
The effective yield on the Delay Classes will be reduced below the yield
otherwise produced because principal and interest payable on a Distribution Date
will not be distributed until the 25th day following the end of the related
Interest Accrual Period and will not bear interest during such delay. No
interest at all will be paid on any Class after its principal balance has been
reduced to zero. As a result of the foregoing, the market value of the Delay
Classes will be lower than would have been the case if there were no such delay.
Investors must make their own decisions as to the appropriate assumptions,
including prepayment assumptions, to be used in deciding whether to purchase the
Certificates.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of certain Classes to various constant percentages
of PSA and, where specified, to changes in an Index. The yields set forth in the
tables were calculated by determining the monthly discount rates that, when
applied to the assumed streams of cash flows to be paid on the applicable
Classes, would cause the discounted present value of such assumed streams of
cash flows to equal the assumed aggregate purchase prices of such Classes 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 Certificates and consequently do not purport to reflect the
return on any investment in the Certificates when such reinvestment rates are
considered.
The Interest Only Classes. As indicated in the table below, the yields to
investors in the N, G and H Classes will be sensitive to the rate of principal
payments (including prepayments) of the Mortgage Loans, which generally can be
prepaid at any time. On the basis of the assumptions described below, the yields
to maturity on the N, G and H Classes would be 0% if prepayments were to occur
at constant rates of approximately 796% PSA, 712% PSA and 685% PSA,
respectively. If the actual prepayment rate of the Mortgage Loans were to exceed
any of the foregoing levels for as little as one month while equaling such level
for the remaining months, the investors in the N, G and H Classes, as
applicable, would not fully recoup their initial investments.
The information set forth in the following table was prepared on the basis
of the Pricing Assumptions and the assumption that the aggregate purchase prices
of the N, G and H Classes (expressed as percentages of original notional
balance) are as follows:
Class Price*
- ----- ------
N 49.50%
G 20.00
H 43.75
- ------------
* The prices do not include accrued interest. Accrued interest has been added to
such prices in calculating the yields set forth in the table below.
Sensitivity of the N, G and H Classes to Prepayments
(Pre-Tax Yields to Maturity)
PSA Percentages 50% 65% 175% 450% 500%
--- --- ---- ---- ----
Class
- -----
N 9.1% 8.5% 8.5% 8.5% 9.1%
G 13.0% 7.6% 7.6% 7.6% 7.4%
H 9.7% 7.7% 7.7% 7.7% 7.4%
The Inverse Floating Rate Classes. The yields to investors in the Inverse
Floating Rate Classes will be highly sensitive to the level of the Index and
will be sensitive in varying degrees to the rate of principal payments
(including prepayments) of the Mortgage Loans, which generally can be prepaid at
any time. As indicated in the tables below, a high level of the Index will have
a material negative effect on the yields to investors in the Inverse Floating
<PAGE>
Rate Classes. It is possible that, under certain high Index scenarios, investors
in the S Class would not fully recoup their initial investments.
Changes in an Index may not correlate with changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur
concurrently with an increased level of such Index.
The information in the following tables was prepared on the basis of the
Pricing Assumptions and the assumptions that (i) the interest rates applicable
to the Inverse Floating Rate Classes for each Interest Accrual Period subsequent
to their initial Interest Accrual Periods will be based on the indicated level
of the applicable Index and (ii) the aggregate purchase prices of the Inverse
Floating Rate Classes (expressed as percentages of original principal balance)
are as follows:
Class Price*
- ----- -----
S 12.5%
SC 98.5
SA 95.0
SB 100.0
- ----------
* The prices do not include accrued interest. Accrued interest has been added to
such prices in calculating the yields set forth in the tables below.
Sensitivity of the S Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
---------------------------------------------------------
LIBOR 50% 65% 112% 175% 200% 450% 500%
- ----- --- --- ---- ---- ---- ---- ----
1.125% 76.0% 75.9% 54.7% 54.7% 54.7% 39.9% 35.5%
3.125% 56.7% 56.4% 32.9% 32.9% 32.9% 14.2% 9.2%
5.125% 37.8% 37.3% 10.1% 10.1% 10.1% (13.8)% (19.5)%
7.125% 18.7% 17.5% (15.9)% (15.9)% (15.9)% (47.4)% (53.9)%
9.500% * * * * * * *
- ----------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SC Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
----------------------------------------------------
LIBOR 50% 65% 150% 175% 200% 450% 500%
- ----- --- --- ---- ---- ---- --- ----
1.125% 19.3% 19.3% 19.6% 19.6% 19.6% 19.9% 20.0%
3.125% 14.3% 14.3% 14.7% 14.7% 14.7% 15.1% 15.2%
5.125% 9.4% 9.4% 9.9% 9.9% 9.9% 10.4% 10.5%
7.125% 4.6% 4.6% 5.2% 5.2% 5.2% 5.8% 5.9%
9.000% 0.1% 0.1% 0.8% 0.8% 0.8% 1.5% 1.6%
Sensitivity of the SA Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
--------------------------------------------------------------
LIBOR 50% 65% 175% 450% 500%
- ----- --- --- ---- ---- ----
1.125% 22.2% 22.2% 22.6% 26.5% 27.0%
3.125% 15.1% 15.1% 15.5% 19.9% 20.4%
5.125% 8.2% 8.2% 8.5% 13.5% 14.0%
7.125% 1.5% 1.5% 1.7% 7.1% 7.7%
7.500% and above 0.2% 0.2% 0.5% 6.0% 6.5%
<PAGE>
Sensitivity of the SB Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
---------------------------------------------
LIBOR 50% 65% 175% 450% 500%
- ----- --- --- ---- ---- ----
7.500% and below 11.0% 11.0% 11.0% 11.0% 11.0%
8.500% 5.5% 5.5% 5.5% 5.9% 5.9%
9.500% 0.0% 0.0% 0.1% 0.8% 0.9%
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a) multiplying
the amount of the reduction, if any, of the principal balance of such
Certificate from one Distribution Date to the next Distribution Date by the
number of years from the date of issuance to the second such Distribution Date,
(b) summing the results and (c) dividing the sum by the aggregate amount of the
reductions in principal balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average life
of a Certificate, see "Description of the Certificates-Weighted Average Life and
Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be shortened
if the level of prepayments of principal of the Mortgage Loans increases.
However, the weighted average lives will depend upon a variety of other factors,
including the timing of changes in such rate of principal payments, the priority
sequence of distributions of principal of the Classes and the distribution of
principal of certain Classes in accordance with the Principal Balance Schedules
herein. In particular, if the amount distributable as principal of the
Certificates on any Distribution Date exceeds the amount required to reduce the
principal balances of certain Classes with higher principal payment priorities
to their respective scheduled amounts as set forth in the Principal Balance
Schedules, such excess principal will be distributed on the remaining Classes on
such Distribution Date. Conversely, if the principal distributable on any
Distribution Date is less than the amount so required to reduce certain Classes
to their respective scheduled amounts, no principal will be distributed on the
remaining Classes on such Distribution Date. Accordingly, the rate of principal
payments on the Mortgage Loans is expected to have a greater effect on the
weighted average lives of the Support Classes and, under certain prepayment
scenarios, the Scheduled Classes and the PAC II Classes, than on the weighted
average lives of the PAC I Classes. See "Distributions of Principal" herein.
The interaction of the foregoing factors may have different effects on
various Classes and the effects on any Class may vary at different times during
the life of such Class. Accordingly, no assurance can be given as to the
weighted average life of any Class. Further, to the extent the prices of the
Certificates represent discounts or premiums to their respective original
principal balances, variability in the weighted average lives of such Classes of
Certificates could result in variability in the related yields to maturity. For
an example of how the weighted average lives of the Classes may be affected at
various constant prepayment rates, see the Decrement Tables below.
As described under "General-Components" herein, for purposes of calculating
payments of principal, certain Classes are comprised of multiple Components.
Since such Components are not divisible, the payment characteristics of such
Classes will reflect a combination of the payment characteristics of the related
Components.
<PAGE>
Decrement Tables
The following tables indicate the percentages of original principal balances
of the specified Classes that would be outstanding after each of the dates shown
at various constant PSA levels and the corresponding weighted average lives of
such Classes. The tables have been prepared on the basis of the Pricing
Assumptions, except that with respect to the information set forth for each such
Class under 0% PSA it has been assumed that each underlying Mortgage Loan bears
an interest rate of 9.50% per annum and has an original and remaining term to
maturity of 360 months. It is not likely that (i) all of the underlying Mortgage
Loans will have the interest rates, CAGEs or remaining terms to maturity assumed
or (ii) the underlying Mortgage Loans will prepay at a constant PSA level. In
addition, the diverse remaining terms to maturity of the Mortgage Loans (which
will include recently originated Mortgage Loans) could produce slower or faster
principal distributions than indicated in the tables at the specified constant
PSA levels, even if the weighted average remaining term to maturity and the
weighted average CAGE of the Mortgage Loans are identical to the remaining term
to maturity and CAGE specified in the Pricing Assumptions.
Percent of Original Principal Balances Outstanding
PA Class
-----------------------------------------------
PSA Prepayment
Assumption
-----------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 88 61 61 61 61
March 1995 75 0 0 0 0
March 1996 60 0 0 0 0
March 1997 44 0 0 0 0
March 1998 26 0 0 0 0
March 1999 7 0 0 0 0
March 2000 0 0 0 0 0
March 2001 0 0 0 0 0
March 2002 0 0 0 0 0
March 2003 0 0 0 0 0
March 2004 0 0 0 0 0
March 2005 0 0 0 0 0
March 2006 0 0 0 0 0
March 2007 0 0 0 0 0
March 2008 0 0 0 0 0
March 2009 0 0 0 0 0
March 2010 0 0 0 0 0
March 2011 0 0 0 0 0
March 2012 0 0 0 0 0
March 2013 0 0 0 0 0
March 2014 0 0 0 0 0
March 2015 0 0 0 0 0
March 2016 0 0 0 0 0
March 2017 0 0 0 0 0
March 2018 0 0 0 0 0
March 2019 0 0 0 0 0
March 2020 0 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 3.5 1.2 1.2 1.2 1.2
PB Class
-------------------------------------------
PSA Prepayment
Assumption
-------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
arch 1994 100 100 100 100 100
March 1995 100 92 92 92 92
March 1996 100 1 1 1 1
March 1997 100 0 0 0 0
March 1998 100 0 0 0 0
March 1999 100 0 0 0 0
March 2000 86 0 0 0 0
March 2001 62 0 0 0 0
March 2002 36 0 0 0 0
March 2003 8 0 0 0 0
March 2004 0 0 0 0 0
March 2005 0 0 0 0 0
March 2006 0 0 0 0 0
March 2007 0 0 0 0 0
March 2008 0 0 0 0 0
March 2009 0 0 0 0 0
March 2010 0 0 0 0 0
March 2011 0 0 0 0 0
March 2012 0 0 0 0 0
March 2013 0 0 0 0 0
March 2014 0 0 0 0 0
March 2015 0 0 0 0 0
March 2016 0 0 0 0 0
March 2017 0 0 0 0 0
March 2018 0 0 0 0 0
March 2019 0 0 0 0 0
March 2020 0 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 8.5 2.5 2.5 2.5 2.5
PC Class
-------------------------------------------
PSA Prepayment
Assumption
-------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 100 100 100 100 100
March 1995 100 100 100 100 100
March 1996 100 100 100 100 100
March 1997 100 0 0 0 0
March 1998 100 0 0 0 0
March 1999 100 0 0 0 0
March 2000 100 0 0 0 0
March 2001 100 0 0 0 0
March 2002 100 0 0 0 0
March 2003 100 0 0 0 0
March 2004 71 0 0 0 0
March 2005 28 0 0 0 0
March 2006 0 0 0 0 0
March 2007 0 0 0 0 0
March 2008 0 0 0 0 0
March 2009 0 0 0 0 0
March 2010 0 0 0 0 0
March 2011 0 0 0 0 0
March 2012 0 0 0 0 0
March 2013 0 0 0 0 0
March 2014 0 0 0 0 0
March 2015 0 0 0 0 0
March 2016 0 0 0 0 0
March 2017 0 0 0 0 0
March 2018 0 0 0 0 0
March 2019 0 0 0 0 0
March 2020 0 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 11.5 3.5 3.5 3.5 3.5
- ----------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
<PAGE>
PD Class
-------------------------------------------
PSA Prepayment
Assumption
-------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 100 100 100 100 100
March 1995 100 100 100 100 100
March 1996 100 100 100 100 100
March 1997 100 92 92 92 92
March 1998 100 1 1 1 1
March 1999 100 0 0 0 0
March 2000 100 0 0 0 0
March 2001 100 0 0 0 0
March 2002 100 0 0 0 0
March 2003 100 0 0 0 0
March 2004 100 0 0 0 0
March 2005 100 0 0 0 0
March 2006 84 0 0 0 0
March 2007 40 0 0 0 0
March 2008 0 0 0 0 0
March 2009 0 0 0 0 0
March 2010 0 0 0 0 0
March 2011 0 0 0 0 0
March 2012 0 0 0 0 0
March 2013 0 0 0 0 0
March 2014 0 0 0 0 0
March 2015 0 0 0 0 0
March 2016 0 0 0 0 0
March 2017 0 0 0 0 0
March 2018 0 0 0 0 0
March 2019 0 0 0 0 0
March 2020 0 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 13.8 4.5 4.5 4.5 4.5
PE Class
-------------------------------------------
PSA Prepayment
Assumption
-------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 100 100 100 100 100
March 1995 100 100 100 100 100
March 1996 100 100 100 100 100
March 1997 100 100 100 100 100
March 1998 100 100 100 100 100
March 1999 100 46 46 46 39
March 2000 100 0 0 0 0
March 2001 100 0 0 0 0
March 2002 100 0 0 0 0
March 2003 100 0 0 0 0
March 2004 100 0 0 0 0
March 2005 100 0 0 0 0
March 2006 100 0 0 0 0
March 2007 100 0 0 0 0
March 2008 95 0 0 0 0
March 2009 62 0 0 0 0
March 2010 25 0 0 0 0
March 2011 0 0 0 0 0
March 2012 0 0 0 0 0
March 2013 0 0 0 0 0
March 2014 0 0 0 0 0
March 2015 0 0 0 0 0
March 2016 0 0 0 0 0
March 2017 0 0 0 0 0
March 2018 0 0 0 0 0
March 2019 0 0 0 0 0
March 2020 0 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 16.3 6.0 6.0 6.0 5.9
PG Class
-------------------------------------------
PSA Prepayment
Assumption
-------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 100 100 100 100 100
March 1995 100 100 100 100 100
March 1996 100 100 100 100 100
March 1997 100 100 100 100 100
March 1998 100 100 100 100 100
March 1999 100 100 100 100 100
March 2000 100 92 92 92 74
March 2001 100 44 44 44 30
March 2002 100 7 7 7 0
March 2003 100 0 0 0 0
March 2004 100 0 0 0 0
March 2005 100 0 0 0 0
March 2006 100 0 0 0 0
March 2007 100 0 0 0 0
March 2008 100 0 0 0 0
March 2009 100 0 0 0 0
March 2010 100 0 0 0 0
March 2011 86 0 0 0 0
March 2012 43 0 0 0 0
March 2013 0 0 0 0 0
March 2014 0 0 0 0 0
March 2015 0 0 0 0 0
March 2016 0 0 0 0 0
March 2017 0 0 0 0 0
March 2018 0 0 0 0 0
March 2019 0 0 0 0 0
March 2020 0 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 18.9 8.0 8.0 8.0 7.6
PH and N+ Class
-------------------------------------------
PSA Prepayment
Assumption
-------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 100 100 100 100 100
March 1995 100 100 100 100 100
March 1996 100 100 100 100 100
March 1997 100 100 100 100 100
March 1998 100 100 100 100 100
March 1999 100 100 100 100 100
March 2000 100 100 100 100 100
March 2001 100 100 100 100 100
March 2002 100 100 100 100 100
March 2003 100 71 71 71 68
March 2004 100 43 43 43 47
March 2005 100 23 23 23 32
March 2006 100 8 8 8 22
March 2007 100 0 0 0 15
March 2008 100 0 0 0 10
March 2009 100 0 0 0 7
March 2010 100 0 0 0 5
March 2011 100 0 0 0 3
March 2012 100 0 0 0 2
March 2013 96 0 0 0 1
March 2014 19 0 0 0 1
March 2015 0 0 0 0 1
March 2016 0 0 0 0 *
March 2017 0 0 0 0 *
March 2018 0 0 0 0 *
March 2019 0 0 0 0 *
March 2020 0 0 0 0 *
March 2021 0 0 0 0 *
March 2022 0 0 0 0 *
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 20.6 11.0 11.0 11.0 11.6
A Class
--------------------------------------------------
PSA Prepayment
Assumption
--------------------------------------------------
Date 0% 65% 95% 175% 225% 450% 500%
- ---- -- --- --- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 93 93 93 93 93
March 1995 100 100 77 77 77 77 77
March 1996 100 100 56 56 56 0 0
March 1997 100 100 38 38 38 0 0
March 1998 100 100 21 21 21 0 0
March 1999 100 100 7 7 7 0 0
March 2000 100 100 0 0 0 0 0
March 2001 100 98 0 0 0 0 0
March 2002 100 86 0 0 0 0 0
March 2003 100 63 0 0 0 0 0
March 2004 100 34 0 0 0 0 0
March 2005 100 0 0 0 0 0 0
March 2006 100 0 0 0 0 0 0
March 2007 100 0 0 0 0 0 0
March 2008 100 0 0 0 0 0 0
March 2009 100 0 0 0 0 0 0
March 2010 100 0 0 0 0 0 0
March 2011 100 0 0 0 0 0 0
March 2012 100 0 0 0 0 0 0
March 2013 100 0 0 0 0 0 0
March 2014 100 0 0 0 0 0 0
March 2015 53 0 0 0 0 0 0
March 2016 0 0 0 0 0 0 0
March 2017 0 0 0 0 0 0 0
March 2018 0 0 0 0 0 0 0
March 2019 0 0 0 0 0 0 0
March 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 22.1 10.4 3.5 3.5 3.5 2.4 2.2
B Class
--------------------------------------------------
PSA Prepayment
Assumption
--------------------------------------------------
Date 0% 65% 95% 175% 225% 450% 500%
- ---- -- --- --- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 100 100 100 100 100
March 1995 100 100 100 100 100 100 100
March 1996 100 100 100 100 100 51 0
March 1997 100 100 100 100 100 0 0
March 1998 100 100 100 100 100 0 0
March 1999 100 100 100 100 100 0 0
March 2000 100 100 87 87 87 0 0
March 2001 100 100 52 52 52 0 0
March 2002 100 100 0 0 0 0 0
March 2003 100 100 0 0 0 0 0
March 2004 100 100 0 0 0 0 0
March 2005 100 99 0 0 0 0 0
March 2006 100 0 0 0 0 0 0
March 2007 100 0 0 0 0 0 0
March 2008 100 0 0 0 0 0 0
March 2009 100 0 0 0 0 0 0
March 2010 100 0 0 0 0 0 0
March 2011 100 0 0 0 0 0 0
March 2012 100 0 0 0 0 0 0
March 2013 100 0 0 0 0 0 0
March 2014 100 0 0 0 0 0 0
March 2015 100 0 0 0 0 0 0
March 2016 58 0 0 0 0 0 0
March 2017 0 0 0 0 0 0 0
March 2018 0 0 0 0 0 0 0
March 2019 0 0 0 0 0 0 0
March 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 23.1 12.5 8.0 8.0 8.0 3.0 2.8
- ----------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
<PAGE>
C Class
--------------------------------------------------
PSA Prepayment
Assumption
--------------------------------------------------
Date 0% 65% 95% 175% 225% 450% 500%
- ---- -- --- --- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 100 100 100 100 100
March 1995 100 100 100 100 100 100 100
March 1996 100 100 100 100 100 100 69
March 1997 100 100 100 100 100 0 0
March 1998 100 100 100 100 100 0 0
March 1999 100 100 100 100 100 0 0
March 2000 100 100 100 100 100 0 0
March 2001 100 100 100 100 100 0 0
March 2002 100 100 97 97 97 0 0
March 2003 100 100 73 73 73 0 0
March 2004 100 100 48 48 48 0 0
March 2005 100 100 24 24 24 0 0
March 2006 100 97 2 2 2 0 0
March 2007 100 62 0 0 0 0 0
March 2008 100 24 0 0 0 0 0
March 2009 100 0 0 0 0 0 0
March 2010 100 0 0 0 0 0 0
March 2011 100 0 0 0 0 0 0
March 2012 100 0 0 0 0 0 0
March 2013 100 0 0 0 0 0 0
March 2014 100 0 0 0 0 0 0
March 2015 100 0 0 0 0 0 0
March 2016 100 0 0 0 0 0 0
March 2017 54 0 0 0 0 0 0
March 2018 0 0 0 0 0 0 0
March 2019 0 0 0 0 0 0 0
March 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 24.1 14.3 11.0 11.0 11.0 3.5 3.2
D Class
--------------------------------------------------
PSA Prepayment
Assumption
--------------------------------------------------
Date 0% 65% 95% 175% 225% 450% 500%
- ---- -- --- --- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 100 100 100 100 100
March 1995 100 100 100 100 100 100 100
March 1996 100 100 100 100 100 100 100
March 1997 100 100 100 100 100 93 30
March 1998 100 100 100 100 100 0 0
March 1999 100 100 100 100 100 0 0
March 2000 100 100 100 100 100 0 0
March 2001 100 100 100 100 100 0 0
March 2002 100 100 100 100 100 0 0
March 2003 100 100 100 100 100 0 0
March 2004 100 100 100 100 100 0 0
March 2005 100 100 100 100 100 0 0
March 2006 100 100 100 100 100 0 0
March 2007 100 100 75 75 75 0 0
March 2008 100 100 47 47 47 0 0
March 2009 100 83 22 22 22 0 0
March 2010 100 36 1 1 1 0 0
March 2011 100 0 0 0 0 0 0
March 2012 100 0 0 0 0 0 0
March 2013 100 0 0 0 0 0 0
March 2014 100 0 0 0 0 0 0
March 2015 100 0 0 0 0 0 0
March 2016 100 0 0 0 0 0 0
March 2017 100 0 0 0 0 0 0
March 2018 81 0 0 0 0 0 0
March 2019 0 0 0 0 0 0 0
March 2020 0 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 25.4 16.7 15.0 15.0 15.0 4.5 3.9
E, EA and LL Classes
--------------------------------------------------
PSA Prepayment
Assumption
--------------------------------------------------
Date 0% 65% 95% 175% 225% 450% 500%
- ---- -- --- --- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 100 100 100 100 100
March 1995 100 100 100 100 100 100 100
March 1996 100 100 100 100 100 100 100
March 1997 100 100 100 100 100 100 100
March 1998 100 100 100 100 100 99 39
March 1999 100 100 100 100 100 47 0
March 2000 100 100 100 100 100 24 0
March 2001 100 100 100 100 100 22 0
March 2002 100 100 100 100 100 22 0
March 2003 100 100 100 100 100 22 0
March 2004 100 100 100 100 100 22 0
March 2005 100 100 100 100 100 22 0
March 2006 100 100 100 100 100 22 0
March 2007 100 100 100 100 100 20 0
March 2008 100 100 100 100 100 14 0
March 2009 100 100 100 100 100 10 0
March 2010 100 100 100 100 100 7 0
March 2011 100 90 83 83 83 5 0
March 2012 100 68 68 68 68 3 0
March 2013 100 55 55 55 55 2 0
March 2014 100 44 44 44 44 2 0
March 2015 100 35 35 35 35 1 0
March 2016 100 28 28 28 28 1 0
March 2017 100 21 21 21 21 * 0
March 2018 100 16 16 16 16 * 0
March 2019 85 11 11 11 11 * 0
March 2020 7 7 7 7 7 * 0
March 2021 4 4 4 4 4 * 0
March 2022 2 2 2 2 2 * 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 26.5 21.4 21.3 21.3 21.3 8.1 4.9
G+ Class
-----------------------------------------------------
PSA Prepayment
Assumption
-----------------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 97 91 91 91 91
March 1995 94 74 74 74 74
March 1996 90 56 56 56 56
March 1997 87 35 35 35 35
March 1998 82 23 23 23 23
March 1999 78 10 10 10 9
March 2000 73 0 0 0 0
March 2001 68 0 0 0 0
March 2002 63 0 0 0 0
March 2003 57 0 0 0 0
March 2004 50 0 0 0 0
March 2005 42 0 0 0 0
March 2006 34 0 0 0 0
March 2007 28 0 0 0 0
March 2008 21 0 0 0 0
March 2009 14 0 0 0 0
March 2010 6 0 0 0 0
March 2011 0 0 0 0 0
March 2012 0 0 0 0 0
March 2013 0 0 0 0 0
March 2014 0 0 0 0 0
March 2015 0 0 0 0 0
March 2016 0 0 0 0 0
March 2017 0 0 0 0 0
March 2018 0 0 0 0 0
March 2019 0 0 0 0 0
March 2020 0 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 10.4 3.4 3.4 3.4 3.4
H+ Class
-----------------------------------------------------
PSA Prepayment
Assumption
-----------------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 100 100 100 100 100
March 1995 100 100 100 100 100
March 1996 100 100 100 100 100
March 1997 100 100 100 100 100
March 1998 100 100 100 100 100
March 1999 100 100 100 100 100
March 2000 100 94 94 94 81
March 2001 100 58 58 58 48
March 2002 100 30 30 30 25
March 2003 100 18 18 18 17
March 2004 100 11 11 11 12
March 2005 100 6 6 6 8
March 2006 100 2 2 2 5
March 2007 100 0 0 0 4
March 2008 100 0 0 0 3
March 2009 100 0 0 0 2
March 2010 100 0 0 0 1
March 2011 89 0 0 0 1
March 2012 58 0 0 0 *
March 2013 24 0 0 0 *
March 2014 5 0 0 0 *
March 2015 0 0 0 0 *
March 2016 0 0 0 0 *
March 2017 0 0 0 0 *
March 2018 0 0 0 0 *
March 2019 0 0 0 0 *
March 2020 0 0 0 0 *
March 2021 0 0 0 0 *
March 2022 0 0 0 0 *
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 19.3 8.7 8.7 8.7 8.6
- ----------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
<PAGE>
J Class
---------------------------------------------------------
PSA Prepayment
Assumption
---------------------------------------------------------
Date 0% 65% 112% 175% 200% 450% 500%
- ---- -- --- ---- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 93 93 93 93 93
March 1995 100 100 76 76 76 76 76
March 1996 100 100 55 55 55 0 0
March 1997 100 100 37 37 37 0 0
March 1998 100 100 22 22 22 0 0
March 1999 100 100 9 9 9 0 0
March 2000 100 100 0 0 0 0 0
March 2001 100 100 0 0 0 0 0
March 2002 100 100 0 0 0 0 0
March 2003 100 100 0 0 0 0 0
March 2004 100 100 0 0 0 0 0
March 2005 100 100 0 0 0 0 0
March 2006 100 100 0 0 0 0 0
March 2007 100 100 0 0 0 0 0
March 2008 100 100 0 0 0 0 0
March 2009 100 100 0 0 0 0 0
March 2010 100 100 0 0 0 0 0
March 2011 100 100 0 0 0 0 0
March 2012 100 61 0 0 0 0 0
March 2013 100 8 0 0 0 0 0
March 2014 100 0 0 0 0 0 0
March 2015 100 0 0 0 0 0 0
March 2016 100 0 0 0 0 0 0
March 2017 100 0 0 0 0 0 0
March 2018 100 0 0 0 0 0 0
March 2019 100 0 0 0 0 0 0
March 2020 52 0 0 0 0 0 0
March 2021 0 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 27.1 19.2 3.5 3.5 3.5 2.2 2.1
F and S+ Class
-----------------------------------------------------
PSA Prepayment
Assumption
-----------------------------------------------------
Date 0% 65% 175% 450% 500%
- ---- -- --- ---- ---- ----
Initial Percent 100 100 100 100 100
March 1994 100 100 93 93 93
March 1995 100 100 77 77 77
March 1996 100 100 56 0 0
March 1997 100 100 37 0 0
March 1998 100 100 21 0 0
March 1999 100 100 8 0 0
March 2000 100 100 0 0 0
March 2001 100 99 0 0 0
March 2002 100 90 0 0 0
March 2003 100 75 0 0 0
March 2004 100 55 0 0 0
March 2005 100 32 0 0 0
March 2006 100 32 0 0 0
March 2007 100 32 0 0 0
March 2008 100 32 0 0 0
March 2009 100 32 0 0 0
March 2010 100 32 0 0 0
March 2011 100 32 0 0 0
March 2012 100 19 0 0 0
March 2013 100 2 0 0 0
March 2014 100 0 0 0 0
March 2015 68 0 0 0 0
March 2016 32 0 0 0 0
March 2017 32 0 0 0 0
March 2018 32 0 0 0 0
March 2019 32 0 0 0 0
March 2020 17 0 0 0 0
March 2021 0 0 0 0 0
March 2022 0 0 0 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 23.6 13.2 3.5 2.3 2.2
FC and SC Classes
-----------------------------------------------------
PSA Prepayment
Assumption
-----------------------------------------------------
Date 0% 65% 150% 175% 200% 450% 500%
- ---- -- --- ---- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 92 92 92 92 92
March 1995 100 100 75 75 75 30 0
March 1996 100 100 54 54 54 0 0
March 1997 100 100 36 36 36 0 0
March 1998 100 100 22 22 22 0 0
March 1999 100 100 11 11 11 0 0
March 2000 100 100 2 2 2 0 0
March 2001 100 100 0 0 0 0 0
March 2002 100 100 0 0 0 0 0
March 2003 100 100 0 0 0 0 0
March 2004 100 100 0 0 0 0 0
March 2005 100 100 0 0 0 0 0
March 2006 100 100 0 0 0 0 0
March 2007 100 100 0 0 0 0 0
March 2008 100 100 0 0 0 0 0
March 2009 100 100 0 0 0 0 0
March 2010 100 100 0 0 0 0 0
March 2011 100 100 0 0 0 0 0
March 2012 100 100 0 0 0 0 0
March 2013 100 100 0 0 0 0 0
March 2014 100 78 0 0 0 0 0
March 2015 100 51 0 0 0 0 0
March 2016 100 23 0 0 0 0 0
March 2017 100 0 0 0 0 0 0
March 2018 100 0 0 0 0 0 0
March 2019 100 0 0 0 0 0 0
March 2020 100 0 0 0 0 0 0
March 2021 34 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 27.9 22.0 3.5 3.5 3.5 1.8 1.7
L,R and RL Classes
-----------------------------------------------------
PSA Prepayment
Assumption
-----------------------------------------------------
Date 0% 65% 150% 175% 200% 450% 500%
- ---- -- --- ---- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 100 100 100 100 100
March 1995 100 100 100 100 100 100 99
March 1996 100 100 100 100 100 0 0
March 1997 100 100 100 100 100 0 0
March 1998 100 100 100 100 100 0 0
March 1999 100 100 100 100 100 0 0
March 2000 100 100 100 100 100 0 0
March 2001 100 100 44 44 44 0 0
March 2002 100 100 0 0 0 0 0
March 2003 100 100 0 0 0 0 0
March 2004 100 100 0 0 0 0 0
March 2005 100 100 0 0 0 0 0
March 2006 100 100 0 0 0 0 0
March 2007 100 100 0 0 0 0 0
March 2008 100 100 0 0 0 0 0
March 2009 100 100 0 0 0 0 0
March 2010 100 100 0 0 0 0 0
March 2011 100 100 0 0 0 0 0
March 2012 100 100 0 0 0 0 0
March 2013 100 100 0 0 0 0 0
March 2014 100 100 0 0 0 0 0
March 2015 100 100 0 0 0 0 0
March 2016 100 100 0 0 0 0 0
March 2017 100 60 0 0 0 0 0
March 2018 100 0 0 0 0 0 0
March 2019 100 0 0 0 0 0 0
March 2020 100 0 0 0 0 0 0
March 2021 100 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 28.5 24.1 8.0 8.0 8.0 2.2 2.1
M Class
-----------------------------------------------------
PSA Prepayment
Assumption
-----------------------------------------------------
Date 0% 65% 150% 175% 200% 450% 500%
- ---- -- --- ---- ---- ---- ---- ----
Initial Percent 100 100 100 100 100 100 100
March 1994 100 100 100 100 100 100 100
March 1995 100 100 100 100 100 100 100
March 1996 100 100 100 100 100 0 0
March 1997 100 100 100 100 100 0 0
March 1998 100 100 100 100 100 0 0
March 1999 100 100 100 100 100 0 0
March 2000 100 100 100 100 100 0 0
March 2001 100 100 100 100 100 0 0
March 2002 100 100 98 98 98 0 0
March 2003 100 100 86 86 86 0 0
March 2004 100 100 76 76 76 0 0
March 2005 100 100 64 64 64 0 0
March 2006 100 100 51 51 51 0 0
March 2007 100 100 37 37 37 0 0
March 2008 100 100 23 23 23 0 0
March 2009 100 100 9 9 9 0 0
March 2010 100 100 0 0 0 0 0
March 2011 100 100 0 0 0 0 0
March 2012 100 100 0 0 0 0 0
March 2013 100 100 0 0 0 0 0
March 2014 100 100 0 0 0 0 0
March 2015 100 100 0 0 0 0 0
March 2016 100 100 0 0 0 0 0
March 2017 100 100 0 0 0 0 0
March 2018 100 9 0 0 0 0 0
March 2019 100 0 0 0 0 0 0
March 2020 100 0 0 0 0 0 0
March 2021 100 0 0 0 0 0 0
March 2022 0 0 0 0 0 0 0
March 2023 0 0 0 0 0 0 0
Weighted Average
Life (years)** 28.6 24.7 13.0 13.0 13.0 2.4 2.2
FA, SA and SB Classes
--------------------------------------------------
PSA Prepayment
Assumption
--------------------------------------------------
Date 0% 65% 175% 450% 500%
Initial Percent 100 100 100 100 100
March 1994 100 100 96 58 51
March 1995 100 100 89 0 0
March 1996 100 100 79 0 0
March 1997 100 100 71 0 0
March 1998 100 100 66 0 0
March 1999 100 100 62 0 0
March 2000 100 100 59 0 0
March 2001 100 100 58 0 0
March 2002 100 100 57 0 0
March 2003 100 100 56 0 0
March 2004 100 100 55 0 0
March 2005 100 100 53 0 0
March 2006 100 100 51 0 0
March 2007 100 100 49 0 0
March 2008 100 100 47 0 0
March 2009 100 100 44 0 0
March 2010 100 100 41 0 0
March 2011 100 100 37 0 0
March 2012 100 100 33 0 0
March 2013 100 100 28 0 0
March 2014 100 100 25 0 0
March 2015 100 100 21 0 0
March 2016 100 100 17 0 0
March 2017 100 100 14 0 0
March 2018 100 100 11 0 0
March 2019 100 81 8 0 0
March 2020 100 60 6 0 0
March 2021 100 39 4 0 0
March 2022 79 18 2 0 0
March 2023 0 0 0 0 0
Weighted Average
Life (years)** 29.4 27.5 12.9 1.1 1.0
- ----------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
<PAGE>
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion
of "Certain Federal Income Tax Consequences" in the REMIC Prospectus, describes
the current federal income tax treatment of investors in the Certificates. These
two tax discussions do not purport to deal with all federal tax consequences
applicable to all categories of investors, some of which may be subject to
special rules. Investors should consult their own tax advisors in determining
the federal, state, local and any other tax consequences to them of the
purchase, ownership and disposition of the Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as REMICs
for federal income tax purposes. The Certificates, other than the R and RL
Classes, will be designated as the "regular interests," and the R Class will be
designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests,"
and the RL Class will be designated as the "residual interest," in the Lower
Tier REMIC.
As a consequence of the qualification of the Trust and the Lower Tier REMIC
as REMICs, the Certificates generally will be treated as "qualifying real
property loans" for mutual savings banks and domestic building and loan
associations, "regular or residual interests in a REMIC" for domestic building
and loan associations, "real estate assets" for real estate investment trusts,
and, except for the R and RL Classes, as "qualified mortgages" for other REMICs.
See "Certain Federal Income Tax Consequences-Special Tax Attributes" in the
REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The N, G, H, S and SA Classes will be, and certain other Classes of
Certificates may be, issued with original issue discount for federal income tax
purposes, which generally will result in recognition of some taxable income in
advance of the receipt of the cash attributable to such income. The Prepayment
Assumption that will be used in determining the rate of accrual of original
issue discount will be 175% PSA. See "Certain Federal Income Tax
Consequences-Taxation of Beneficial Owners of Regular Certificates-Original
Issue Discount" in the REMIC Prospectus. No representation is made as to whether
the Mortgage Loans underlying the MBS will prepay at that or any other rate. See
"Description of the Certificates-Weighted Average Lives of the Certificates"
herein and "Description of the Certificates-Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus. In addition, certain Classes of
Certificates may be treated as having been issued at a premium for federal
income tax purposes. See "Certain Federal Income Tax Consequences-Taxation of
Beneficial Owners of Regular Certificates-Certificates Purchased at a Premium"
in the REMIC Prospectus.
Additional tax consequences affecting beneficial owners of Retail
Certificates are discussed under "Description of the Certificates-The Retail
Certificates-Retail Principal Distributions-Tax Information" herein.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R nor the RL Certificates will have
significant value. As a result, an organization to which section 593 of the Code
applies and which is the beneficial owner of any R or RL Certificate may not use
its allowable deductions to offset any "excess inclusions" with respect to such
Certificate. See "Certain Federal Income Tax Consequences-Taxation of Beneficial
Owners of Residual Certificates-Excess Inclusions" in the REMIC Prospectus.
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 8.12% (which is 120% of the "federal
long-term rate"). See "Certain Federal Income Tax Consequences-Taxation of
Beneficial Owners of Residual Certificates-Excess Inclusions" and "-Foreign
Investors-Residual Certificates" in the REMIC Prospectus. The federal income tax
consequences of any consideration paid to a transferee on the transfer of any R
<PAGE>
or RL Certificate are unclear; any transferee receiving such consideration
should consult its own tax advisors.
Under the proposed IRS regulations relating to original issue discount, the
Lower Tier Regular Interests would be treated as a single debt instrument for
original issue discount purposes because they were issued to the Trust in a
single transaction. Although there can be no assurance that final regulations
will apply this aggregation rule to the Lower Tier Regular Interests, Fannie Mae
intends to calculate the taxable income (or net loss) of the Trust and of the
Lower Tier REMIC (and to report to the R and RL Certificateholders) by treating
the Lower Tier Regular Interests as a single debt instrument. A failure of the
Lower Tier Regular Interests to qualify as a single debt instrument for original
issue discount purposes could result in material adverse tax consequences to the
beneficial owners of the RL Class.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the MBS
pursuant to a Fannie Mae commitment. The Dealer proposes to offer the
Certificates directly to the public from time to time in negotiated transactions
at varying prices to be determined at the time of sale. The Dealer may effect
such transactions to or through dealers.
Increase in Certificates. Fannie Mae and the Dealer may agree to offer
hereby Certificates in addition to those contemplated as of the date hereof. In
such event, the MBS will be increased in principal balance, but it is expected
that all additional MBS will have the same characteristics as described herein
under "Description of the Certificates-The MBS." The proportion that the
original principal balance of each Class (and any Components) bears to the
aggregate original principal balance of all the Certificates will remain the
same. The dollar amounts reflected in the Principal Balance Schedules will be
increased in pro rata amounts that correspond to the increase of the principal
balance of the Certificates.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Skadden, Arps,
Slate, Meagher & Flom.
<PAGE>
No dealer, salesman or other person has been authorized to give any
information or to make any representations in connection with this offering
other than those contained in this Prospectus Supplement and the accompanying
REMIC Prospectus and, if given or made, such information or representations must
not be relied upon as having been authorized. This Prospectus Supplement and the
accompanying REMIC Prospectus do not constitute an offer to sell or a
solicitation of an offer to buy any of the Certificates offered hereby in any
state to any person to whom it is unlawful to make such offer or solicitation in
such state. The delivery of this Prospectus Supplement and the accompanying
REMIC Prospectus at any time does not imply that the information contained
herein or therein is correct as of any time subsequent to the date hereof.
---------------
TABLE OF CONTENTS
Page
----
Prospectus Supplement
Table of Contents S- 3
Description of the Certificates S- 4
Certain Additional Federal Income Tax
Consequences S-40
Plan of Distribution S-41
Legal Matters S-41
REMIC Prospectus
Prospectus Supplement 2
Summary of Prospectus 3
Description of the Certificates 7
The Trust Agreement 20
Certain Federal Income Tax
Consequences 22
Legal Investment Considerations 32
Legal Opinion 33
ERISA Considerations 33
Glossary 34
$500,000,000
Federal National
Mortgage Association
[FANNIE MAE LOGO]
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1993-41
---------------
PROSPECTUS SUPPLEMENT
---------------
LEHMAN BROTHERS
February 23, 1993
<PAGE>
Annex 2(b)
Prospectus Supplement
dated March 17, 1993
to
Prospectus dated December 29, 1992
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1993-56
<PAGE>
PROSPECTUS SUPPLEMENT
(To Prospectus dated December 29, 1992)
$1,000,000,000
Federal National Mortgage Association
[FANNIE MAE LOGO]
Guaranteed REMIC Pass-Through Certificates, Fannie Mae REMIC Trust 1993-56
---------------
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1993-56 (the "Trust").
The assets of the Trust will consist of the "regular interests" in a separate
trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier REMIC will
consist of Fannie Mae Guaranteed Mortgage Pass-Through Certificates (the "MBS"),
each of which will represent a beneficial interest in a pool (the "Pool") of
first lien, single-family, fixed-rate residential mortgage loans (the "Mortgage
Loans") having the characteristics described herein. The Certificates will be
issued and guaranteed as to timely distribution of principal and interest by
Fannie Mae and offered by Fannie Mae pursuant to its Prospectus for Guaranteed
Mortgage Pass-Through Certificates (the "MBS Prospectus"), available as
described herein, and its Prospectus for Guaranteed REMIC Pass-Through
Certificates (the "REMIC Prospectus"), accompanying this Prospectus Supplement.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates-Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates-Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
(Cover continued on next page)
---------------
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY THE
UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF OTHER
THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE REGISTRATION REQUIREMENTS
OF THE SECURITIES ACT OF 1933 AND ARE "EXEMPTED SECURITIES" WITHIN THE MEANING
OF THE SECURITIES EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
- ----- --------- --------- -------- -------- ------------
<S> <C>
PA $ 2,295,000 PAC/LIQ 5.000% FIX April 1996
PJ 13,661,000 PAC 5.000% FIX April 1999
PK 39,943,000 PAC 5.000% FIX December 2006
PB 34,790,000 PAC 5.000% FIX August 2008
PL 20,502,000 PAC 5.500% FIX June 2009
PC 26,020,000 PAC 5.500% FIX July 2012
PM 34,279,000 PAC 5.500% FIX July 2012
PF 81,985,000 PAC/AD (2) FLT June 2022
PS (3) NTL (2) INV/IO June 2022
PD 75,060,000 PAC 6.000% FIX August 2015
PE 45,375,000 PAC 6.400% FIX July 2018
PN 56,265,000 PAC 6.350% FIX July 2018
PG 59,910,000 PAC 6.750% FIX February 2021
PT 65,901,000 PAC 6.600% FIX February 2021
PH 72,492,000 PAC 6.750% FIX June 2022
PV (3) NTL 7.000% FIX/IO August 2015
<CAPTION>
<S> <C>
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
- ----- --------- --------- -------- -------- ------------
PW (3) NTL 7.000% FIX/IO June 2022
PZ $ 19,924,000 PAC 7.000% Z May 2023
A 9,087,000 AD 5.500% FIX October 1999
BA 3,507,000 AD 5.750% FIX September 2002
B 2,505,000 AD 6.000% FIX September 2002
CA 4,578,000 AD 6.250% FIX October 2005
C 3,815,000 AD 6.500% FIX October 2005
D 18,754,000 AD 7.000% FIX August 2010
E 94,878,000 PAC 7.000% FIX May 2023
G 56,894,000 PAC 7.000% FIX May 2023
FA 52,318,000 TAC (2) FLT May 2023
SA 22,422,000 TAC (2) INV May 2023
FB 57,988,000 CPT (2) FLT May 2023
SB 24,852,000 CPT (2) INV May 2023
R 0 NPR 0.000% NPR May 2023
RL 0 NPR 0.000% NPR May 2023
</TABLE>
- ----------
(1) See "Description of the Certificates-Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the Certificates-Distributions
of Interest" and "-Distributions of Principal" herein.
(2) These Classes will bear interest based on "LIBOR," as described under
"Description of the Certificates-Distributions of Interest" herein and
"Description of the Certificates-Indices Applicable to Floating Rate and
Inverse Floating Rate Classes" in the REMIC Prospectus.
3) The PS, PV and PW Classes will be Notional Classes, will have no principal
balances and will bear interest on their notional principal balances
(initially, $81,985,000, $34,507,500 and $11,463,271, respectively). The
notional principal balances of these Classes will be calculated based on
the principal balances of certain PAC and Accretion Directed Classes. See
"Description of the Certificates-General-Notional Classes" herein.
---------------
The Certificates will be offered by Morgan Stanley & Co. Incorporated (the
"Dealer") from time to time in negotiated transactions, at varying prices to be
determined at the time of sale.
The Certificates are offered by the Dealer, subject to issuance by Fannie Mae,
to prior sale or to withdrawal or modification of the offer without notice,
when, as and if delivered to and accepted by the Dealer, and subject to approval
of certain legal matters by counsel. It is expected that the Certificates,
except for the R and RL Classes, will be available through the book-entry system
of the Federal Reserve Banks on or about May 28, 1993 (the "Settlement Date").
It is expected that the R and RL Classes in registered, certificated form will
be available for delivery at the offices of the Dealer, New York, New York
10020, on or about the Settlement Date.
---------------
MORGAN STANLEY & CO.
Incorporated
March 17, 1993
<PAGE>
(Cover continued from previous page)
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO INVESTOR
SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS ABLE TO
BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH SUCH
CERTIFICATES.
The yield to investors in each Class will be sensitive in varying degrees to the
rate of principal payments of the Mortgage Loans, the characteristics of the
Mortgage Loans actually included in the Pool, the purchase price paid for the
related Class and, in the case of any Floating Rate and Inverse Floating Rate
Classes, the level of the applicable Index (as defined herein). Accordingly,
investors should consider the following risks:
o The Mortgage Loans generally may be prepaid at any time without penalty,
and, accordingly, the rate of principal payments thereon is likely to vary
considerably from time to time.
o Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the Classes.
o In the case of any Certificates purchased at a discount to their principal
amounts, a slower than anticipated rate of principal payments is likely to
result in a lower than anticipated yield.
o In the case of any Certificates purchased at a premium to their principal
amounts, a faster than anticipated rate of principal payments is likely to
result in a lower than anticipated yield.
o In the case of any Interest Only Class, a faster than anticipated rate of
principal payments is likely to result in a lower than anticipated yield
and, in certain cases, an actual loss on the investment.
o The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index, particularly if the
interest rate thereon fluctuates as a multiple of such Index.
See "Description of the Certificates-Yield Considerations" herein.
In addition, investors should purchase Certificates only after considering the
following:
o The actual final payment of any Class will likely occur earlier, and could
occur much earlier, than the Final Distribution Date for such Class
specified on the cover page. See "Description of the Certificates-Weighted
Average Lives of the Certificates" herein and "Description of the
Certificates-Weighted Average Life and Final Distribution Dates" in the
REMIC Prospectus.
o The rate of principal distributions of the Certificates is uncertain and
investors may be unable to reinvest the distributions thereon at yields
equaling the yields on the Certificates. See "Description of the
Certificates-Reinvestment Risk" in the REMIC Prospectus.
o Investors whose investment activities are subject to legal investment laws
and regulations or to review by regulatory authorities may be subject to
restrictions on investment in certain Classes of the Certificates.
Investors should consult their legal advisors to determine whether and to
what extent the Certificates constitute legal investments or are subject
to restrictions on investment. See "Legal Investment Considerations" in
the REMIC Prospectus.
The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary market will
develop or, if developed, that it will continue. Thus, investors may not be able
to sell their Certificates readily or at prices that will enable them to realize
their anticipated yield. No investor should purchase Certificates unless such
investor understands and is able to bear the risk that the value of the
Certificates will fluctuate over time and that the Certificates may not be
readily salable.
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, the REMIC
Prospectus or the MBS Prospectus. Any representation to the contrary is a
criminal offense.
This Prospectus Supplement does not contain complete information about
the Certificates. Investors should purchase Certificates only after reading this
Prospectus Supplement, the REMIC Prospectus, the MBS Prospectus dated January 1,
1993 and the Fannie Mae Information Statement dated February 16, 1993 and any
supplements thereto (the "Information Statement"). The MBS Prospectus and the
Information Statement are incorporated herein by reference and may be obtained
from Fannie Mae by writing or calling its MBS Helpline at 3900 Wisconsin Avenue,
N.W., Area 2H-2N, Washington, D.C. 20016 (telephone 1-800-BEST-MBS or
202-752-6547). Such documents may also be obtained from Morgan Stanley & Co.
Incorporated by writing or calling its Prospectus Department at 1251 Avenue of
the Americas, New York, New York 10020 (telephone (212) 703-7630).
<PAGE>
TABLE OF CONTENTS
Page
----
Description of the Certificates S- 4
General S- 4
Structure S- 4
MBS Distributions S- 4
Fannie Mae Guaranty S- 4
Characteristics of Certificates S- 4
Notional Classes S- 5
Components S- 5
Authorized Denominations S- 5
Distribution Dates S- 6
Calculation of Distributions S- 6
Record Date S- 6
REMIC Trust Factors S- 6
Optional Termination S- 6
Liquid Assets S -6
The MBS S- 7
Distributions of Interest S- 7
Categories of Classes S- 7
General S- 7
Interest Accrual Periods S- 8
Accrual Class S- 8
Floating Rate and Inverse Floating
Rate Classes S- 8
Calculation of LIBOR S- 8
Distributions of Principal S- 9
Categories of Classes S- 9
Principal Distribution Amount S- 9
Accrual Amount S- 9
Cash Flow Distribution Amount S-10
Structuring Assumptions S-11
Pricing Assumptions S-11
PSA Assumptions S-11
Principal Balance Schedules S-13
Characteristics of the R and
RL Classes S-26
Yield Considerations S-26
General S-26
The Interest Only Classes S-27
The Inverse Floating Rate Classes S-27
Weighted Average Lives of the
Certificates S-29
Decrement Tables S-30
Certain Additional Federal Income
Tax Consequences S-34
REMIC Elections and Special Tax
Attributes S-34
Taxation of Beneficial Owners of
Regular Certificates S-34
Taxation of Beneficial Owners of
Residual Certificates S-34
Plan of Distribution S-35
General S-35
Increase in Certificates S-35
Legal Matters S-35
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the
Certificates do not purport to be complete and are subject to, and are qualified
in their entirety by reference to, the REMIC Prospectus, the MBS Prospectus and
the provisions of the Trust Agreement (defined below). Capitalized terms used
and not otherwise defined in this Prospectus Supplement have the respective
meanings assigned to such terms in the REMIC Prospectus (including the Glossary
contained therein), the MBS Prospectus or the Trust Agreement (as the context
may require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant
to a trust agreement dated as of May 1, 1993 (the "Trust Agreement"), executed
by the Federal National Mortgage Association ("Fannie Mae") in its corporate
capacity and in its capacity as Trustee, and the Certificates in the Classes and
aggregate original principal balances set forth on the cover hereof will be
issued by Fannie Mae pursuant thereto. A description of Fannie Mae and its
business, together with certain financial statements and other financial
information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular
Interests, and the Certificates, other than the RL Class, will evidence the
entire beneficial ownership interest in the distributions of principal and
interest on the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of the MBS, and the
Lower Tier Regular Interests and the RL Class (collectively, the "Lower Tier
Interests") will in the aggregate evidence the entire beneficial ownership
interest in the distributions of principal and interest on the MBS.
MBS Distributions. The MBS will provide that principal and interest on
the underlying Mortgage Loans will be passed through monthly, commencing on the
25th day of the month following the month of the initial issuance of the MBS
(or, if such 25th day is not a business day, on the first business day next
succeeding such 25th day).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. In addition, Fannie Mae will be obligated to distribute
on a timely basis to the Holders of Certificates required installments of
principal and interest and to distribute the principal balance of each Class of
Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the MBS Account. The guaranties
of Fannie Mae are not backed by the full faith and credit of the United States.
See "Description of the Certificates-Fannie Mae's Guaranty" in the REMIC
Prospectus and "Description of Certificates-The Corporation's Guaranty" in the
MBS Prospectus.
Characteristics of Certificates. The Certificates, other than the R and
RL Certificates, will be issued and maintained and may be transferred by Holders
only on the book-entry system of the Federal Reserve Banks. Such entities whose
names appear on the book-entry records of a Federal Reserve Bank as the entities
for whose accounts such Certificates have been deposited are herein referred to
as "Holders" or "Certificateholders." A Holder is not necessarily the beneficial
owner of a book-entry Certificate. Beneficial owners will ordinarily hold
book-entry Certificates through one or more financial intermediaries, such as
banks, brokerage firms and securities clearing organizations. See "Description
of the Certificates-Denominations, Book-Entry Form" in the REMIC Prospectus.
<PAGE>
The R and RL Certificates will not be issued in book-entry form but will
be issued in fully registered, certificated form. As to the R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R
and RL Certificates will be transferable at the corporate trust office of the
Transfer Agent, or at the agency of the Transfer Agent in New York, New York.
The Transfer Agent initially will be State Street Bank and Trust Company in
Boston, Massachusetts ("State Street"). A service charge may be imposed for any
registration of transfer of the R or RL Certificate and Fannie Mae may require
payment of a sum sufficient to cover any tax or other governmental charge. See
also "Characteristics of the R and RL Classes" herein.
The distribution to the Holder of the R or RL Certificate of the
proceeds of any remaining assets of the Trust or the Lower Tier REMIC, as
applicable, will be made only upon presentation and surrender of the related
Certificate at the office of the Paying Agent. The Paying Agent initially will
be State Street.
Notional Classes. The PS, PV and PW Classes will be Notional Classes. A
Notional Class will have no principal balance and will bear interest at the per
annum interest rate set forth on the cover or described herein during each
Interest Accrual Period on the related notional principal balance. The notional
principal balance of each Notional Class will be equal to the indicated
percentage of the outstanding principal balance of the following Classes
immediately prior to the related Distribution Date:
<TABLE>
<CAPTION>
Percentage of
Principal Balance
Class of Specified Class
- ----- ------------------
<S> <C>
PS 100% of PF Class
PV 28.5714285714% of PJ Class
28.5714285714% of PK Class
21.4285714286% of PL Class
21.4285714286% of PM Class
8.3333333333% of PD Class
13.1868131868% of A Class
PW 9.2857142857% of PN Class
5.7142857143% of PT Class
1.8707482993% of PH Class
17.8571428571% of BA Class
10.7142857143% of CA Class
</TABLE>
The notional principal balance of a Notional Class is used for purposes
of the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the MBS or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to any such
Class that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally shall
be deemed to refer also to the notional principal balance of any Notional Class.
Components. For purposes of calculating payments of principal, the PF,
FB and SB Classes are comprised of multiple payment components having the
designations and original principal balances set forth below:
<TABLE>
<CAPTION>
Original Principal
Designation Balance __
----------- -------------------
<S> <C>
PF1 Component $ 78,123,000
PF2 Component 3,862,000
FB1 Component 2,800,000
FB2 Component 55,188,000
SB1 Component 1,200,000
SB2 Component 23,652,000
</TABLE>
Components are not separately transferable from the related Class of
Certificates.
<PAGE>
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. Each of the R and RL Classes will be issued
as a single certificate and will not have a principal balance.
Distribution Dates. Distributions on the Certificates will be made on
the 25th day of each month (or, if such 25th day is not a business day, on the
first business day next succeeding such 25th day), commencing in the month
following the Settlement Date.
Calculation of Distributions. Interest on the interest-bearing
Certificates is calculated on the basis of a 360-day year consisting of twelve
30-day months and is distributable monthly on each Distribution Date, commencing
(except with respect to the Accrual Classes, if any) in the month after the
Settlement Date. Interest to be distributed or, in the case of any Accrual
Classes, added to principal on each interest-bearing Certificate on a
Distribution Date will consist of one month's interest on the outstanding
principal balance of such Certificate immediately prior to such Distribution
Date. Interest to be distributed or, in the case of any Accrual Classes, added
to principal on a Distribution Date will accrue on the interest-bearing
Certificates during the one month periods set forth herein under "Distributions
of Interest-Interest Accrual Periods." Principal on the Certificates will be
distributed on each Distribution Date in an amount equal to the sum of the
aggregate distributions of principal concurrently made on the MBS and any
interest accrued and added on such Distribution Date to the principal balances
of the Accrual Classes, if any. See "Distributions of Principal" herein.
Record Date. Each monthly distribution on the Certificates will be made
to Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh
calendar day of each month, Fannie Mae will publish or otherwise make available
for each Class of Certificates the factor (carried to eight decimal places)
which, when multiplied by the original principal balance of a Certificate of
such Class, will equal the remaining principal balance of such Certificate after
giving effect to the distribution of principal to be made on the following
Distribution Date and any interest to be added as principal to the principal
balances of any Accrual Classes on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Trust or the
Lower Tier REMIC through the exercise of its right to repurchase the Mortgage
Loans underlying any MBS unless only one Mortgage Loan remains in the related
Pool or the principal balance of such Pool at the time of repurchase is less
than one percent of the original principal balance thereof.
Liquid Assets. The PA Class is intended to qualify as "liquid assets"
for purposes of the liquidity requirements applicable to federal savings
associations, federal savings banks and state-chartered associations whose
deposits are insured by the Federal Deposit Insurance Corporation.
<PAGE>
The MBS
The MBS underlying the Certificates will have the aggregate unpaid
principal balance and Pass-Through Rate set forth below and the general
characteristics described in the MBS Prospectus. The Mortgage Loans will be
conventional Level Payment Mortgage Loans secured by a first mortgage or deed of
trust on a one- to four-family ("single-family") residential property and having
an original maturity of up to 30 years, as described under "The Mortgage Pools"
and "Yield Considerations" in the MBS Prospectus. The characteristics of the MBS
and Mortgage Loans as of May 1, 1993 (the "Issue Date") are expected to be as
follows:
MBS
Aggregate Unpaid Principal Balance $1,000,000,000
Pass-Through Rate 7.00%
Mortgage Loans
Range of WACs (per annum percentages) 7.25% to 9.50%
Range of WAMs 180 months to 360 months
Approximate Weighted Average WAM 357 months
Approximate Weighted Average CAGE 3 months
Following the issuance of the Certificates, Fannie Mae will prepare a
Final Data Statement setting forth the Pool number, the current WAC (or original
WAC, if the current WAC is not available) and the current WAM (or Adjusted WAM,
if the current WAM is not available) of the Mortgage Loans underlying each MBS,
along with the weighted average of all the current or original WACs and the
weighted average of all the current or Adjusted WAMs, based on the current
unpaid principal balances of the Mortgage Loans underlying the MBS as of the
Issue Date. The Final Data Statement will not accompany this Prospectus
Supplement but will be made available by Fannie Mae. To request the Final Data
Statement, telephone Fannie Mae at 1-800-BEST-MBS or 202-752-6547. The contents
of the Final Data Statement and other data specific to the Certificates are
available in electronic form by calling Fannie Mae at 1-800-752-6440 or
202-752-6000.
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
Interest Type* Classes
- -------------- -------
Fixed Rate All Classes except FA, SA, FB, SB, PF, PS, R and RL
Floating Rate FA, FB and PF
Inverse Floating Rate SA, SB and PS
Interest Only PS, PV and PW
Accrual PZ
No Payment Residual R and RL
- -----------
* See "Description of the Certificates-Class Definitions and Abbreviations" in
the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
respective per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to the Accrual Classes)
in the month after the Settlement Date. Interest to be distributed or, in the
case of any Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date.
<PAGE>
Interest Accrual Periods. Interest to be distributed or added to
principal on a Distribution Date will accrue on the interest-bearing
Certificates during the one-month periods set forth below (each, an "Interest
Accrual Period").
Classes Interest Accrual Period
------- -----------------------
FA, SA, FB, SB, PF and PS One month period beginning on the 25th
(collectively, day of the month preceding the month of
the "No Delay Classes") the Distribution Date and ending on the
24th day of the month of the Distribution
Date
All other interest-bearing Calendar month preceding the month in
Classes (collectively, which the Distribution Date occurs
the "Delay Classes")
See "Yield Considerations" herein.
Accrual Class. The PZ Class is an Accrual Class. Interest will accrue on
the Accrual Class at the per annum rate set forth on the cover hereof. However,
such interest will not be distributed until the Distribution Date following the
Distribution Date on which the principal balance of the D Class has been reduced
to zero. Interest so accrued and unpaid on the Accrual Class will be added as
principal to the principal balance thereof on each Distribution Date.
Distributions of principal of any Accrual Class will be distributed as described
herein.
Floating Rate and Inverse Floating Rate Classes. Each of the following
Classes will bear interest during its initial Interest Accrual Period at the
Initial Interest Rate set forth below, and will bear interest during each
Interest Accrual Period thereafter, subject to the applicable Maximum and
Minimum Interest Rates, at the rate determined as described below:
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
- ----- -------- -------- -------- ---------------
FA 4.27500% 10.00000% 1.15% LIBOR + 115 basis points
SA 13.35833% 20.65000% 0.00% 20.65% - (2.33333334 LIBOR)
FB 4.37500% 10.00000% 1.25% LIBOR + 125 basis points
SB 13.12499% 20.41666% 0.00% 20.41666% - (2.33333334 LIBOR)
PF 3.62500% 9.50000% 0.50% LIBOR + 50 basis points
PS 5.87500% 9.00000% 0.00% 9.00% - LIBOR
The yields with respect to such Classes will be affected by changes in
the applicable index, as set forth in the table above (an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with an
increase in the level of the Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of the Index.
The Index value will be established as described herein by Fannie Mae
two business days prior to the commencement of the related Interest Accrual
Period. The establishment of the Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for the applicable Classes for the related
Interest Accrual Period shall (in the absence of manifest error) be final and
binding. Each such rate of interest may be obtained by telephoning Fannie Mae at
1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each LIBOR Determination Date, until the principal balances of the
FA, SA, FB, SB, PF and PS Classes (the "LIBOR Classes") have been reduced to
zero, Fannie Mae will establish LIBOR for the related Interest Accrual Period in
the manner described in the REMIC Prospectus under
<PAGE>
"Description of the Certificates-Indices Applicable to Floating Rate and Inverse
Floating Rate Classes-LIBOR."
If on the initial LIBOR Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be 3.125%.
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes or Components will
be categorized as follows:
Principal Type* Classes or Components
- --------------- ---------------------
PAC I PA, PB, PC, PD, PE, PG, PH, PJ, PK,
PL, PM, PN, PT, PZ and PF1
PAC II E, FB1, SB1 and G
TAC FA and SA
Notional PS, PV and PW
Accretion Directed A, B, BA, C, CA, D and PF2
Support FB2 and SB2
Component PF, FB and SB
Liquid Asset PA
No Payment Residual R and RL
- ----------
* See "Description of the Certificates-Class Definitions and Abbreviations" in
the REMIC Prospectus.
Principal Distribution Amount
Principal will be distributed monthly on the Certificates in an amount
(the "Principal Distribution Amount") equal to the sum of (i) the aggregate
distributions of principal concurrently made on the MBS (the "Cash Flow
Distribution Amount") and (ii) any interest accrued and added on such
Distribution Date to the principal balance of the Accrual Class (the "Accrual
Amount").
Accrual Amount
On each Distribution Date, the Accrual Amount, if any, will be
distributed in the following order of priority:
(i) to the Accretion Directed Classes and Component, in the order and
proportions set forth in the following table, until the principal
balances thereof are reduced to zero:
Accretion Directed Classes and Component and PAC I Class
<TABLE>
<CAPTION>
Class listed in the
preceding column B Class C Class PF2 Component Accretion
Directed
------------------- ------- ------- ------------- Classes and
<S> <C> Component
A 81.25% 0% 0% 18.75% and
BA 50% 35.7142857143% 0% 14.2857142857% PAC I
CA 50% 0% 41.6666666667% 8.3333333333% Class
D 100% 0% 0% 0%
</TABLE>
(ii) to the PZ Class, without regard to its Planned Balance.
<PAGE>
Cash Flow Distribution Amount
On each Distribution Date, the Cash Flow Distribution Amount will be
distributed as principal of the Classes and Components in the following order of
priority:
(i) to the following PAC I Classes and Component, in the order and
proportions set forth in the following table, until the principal balances
thereof are reduced to their respective Planned Balances for such
Distribution Date:
PAC I Classes and Component
Allocated to
<TABLE>
<CAPTION>
Class listed in
the preceding
column PA Class PB Class PC Class PE Class
<S> <C>
PJ 50% 27.7777777778% 0% 0% 0%
PJ 50% 0% 27.7777777778% 0% 0% PAC I
PK 50% 0% 27.7777777778% 0% 0% Classes
PL 50% 0% 27.7777777778% 0% 0% and
PL 50% 0% 0% 31.25% 0% Component
PM 50% 0% 0% 31.25% 0%
PD 85.7142857143% 0% 0% 0% 0%
PN 50% 0% 0% 0% 40.3225806452%
PT 50% 0% 0% 0% 0%
PH 95.4545454545% 0% 0% 0% 0%
<CAPTION>
PF1 Component PG Class
------------- --------
<S> <C>
PJ 22.2222222222% 0%
PJ 22.2222222222% 0%
PK 22.2222222222% 0%
PL 22.2222222222% 0%
PL 18.75% 0%
PM 18.75% 0%
PD 14.2857142857% 0%
PN 9.6774193548% 0%
PT 4.5454545455% 45.4545454545%
PH 4.5454545455% 0%
(ii) to the PZ Class, until the principal balance thereof is reduced
to its Planned Balance for such Distribution Date;
(iii) to the E Class, until the principal balance thereof is reduced
to its Planned Balance for such Distribution Date;
(iv) concurrently, to the FB1 and the SB1 Components, in proportion PAC II
to their original principal balances (or 70% and 30%, respectively), until Classes
the principal balances thereof are reduced to their respective Planned and
Balances for such Distribution Date; Components
(v) to the G Class, until the principal balance thereof is reduced
to its Planned Balance for such Distribution Date;
TAC
(vi) concurrently, to the FA and SA Classes, in proportion to their Classes
original principal balances (or 70% and 30%, respectively), until the
principal balances thereof are reduced to their respective Targeted Balances
for such Distribution Date;
(vii) concurrently, to the FB2 and SB2 Components, in proportion to Support
their original principal balances (or 70% and 30%, respectively), until the Components
principal balances thereof are reduced to zero;
(viii) concurrently, to the FA and SA Classes, in the proportions set TAC
forth in clause (vi) above, without regard to their Targeted Balances and until Classes
the principal balances thereof are reduced to zero;
(ix) to the G Class, without regard to its Planned Balance and until
the principal balance thereof has been reduced to zero;
(x) to the E Class, without regard to its Planned Balance and until PAC II
the principal balance thereof has been reduced to zero; Classes
and
(xi) concurrently, to the FB1 and SB1 Components, in the proportions Components
set forth in clause (iv) above, without regard to their Planned Balances and
until the principal balances thereof are reduced to zero;
<PAGE>
(xii) to the PAC I Classes and Component set forth in clause (i)
above, in the order and proportions set forth therein, without regard to
their Planned Balances and until the principal balances thereof are reduced
to zero;
(xiii) to the Accretion Directed Classes and Component, in the order
and proportions set forth in the following table, until the principal PAC I
balances thereof are reduced to zero: and
Accretion
Directed
Classes
and
Components
Allocated to
Class listed in the
preceding column B Class C Class PF2 Component
------------------- ------- ------- -------------
A 81.25% 0% 0% 18.75%
BA 50% 35.7142857143% 0% 14.2857142857%
CA 50% 0% 41.6666666667% 8.3333333333%
D 100% 0% 0% 0%
</TABLE>
(xiv) to the PZ Class, without regard to its Planned Balance and
until the principal balance thereof has been reduced to zero.
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
following assumptions (the "Pricing Assumptions"):
o each Mortgage Loan bears interest at a rate of 7.65% per annum and has
an original term to maturity of 360 months, and the following
principal amounts of the Mortgage Loans have the remaining terms to
maturity and CAGEs, respectively, as specified:
$500,000,000 359 months 1 month
$200,000,000 358 months 2 months
$100,000,000 356 months 4 months
$100,000,000 354 months 6 months
$100,000,000 352 months 8 months
o the Mortgage Loans prepay at the constant percentages of PSA specified
in the related table;
o the closing date for the sale of the Certificates is the Settlement
Date; and
o the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
PSA Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA (for example, 175% PSA) is to assume
a specified rate of prepayment each month of the then outstanding principal
balance of a pool of new mortgage loans computed as described under "Description
of the Certificates-Prepayment Considerations and Risks" in the REMIC
Prospectus. There is no assurance that prepayments will occur at any PSA rate or
at any other constant rate.
<PAGE>
The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the Mortgage Loans prepay at the
approximate constant levels set forth in the following table.
Principal Balance Related Classes
Schedule References and Components PSA Levels
------------------- --------------- ----------
Planned Balances PAC I and PF1 Between 95% and 225%
Planned Balances E, FB1 and SB1 Between 115% and 205%
Planned Balances G Between 140% and 205%
Targeted Balances TAC 175%
There is no assurance that the principal balances of the Classes and
Components listed above will conform on any Distribution Date to the applicable
balances specified for such Distribution Date in the Principal Balance Schedules
below, or that distributions of principal on the related Classes and Components
will begin or end on the respective Distribution Dates specified therein.
Because any excess of the principal available for distribution on any
Distribution Date over the amount necessary to reduce the principal balances of
the applicable Classes and Components to their respective scheduled balances
will be distributed, the ability to so reduce the principal balances of such
Classes and Components will not be enhanced by the averaging of high and low
principal payments. In addition, even if prepayments remain within the ranges
specified above, the principal available for distribution may be insufficient to
reduce the applicable Classes and Components to such respective balances, if
prepayments do not occur at a constant PSA rate. Moreover, because of the
diverse remaining terms to maturity of the Mortgage Loans (which may include
recently originated Mortgage Loans), the Classes and Components specified above
may not be reduced to their respective scheduled amounts, even if prepayments
occur at a constant level within the ranges or at the rate specified above.
<TABLE>
<CAPTION>
Principal Balance Schedules
<S> <C>
PA Class PJ Class PK Class PB Class PL Class PC Class PM Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ---------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
Initial Balance..... $ 2,295,000.00 $ 13,661,000.00 $ 39,943,000.00 $ 34,790,000.00 $ 20,502,000.00 $ 26,020,000.00 $ 34,279,000.00
June 1993........... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
July 1993........... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
August 1993......... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
September 1993...... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
October 1993........ 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
November 1993....... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
December 1993....... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
January 1994........ 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
February 1994....... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
March 1994.......... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
April 1994.......... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
May 1994............ 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
June 1994........... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
July 1994........... 2,295,000.00 13,661,000.00 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
August 1994......... 1,313,547.52 11,894,385.54 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
September 1994...... 290,443.37 10,052,798.06 39,943,000.00 34,790,000.00 20,502,000.00 26,020,000.00 34,279,000.00
October 1994........ 0.00 8,136,971.43 39,943,000.00 34,016,095.24 20,502,000.00 26,020,000.00 34,279,000.00
November 1994....... 0.00 6,147,675.69 39,943,000.00 32,910,930.94 20,502,000.00 26,020,000.00 34,279,000.00
December 1994....... 0.00 4,085,716.59 39,943,000.00 31,765,398.11 20,502,000.00 26,020,000.00 34,279,000.00
January 1995........ 0.00 1,951,935.04 39,943,000.00 30,579,963.91 20,502,000.00 26,020,000.00 34,279,000.00
February 1995....... 0.00 0.00 39,690,206.55 29,355,114.75 20,502,000.00 26,020,000.00 34,279,000.00
March 1995.......... 0.00 0.00 37,415,440.66 28,091,355.92 20,502,000.00 26,020,000.00 34,279,000.00
April 1995.......... 0.00 0.00 35,079,235.15 26,793,463.97 20,502,000.00 26,020,000.00 34,279,000.00
May 1995............ 0.00 0.00 32,682,444.70 25,461,913.72 20,502,000.00 26,020,000.00 34,279,000.00
June 1995........... 0.00 0.00 30,233,578.30 24,101,432.39 20,502,000.00 26,020,000.00 34,279,000.00
July 1995........... 0.00 0.00 27,733,428.00 22,712,460.00 20,502,000.00 26,020,000.00 34,279,000.00
August 1995......... 0.00 0.00 25,190,411.47 21,299,673.04 20,502,000.00 26,020,000.00 34,279,000.00
September 1995...... 0.00 0.00 22,605,250.48 19,863,472.49 20,502,000.00 26,020,000.00 34,279,000.00
October 1995........ 0.00 0.00 19,993,849.67 18,412,694.26 20,502,000.00 26,020,000.00 34,279,000.00
November 1995....... 0.00 0.00 17,394,597.60 16,968,665.33 20,502,000.00 26,020,000.00 34,279,000.00
December 1995....... 0.00 0.00 14,807,434.14 15,531,352.30 20,502,000.00 26,020,000.00 34,279,000.00
January 1996........ 0.00 0.00 12,232,299.44 14,100,721.91 20,502,000.00 26,020,000.00 34,279,000.00
February 1996....... 0.00 0.00 9,669,133.94 12,676,741.08 20,502,000.00 26,020,000.00 34,279,000.00
March 1996.......... 0.00 0.00 7,117,878.38 11,259,376.88 20,502,000.00 26,020,000.00 34,279,000.00
April 1996.......... 0.00 0.00 4,578,473.77 9,848,596.54 20,502,000.00 26,020,000.00 34,279,000.00
May 1996............ 0.00 0.00 2,050,861.43 8,444,367.46 20,502,000.00 26,020,000.00 34,279,000.00
June 1996........... 0.00 0.00 0.00 7,046,657.19 20,036,982.95 26,020,000.00 34,279,000.00
July 1996........... 0.00 0.00 0.00 5,655,433.45 17,532,780.21 26,020,000.00 34,279,000.00
August 1996......... 0.00 0.00 0.00 4,270,664.09 15,040,195.36 26,020,000.00 34,279,000.00
September 1996...... 0.00 0.00 0.00 2,892,317.14 12,559,170.85 26,020,000.00 34,279,000.00
October 1996........ 0.00 0.00 0.00 1,520,360.77 10,089,649.39 26,020,000.00 34,279,000.00
November 1996....... 0.00 0.00 0.00 154,763.32 7,631,573.98 26,020,000.00 34,279,000.00
December 1996....... 0.00 0.00 0.00 0.00 5,184,887.90 24,664,929.94 34,279,000.00
January 1997........ 0.00 0.00 0.00 0.00 2,749,534.70 23,142,834.19 34,279,000.00
February 1997....... 0.00 0.00 0.00 0.00 325,458.20 21,627,786.38 34,279,000.00
March 1997.......... 0.00 0.00 0.00 0.00 0.00 20,119,751.56 32,191,602.50
April 1997.......... 0.00 0.00 0.00 0.00 0.00 18,618,694.97 29,789,911.96
May 1997............ 0.00 0.00 0.00 0.00 0.00 17,124,582.02 27,399,331.23
June 1997........... 0.00 0.00 0.00 0.00 0.00 15,637,378.26 25,019,805.21
July 1997........... 0.00 0.00 0.00 0.00 0.00 14,157,049.42 22,651,279.07
August 1997......... 0.00 0.00 0.00 0.00 0.00 12,683,561.41 20,293,698.26
S-13
<PAGE>
<CAPTION>
PA Class PJ Class PK Class PB Class PL Class PC Class PM Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ---------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
September 1997...... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 11,216,880.30 $ 17,947,008.48
October 1997........ 0.00 0.00 0.00 0.00 0.00 9,756,972.32 15,611,155.71
November 1997....... 0.00 0.00 0.00 0.00 0.00 8,303,803.86 13,286,086.17
December 1997....... 0.00 0.00 0.00 0.00 0.00 6,857,341.47 10,971,746.36
January 1998........ 0.00 0.00 0.00 0.00 0.00 5,417,551.89 8,668,083.03
February 1998....... 0.00 0.00 0.00 0.00 0.00 3,984,401.99 6,375,043.19
March 1998.......... 0.00 0.00 0.00 0.00 0.00 2,557,858.81 4,092,574.10
April 1998.......... 0.00 0.00 0.00 0.00 0.00 1,137,889.56 1,820,623.29
May 1998 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
S-14
<PAGE>
<CAPTION>
PF1
Component PD Class PE Class PN Class PG Class PT Class PH Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 78,123,000.00 $ 75,060,000.00 $ 45,375,000.00 $ 56,265,000.00 $ 59,910,000.00 $ 65,901,000.00 $ 72,492,000.00
June 1993........... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
July 1993........... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
August 1993......... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
September 1993...... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
October 1993........ 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
November 1993....... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
December 1993....... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
January 1994........ 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
February 1994....... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
March 1994.......... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
April 1994.......... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
May 1994............ 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
June 1994........... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
July 1994........... 78,123,000.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
August 1994......... 77,337,838.02 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
September 1994...... 76,519,354.69 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
October 1994........ 75,667,876.19 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
November 1994....... 74,783,744.75 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
December 1994....... 73,867,318.48 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
January 1995........ 72,918,971.13 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
February 1995....... 71,939,091.80 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
March 1995.......... 70,928,084.74 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
April 1995.......... 69,889,771.18 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
May 1995............ 68,824,530.98 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
June 1995........... 67,736,145.91 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
July 1995........... 66,624,968.00 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
August 1995......... 65,494,738.43 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
September 1995...... 64,345,777.99 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
October 1995........ 63,185,155.41 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
November 1995....... 62,029,932.27 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
December 1995....... 60,880,081.84 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
January 1996........ 59,735,577.53 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
February 1996....... 58,596,392.86 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
March 1996.......... 57,462,501.50 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
April 1996.......... 56,333,877.23 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
May 1996............ 55,210,493.97 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
June 1996........... 54,092,325.76 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
July 1996........... 52,979,346.76 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
August 1996......... 51,871,531.27 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
September 1996...... 50,768,853.71 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
October 1996........ 49,671,288.62 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
November 1996....... 48,578,810.66 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
December 1996....... 47,641,957.96 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
January 1997........ 46,728,700.51 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
February 1997....... 45,819,671.82 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
March 1997.......... 44,914,850.94 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
April 1997.......... 44,014,216.98 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
May 1997............ 43,117,749.21 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
June 1997........... 42,225,426.95 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
July 1997........... 41,337,229.65 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
August 1997......... 40,453,136.85 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
S-15
<PAGE>
<CAPTION>
PF1
Component PD Class PE Class PN Class PG Class PT Class PH Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
September 1997...... $ 39,573,128.18 $ 75,060,000.00 $ 45,375,000.00 $ 56,265,000.00 $ 59,910,000.00 $ 65,901,000.00 $ 72,492,000.00
October 1997........ 38,697,183.39 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
November 1997....... 37,825,282.31 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
December 1997....... 36,957,404.88 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
January 1998........ 36,093,531.14 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
February 1998....... 35,233,641.20 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
March 1998.......... 34,377,715.29 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
April 1998.......... 33,525,733.73 75,060,000.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
May 1998............ 32,717,039.59 74,304,237.51 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
June 1998........... 32,073,876.54 70,445,259.26 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
July 1998........... 31,433,674.18 66,604,045.08 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
August 1998......... 30,796,417.79 62,780,506.75 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
September 1998...... 30,162,092.74 58,974,556.46 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
October 1998........ 29,530,684.48 55,186,106.86 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
November 1998....... 28,902,178.50 51,415,071.00 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
December 1998....... 28,276,560.39 47,661,362.35 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
January 1999........ 27,653,815.80 43,924,894.80 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
February 1999....... 27,033,930.44 40,205,582.66 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
March 1999.......... 26,416,890.11 36,503,340.67 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
April 1999.......... 25,802,680.66 32,818,083.96 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
May 1999............ 25,191,288.02 29,149,728.10 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
June 1999........... 24,582,698.17 25,498,189.05 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
July 1999........... 23,976,897.19 21,863,383.17 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
August 1999......... 23,373,871.21 18,245,227.23 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
September 1999...... 22,773,606.41 14,643,638.43 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
October 1999........ 22,176,089.06 11,058,534.36 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
November 1999....... 21,581,305.50 7,489,832.98 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
December 1999....... 20,989,242.11 3,937,452.69 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
January 2000........ 20,399,885.37 401,312.23 45,375,000.00 56,265,000.00 59,910,000.00 65,901,000.00 72,492,000.00
February 2000....... 19,980,892.19 0.00 43,907,884.11 54,445,776.30 59,910,000.00 65,901,000.00 72,492,000.00
March 2000.......... 19,585,290.25 0.00 42,259,542.72 52,401,832.97 59,910,000.00 65,901,000.00 72,492,000.00
April 2000.......... 19,191,494.60 0.00 40,618,727.52 50,367,222.12 59,910,000.00 65,901,000.00 72,492,000.00
May 2000............ 18,799,496.25 0.00 38,985,401.04 48,341,897.29 59,910,000.00 65,901,000.00 72,492,000.00
June 2000........... 18,409,286.24 0.00 37,359,525.98 46,325,812.22 59,910,000.00 65,901,000.00 72,492,000.00
July 2000........... 18,020,855.66 0.00 35,741,065.24 44,318,920.90 59,910,000.00 65,901,000.00 72,492,000.00
August 2000......... 17,634,195.65 0.00 34,129,981.89 42,321,177.54 59,910,000.00 65,901,000.00 72,492,000.00
September 2000...... 17,249,297.40 0.00 32,526,239.16 40,332,536.56 59,910,000.00 65,901,000.00 72,492,000.00
October 2000........ 16,866,152.12 0.00 30,929,800.48 38,352,952.60 59,910,000.00 65,901,000.00 72,492,000.00
November 2000....... 16,484,751.07 0.00 29,340,629.47 36,382,380.54 59,910,000.00 65,901,000.00 72,492,000.00
December 2000....... 16,105,085.57 0.00 27,758,689.89 34,420,775.46 59,910,000.00 65,901,000.00 72,492,000.00
January 2001........ 15,727,146.97 0.00 26,183,945.69 32,468,092.66 59,910,000.00 65,901,000.00 72,492,000.00
February 2001....... 15,350,926.65 0.00 24,616,361.02 30,524,287.67 59,910,000.00 65,901,000.00 72,492,000.00
March 2001.......... 14,976,416.04 0.00 23,055,900.18 28,589,316.22 59,910,000.00 65,901,000.00 72,492,000.00
April 2001.......... 14,603,606.63 0.00 21,502,527.63 26,663,134.26 59,910,000.00 65,901,000.00 72,492,000.00
May 2001............ 14,232,489.93 0.00 19,956,208.03 24,745,697.96 59,910,000.00 65,901,000.00 72,492,000.00
June 2001........... 13,863,057.49 0.00 18,416,906.20 22,836,963.69 59,910,000.00 65,901,000.00 72,492,000.00
July 2001........... 13,495,300.91 0.00 16,884,587.13 20,936,888.04 59,910,000.00 65,901,000.00 72,492,000.00
August 2001......... 13,129,211.83 0.00 15,359,215.98 19,045,427.81 59,910,000.00 65,901,000.00 72,492,000.00
September 2001...... 12,764,781.94 0.00 13,840,758.07 17,162,540.01 59,910,000.00 65,901,000.00 72,492,000.00
October 2001........ 12,402,002.94 0.00 12,329,178.91 15,288,181.85 59,910,000.00 65,901,000.00 72,492,000.00
November 2001....... 12,040,866.60 0.00 10,824,444.16 13,422,310.76 59,910,000.00 65,901,000.00 72,492,000.00
December 2001....... 11,681,364.71 0.00 9,326,519.65 11,564,884.36 59,910,000.00 65,901,000.00 72,492,000.00
S-16
<PAGE>
<CAPTION>
PF1
Component PD Class PE Class PN Class PG Class PT Class PH Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
January 2002........ $ 11,323,489.13 $ 0.00 $ 7,835,371.36 $ 9,715,860.49 $ 59,910,000.00 $ 65,901,000.00 $ 72,492,000.00
February 2002....... 10,967,231.72 0.00 6,350,965.48 7,875,197.20 59,910,000.00 65,901,000.00 72,492,000.00
March 2002.......... 10,612,584.40 0.00 4,873,268.32 6,042,852.72 59,910,000.00 65,901,000.00 72,492,000.00
April 2002.......... 10,259,539.13 0.00 3,402,246.37 4,218,785.50 59,910,000.00 65,901,000.00 72,492,000.00
May 2002............ 9,908,087.91 0.00 1,937,866.27 2,402,954.18 59,910,000.00 65,901,000.00 72,492,000.00
June 2002........... 9,558,222.77 0.00 480,094.85 595,317.62 59,910,000.00 65,901,000.00 72,492,000.00
July 2002........... 9,333,530.44 0.00 0.00 0.00 58,815,304.41 64,696,834.85 72,492,000.00
August 2002......... 9,170,678.65 0.00 0.00 0.00 57,186,786.48 62,905,465.13 72,492,000.00
September 2002...... 9,008,560.72 0.00 0.00 0.00 55,565,607.17 61,122,167.89 72,492,000.00
October 2002........ 8,847,172.98 0.00 0.00 0.00 53,951,729.79 59,346,902.77 72,492,000.00
November 2002....... 8,686,511.78 0.00 0.00 0.00 52,345,117.83 57,579,629.61 72,492,000.00
December 2002....... 8,526,573.49 0.00 0.00 0.00 50,745,734.94 55,820,308.43 72,492,000.00
January 2003........ 8,368,275.47 0.00 0.00 0.00 49,162,754.68 54,079,030.15 72,492,000.00
February 2003....... 8,211,992.26 0.00 0.00 0.00 47,599,922.60 52,359,914.86 72,492,000.00
March 2003.......... 8,057,699.02 0.00 0.00 0.00 46,056,990.18 50,662,689.20 72,492,000.00
April 2003.......... 7,905,371.20 0.00 0.00 0.00 44,533,711.95 48,987,083.15 72,492,000.00
May 2003............ 7,754,984.54 0.00 0.00 0.00 43,029,845.42 47,332,829.96 72,492,000.00
June 2003........... 7,606,515.10 0.00 0.00 0.00 41,545,151.02 45,699,666.12 72,492,000.00
July 2003........... 7,459,939.21 0.00 0.00 0.00 40,079,392.13 44,087,331.34 72,492,000.00
August 2003......... 7,315,233.50 0.00 0.00 0.00 38,632,334.99 42,495,568.49 72,492,000.00
September 2003...... 7,172,374.87 0.00 0.00 0.00 37,203,748.69 40,924,123.56 72,492,000.00
October 2003........ 7,031,340.51 0.00 0.00 0.00 35,793,405.14 39,372,745.65 72,492,000.00
November 2003....... 6,892,107.90 0.00 0.00 0.00 34,401,079.00 37,841,186.90 72,492,000.00
December 2003....... 6,754,654.77 0.00 0.00 0.00 33,026,547.69 36,329,202.46 72,492,000.00
January 2004........ 6,618,959.13 0.00 0.00 0.00 31,669,591.35 34,836,550.48 72,492,000.00
February 2004....... 6,484,999.28 0.00 0.00 0.00 30,329,992.75 33,362,992.03 72,492,000.00
March 2004.......... 6,352,753.74 0.00 0.00 0.00 29,007,537.37 31,908,291.11 72,492,000.00
April 2004.......... 6,222,201.33 0.00 0.00 0.00 27,702,013.25 30,472,214.58 72,492,000.00
May 2004............ 6,093,321.10 0.00 0.00 0.00 26,413,211.04 29,054,532.14 72,492,000.00
June 2004........... 5,966,092.39 0.00 0.00 0.00 25,140,923.90 27,655,016.29 72,492,000.00
July 2004........... 5,840,494.76 0.00 0.00 0.00 23,884,947.56 26,273,442.32 72,492,000.00
August 2004......... 5,716,508.02 0.00 0.00 0.00 22,645,080.21 24,909,588.23 72,492,000.00
September 2004...... 5,594,112.25 0.00 0.00 0.00 21,421,122.49 23,563,234.74 72,492,000.00
October 2004........ 5,473,287.75 0.00 0.00 0.00 20,212,877.49 22,234,165.24 72,492,000.00
November 2004....... 5,354,015.07 0.00 0.00 0.00 19,020,150.69 20,922,165.76 72,492,000.00
December 2004....... 5,236,274.99 0.00 0.00 0.00 17,842,749.93 19,627,024.92 72,492,000.00
January 2005........ 5,120,048.54 0.00 0.00 0.00 16,680,485.40 18,348,533.94 72,492,000.00
February 2005....... 5,005,316.96 0.00 0.00 0.00 15,533,169.60 17,086,486.56 72,492,000.00
March 2005.......... 4,892,061.73 0.00 0.00 0.00 14,400,617.32 15,840,679.05 72,492,000.00
April 2005.......... 4,780,264.56 0.00 0.00 0.00 13,282,645.60 14,610,910.16 72,492,000.00
May 2005............ 4,669,907.37 0.00 0.00 0.00 12,179,073.72 13,396,981.09 72,492,000.00
June 2005........... 4,560,972.31 0.00 0.00 0.00 11,089,723.15 12,198,695.46 72,492,000.00
July 2005........... 4,453,441.75 0.00 0.00 0.00 10,014,417.54 11,015,859.29 72,492,000.00
August 2005......... 4,347,298.27 0.00 0.00 0.00 8,952,982.69 9,848,280.96 72,492,000.00
September 2005...... 4,242,524.65 0.00 0.00 0.00 7,905,246.54 8,695,771.19 72,492,000.00
October 2005........ 4,139,103.91 0.00 0.00 0.00 6,871,039.10 7,558,143.01 72,492,000.00
November 2005....... 4,037,019.25 0.00 0.00 0.00 5,850,192.47 6,435,211.72 72,492,000.00
December 2005....... 3,936,254.08 0.00 0.00 0.00 4,842,540.80 5,326,794.88 72,492,000.00
January 2006........ 3,836,792.03 0.00 0.00 0.00 3,847,920.25 4,232,712.28 72,492,000.00
February 2006....... 3,738,616.90 0.00 0.00 0.00 2,866,169.00 3,152,785.90 72,492,000.00
March 2006.......... 3,641,712.72 0.00 0.00 0.00 1,897,127.18 2,086,839.90 72,492,000.00
April 2006.......... 3,546,063.69 0.00 0.00 0.00 940,636.88 1,034,700.57 72,492,000.00
S-17
<PAGE>
<CAPTION>
PF1
Component PD Class PE Class PN Class PG Class PT Class PH Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
May 2006............ $ 3,451,654.21 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 72,484,738.47
June 2006........... 3,358,468.88 0.00 0.00 0.00 0.00 0.00 70,527,846.54
July 2006........... 3,266,492.48 0.00 0.00 0.00 0.00 0.00 68,596,342.06
August 2006......... 3,175,709.97 0.00 0.00 0.00 0.00 0.00 66,689,909.33
September 2006...... 3,086,106.50 0.00 0.00 0.00 0.00 0.00 64,808,236.48
October 2006........ 2,997,667.40 0.00 0.00 0.00 0.00 0.00 62,951,015.46
November 2006....... 2,910,378.19 0.00 0.00 0.00 0.00 0.00 61,117,941.97
December 2006....... 2,824,224.54 0.00 0.00 0.00 0.00 0.00 59,308,715.44
January 2007........ 2,739,192.33 0.00 0.00 0.00 0.00 0.00 57,523,038.95
February 2007....... 2,655,267.58 0.00 0.00 0.00 0.00 0.00 55,760,619.24
March 2007.......... 2,572,436.50 0.00 0.00 0.00 0.00 0.00 54,021,166.60
April 2007.......... 2,490,685.47 0.00 0.00 0.00 0.00 0.00 52,304,394.87
May 2007............ 2,410,001.02 0.00 0.00 0.00 0.00 0.00 50,610,021.40
June 2007........... 2,330,369.86 0.00 0.00 0.00 0.00 0.00 48,937,766.98
July 2007........... 2,251,778.85 0.00 0.00 0.00 0.00 0.00 47,287,355.81
August 2007......... 2,174,215.02 0.00 0.00 0.00 0.00 0.00 45,658,515.46
September 2007...... 2,097,665.56 0.00 0.00 0.00 0.00 0.00 44,050,976.84
October 2007........ 2,022,117.82 0.00 0.00 0.00 0.00 0.00 42,464,474.14
November 2007....... 1,947,559.28 0.00 0.00 0.00 0.00 0.00 40,898,744.80
December 2007....... 1,873,977.59 0.00 0.00 0.00 0.00 0.00 39,353,529.49
January 2008........ 1,801,360.57 0.00 0.00 0.00 0.00 0.00 37,828,572.03
February 2008....... 1,729,696.16 0.00 0.00 0.00 0.00 0.00 36,323,619.36
March 2008.......... 1,658,972.46 0.00 0.00 0.00 0.00 0.00 34,838,421.56
April 2008.......... 1,589,177.70 0.00 0.00 0.00 0.00 0.00 33,372,731.74
May 2008............ 1,520,300.29 0.00 0.00 0.00 0.00 0.00 31,926,306.01
June 2008........... 1,452,328.74 0.00 0.00 0.00 0.00 0.00 30,498,903.50
July 2008........... 1,385,251.73 0.00 0.00 0.00 0.00 0.00 29,090,286.27
August 2008......... 1,319,058.06 0.00 0.00 0.00 0.00 0.00 27,700,219.30
September 2008...... 1,253,736.69 0.00 0.00 0.00 0.00 0.00 26,328,470.43
October 2008........ 1,189,276.68 0.00 0.00 0.00 0.00 0.00 24,974,810.38
November 2008....... 1,125,667.27 0.00 0.00 0.00 0.00 0.00 23,639,012.61
December 2008....... 1,062,897.78 0.00 0.00 0.00 0.00 0.00 22,320,853.44
January 2009........ 1,000,957.71 0.00 0.00 0.00 0.00 0.00 21,020,111.85
February 2009....... 939,836.65 0.00 0.00 0.00 0.00 0.00 19,736,569.59
March 2009.......... 879,524.34 0.00 0.00 0.00 0.00 0.00 18,470,011.04
April 2009.......... 820,010.63 0.00 0.00 0.00 0.00 0.00 17,220,223.25
May 2009............ 761,285.52 0.00 0.00 0.00 0.00 0.00 15,986,995.84
June 2009........... 703,339.10 0.00 0.00 0.00 0.00 0.00 14,770,121.06
July 2009........... 646,161.60 0.00 0.00 0.00 0.00 0.00 13,569,393.68
August 2009......... 589,743.38 0.00 0.00 0.00 0.00 0.00 12,384,610.96
September 2009...... 534,074.89 0.00 0.00 0.00 0.00 0.00 11,215,572.69
October 2009........ 479,146.72 0.00 0.00 0.00 0.00 0.00 10,062,081.10
November 2009....... 424,949.56 0.00 0.00 0.00 0.00 0.00 8,923,940.84
December 2009....... 371,474.24 0.00 0.00 0.00 0.00 0.00 7,800,958.94
January 2010........ 318,711.66 0.00 0.00 0.00 0.00 0.00 6,692,944.84
February 2010....... 266,652.87 0.00 0.00 0.00 0.00 0.00 5,599,710.27
March 2010.......... 215,289.01 0.00 0.00 0.00 0.00 0.00 4,521,069.31
April 2010.......... 164,611.35 0.00 0.00 0.00 0.00 0.00 3,456,838.29
May 2010............ 114,611.23 0.00 0.00 0.00 0.00 0.00 2,406,835.81
June 2010........... 65,280.13 0.00 0.00 0.00 0.00 0.00 1,370,882.69
July 2010........... 16,609.62 0.00 0.00 0.00 0.00 0.00 348,801.96
August 2010 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
S-18
<PAGE>
<CAPTION>
FB1 SB1
PZ Class E Class Component Component G Class FA Class SA Class
Distribution Planned Planned Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- -------------- -------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 19,924,000.00 $ 94,878,000.00 $ 2,800,000.00 $ 1,200,000.00 $ 56,894,000.00 $ 52,318,000.00 $ 22,422,000.00
June 1993........... 20,040,223.33 93,431,268.14 2,800,000.00 1,200,000.00 56,738,038.02 52,164,707.69 22,356,303.29
July 1993........... 20,157,124.64 91,788,677.40 2,800,000.00 1,200,000.00 56,540,286.80 51,970,364.36 22,273,013.30
August 1993......... 20,274,707.86 89,950,713.90 2,800,000.00 1,200,000.00 56,300,878.98 51,735,108.56 22,172,189.38
September 1993...... 20,392,976.99 87,917,979.56 2,800,000.00 1,200,000.00 56,020,001.94 51,459,144.87 22,053,919.23
October 1993........ 20,511,936.02 85,691,191.98 2,800,000.00 1,200,000.00 55,697,897.76 51,142,744.13 21,918,318.91
November 1993....... 20,631,588.98 83,271,184.20 2,800,000.00 1,200,000.00 55,334,863.14 50,786,243.28 21,765,532.84
December 1993....... 20,751,939.92 80,658,904.38 2,800,000.00 1,200,000.00 54,931,249.26 50,390,045.20 21,595,733.66
January 1994........ 20,872,992.90 77,855,415.32 2,800,000.00 1,200,000.00 54,487,461.48 49,954,618.36 21,409,122.16
February 1994....... 20,994,752.03 74,861,893.90 2,800,000.00 1,200,000.00 54,003,959.04 49,480,496.34 21,205,927.00
March 1994.......... 21,117,221.42 71,679,630.40 2,800,000.00 1,200,000.00 53,481,254.54 48,968,277.27 20,986,404.55
April 1994.......... 21,240,405.21 68,310,027.68 2,800,000.00 1,200,000.00 52,919,913.52 48,418,623.06 20,750,838.46
May 1994............ 21,364,307.57 64,754,600.26 2,800,000.00 1,200,000.00 52,320,553.74 47,832,258.57 20,499,539.39
June 1994........... 21,488,932.70 61,014,973.32 2,800,000.00 1,200,000.00 51,683,844.56 47,209,970.53 20,232,844.51
July 1994........... 21,614,284.81 57,092,881.54 2,800,000.00 1,200,000.00 51,010,506.10 46,552,606.49 19,951,117.07
August 1994......... 21,740,368.13 56,523,396.82 2,800,000.00 1,200,000.00 50,301,308.30 45,861,073.54 19,654,745.80
September 1994...... 21,867,186.95 55,925,186.12 2,800,000.00 1,200,000.00 49,557,070.08 45,136,336.87 19,344,144.37
October 1994........ 21,994,745.54 55,298,837.00 2,800,000.00 1,200,000.00 48,778,658.18 44,379,418.31 19,019,750.71
November 1994....... 22,123,048.22 54,644,968.54 2,800,000.00 1,200,000.00 47,966,986.08 43,591,394.69 18,682,026.29
December 1994....... 22,252,099.34 53,964,230.58 2,800,000.00 1,200,000.00 47,123,012.76 42,773,396.01 18,331,455.43
January 1995........ 22,381,903.25 53,257,303.04 2,800,000.00 1,200,000.00 46,247,741.40 41,926,603.66 17,968,544.42
February 1995....... 22,512,464.35 52,524,895.16 2,800,000.00 1,200,000.00 45,342,218.02 41,052,248.36 17,593,820.72
March 1995.......... 22,643,787.06 51,767,744.64 2,800,000.00 1,200,000.00 44,407,530.02 40,151,608.07 17,207,832.03
April 1995.......... 22,775,875.82 50,989,783.84 2,800,000.00 1,200,000.00 43,448,736.86 39,229,825.53 16,812,782.37
May 1995............ 22,908,735.09 50,191,702.20 2,800,000.00 1,200,000.00 42,466,850.20 38,288,081.87 16,409,177.95
June 1995........... 23,042,369.38 49,377,358.34 2,800,000.00 1,200,000.00 41,466,816.40 37,331,379.27 15,999,162.55
July 1995........... 23,176,783.20 48,547,386.48 2,800,000.00 1,200,000.00 40,449,560.78 36,360,789.35 15,583,195.43
August 1995......... 23,311,981.10 47,705,569.28 2,800,000.00 1,200,000.00 39,419,913.34 35,381,169.91 15,163,358.53
September 1995...... 23,447,967.66 46,852,478.78 2,800,000.00 1,200,000.00 38,378,702.58 34,393,470.57 14,740,058.81
October 1995........ 23,584,747.47 45,994,935.46 2,800,000.00 1,200,000.00 37,334,497.76 33,406,136.48 14,316,915.64
November 1995....... 23,722,325.17 45,148,898.70 2,800,000.00 1,200,000.00 36,307,132.78 32,438,445.70 13,902,191.02
December 1995....... 23,860,705.40 44,314,275.96 2,800,000.00 1,200,000.00 35,296,436.22 31,490,142.96 13,495,775.56
January 1996........ 23,999,892.84 43,490,975.38 2,800,000.00 1,200,000.00 34,302,238.22 30,560,975.87 13,097,561.09
February 1996....... 24,139,892.22 42,678,905.80 2,800,000.00 1,200,000.00 33,324,370.42 29,650,694.88 12,707,440.66
March 1996.......... 24,280,708.26 41,877,976.70 2,800,000.00 1,200,000.00 32,362,665.98 28,759,053.25 12,325,308.53
April 1996.......... 24,422,345.72 41,088,098.26 2,800,000.00 1,200,000.00 31,416,959.58 27,885,807.03 11,951,060.15
May 1996............ 24,564,809.40 40,309,181.26 2,800,000.00 1,200,000.00 30,487,087.36 27,030,715.04 11,584,592.16
June 1996........... 24,708,104.13 39,541,137.20 2,800,000.00 1,200,000.00 29,572,886.92 26,193,538.84 11,225,802.36
July 1996........... 24,852,234.73 38,783,878.18 2,800,000.00 1,200,000.00 28,674,197.38 25,374,042.64 10,874,589.70
August 1996......... 24,997,206.10 38,037,317.00 2,800,000.00 1,200,000.00 27,790,859.24 24,571,993.36 10,530,854.30
September 1996...... 25,143,023.14 37,301,367.08 2,800,000.00 1,200,000.00 26,922,714.44 23,787,160.57 10,194,497.39
October 1996........ 25,289,690.77 36,575,942.48 2,800,000.00 1,200,000.00 26,069,606.38 23,019,316.43 9,865,421.33
November 1996....... 25,437,213.97 35,860,957.88 2,800,000.00 1,200,000.00 25,231,379.88 22,268,235.70 9,543,529.58
December 1996....... 25,585,597.72 35,156,328.60 2,800,000.00 1,200,000.00 24,407,881.10 21,533,695.69 9,228,726.73
January 1997........ 25,734,847.04 34,461,970.60 2,800,000.00 1,200,000.00 23,598,957.62 20,815,476.26 8,920,918.40
February 1997....... 25,884,966.98 33,777,800.46 2,800,000.00 1,200,000.00 22,804,458.40 20,113,359.77 8,620,011.33
March 1997.......... 26,035,962.62 33,103,735.34 2,800,000.00 1,200,000.00 22,024,233.80 19,427,131.02 8,325,913.30
April 1997.......... 26,187,839.07 32,439,693.08 2,800,000.00 1,200,000.00 21,258,135.44 18,756,577.35 8,038,533.15
May 1997............ 26,340,601.46 31,785,592.06 2,800,000.00 1,200,000.00 20,506,016.36 18,101,488.44 7,757,780.76
June 1997........... 26,494,254.97 31,141,351.30 2,800,000.00 1,200,000.00 19,767,730.92 17,461,656.42 7,483,567.04
July 1997........... 26,648,804.79 30,506,890.44 2,800,000.00 1,200,000.00 19,043,134.76 16,836,875.79 7,215,803.91
August 1997......... 26,804,256.15 29,882,129.66 2,800,000.00 1,200,000.00 18,332,084.88 16,226,943.39 6,954,404.31
S-19
<PAGE>
<CAPTION>
FB1 SB1
PZ Class E Class Component Component G Class FA Class SA Class
Distribution Planned Planned Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- -------------- -------------- --------------- --------------- ---------------
<S> <C>
September 1997...... $ 26,960,614.31 $ 29,266,989.78 $ 2,800,000.00 $ 1,200,000.00 $ 17,634,439.54 $ 15,631,658.39 $ 6,699,282.17
October 1997........ 27,117,884.56 28,661,392.18 2,800,000.00 1,200,000.00 16,950,058.28 15,050,822.28 6,450,352.40
November 1997....... 27,276,072.22 28,065,258.84 2,800,000.00 1,200,000.00 16,278,801.96 14,484,238.79 6,207,530.91
December 1997....... 27,435,182.65 27,478,512.32 2,800,000.00 1,200,000.00 15,620,532.64 13,931,713.94 5,970,734.54
January 1998........ 27,595,221.21 26,901,075.76 2,800,000.00 1,200,000.00 14,975,113.68 13,393,055.96 5,739,881.12
February 1998....... 27,756,193.33 26,332,872.86 2,800,000.00 1,200,000.00 14,342,409.66 12,868,075.29 5,514,889.41
March 1998.......... 27,918,104.46 25,773,827.90 2,800,000.00 1,200,000.00 13,722,286.44 12,356,584.53 5,295,679.09
April 1998.......... 28,080,960.07 25,223,865.72 2,800,000.00 1,200,000.00 13,114,611.02 11,858,398.50 5,082,170.78
May 1998............ 28,244,765.67 24,682,911.70 2,800,000.00 1,200,000.00 12,519,251.68 11,373,334.06 4,874,286.02
June 1998........... 28,409,526.81 24,150,891.80 2,800,000.00 1,200,000.00 11,936,077.88 10,901,210.26 4,671,947.26
July 1998........... 28,575,249.05 23,627,732.54 2,800,000.00 1,200,000.00 11,364,960.24 10,441,848.24 4,475,077.82
August 1998......... 28,741,938.00 23,113,360.98 2,800,000.00 1,200,000.00 10,805,770.60 9,995,071.17 4,283,601.93
September 1998...... 28,909,599.30 22,607,704.72 2,800,000.00 1,200,000.00 10,258,381.98 9,560,704.27 4,097,444.69
October 1998........ 29,078,238.63 22,110,691.88 2,800,000.00 1,200,000.00 9,722,668.52 9,138,574.82 3,916,532.06
November 1998....... 29,247,861.69 21,622,251.16 2,800,000.00 1,200,000.00 9,198,505.56 8,728,512.04 3,740,790.88
December 1998....... 29,418,474.22 21,142,311.78 2,800,000.00 1,200,000.00 8,685,769.52 8,330,347.20 3,570,148.80
January 1999........ 29,590,081.98 20,670,803.48 2,800,000.00 1,200,000.00 8,184,338.00 7,943,913.49 3,404,534.35
February 1999....... 29,762,690.80 20,207,656.54 2,800,000.00 1,200,000.00 7,694,089.70 7,569,046.06 3,243,876.88
March 1999.......... 29,936,306.49 19,752,801.74 2,800,000.00 1,200,000.00 7,214,904.44 7,205,581.95 3,088,106.55
April 1999.......... 30,110,934.95 19,306,170.42 2,800,000.00 1,200,000.00 6,746,663.14 6,853,360.12 2,937,154.34
May 1999............ 30,286,582.07 18,867,694.38 2,800,000.00 1,200,000.00 6,289,247.82 6,512,221.41 2,790,952.03
June 1999........... 30,463,253.80 18,437,305.98 2,800,000.00 1,200,000.00 5,842,541.58 6,182,008.49 2,649,432.21
July 1999........... 30,640,956.11 18,014,938.06 2,800,000.00 1,200,000.00 5,406,428.60 5,862,565.91 2,512,528.25
August 1999......... 30,819,695.02 17,600,523.98 2,800,000.00 1,200,000.00 4,980,794.12 5,553,740.01 2,380,174.29
September 1999...... 30,999,476.57 17,193,997.60 2,800,000.00 1,200,000.00 4,565,524.44 5,255,378.91 2,252,305.25
October 1999........ 31,180,306.85 16,795,293.26 2,800,000.00 1,200,000.00 4,160,506.92 4,967,332.55 2,128,856.81
November 1999....... 31,362,191.98 16,404,345.84 2,800,000.00 1,200,000.00 3,765,629.90 4,689,452.61 2,009,765.41
December 1999....... 31,545,138.10 16,021,090.66 2,800,000.00 1,200,000.00 3,380,782.84 4,421,592.50 1,894,968.22
January 2000........ 31,729,151.40 15,645,463.56 2,800,000.00 1,200,000.00 3,005,856.16 4,163,607.39 1,784,403.17
February 2000....... 31,914,238.12 15,277,400.86 2,800,000.00 1,200,000.00 2,640,741.30 3,915,354.11 1,678,008.91
March 2000.......... 32,100,404.51 14,916,839.34 2,800,000.00 1,200,000.00 2,285,330.72 3,676,691.21 1,575,724.81
April 2000.......... 32,287,656.87 14,563,716.28 2,800,000.00 1,200,000.00 1,939,517.88 3,447,478.87 1,477,490.95
May 2000............ 32,476,001.53 14,217,969.42 2,800,000.00 1,200,000.00 1,603,197.18 3,227,578.96 1,383,248.12
June 2000........... 32,665,444.88 13,879,537.00 2,800,000.00 1,200,000.00 1,276,264.06 3,016,854.93 1,292,937.83
July 2000........... 32,855,993.30 13,548,357.68 2,800,000.00 1,200,000.00 958,614.92 2,815,171.90 1,206,502.24
August 2000......... 33,047,653.26 13,224,370.60 2,800,000.00 1,200,000.00 650,147.10 2,622,396.56 1,123,884.24
September 2000...... 33,240,431.24 12,907,515.40 2,800,000.00 1,200,000.00 350,758.88 2,438,397.18 1,045,027.36
October 2000........ 33,434,333.76 12,597,732.16 2,800,000.00 1,200,000.00 60,349.50 2,263,043.59 969,875.83
November 2000....... 33,629,367.37 12,294,961.38 2,800,000.00 1,200,000.00 0.00 1,941,380.59 832,020.25
December 2000....... 33,825,538.68 11,999,144.04 2,800,000.00 1,200,000.00 0.00 1,592,009.12 682,289.62
January 2001........ 34,022,854.32 11,710,221.60 2,800,000.00 1,200,000.00 0.00 1,256,979.65 538,705.57
February 2001....... 34,221,320.97 11,428,135.88 2,800,000.00 1,200,000.00 0.00 936,100.19 401,185.79
March 2001.......... 34,420,945.35 11,152,829.22 2,800,000.00 1,200,000.00 0.00 629,180.80 269,648.92
April 2001.......... 34,621,734.19 10,884,244.38 2,800,000.00 1,200,000.00 0.00 336,033.70 144,014.44
May 2001............ 34,823,694.31 10,622,324.54 2,800,000.00 1,200,000.00 0.00 56,473.10 24,202.76
June 2001........... 35,026,832.53 10,367,013.32 2,800,000.00 1,200,000.00 0.00 0.00 0.00
July 2001........... 35,231,155.72 10,118,254.78 2,800,000.00 1,200,000.00 0.00 0.00 0.00
August 2001......... 35,436,670.79 9,875,993.40 2,800,000.00 1,200,000.00 0.00 0.00 0.00
September 2001...... 35,643,384.70 9,640,174.08 2,800,000.00 1,200,000.00 0.00 0.00 0.00
October 2001........ 35,851,304.45 9,410,742.16 2,800,000.00 1,200,000.00 0.00 0.00 0.00
November 2001....... 36,060,437.06 9,187,643.36 2,800,000.00 1,200,000.00 0.00 0.00 0.00
December 2001....... 36,270,789.61 8,970,823.86 2,800,000.00 1,200,000.00 0.00 0.00 0.00
S-20
<PAGE>
<CAPTION>
FB1 SB1
PZ Class E Class Component Component G Class FA Class SA Class
Distribution Planned Planned Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- -------------- -------------- --------------- --------------- ---------------
<S> <C>
January 2002........ $ 36,482,369.21 $ 8,760,230.24 $ 2,800,000.00 $ 1,200,000.00 $ 0.00 $ 0.00 $ 0.00
February 2002....... 36,695,183.03 8,555,809.44 2,800,000.00 1,200,000.00 0.00 0.00 0.00
March 2002.......... 36,909,238.27 8,357,508.90 2,800,000.00 1,200,000.00 0.00 0.00 0.00
April 2002.......... 37,124,542.16 8,165,276.38 2,800,000.00 1,200,000.00 0.00 0.00 0.00
May 2002............ 37,341,101.99 7,979,060.10 2,800,000.00 1,200,000.00 0.00 0.00 0.00
June 2002........... 37,558,925.08 7,798,808.62 2,800,000.00 1,200,000.00 0.00 0.00 0.00
July 2002........... 37,778,018.81 7,624,470.96 2,800,000.00 1,200,000.00 0.00 0.00 0.00
August 2002......... 37,998,390.59 7,455,996.46 2,800,000.00 1,200,000.00 0.00 0.00 0.00
September 2002...... 38,220,047.87 7,293,334.94 2,800,000.00 1,200,000.00 0.00 0.00 0.00
October 2002........ 38,442,998.15 7,136,436.52 2,800,000.00 1,200,000.00 0.00 0.00 0.00
November 2002....... 38,667,248.97 6,993,779.86 2,800,000.00 1,200,000.00 0.00 0.00 0.00
December 2002....... 38,892,807.92 6,877,483.54 2,800,000.00 1,200,000.00 0.00 0.00 0.00
January 2003........ 39,119,682.63 6,766,895.62 2,800,000.00 1,200,000.00 0.00 0.00 0.00
February 2003....... 39,347,880.78 6,653,310.98 2,800,000.00 1,200,000.00 0.00 0.00 0.00
March 2003.......... 39,577,410.09 6,536,816.50 2,800,000.00 1,200,000.00 0.00 0.00 0.00
April 2003.......... 39,808,278.31 6,417,497.46 2,800,000.00 1,200,000.00 0.00 0.00 0.00
May 2003............ 40,040,493.27 6,295,437.56 2,800,000.00 1,200,000.00 0.00 0.00 0.00
June 2003........... 40,274,062.81 6,170,718.98 2,800,000.00 1,200,000.00 0.00 0.00 0.00
July 2003........... 40,508,994.85 6,043,422.32 2,800,000.00 1,200,000.00 0.00 0.00 0.00
August 2003......... 40,745,297.32 5,913,626.74 2,800,000.00 1,200,000.00 0.00 0.00 0.00
September 2003...... 40,982,978.22 5,781,409.88 2,800,000.00 1,200,000.00 0.00 0.00 0.00
October 2003........ 41,222,045.59 5,646,847.94 2,800,000.00 1,200,000.00 0.00 0.00 0.00
November 2003....... 41,462,507.52 5,510,015.68 2,800,000.00 1,200,000.00 0.00 0.00 0.00
December 2003....... 41,704,372.15 5,370,986.46 2,800,000.00 1,200,000.00 0.00 0.00 0.00
January 2004........ 41,947,647.65 5,229,832.26 2,800,000.00 1,200,000.00 0.00 0.00 0.00
February 2004....... 42,192,342.27 5,086,623.68 2,800,000.00 1,200,000.00 0.00 0.00 0.00
March 2004.......... 42,438,464.26 4,941,429.98 2,800,000.00 1,200,000.00 0.00 0.00 0.00
April 2004.......... 42,686,021.97 4,794,319.12 2,800,000.00 1,200,000.00 0.00 0.00 0.00
May 2004............ 42,935,023.77 4,645,357.74 2,800,000.00 1,200,000.00 0.00 0.00 0.00
June 2004........... 43,185,478.07 4,494,611.22 2,800,000.00 1,200,000.00 0.00 0.00 0.00
July 2004........... 43,437,393.36 4,342,143.66 2,800,000.00 1,200,000.00 0.00 0.00 0.00
August 2004......... 43,690,778.15 4,188,017.92 2,800,000.00 1,200,000.00 0.00 0.00 0.00
September 2004...... 43,945,641.03 4,032,295.68 2,800,000.00 1,200,000.00 0.00 0.00 0.00
October 2004........ 44,201,990.60 3,875,037.36 2,800,000.00 1,200,000.00 0.00 0.00 0.00
November 2004....... 44,459,835.54 3,716,302.24 2,800,000.00 1,200,000.00 0.00 0.00 0.00
December 2004....... 44,719,184.58 3,556,148.46 2,800,000.00 1,200,000.00 0.00 0.00 0.00
January 2005........ 44,980,046.50 3,394,632.96 2,800,000.00 1,200,000.00 0.00 0.00 0.00
February 2005....... 45,242,430.10 3,231,811.62 2,800,000.00 1,200,000.00 0.00 0.00 0.00
March 2005.......... 45,506,344.28 3,067,739.18 2,800,000.00 1,200,000.00 0.00 0.00 0.00
April 2005.......... 45,771,797.95 2,902,469.28 2,800,000.00 1,200,000.00 0.00 0.00 0.00
May 2005............ 46,038,800.10 2,736,054.52 2,800,000.00 1,200,000.00 0.00 0.00 0.00
June 2005........... 46,307,359.77 2,568,546.44 2,800,000.00 1,200,000.00 0.00 0.00 0.00
July 2005........... 46,577,486.04 2,399,995.54 2,800,000.00 1,200,000.00 0.00 0.00 0.00
August 2005......... 46,849,188.04 2,230,451.30 2,800,000.00 1,200,000.00 0.00 0.00 0.00
September 2005...... 47,122,474.97 2,059,962.20 2,800,000.00 1,200,000.00 0.00 0.00 0.00
October 2005........ 47,397,356.07 1,888,575.76 2,800,000.00 1,200,000.00 0.00 0.00 0.00
November 2005....... 47,673,840.65 1,716,338.50 2,800,000.00 1,200,000.00 0.00 0.00 0.00
December 2005....... 47,951,938.05 1,543,296.00 2,800,000.00 1,200,000.00 0.00 0.00 0.00
January 2006........ 48,231,657.69 1,369,492.90 2,800,000.00 1,200,000.00 0.00 0.00 0.00
February 2006....... 48,513,009.03 1,194,972.92 2,800,000.00 1,200,000.00 0.00 0.00 0.00
March 2006.......... 48,796,001.58 1,019,778.86 2,800,000.00 1,200,000.00 0.00 0.00 0.00
April 2006.......... 49,080,644.92 843,952.66 2,800,000.00 1,200,000.00 0.00 0.00 0.00
S-21
<PAGE>
<CAPTION>
FB1 SB1
PZ Class E Class Component Component G Class FA Class SA Class
Distribution Planned Planned Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- -------------- -------------- --------------- --------------- ---------------
<S> <C>
May 2006............ $ 49,366,948.69 $ 667,535.36 $ 2,800,000.00 $ 1,200,000.00 $ 0.00 $ 0.00 $ 0.00
June 2006........... 49,654,922.55 490,567.16 2,800,000.00 1,200,000.00 0.00 0.00 0.00
July 2006........... 49,944,576.27 313,087.38 2,800,000.00 1,200,000.00 0.00 0.00 0.00
August 2006......... 50,235,919.63 135,134.52 2,800,000.00 1,200,000.00 0.00 0.00 0.00
September 2006...... 50,528,962.50 0.00 2,769,722.38 1,187,023.88 0.00 0.00 0.00
October 2006........ 50,823,714.78 0.00 2,644,571.64 1,133,387.84 0.00 0.00 0.00
November 2006....... 51,120,186.45 0.00 2,519,167.20 1,079,643.08 0.00 0.00 0.00
December 2006....... 51,418,387.53 0.00 2,393,533.77 1,025,800.19 0.00 0.00 0.00
January 2007........ 51,718,328.13 0.00 2,267,695.53 971,869.51 0.00 0.00 0.00
February 2007....... 52,020,018.37 0.00 2,141,676.12 917,861.20 0.00 0.00 0.00
March 2007.......... 52,323,468.48 0.00 2,015,498.69 863,785.15 0.00 0.00 0.00
April 2007.......... 52,628,688.71 0.00 1,889,185.86 809,651.08 0.00 0.00 0.00
May 2007............ 52,935,689.40 0.00 1,762,759.74 755,468.46 0.00 0.00 0.00
June 2007........... 53,244,480.92 0.00 1,636,241.95 701,246.55 0.00 0.00 0.00
July 2007........... 53,555,073.73 0.00 1,509,653.66 646,994.42 0.00 0.00 0.00
August 2007......... 53,867,478.32 0.00 1,383,015.52 592,720.94 0.00 0.00 0.00
September 2007...... 54,181,705.28 0.00 1,256,347.75 538,434.75 0.00 0.00 0.00
October 2007........ 54,497,765.23 0.00 1,129,670.07 484,144.31 0.00 0.00 0.00
November 2007....... 54,815,668.86 0.00 1,003,001.78 429,857.90 0.00 0.00 0.00
December 2007....... 55,135,426.93 0.00 876,361.72 375,583.60 0.00 0.00 0.00
January 2008........ 55,457,050.25 0.00 749,768.29 321,329.27 0.00 0.00 0.00
February 2008....... 55,780,549.71 0.00 623,239.50 267,102.64 0.00 0.00 0.00
March 2008.......... 56,105,936.25 0.00 496,792.87 212,911.23 0.00 0.00 0.00
April 2008.......... 56,433,220.88 0.00 370,445.56 158,762.38 0.00 0.00 0.00
May 2008............ 56,762,414.67 0.00 244,214.29 104,663.27 0.00 0.00 0.00
June 2008........... 57,093,528.75 0.00 118,115.42 50,620.90 0.00 0.00 0.00
July 2008........... 57,426,574.34 0.00 0.00 0.00 0.00 0.00 0.00
August 2008......... 57,761,562.69 0.00 0.00 0.00 0.00 0.00 0.00
September 2008...... 58,098,505.14 0.00 0.00 0.00 0.00 0.00 0.00
October 2008........ 58,437,413.08 0.00 0.00 0.00 0.00 0.00 0.00
November 2008....... 58,778,297.99 0.00 0.00 0.00 0.00 0.00 0.00
December 2008....... 59,121,171.40 0.00 0.00 0.00 0.00 0.00 0.00
January 2009........ 59,466,044.90 0.00 0.00 0.00 0.00 0.00 0.00
February 2009....... 59,812,930.16 0.00 0.00 0.00 0.00 0.00 0.00
March 2009.......... 60,161,838.92 0.00 0.00 0.00 0.00 0.00 0.00
April 2009.......... 60,512,782.98 0.00 0.00 0.00 0.00 0.00 0.00
May 2009............ 60,865,774.21 0.00 0.00 0.00 0.00 0.00 0.00
June 2009........... 61,220,824.56 0.00 0.00 0.00 0.00 0.00 0.00
July 2009........... 61,577,946.04 0.00 0.00 0.00 0.00 0.00 0.00
August 2009......... 61,937,150.72 0.00 0.00 0.00 0.00 0.00 0.00
September 2009...... 62,298,450.77 0.00 0.00 0.00 0.00 0.00 0.00
October 2009........ 62,661,858.40 0.00 0.00 0.00 0.00 0.00 0.00
November 2009....... 63,027,385.91 0.00 0.00 0.00 0.00 0.00 0.00
December 2009....... 63,395,045.66 0.00 0.00 0.00 0.00 0.00 0.00
January 2010........ 63,764,850.09 0.00 0.00 0.00 0.00 0.00 0.00
February 2010....... 64,136,811.72 0.00 0.00 0.00 0.00 0.00 0.00
March 2010.......... 64,510,943.12 0.00 0.00 0.00 0.00 0.00 0.00
April 2010.......... 64,887,256.95 0.00 0.00 0.00 0.00 0.00 0.00
May 2010............ 65,265,765.95 0.00 0.00 0.00 0.00 0.00 0.00
June 2010........... 65,646,482.92 0.00 0.00 0.00 0.00 0.00 0.00
July 2010........... 66,029,420.74 0.00 0.00 0.00 0.00 0.00 0.00
August 2010......... 65,341,010.18 0.00 0.00 0.00 0.00 0.00 0.00
S-22
<PAGE>
<CAPTION>
FB1 SB1
PZ Class E Class Component Component G Class FA Class SA Class
Distribution Planned Planned Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- -------------- -------------- --------------- --------------- ---------------
<S> <C>
September 2010...... $ 64,298,777.76 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
October 2010........ 63,270,535.64 0.00 0.00 0.00 0.00 0.00 0.00
November 2010....... 62,256,107.38 0.00 0.00 0.00 0.00 0.00 0.00
December 2010....... 61,255,318.66 0.00 0.00 0.00 0.00 0.00 0.00
January 2011........ 60,267,997.34 0.00 0.00 0.00 0.00 0.00 0.00
February 2011....... 59,293,973.38 0.00 0.00 0.00 0.00 0.00 0.00
March 2011.......... 58,333,078.84 0.00 0.00 0.00 0.00 0.00 0.00
April 2011.......... 57,385,147.82 0.00 0.00 0.00 0.00 0.00 0.00
May 2011............ 56,450,016.48 0.00 0.00 0.00 0.00 0.00 0.00
June 2011........... 55,527,523.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2011........... 54,617,507.52 0.00 0.00 0.00 0.00 0.00 0.00
August 2011......... 53,719,812.18 0.00 0.00 0.00 0.00 0.00 0.00
September 2011...... 52,834,281.04 0.00 0.00 0.00 0.00 0.00 0.00
October 2011........ 51,960,760.10 0.00 0.00 0.00 0.00 0.00 0.00
November 2011....... 51,099,097.22 0.00 0.00 0.00 0.00 0.00 0.00
December 2011....... 50,249,142.16 0.00 0.00 0.00 0.00 0.00 0.00
January 2012........ 49,410,746.54 0.00 0.00 0.00 0.00 0.00 0.00
February 2012....... 48,583,763.78 0.00 0.00 0.00 0.00 0.00 0.00
March 2012.......... 47,768,049.12 0.00 0.00 0.00 0.00 0.00 0.00
April 2012.......... 46,963,459.56 0.00 0.00 0.00 0.00 0.00 0.00
May 2012............ 46,169,853.90 0.00 0.00 0.00 0.00 0.00 0.00
June 2012........... 45,387,092.64 0.00 0.00 0.00 0.00 0.00 0.00
July 2012........... 44,615,038.02 0.00 0.00 0.00 0.00 0.00 0.00
August 2012......... 43,853,553.98 0.00 0.00 0.00 0.00 0.00 0.00
September 2012...... 43,102,506.14 0.00 0.00 0.00 0.00 0.00 0.00
October 2012........ 42,361,761.76 0.00 0.00 0.00 0.00 0.00 0.00
November 2012....... 41,631,189.76 0.00 0.00 0.00 0.00 0.00 0.00
December 2012....... 40,910,660.64 0.00 0.00 0.00 0.00 0.00 0.00
January 2013........ 40,200,046.52 0.00 0.00 0.00 0.00 0.00 0.00
February 2013....... 39,499,221.12 0.00 0.00 0.00 0.00 0.00 0.00
March 2013.......... 38,808,059.68 0.00 0.00 0.00 0.00 0.00 0.00
April 2013.......... 38,126,438.98 0.00 0.00 0.00 0.00 0.00 0.00
May 2013............ 37,454,237.36 0.00 0.00 0.00 0.00 0.00 0.00
June 2013........... 36,791,334.62 0.00 0.00 0.00 0.00 0.00 0.00
July 2013........... 36,137,612.06 0.00 0.00 0.00 0.00 0.00 0.00
August 2013......... 35,492,952.46 0.00 0.00 0.00 0.00 0.00 0.00
September 2013...... 34,857,240.04 0.00 0.00 0.00 0.00 0.00 0.00
October 2013........ 34,230,360.42 0.00 0.00 0.00 0.00 0.00 0.00
November 2013....... 33,612,200.68 0.00 0.00 0.00 0.00 0.00 0.00
December 2013....... 33,002,649.26 0.00 0.00 0.00 0.00 0.00 0.00
January 2014........ 32,401,596.00 0.00 0.00 0.00 0.00 0.00 0.00
February 2014....... 31,808,932.10 0.00 0.00 0.00 0.00 0.00 0.00
March 2014.......... 31,224,550.10 0.00 0.00 0.00 0.00 0.00 0.00
April 2014.......... 30,648,343.86 0.00 0.00 0.00 0.00 0.00 0.00
May 2014............ 30,080,208.56 0.00 0.00 0.00 0.00 0.00 0.00
June 2014........... 29,520,040.70 0.00 0.00 0.00 0.00 0.00 0.00
July 2014........... 28,967,738.02 0.00 0.00 0.00 0.00 0.00 0.00
August 2014......... 28,423,199.56 0.00 0.00 0.00 0.00 0.00 0.00
September 2014...... 27,886,325.58 0.00 0.00 0.00 0.00 0.00 0.00
October 2014........ 27,357,017.60 0.00 0.00 0.00 0.00 0.00 0.00
November 2014....... 26,835,178.36 0.00 0.00 0.00 0.00 0.00 0.00
December 2014....... 26,320,711.78 0.00 0.00 0.00 0.00 0.00 0.00
S-23
<PAGE>
<CAPTION>
FB1 SB1
PZ Class E Class Component Component G Class FA Class SA Class
Distribution Planned Planned Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- -------------- -------------- --------------- --------------- ---------------
<S> <C>
January 2015........ $ 25,813,523.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
February 2015....... 25,313,518.30 0.00 0.00 0.00 0.00 0.00 0.00
March 2015.......... 24,820,605.16 0.00 0.00 0.00 0.00 0.00 0.00
April 2015.......... 24,334,692.18 0.00 0.00 0.00 0.00 0.00 0.00
May 2015............ 23,855,689.12 0.00 0.00 0.00 0.00 0.00 0.00
June 2015........... 23,383,506.82 0.00 0.00 0.00 0.00 0.00 0.00
July 2015........... 22,918,057.26 0.00 0.00 0.00 0.00 0.00 0.00
August 2015......... 22,459,253.52 0.00 0.00 0.00 0.00 0.00 0.00
September 2015...... 22,007,009.72 0.00 0.00 0.00 0.00 0.00 0.00
October 2015........ 21,561,241.06 0.00 0.00 0.00 0.00 0.00 0.00
November 2015....... 21,121,863.80 0.00 0.00 0.00 0.00 0.00 0.00
December 2015....... 20,688,795.26 0.00 0.00 0.00 0.00 0.00 0.00
January 2016........ 20,261,953.74 0.00 0.00 0.00 0.00 0.00 0.00
February 2016....... 19,841,258.60 0.00 0.00 0.00 0.00 0.00 0.00
March 2016.......... 19,426,630.18 0.00 0.00 0.00 0.00 0.00 0.00
April 2016.......... 19,017,989.80 0.00 0.00 0.00 0.00 0.00 0.00
May 2016............ 18,615,259.78 0.00 0.00 0.00 0.00 0.00 0.00
June 2016........... 18,218,363.40 0.00 0.00 0.00 0.00 0.00 0.00
July 2016........... 17,827,224.90 0.00 0.00 0.00 0.00 0.00 0.00
August 2016......... 17,441,769.44 0.00 0.00 0.00 0.00 0.00 0.00
September 2016...... 17,061,923.12 0.00 0.00 0.00 0.00 0.00 0.00
October 2016........ 16,687,612.98 0.00 0.00 0.00 0.00 0.00 0.00
November 2016....... 16,318,766.96 0.00 0.00 0.00 0.00 0.00 0.00
December 2016....... 15,955,313.88 0.00 0.00 0.00 0.00 0.00 0.00
January 2017........ 15,597,183.46 0.00 0.00 0.00 0.00 0.00 0.00
February 2017....... 15,244,306.30 0.00 0.00 0.00 0.00 0.00 0.00
March 2017.......... 14,896,613.84 0.00 0.00 0.00 0.00 0.00 0.00
April 2017.......... 14,554,038.42 0.00 0.00 0.00 0.00 0.00 0.00
May 2017............ 14,216,513.18 0.00 0.00 0.00 0.00 0.00 0.00
June 2017........... 13,883,972.12 0.00 0.00 0.00 0.00 0.00 0.00
July 2017........... 13,556,350.04 0.00 0.00 0.00 0.00 0.00 0.00
August 2017......... 13,233,582.58 0.00 0.00 0.00 0.00 0.00 0.00
September 2017...... 12,915,606.16 0.00 0.00 0.00 0.00 0.00 0.00
October 2017........ 12,602,358.02 0.00 0.00 0.00 0.00 0.00 0.00
November 2017....... 12,293,776.16 0.00 0.00 0.00 0.00 0.00 0.00
December 2017....... 11,989,799.38 0.00 0.00 0.00 0.00 0.00 0.00
January 2018........ 11,690,367.20 0.00 0.00 0.00 0.00 0.00 0.00
February 2018....... 11,395,419.94 0.00 0.00 0.00 0.00 0.00 0.00
March 2018.......... 11,104,898.66 0.00 0.00 0.00 0.00 0.00 0.00
April 2018.......... 10,818,745.14 0.00 0.00 0.00 0.00 0.00 0.00
May 2018............ 10,536,901.88 0.00 0.00 0.00 0.00 0.00 0.00
June 2018........... 10,259,312.12 0.00 0.00 0.00 0.00 0.00 0.00
July 2018........... 9,985,919.82 0.00 0.00 0.00 0.00 0.00 0.00
August 2018......... 9,716,669.62 0.00 0.00 0.00 0.00 0.00 0.00
September 2018...... 9,451,506.84 0.00 0.00 0.00 0.00 0.00 0.00
October 2018........ 9,190,377.52 0.00 0.00 0.00 0.00 0.00 0.00
November 2018....... 8,933,228.38 0.00 0.00 0.00 0.00 0.00 0.00
December 2018....... 8,680,006.76 0.00 0.00 0.00 0.00 0.00 0.00
January 2019........ 8,430,660.70 0.00 0.00 0.00 0.00 0.00 0.00
February 2019....... 8,185,138.88 0.00 0.00 0.00 0.00 0.00 0.00
March 2019.......... 7,943,390.62 0.00 0.00 0.00 0.00 0.00 0.00
April 2019.......... 7,705,365.88 0.00 0.00 0.00 0.00 0.00 0.00
S-24
<PAGE>
<CAPTION>
FB1 SB1
PZ Class E Class Component Component G Class FA Class SA Class
Distribution Planned Planned Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- -------------- -------------- --------------- --------------- ---------------
<S> <C>
May 2019............ $ 7,471,015.24 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
June 2019........... 7,240,289.92 0.00 0.00 0.00 0.00 0.00 0.00
July 2019........... 7,013,141.74 0.00 0.00 0.00 0.00 0.00 0.00
August 2019......... 6,789,523.12 0.00 0.00 0.00 0.00 0.00 0.00
September 2019...... 6,569,387.10 0.00 0.00 0.00 0.00 0.00 0.00
October 2019........ 6,352,687.28 0.00 0.00 0.00 0.00 0.00 0.00
November 2019....... 6,139,377.86 0.00 0.00 0.00 0.00 0.00 0.00
December 2019....... 5,929,413.60 0.00 0.00 0.00 0.00 0.00 0.00
January 2020........ 5,722,749.86 0.00 0.00 0.00 0.00 0.00 0.00
February 2020....... 5,519,342.54 0.00 0.00 0.00 0.00 0.00 0.00
March 2020.......... 5,319,148.10 0.00 0.00 0.00 0.00 0.00 0.00
April 2020.......... 5,122,123.54 0.00 0.00 0.00 0.00 0.00 0.00
May 2020............ 4,928,226.42 0.00 0.00 0.00 0.00 0.00 0.00
June 2020........... 4,737,414.82 0.00 0.00 0.00 0.00 0.00 0.00
July 2020........... 4,549,647.36 0.00 0.00 0.00 0.00 0.00 0.00
August 2020......... 4,364,883.16 0.00 0.00 0.00 0.00 0.00 0.00
September 2020...... 4,183,081.88 0.00 0.00 0.00 0.00 0.00 0.00
October 2020........ 4,004,203.68 0.00 0.00 0.00 0.00 0.00 0.00
November 2020....... 3,828,209.22 0.00 0.00 0.00 0.00 0.00 0.00
December 2020....... 3,655,059.66 0.00 0.00 0.00 0.00 0.00 0.00
January 2021........ 3,484,716.64 0.00 0.00 0.00 0.00 0.00 0.00
February 2021....... 3,317,142.32 0.00 0.00 0.00 0.00 0.00 0.00
March 2021.......... 3,152,299.28 0.00 0.00 0.00 0.00 0.00 0.00
April 2021.......... 2,990,150.62 0.00 0.00 0.00 0.00 0.00 0.00
May 2021............ 2,830,659.90 0.00 0.00 0.00 0.00 0.00 0.00
June 2021........... 2,673,791.12 0.00 0.00 0.00 0.00 0.00 0.00
July 2021........... 2,519,508.76 0.00 0.00 0.00 0.00 0.00 0.00
August 2021......... 2,367,777.72 0.00 0.00 0.00 0.00 0.00 0.00
September 2021...... 2,218,563.38 0.00 0.00 0.00 0.00 0.00 0.00
October 2021........ 2,071,831.54 0.00 0.00 0.00 0.00 0.00 0.00
November 2021....... 1,927,548.44 0.00 0.00 0.00 0.00 0.00 0.00
December 2021....... 1,785,680.72 0.00 0.00 0.00 0.00 0.00 0.00
January 2022........ 1,646,195.50 0.00 0.00 0.00 0.00 0.00 0.00
February 2022....... 1,509,060.26 0.00 0.00 0.00 0.00 0.00 0.00
March 2022.......... 1,374,242.92 0.00 0.00 0.00 0.00 0.00 0.00
April 2022.......... 1,241,711.80 0.00 0.00 0.00 0.00 0.00 0.00
May 2022............ 1,111,435.64 0.00 0.00 0.00 0.00 0.00 0.00
June 2022........... 983,383.56 0.00 0.00 0.00 0.00 0.00 0.00
July 2022........... 857,525.08 0.00 0.00 0.00 0.00 0.00 0.00
August 2022......... 733,830.10 0.00 0.00 0.00 0.00 0.00 0.00
September 2022...... 612,268.90 0.00 0.00 0.00 0.00 0.00 0.00
October 2022........ 503,845.48 0.00 0.00 0.00 0.00 0.00 0.00
November 2022....... 397,301.96 0.00 0.00 0.00 0.00 0.00 0.00
December 2022....... 303,566.30 0.00 0.00 0.00 0.00 0.00 0.00
January 2023........ 211,464.92 0.00 0.00 0.00 0.00 0.00 0.00
February 2023....... 131,867.26 0.00 0.00 0.00 0.00 0.00 0.00
March 2023.......... 53,666.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2023 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
S-25
<PAGE>
Characteristics of the R and RL Classes
The R and RL Certificates will not have principal balances and will not
bear interest. The Holder of the R Certificate will be entitled to receive the
proceeds of the remaining assets of the Trust, if any, after the principal
balances of all Classes have been reduced to zero, and the Holder of the RL
Certificate will be entitled to receive the proceeds of the remaining assets
of the Lower Tier REMIC, if any, after the principal balances of the Lower
Tier Interests have been reduced to zero. It is not anticipated that there
will be any material assets remaining in either such circumstance.
The R Class and the RL Class will be subject to certain transfer
restrictions. No transfer of record or beneficial ownership of an R or RL
Certificate will be allowed to a "disqualified organization." In addition, no
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to any person that is not a "U.S. Person" without the written consent
of Fannie Mae. Under regulations issued by the Treasury Department on December
23, 1992 (the "Regulations"), a transfer of a "noneconomic residual interest"
to a U.S. Person will be disregarded for all federal tax purposes unless no
significant purpose of the transfer is to impede the assessment or collection
of tax. The R and RL Certificates will constitute noneconomic residual
interests under the Regulations. Any transferee of an R or RL Certificate must
execute and deliver an affidavit and an Internal Revenue Service Form W-9 on
which the transferee provides its taxpayer identification number. See
"Description of the Certificates--Additional Characteristics of Residual
Certificates" and "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Residual Certificates" in the REMIC Prospectus.
Transferors of an R or RL Certificate should consult with their own tax
advisors for further information regarding such transfers.
The Holder of the R Certificate will be considered to be the holder of
the "residual interest" in the REMIC constituted by the Trust, and the Holder
of the RL Certificate will be considered to be the holder of the "residual
interest" in the REMIC constituted by the Lower Tier REMIC. See "Certain
Federal Income Tax Consequences" in the REMIC Prospectus. Pursuant to the
Trust Agreement, Fannie Mae will be obligated to provide to such Holders (i)
such information as is necessary to enable them to prepare their federal
income tax returns and (ii) any reports regarding the Certificates that may be
required under the Code.
Yield Considerations
General. There can be no assurance that the Mortgage Loans will have the
characteristics assumed herein or will prepay at any of the rates assumed
herein or at any other particular rate, that the pre-tax yields on the
Certificates will correspond to any of the pre-tax yields shown herein or that
the aggregate purchase prices of the Certificates will be as assumed. In
addition, there can be no assurance that the applicable Index will correspond
to the levels shown herein. Because the rate of principal distributions on the
Certificates will be related to the amortization of the Mortgage Loans in each
Pool, which are likely to include Mortgage Loans that have remaining terms to
maturity shorter or longer than those assumed and interest rates higher or
lower than those assumed, the principal distributions on the Certificates are
likely to differ from those assumed, even if all Mortgage Loans prepay at the
indicated constant percentages of PSA. In addition, it is not likely that the
Mortgage Loans will prepay at a constant PSA rate until maturity, that all of
such Mortgage Loans will prepay at the same rate or that the level of the
applicable Index will remain constant.
The timing of changes in the rate of prepayments or the level of the
applicable Index may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments or the average
level of such Index is consistent with the expectations of investors. In
general, the earlier the payment of principal of the Mortgage Loans or change
in the level of an Index, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal
prepayments or the level of an Index occurring at a rate or level higher (or
lower) than the rate or level anticipated by the investor during the period
immediately following the issuance of the
S-26
<PAGE>
Certificates will not be offset by a subsequent like reduction (or increase)
in the rate of principal prepayments or level of such Index.
The effective yield on the Delay Classes will be reduced below the yield
otherwise produced because principal and interest payable on a Distribution
Date will not be distributed until the 25th day following the end of the
related Interest Accrual Period and will not bear interest during such delay.
No interest at all will be paid on any Class after its principal balance has
been reduced to zero. As a result of the foregoing, the market value of the
Delay Classes will be lower than would have been the case if there were no
such delay. Investors must make their own decisions as to the appropriate
assumptions, including prepayment assumptions, to be used in deciding whether
to purchase the Certificates.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of certain Classes to various constant
percentages of PSA and, where specified, to changes in the applicable Index.
The yields set forth in the tables were calculated by determining the monthly
discount rates that, when applied to the assumed streams of cash flows to be
paid on the applicable Classes, would cause the discounted present value of
such assumed streams of cash flows to equal the assumed aggregate purchase
prices of such Classes 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 Certificates and consequently
do not purport to reflect the return on any investment in the Certificates
when such reinvestment rates are considered.
The Interest Only Classes. As indicated in the table below, the yield to
investors in the Interest Only Classes will be sensitive to the rate of
principal payments (including prepayments) of the Mortgage Loans, which
generally can be prepaid at any time. On the basis of the assumptions
described below, the yields to maturity on the PV and PW Classes would each be
0% if prepayments were to occur at constant rates of approximately 420% PSA
and 425% PSA, respectively. If the actual prepayment rate of the Mortgage
Loans were to exceed any of the foregoing levels for as little as one month
while equaling such level for the remaining months, the investors in the PV
and PW Classes, as applicable, would not fully recoup their initial
investments.
The information set forth in the following table was prepared on the
basis of the Pricing Assumptions and the assumption that the aggregate
purchase prices of the PV and PW Classes (expressed as percentages of original
notional principal balance) are as follows:
Class Price*
------------------ ----------
PV ....................................................... 19.65625%
PW........................................................ 42.01563%
-------------------------------
* The price does not include accrued interest. Accrued
interest has been added to such price in calculating the
yield set forth in the table below.
Sensitivity of the PV and PW Classes to Prepayments
(Pre-Tax Yields to Maturity)
PSA Percentages....... 50% 95% 175% 225% 500%
------ ------ ------ ------ -------
PV ................... 20.7% 10.5% 10.5% 10.5% (6.1)%
PW.................... 13.8% 10.5% 10.5% 10.5% (4.5)%
The Inverse Floating Rate Classes. The yields to investors in the
Inverse Floating Rate Classes will be sensitive in varying degrees to the
level of the Index and to the rate of principal payments (including
prepayments) of the Mortgage Loans, which generally can be prepaid at any
time. As indicated in the tables below, a high level of the Index will have a
negative effect on the yields to investors in the Inverse Floating Rate
Classes. It is possible that, under certain high Index and/or high prepayment
scenarios, investors in the PS Class would not fully recoup their initial
investments.
S-27
<PAGE>
Changes in the applicable Index may not correlate with changes in
prevailing mortgage interest rates. It is possible that lower prevailing
mortgage interest rates, which might be expected to result in faster
prepayments, could occur concurrently with an increased level of such Index.
The information in the following tables was prepared on the basis of the
Pricing Assumptions and the assumptions that (i) the interest rates applicable
to the Inverse Floating Rate Classes for each Interest Accrual Period
subsequent to their initial Interest Accrual Period will be based on the
indicated level of the applicable Index and (ii) the aggregate purchase prices
of the Inverse Floating Rate Classes (expressed as percentages of original
principal balance) are as follows:
Class Price*
------------------------------ --------
SA.......................................................... 93.0000%
SB.......................................................... 91.5000%
PS.......................................................... 14.9375%
-------------------------------
* The prices do not include accrued interest. Accrued interest
has been added to such prices in calculating the yields set
forth in the tables below.
Sensitivity of the SA Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 95% 175% 225% 500%
- ---------------------- ------ ------ ------ ------ ------
1.125%................ 20.1% 20.1% 21.9% 22.0% 24.9%
3.125%................ 14.8% 14.9% 16.8% 16.8% 19.9%
5.125%................ 9.6% 9.7% 11.7% 11.8% 15.0%
7.125%................ 4.6% 4.6% 6.7% 6.8% 10.2%
8.850%................ 0.3% 0.4% 2.5% 2.6% 6.0%
Sensitivity of the SB Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------------------------------
LIBOR 50% 95% 115% 175% 205% 225% 500%
- ---------------------- ------- ------- ------- ------- ------- ------- -------
<S> <C>
1.125%................ 20.2% 20.2% 20.2% 20.3% 21.4% 23.0% 31.2%
3.125%................ 14.8% 14.8% 14.8% 14.9% 16.1% 17.7% 26.2%
5.125%................ 9.5% 9.5% 9.6% 9.7% 10.7% 12.6% 21.3%
7.125%................ 4.4% 4.4% 4.4% 4.6% 5.5% 7.6% 16.4%
8.750%................ 0.4% 0.4% 0.4% 0.5% 1.3% 3.5% 12.5%
</TABLE>
Sensitivity of the PS Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
----------------------------------------------------
LIBOR 50% 95% 175% 225% 500%
- ---------------------- ------- ------- ------- ------- --------
[S] [C]
1.125%................ 50.1% 45.5% 45.5% 45.5% 35.5%
3.125%................ 33.4% 28.0% 28.0% 28.0% 15.5%
5.125%................ 16.5% 10.3% 10.3% 10.3% (5.7)%
7.125%................ (1.6)% (8.7)% (8.7)% (8.7)% (30.1)%
9.000%................ * * * * *
- -------------------------------
* The pre-tax yield to maturity would be less than (99.9)%.
S-28
<PAGE>
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a)
multiplying the amount of the reduction, if any, of the principal balance of
such Certificate from one Distribution Date to the next Distribution Date by
the number of years from the date of issuance to the second such Distribution
Date, (b) summing the results and (c) dividing the sum by the aggregate amount
of the reductions in principal balance of such Certificate referred to in
clause (a). For a description of the factors which may influence the weighted
average life of a Certificate, see "Description of the Certificates-- Weighted
Average Life and Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including the timing of changes in such rate of principal
payments, the priority sequence of distributions of principal of the Classes
and the distribution of principal of certain Classes in accordance with the
Principal Balance Schedules herein. In particular, if the amount distributable
as principal of the Certificates on any Distribution Date exceeds the amount
required to reduce the principal balances of certain Classes with higher
principal payment priorities to their respective scheduled amounts as set
forth in the Principal Balance Schedules, such excess principal will be
distributed on the remaining Classes on such Distribution Date. Conversely, if
the principal distributable on any Distribution Date is less than the amount
so required to reduce certain Classes to their respective scheduled amounts,
no principal will be distributed on the remaining Classes on such Distribution
Date. Accordingly, the rate of principal payments on the Mortgage Loans is
expected to have a greater effect on the weighted average lives of the Support
Components and, under certain prepayment scenarios, the TAC Classes and the
PAC II Classes, than on the weighted average lives of the PAC I Classes. See
"Distributions of Principal" herein.
The interaction of the foregoing factors may have different effects on
various Classes and the effects on any Class may vary at different times
during the life of such Class. Accordingly, no assurance can be given as to
the weighted average life of any Class. Further, to the extent the prices of
the Certificates represent discounts or premiums to their respective original
principal balances, variability in the weighted average lives of such Classes
of Certificates could result in variability in the related yields to maturity.
For an example of how the weighted average lives of the Classes may be
affected at various constant prepayment rates, see the Decrement Tables below.
As described under "General--Components" herein, for purposes of
calculating payments of principal, certain Classes are comprised of multiple
Components. Since such Components are not divisible, the payment
characteristics of such Classes will reflect a combination of the payment
characteristics of the related Components.
S-29
<PAGE>
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of
the Pricing Assumptions, except that with respect to the information set forth
for each such Class under 0% PSA it has been assumed that each underlying
Mortgage Loan bears an interest rate of 9.50% per annum and has an original
and remaining term to maturity of 360 months. It is not likely that (i) all of
the underlying Mortgage Loans will have the interest rates, CAGEs or remaining
terms to maturity assumed or (ii) the underlying Mortgage Loans will prepay at
a constant PSA level. In addition, the diverse remaining terms to maturity of
the Mortgage Loans (which will include recently originated Mortgage Loans)
could produce slower or faster principal distributions than indicated in the
tables at the specified constant PSA levels, even if the distributions of the
weighted average remaining terms to maturity and the weighted average CAGEs of
the Mortgage Loans are identical to the distributions of the remaining terms
to maturity and CAGEs specified in the Pricing Assumptions.
S-30
<PAGE>
Percent of Original Principal Balances Outstanding
<TABLE>
<CAPTION>
PA Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 31 0 0 0 0
May 1996............ 0 0 0 0 0
May 1997............ 0 0 0 0 0
May 1998............ 0 0 0 0 0
May 1999............ 0 0 0 0 0
May 2000............ 0 0 0 0 0
May 2001............ 0 0 0 0 0
May 2002............ 0 0 0 0 0
May 2003............ 0 0 0 0 0
May 2004............ 0 0 0 0 0
May 2005............ 0 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 1.8 1.3 1.3 1.3 1.3
<CAPTION>
PJ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 79 0 0 0 0
May 1996............ 52 0 0 0 0
May 1997............ 22 0 0 0 0
May 1998............ 0 0 0 0 0
May 1999............ 0 0 0 0 0
May 2000............ 0 0 0 0 0
May 2001............ 0 0 0 0 0
May 2002............ 0 0 0 0 0
May 2003............ 0 0 0 0 0
May 2004............ 0 0 0 0 0
May 2005............ 0 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 3.1 1.5 1.5 1.5 1.5
<CAPTION>
PK Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 82 82 82 82
May 1996............ 100 5 5 5 0
May 1997............ 100 0 0 0 0
May 1998............ 96 0 0 0 0
May 1999............ 84 0 0 0 0
May 2000............ 70 0 0 0 0
May 2001............ 55 0 0 0 0
May 2002............ 39 0 0 0 0
May 2003............ 21 0 0 0 0
May 2004............ 1 0 0 0 0
May 2005............ 0 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 8.2 2.4 2.4 2.4 2.3
<CAPTION>
PB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 73 73 73 73
May 1996............ 96 24 24 24 0
May 1997............ 90 0 0 0 0
May 1998............ 82 0 0 0 0
May 1999............ 74 0 0 0 0
May 2000............ 66 0 0 0 0
May 2001............ 56 0 0 0 0
May 2002............ 46 0 0 0 0
May 2003............ 34 0 0 0 0
May 2004............ 22 0 0 0 0
May 2005............ 8 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 8.3 2.5 2.5 2.5 2.3
<CAPTION>
PL Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 0
May 1997............ 100 0 0 0 0
May 1998............ 100 0 0 0 0
May 1999............ 100 0 0 0 0
May 2000............ 100 0 0 0 0
May 2001............ 100 0 0 0 0
May 2002............ 100 0 0 0 0
May 2003............ 100 0 0 0 0
May 2004............ 100 0 0 0 0
May 2005............ 59 0 0 0 0
May 2006............ 12 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 12.2 3.4 3.4 3.4 2.7
<CAPTION>
PC Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 19
May 1997............ 100 66 66 66 0
May 1998............ 100 0 0 0 0
May 1999............ 100 0 0 0 0
May 2000............ 100 0 0 0 0
May 2001............ 100 0 0 0 0
May 2002............ 100 0 0 0 0
May 2003............ 100 0 0 0 0
May 2004............ 100 0 0 0 0
May 2005............ 100 0 0 0 0
May 2006............ 88 0 0 0 0
May 2007............ 63 0 0 0 0
May 2008............ 35 0 0 0 0
May 2009............ 5 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 14.5 4.3 4.3 4.3 2.9
<CAPTION>
PM Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 23
May 1997............ 100 80 80 80 0
May 1998............ 100 0 0 0 0
May 1999............ 100 0 0 0 0
May 2000............ 100 0 0 0 0
May 2001............ 100 0 0 0 0
May 2002............ 100 0 0 0 0
May 2003............ 100 0 0 0 0
May 2004............ 100 0 0 0 0
May 2005............ 100 0 0 0 0
May 2006............ 100 0 0 0 0
May 2007............ 77 0 0 0 0
May 2008............ 43 0 0 0 0
May 2009............ 5 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 14.8 4.4 4.4 4.4 2.9
<CAPTION>
PF and PS+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 98 88 88 88 88
May 1996............ 95 71 71 71 47
May 1997............ 93 56 56 56 22
May 1998............ 90 43 43 43 12
May 1999............ 87 33 33 33 8
May 2000............ 83 25 25 25 4
May 2001............ 80 19 19 19 2
May 2002............ 76 13 13 13 0
May 2003............ 71 10 10 10 0
May 2004............ 67 8 8 8 0
May 2005............ 62 6 6 6 0
May 2006............ 57 4 4 4 0
May 2007............ 52 3 3 3 0
May 2008............ 47 2 2 2 0
May 2009............ 41 1 1 1 0
May 2010............ 36 * * * 0
May 2011............ 30 0 0 0 0
May 2012............ 25 0 0 0 0
May 2013............ 20 0 0 0 0
May 2014............ 15 0 0 0 0
May 2015............ 11 0 0 0 0
May 2016............ 8 0 0 0 0
May 2017............ 5 0 0 0 0
May 2018............ 2 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 14.0 5.3 5.3 5.3 3.4
</TABLE>
- ---------------
* Indicates an amount above zero and less than 0.5% of the original principal
balance is outstanding.
** The weighted average life of a REMIC Certificate is determined as specified
under "Weighted Average Lives of the REMIC Certificates" herein.
+ In the case of a Notional Class, the Decrement Table indicates the
percentage of the original notional principal balance outstanding.
S-31
<PAGE>
PD Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
<TABLE>
<CAPTION>
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 0
May 1998............ 100 99 99 99 0
May 1999............ 100 39 39 39 0
May 2000............ 100 0 0 0 0
May 2001............ 100 0 0 0 0
May 2002............ 100 0 0 0 0
May 2003............ 100 0 0 0 0
May 2004............ 100 0 0 0 0
May 2005............ 100 0 0 0 0
May 2006............ 100 0 0 0 0
May 2007............ 100 0 0 0 0
May 2008............ 100 0 0 0 0
May 2009............ 100 0 0 0 0
May 2010............ 72 0 0 0 0
May 2011............ 37 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 17.6 5.8 5.8 5.8 3.4
<CAPTION>
PE and PN Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 58
May 1998............ 100 100 100 100 0
May 1999............ 100 100 100 100 0
May 2000............ 100 86 86 86 0
May 2001............ 100 44 44 44 0
May 2002............ 100 4 4 4 0
May 2003............ 100 0 0 0 0
May 2004............ 100 0 0 0 0
May 2005............ 100 0 0 0 0
May 2006............ 100 0 0 0 0
May 2007............ 100 0 0 0 0
May 2008............ 100 0 0 0 0
May 2009............ 100 0 0 0 0
May 2010............ 100 0 0 0 0
May 2011............ 100 0 0 0 0
May 2012............ 99 0 0 0 0
May 2013............ 66 0 0 0 0
May 2014............ 29 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 20.4 7.9 7.9 7.9 4.1
<CAPTION>
PG and PT Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 100
May 1998............ 100 100 100 100 70
May 1999............ 100 100 100 100 15
May 2000............ 100 100 100 100 0
May 2001............ 100 100 100 100 0
May 2002............ 100 100 100 100 0
May 2003............ 100 72 72 72 0
May 2004............ 100 44 44 44 0
May 2005............ 100 20 20 20 0
May 2006............ 100 0 0 0 0
May 2007............ 100 0 0 0 0
May 2008............ 100 0 0 0 0
May 2009............ 100 0 0 0 0
May 2010............ 100 0 0 0 0
May 2011............ 100 0 0 0 0
May 2012............ 100 0 0 0 0
May 2013............ 100 0 0 0 0
May 2014............ 100 0 0 0 0
May 2015............ 91 0 0 0 0
May 2016............ 53 0 0 0 0
May 2017............ 12 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 23.1 10.9 10.9 10.9 5.4
<CAPTION>
PH Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 100
May 1998............ 100 100 100 100 100
May 1999............ 100 100 100 100 100
May 2000............ 100 100 100 100 60
May 2001............ 100 100 100 100 14
May 2002............ 100 100 100 100 0
May 2003............ 100 100 100 100 0
May 2004............ 100 100 100 100 0
May 2005............ 100 100 100 100 0
May 2006............ 100 100 100 100 0
May 2007............ 100 70 70 70 0
May 2008............ 100 44 44 44 0
May 2009............ 100 22 22 22 0
May 2010............ 100 3 3 3 0
May 2011............ 100 0 0 0 0
May 2012............ 100 0 0 0 0
May 2013............ 100 0 0 0 0
May 2014............ 100 0 0 0 0
May 2015............ 100 0 0 0 0
May 2016............ 100 0 0 0 0
May 2017............ 100 0 0 0 0
May 2018............ 42 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 24.9 14.9 14.9 14.9 7.3
<CAPTION>
PV+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 97 82 82 82 82
May 1996............ 93 56 56 56 25
May 1997............ 89 37 37 37 1
May 1998............ 85 19 19 19 1
May 1999............ 80 7 7 7 *
May 2000............ 75 0 0 0 0
May 2001............ 70 0 0 0 0
May 2002............ 65 0 0 0 0
May 2003............ 59 0 0 0 0
May 2004............ 52 0 0 0 0
May 2005............ 47 0 0 0 0
May 2006............ 41 0 0 0 0
May 2007............ 34 0 0 0 0
May 2008............ 27 0 0 0 0
May 2009............ 19 0 0 0 0
May 2010............ 13 0 0 0 0
May 2011............ 7 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 11.1 3.5 3.5 3.5 2.6
<CAPTION>
PW+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 81
May 1998............ 100 100 100 100 44
May 1999............ 100 100 100 100 26
May 2000............ 99 93 93 93 16
May 2001............ 97 72 72 72 8
May 2002............ 95 52 52 52 0
May 2003............ 94 39 39 39 0
May 2004............ 92 28 28 28 0
May 2005............ 91 19 19 19 0
May 2006............ 90 12 12 12 0
May 2007............ 90 8 8 8 0
May 2008............ 90 5 5 5 0
May 2009............ 90 3 3 3 0
May 2010............ 90 * * * 0
May 2011............ 90 0 0 0 0
May 2012............ 90 0 0 0 0
May 2013............ 75 0 0 0 0
May 2014............ 58 0 0 0 0
May 2015............ 42 0 0 0 0
May 2016............ 29 0 0 0 0
May 2017............ 16 0 0 0 0
May 2018............ 5 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 20.8 9.8 9.8 9.8 5.3
<CAPTION>
PZ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 107 107 107 107 107
May 1995............ 115 115 115 115 115
May 1996............ 123 123 123 123 123
May 1997............ 132 132 132 132 132
May 1998............ 142 142 142 142 142
May 1999............ 152 152 152 152 152
May 2000............ 163 163 163 163 163
May 2001............ 175 175 175 175 175
May 2002............ 187 187 187 187 187
May 2003............ 201 201 201 201 181
May 2004............ 215 215 215 215 124
May 2005............ 231 231 231 231 85
May 2006............ 248 248 248 248 58
May 2007............ 266 266 266 266 39
May 2008............ 285 285 285 285 26
May 2009............ 305 305 305 305 18
May 2010............ 328 328 328 328 12
May 2011............ 331 283 283 283 8
May 2012............ 331 232 232 232 5
May 2013............ 331 188 188 188 3
May 2014............ 331 151 151 151 2
May 2015............ 331 120 120 120 1
May 2016............ 331 93 93 93 1
May 2017............ 331 71 71 71 1
May 2018............ 331 53 53 53 *
May 2019............ 164 37 37 37 *
May 2020............ 25 25 25 25 *
May 2021............ 14 14 14 14 *
May 2022............ 6 6 6 6 *
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 26.2 21.4 21.4 21.4 12.4
<CAPTION>
A Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 87 87 87 87 87
May 1995............ 73 73 73 73 73
May 1996............ 59 59 59 59 59
May 1997............ 43 43 43 43 43
May 1998............ 26 26 26 26 26
May 1999............ 7 7 7 7 7
May 2000............ 0 0 0 0 0
May 2001............ 0 0 0 0 0
May 2002............ 0 0 0 0 0
May 2003............ 0 0 0 0 0
May 2004............ 0 0 0 0 0
May 2005............ 0 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 3.5 3.5 3.5 3.5 3.5
</TABLE>
- ---------------
* Indicates an amount above zero and less than 0.5% of the original principal
balance is outstanding.
** The weighted average life of a REMIC Certificate is determined as specified
under "Weighted Average Lives of the REMIC Certificates" herein.
+ In the case of a Notional Class, the Decrement Table indicates the
percentage of the original notional principal balance outstanding.
S-32
<PAGE>
BA and B Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
<TABLE>
<CAPTION>
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 100
May 1998............ 100 100 100 100 100
May 1999............ 100 100 100 100 100
May 2000............ 80 80 80 80 80
May 2001............ 47 47 47 47 47
May 2002............ 11 11 11 11 0
May 2003............ 0 0 0 0 0
May 2004............ 0 0 0 0 0
May 2005............ 0 0 0 0 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 7.9 7.9 7.9 7.9 7.8
<CAPTION>
CA and C Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 100
May 1998............ 100 100 100 100 100
May 1999............ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 0
May 2003............ 79 79 79 79 0
May 2004............ 47 47 47 47 0
May 2005............ 14 14 14 14 0
May 2006............ 0 0 0 0 0
May 2007............ 0 0 0 0 0
May 2008............ 0 0 0 0 0
May 2009............ 0 0 0 0 0
May 2010............ 0 0 0 0 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 10.9 10.9 10.9 10.9 8.7
<CAPTION>
D Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 100 100 100
May 1995............ 100 100 100 100 100
May 1996............ 100 100 100 100 100
May 1997............ 100 100 100 100 100
May 1998............ 100 100 100 100 100
May 1999............ 100 100 100 100 100
May 2000............ 100 100 100 100 100
May 2001............ 100 100 100 100 100
May 2002............ 100 100 100 100 81
May 2003............ 100 100 100 100 0
May 2004............ 100 100 100 100 0
May 2005............ 100 100 100 100 0
May 2006............ 89 89 89 89 0
May 2007............ 70 70 70 70 0
May 2008............ 49 49 49 49 0
May 2009............ 28 28 28 28 0
May 2010............ 4 4 4 4 0
May 2011............ 0 0 0 0 0
May 2012............ 0 0 0 0 0
May 2013............ 0 0 0 0 0
May 2014............ 0 0 0 0 0
May 2015............ 0 0 0 0 0
May 2016............ 0 0 0 0 0
May 2017............ 0 0 0 0 0
May 2018............ 0 0 0 0 0
May 2019............ 0 0 0 0 0
May 2020............ 0 0 0 0 0
May 2021............ 0 0 0 0 0
May 2022............ 0 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 14.9 14.9 14.9 14.9 9.3
<CAPTION>
E Class
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 95% 115% 175% 205% 225% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100 100 100
May 1994............ 94 72 68 68 68 68 68
May 1995............ 92 65 53 53 53 53 51
May 1996............ 92 65 42 42 42 42 0
May 1997............ 92 65 34 34 34 34 0
May 1998............ 92 65 26 26 26 26 0
May 1999............ 92 65 20 20 20 20 0
May 2000............ 92 65 15 15 15 13 0
May 2001............ 92 65 11 11 11 2 0
May 2002............ 92 65 8 8 8 0 0
May 2003............ 92 65 7 7 7 0 0
May 2004............ 92 61 5 5 5 0 0
May 2005............ 92 54 3 3 3 0 0
May 2006............ 92 44 1 1 1 0 0
May 2007............ 92 32 0 0 0 0 0
May 2008............ 92 19 0 0 0 0 0
May 2009............ 92 4 0 0 0 0 0
May 2010............ 92 0 0 0 0 0 0
May 2011............ 92 0 0 0 0 0 0
May 2012............ 92 0 0 0 0 0 0
May 2013............ 92 0 0 0 0 0 0
May 2014............ 92 0 0 0 0 0 0
May 2015............ 92 0 0 0 0 0 0
May 2016............ 92 0 0 0 0 0 0
May 2017............ 92 0 0 0 0 0 0
May 2018............ 92 0 0 0 0 0 0
May 2019............ 92 0 0 0 0 0 0
May 2020............ 45 0 0 0 0 0 0
May 2021............ 0 0 0 0 0 0 0
May 2022............ 0 0 0 0 0 0 0
May 2023............ 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 25.0 9.2 3.4 3.4 3.4 3.1 1.6
<CAPTION>
G Class
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 95% 140% 175% 205% 225% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100 100 100
May 1994............ 100 100 92 92 92 92 92
May 1995............ 100 100 75 75 75 75 0
May 1996............ 100 100 54 54 54 54 0
May 1997............ 100 100 36 36 36 36 0
May 1998............ 100 100 22 22 22 22 0
May 1999............ 100 100 11 11 11 11 0
May 2000............ 100 100 3 3 3 0 0
May 2001............ 100 100 0 0 0 0 0
May 2002............ 100 100 0 0 0 0 0
May 2003............ 100 100 0 0 0 0 0
May 2004............ 100 100 0 0 0 0 0
May 2005............ 100 100 0 0 0 0 0
May 2006............ 100 100 0 0 0 0 0
May 2007............ 100 100 0 0 0 0 0
May 2008............ 100 100 0 0 0 0 0
May 2009............ 100 100 0 0 0 0 0
May 2010............ 100 87 0 0 0 0 0
May 2011............ 100 60 0 0 0 0 0
May 2012............ 100 31 0 0 0 0 0
May 2013............ 100 2 0 0 0 0 0
May 2014............ 100 0 0 0 0 0 0
May 2015............ 100 0 0 0 0 0 0
May 2016............ 100 0 0 0 0 0 0
May 2017............ 100 0 0 0 0 0 0
May 2018............ 100 0 0 0 0 0 0
May 2019............ 100 0 0 0 0 0 0
May 2020............ 100 0 0 0 0 0 0
May 2021............ 47 0 0 0 0 0 0
May 2022............ 0 0 0 0 0 0 0
May 2023............ 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.0 18.4 3.4 3.4 3.4 3.4 1.7
<CAPTION>
FA and SA Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 175% 225% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
May 1994............ 100 100 91 91 91
May 1995............ 100 100 73 73 0
May 1996............ 100 100 52 52 0
May 1997............ 100 100 35 35 0
May 1998............ 100 100 22 22 0
May 1999............ 100 100 12 6 0
May 2000............ 100 100 6 0 0
May 2001............ 100 100 * 0 0
May 2002............ 100 100 0 0 0
May 2003............ 100 100 0 0 0
May 2004............ 100 100 0 0 0
May 2005............ 100 100 0 0 0
May 2006............ 100 100 0 0 0
May 2007............ 100 100 0 0 0
May 2008............ 100 100 0 0 0
May 2009............ 100 100 0 0 0
May 2010............ 100 100 0 0 0
May 2011............ 100 100 0 0 0
May 2012............ 100 100 0 0 0
May 2013............ 100 100 0 0 0
May 2014............ 100 80 0 0 0
May 2015............ 100 57 0 0 0
May 2016............ 100 35 0 0 0
May 2017............ 100 13 0 0 0
May 2018............ 100 0 0 0 0
May 2019............ 100 0 0 0 0
May 2020............ 100 0 0 0 0
May 2021............ 100 0 0 0 0
May 2022............ 21 0 0 0 0
May 2023............ 0 0 0 0 0
Weighted Average
Life (years)**..... 28.8 22.4 3.5 3.3 1.4
<CAPTION>
FB and SB Classes
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 95% 115% 175% 205% 225% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100 100 100
May 1994............ 100 100 100 100 93 89 28
May 1995............ 100 100 100 100 79 66 5
May 1996............ 100 100 100 100 64 40 0
May 1997............ 100 100 100 100 52 21 0
May 1998............ 100 100 100 100 43 8 0
May 1999............ 100 100 100 100 38 5 0
May 2000............ 100 100 100 100 35 5 0
May 2001............ 100 100 100 100 34 5 0
May 2002............ 100 100 100 96 30 1 0
May 2003............ 100 100 100 94 30 * 0
May 2004............ 100 100 100 92 30 * 0
May 2005............ 100 100 100 89 30 * 0
May 2006............ 100 100 100 85 30 * 0
May 2007............ 100 100 98 80 28 * 0
May 2008............ 100 100 96 73 25 * 0
May 2009............ 100 100 95 66 23 * 0
May 2010............ 100 95 95 60 20 * 0
May 2011............ 100 95 95 53 18 * 0
May 2012............ 100 95 95 47 16 * 0
May 2013............ 100 95 95 41 13 * 0
May 2014............ 100 95 95 35 11 * 0
May 2015............ 100 95 95 30 10 * 0
May 2016............ 100 95 90 25 8 * 0
May 2017............ 100 95 76 20 6 * 0
May 2018............ 100 88 61 16 5 * 0
May 2019............ 100 69 47 12 4 * 0
May 2020............ 100 50 34 8 3 * 0
May 2021............ 95 32 21 5 2 * 0
May 2022............ 95 14 9 2 1 * 0
May 2023............ 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.5 26.7 25.5 18.8 8.3 2.9 0.8
</TABLE>
- ---------------
* Indicates an amount above zero and less than 0.5% of the original principal
balance is outstanding.
** The weighted average life of a REMIC Certificate is determined as specified
under "Weighted Average Lives of the REMIC Certificates" herein.
S-33
<PAGE>
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the
discussion of "Certain Federal Income Tax Consequences" in the REMIC
Prospectus, describes the current federal income tax treatment of investors in
the Certificates. These two tax discussions do not purport to deal with all
federal tax consequences applicable to all categories of investors, some of
which may be subject to special rules. Investors should consult their own tax
advisors in determining the federal, state, local and any other tax
consequences to them of the purchase, ownership and disposition of the
Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. The Certificates, other than the R and
RL Classes, will be designated as the "regular interests," and the R Class
will be designated as the "residual interest," in the REMIC constituted by the
Trust. The Lower Tier Regular Interests will be designated as the "regular
interests," and the RL Class will be designated as the "residual interest," in
the Lower Tier REMIC.
As a consequence of the qualification of the Trust and the Lower Tier
REMIC as REMICs, the Certificates generally will be treated as "qualifying
real property loans" for mutual savings banks and domestic building and loan
associations, "regular or residual interests in a REMIC" for domestic building
and loan associations, "real estate assets" for real estate investment trusts,
and, except for the R and RL Classes, as "qualified mortgages" for other
REMICs. See "Certain Federal Income Tax Consequences--Special Tax Attributes"
in the REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The Notional Classes and the PZ, SA and SB Classes will be, and certain
other Classes of Certificates may be, issued with original issue discount for
federal income tax purposes, which generally will result in recognition of
some taxable income in advance of the receipt of the cash attributable to such
income. The Prepayment Assumption that will be used in determining the rate of
accrual of original issue discount will be 175% PSA. See "Certain Federal
Income Tax Consequences--Taxation of Beneficial Owners of Regular
Certificates--Original Issue Discount" in the REMIC Prospectus. No
representation is made as to whether the Mortgage Loans underlying the MBS
will prepay at that or any other rate. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final Distribution
Dates" in the REMIC Prospectus. In addition, certain Classes of Certificates
may be treated as having been issued at a premium for federal income tax
purposes. See "Certain Federal Income Tax Consequences--Taxation of Beneficial
Owners of Regular Certificates--Certificates Purchased at a Premium" in the
REMIC Prospectus.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R nor the RL Certificate will have
significant value. As a result, an organization to which section 593 of the
Code applies and which is the beneficial owner of the R or RL Certificate may
not use its allowable deductions to offset any "excess inclusions" with
respect to such Certificate. See "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Residual Certificates--Excess
Inclusions" in the REMIC Prospectus.
For purposes of determining the portion of the taxable income of the
Trust (or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about April 20, 1993. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates--Excess Inclusions" and "--Foreign Investors--Residual
Certificates" in the REMIC Prospectus. The federal income tax consequences of
any consideration paid to a transferee on the transfer of the R or RL
Certificate are unclear; any transferee receiving such consideration should
consult its own tax advisors.
S-34
<PAGE>
Under the proposed IRS regulations relating to original issue discount,
the Lower Tier Regular Interests would be treated as a single debt instrument
for original issue discount purposes because they were issued to the Trust in
a single transaction. Although there can be no assurance that final
regulations will apply this aggregation rule to the Lower Tier Regular
Interests, Fannie Mae intends to calculate the taxable income (or net loss) of
the Trust and of the Lower Tier REMIC (and to report to the R and RL
Certificateholders) by treating the Lower Tier Regular Interests as a single
debt instrument. A failure of the Lower Tier Regular Interests to qualify as a
single debt instrument for original issue discount purposes could result in
material adverse tax consequences to the beneficial owners of the RL Class.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the
MBS pursuant to a Fannie Mae commitment. The Dealer proposes to offer the
Certificates directly to the public from time to time in negotiated
transactions at varying prices to be determined at the time of sale. The
Dealer may effect such transactions to or through dealers.
Increase in Certificates. Fannie Mae and the Dealer may agree to offer
hereby Certificates in addition to those contemplated as of the date hereof.
In such event, the MBS will be increased in principal balance, but it is
expected that all additional MBS will have the same characteristics as
described herein under "Description of the Certificates--The MBS." The
proportion that the original principal balance of each Class (and any
Components) bears to the aggregate original principal balance of all the
Certificates will remain the same. The dollar amounts reflected in the
Principal Balance Schedules will be increased in pro rata amounts that
correspond to the increase of the principal balance of the Certificates.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Brown & Wood,
New York, New York. Brown & Wood also performs legal services for Fannie Mae.
S-35
<PAGE>
- ------------------------------------------------------
- ------------------------------------------------------
No dealer, salesman or other person has been authorized to give any
information or to make any representations in connection with this offering
other than those contained in this Prospectus Supplement, the REMIC
Prospectus, the MBS Prospectus and the Information Statement and, if given or
made, such information or representations must not be relied upon as having
been authorized. This Prospectus Supplement and the aforementioned documents
do not constitute an offer to sell or a solicitation of an offer to buy any of
the Certificates offered hereby in any state to any person to whom it is
unlawful to make such offer or solicitation in such state. The delivery of
this Prospectus Supplement and the aforementioned documents at any time does
not imply that the information contained herein or therein is correct as of
any time subsequent to the date hereof and thereof.
------------------------
TABLE OF CONTENTS
Page
-----
Prospectus Supplement
Table of Contents.................... S- 3
Description of the Certificates...... S- 4
Certain Additional Federal Income Tax
Consequences....................... S-34
Plan of Distribution................. S-35
Legal Matters........................ S-35
REMIC Prospectus
Prospectus Supplement................ 2
Summary of Prospectus................ 3
Description of the Certificates...... 7
The Trust Agreement.................. 20
Certain Federal Income Tax
Consequences....................... 22
Legal Investment Considerations...... 32
Legal Opinion........................ 33
ERISA Considerations................. 33
Glossary............................. 34
- ------------------------------------------------------
- ------------------------------------------------------
$1,000,000,000
Federal National
Mortgage Association
(FANNIE MAE LOGO)
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1993-56
------------------------
PROSPECTUS SUPPLEMENT
------------------------
MORGAN STANLEY & CO.
Incorporated
March 17, 1993
- ------------------------------------------------------
- ------------------------------------------------------
<PAGE>
Annex 2(c)
Prospectus Supplement
dated March 24, 1993
to
Prospectus dated December 29, 1992
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1993-60
<PAGE>
Prospectus Supplement
(To Prospectus dated December 29, 1992)
$300,000,000
Federal National Mortgage Association
(FANNIE MAE LOGO)
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1993-60
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1993-60 (the "Trust").
The assets of the Trust will consist of the "regular interests" in a separate
trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier REMIC will
consist of Fannie Mae Guaranteed Mortgage Pass-Through Certificates (the "MBS"),
each of which will represent a beneficial interest in a pool (the "Pool") of
first lien, single-family, fixed-rate residential mortgage loans (the "Mortgage
Loans") having the characteristics described herein. The Certificates will be
issued and guaranteed as to timely distribution of principal and interest by
Fannie Mae and offered by Fannie Mae pursuant to its Prospectus for Guaranteed
Mortgage Pass-Through Certificates (the "MBS Prospectus"), available as
described herein, and its Prospectus for Guaranteed REMIC Pass-Through
Certificates (the "REMIC Prospectus"), accompanying this Prospectus Supplement.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates--Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates--Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
(Cover continued on next page)
------------------------
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY
THE UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY
THEREOF OTHER THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE
REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES
EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
==============================================================================
Original
Principal Principal Interest Interest Final Distribution
Class Balance Type(1) Rate Type(1) Date
<S> <C>
- ------------------------------------------------------------------------------
A ..... $114,202,000 SCH 6.0000 % FIX February 2018
B ..... 36,894,000 SCH 6.5000 FIX July 2020
C ..... 28,812,000 SCH 6.7500 FIX December 2021
F ..... 46,618,000 SCH (2) FLT December 2021
S ..... (3) NTL (2) INV/IO December 2021
SC..... (3) NTL (2) INV/IO December 2021
D ..... 22,900,000 SCH 7.0000 FIX November 2022
E ..... 1,428,000 LIQ/AD 7.0000 FIX February 1998
G ..... 2,741,000 AD 7.0000 FIX March 2004
H ..... 4,993,000 AD 7.0000 FIX March 2011
Z ..... 3,707,000 SCH 7.0000 Z May 2023
FA..... 12,516,700 SUP (2) FLT May 2023
SA..... 5,364,300 SUP (2) INV May 2023
FB .... 15,000,000 SUP (2) FLT May 2023
SB .... 4,822,000 SUP (2) INV May 2023
R ..... 1,000 SCH 6.0000 FIX May 2023
RL..... 1,000 SCH 6.0000 FIX May 2023
==============================================================================
</TABLE>
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the
Certificates--Distributions of Interest" and "--Distributions of
Principal" herein.
(2) The F, S, SC, FB and SB Classes will bear interest based on "LIBOR" and the
FA and SA Classes will bear interest based on "COFI," as described under
"Description of the Certificates--Distributions of Interest" herein and
"Description of the Certificates--Indices Applicable to Floating Rate and
Inverse Floating Rate Classes" in the REMIC Prospectus.
(3) The S and SC Classes will be Notional Classes, will have no principal
balances and will bear interest on their notional principal balances
(initially, $5,000,000 and $39,618,000, respectively). The notional
principal balances of the S and SC Classes will be calculated based on the
principal balance of a Scheduled Class. See "Description of the
Certificates-- General--Notional Classes."
The Certificates will be offered by Shearson Lehman Brothers Inc.,
including Lehman Government Securities Inc. (the "Dealer") from time to time in
negotiated transactions, at varying prices to be determined at the time of sale.
The Certificates will be offered by the Dealer, subject to receipt and
acceptance by it and subject to its right to reject any order in whole or in
part. It is expected that the Certificates, except for the R and RL Classes,
will be available through the book-entry system of the Federal Reserve Banks on
or about May 28, 1993 (the "Settlement Date"). It is expected that the R and RL
Classes in registered, certificated form will be available for delivery at the
offices of the Dealer, New York, New York, on or about the Settlement Date.
------------------------
LEHMAN BROTHERS
March 24, 1993
<PAGE>
(Cover continued from previous page)
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH
SUCH CERTIFICATES.
The yield to investors in each Class will be sensitive in varying degrees
to the rate of principal payments of the Mortgage Loans, the characteristics of
the Mortgage Loans actually included in the Pool, the purchase price paid for
the related Class and, in the case of any Floating Rate and Inverse Floating
Rate Classes, the level of the applicable Index (as defined herein).
Accordingly, investors should consider the following risks:
- The Mortgage Loans generally may be prepaid at any time without
penalty, and, accordingly, the rate of principal payments thereon is
likely to vary considerably from time to time.
- Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the
Classes.
- In the case of any Certificates purchased at a discount to their
principal amounts, a slower than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Interest Only Class, a faster than anticipated rate
of principal payments is likely to result in a lower than anticipated
yield and, in certain cases, an actual loss on the investment.
- The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index, particularly if the
interest rate thereon fluctuates as a multiple of such Index.
See "Description of the Certificates--Yield Considerations" herein.
In addition, investors should purchase Certificates only after considering
the following:
- The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
- The rate of principal distributions of the Certificates is uncertain
and investors may be unable to reinvest the distributions thereon at
yields equaling the yields on the Certificates. See "Description of
the Certificates--Reinvestment Risk" in the REMIC Prospectus.
- Investors whose investment activities are subject to legal investment
laws and regulations or to review by regulatory authorities may be
subject to restrictions on investment in certain Classes of the
Certificates. Investors should consult their legal advisors to
determine whether and to what extent the Certificates constitute legal
investments or are subject to restrictions on investment. See "Legal
Investment Considerations" in the REMIC Prospectus.
The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary market will
develop or, if developed, that it will continue. Thus, investors may not be able
to sell their Certificates readily or at prices that will enable them to realize
their anticipated yield. No investor should purchase Certificates unless such
investor understands and is able to bear the risk that the value of the
Certificates will fluctuate over time and that the Certificates may not be
readily salable.
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, the REMIC
Prospectus or the MBS Prospectus. Any representation to the contrary is a
criminal offense.
This Prospectus Supplement does not contain complete information about the
Certificates. Investors should purchase Certificates only after reading this
Prospectus Supplement, the REMIC Prospectus, the MBS Prospectus dated January 1,
1993 and the Fannie Mae Information Statement dated February 16, 1993 and any
supplements thereto (the "Information Statement"). The MBS Prospectus and the
Information Statement are incorporated herein by reference and may be obtained
from Fannie Mae by writing or calling its MBS Helpline at 3900 Wisconsin Avenue,
N.W., Area 2H-2N, Washington, D.C. 20016 (telephone 1-800-BEST-MBS or
202-752-6547). Such documents may also be obtained from the Dealer by writing or
calling its Registration Department at 250 West Street, 3rd Floor, New York, New
York 10013 (telephone 212-464-6929).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Description of the Certificates....... S- 4
General............................. S- 4
Structure........................ S- 4
MBS Distributions................ S- 4
Fannie Mae Guaranty.............. S- 4
Characteristics of
Certificates................... S- 4
Notional Classes................. S- 5
Authorized Denominations......... S- 5
Distribution Dates............... S- 5
Calculation of Distributions..... S- 5
Record Date...................... S- 6
REMIC Trust Factors.............. S- 6
Optional Termination............. S- 6
Liquid Assets.................... S- 6
The MBS............................. S- 6
Distributions of Interest........... S- 7
Categories of Classes............ S- 7
General.......................... S- 7
Interest Accrual Periods......... S- 7
Accrual Class.................... S- 7
Floating Rate and Inverse
Floating Rate Classes.......... S- 8
Calculation of LIBOR................ S- 8
COFI................................ S- 8
Distributions of Principal.......... S- 9
Categories of Classes............ S- 9
Principal Distribution Amount.... S- 9
Accrual Amount................... S- 9
Cash Flow Distribution Amount.... S-10
Structuring Assumptions............. S-10
Pricing Assumptions.............. S-10
PSA Assumptions.................. S-11
Principal Balance Schedules......... S-12
Characteristics of the R and
RL Classes....................... S-19
Yield Considerations................ S-19
General.......................... S-19
The Inverse Floating Rate
Classes........................ S-20
Weighted Average Lives of the
Certificates..................... S-21
Decrement Tables.................... S-23
Certain Additional Federal Income Tax
Consequences........................ S-25
REMIC Elections and Special Tax
Attributes....................... S-25
Taxation of Beneficial Owners of
Regular Certificates............. S-25
Taxation of Beneficial Owners of
Residual Certificates............ S-25
Plan of Distribution.................. S-26
General.......................... S-26
Increase in Certificates......... S-26
Legal Matters......................... S-26
S-3
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the REMIC Prospectus, the MBS Prospectus and the
provisions of the Trust Agreement (defined below). Capitalized terms used and
not otherwise defined in this Prospectus Supplement have the respective meanings
assigned to such terms in the REMIC Prospectus (including the Glossary contained
therein), the MBS Prospectus or the Trust Agreement (as the context may
require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant to a
trust agreement dated as of May 1, 1993 (the "Trust Agreement"), executed by the
Federal National Mortgage Association ("Fannie Mae") in its corporate capacity
and in its capacity as Trustee, and the Certificates in the Classes and
aggregate original principal balances set forth on the cover hereof will be
issued by Fannie Mae pursuant thereto. A description of Fannie Mae and its
business, together with certain financial statements and other financial
information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests,
and the Certificates, other than the RL Class, will evidence the entire
beneficial ownership interest in the distributions of principal and interest on
the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of the MBS, and the Lower
Tier Regular Interests and the RL Class (collectively, the "Lower Tier
Interests") will in the aggregate evidence the entire beneficial ownership
interest in the distributions of principal and interest on the MBS.
MBS Distributions. The MBS will provide that principal and interest on the
underlying Mortgage Loans will be passed through monthly, commencing on the 25th
day of the month following the month of the initial issuance of the MBS (or, if
such 25th day is not a business day, on the first business day next succeeding
such 25th day).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. In addition, Fannie Mae will be obligated to distribute
on a timely basis to the Holders of Certificates required installments of
principal and interest and to distribute the principal balance of each Class of
Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the MBS Account. The guaranties
of Fannie Mae are not backed by the full faith and credit of the United States.
See "Description of the Certificates--Fannie Mae's Guaranty" in the REMIC
Prospectus and "Description of Certificates-- The Corporation's Guaranty" in the
MBS Prospectus.
Characteristics of Certificates. The Certificates, other than the R and RL
Certificates, will be issued and maintained and may be transferred by Holders
only on the book-entry system of the Federal Reserve Banks. Such entities whose
names appear on the book-entry records of a Federal Reserve Bank as the entities
for whose accounts such Certificates have been deposited are herein referred to
as "Holders" or "Certificateholders." A Holder is not necessarily the beneficial
owner of a book-entry Certificate. Beneficial owners will ordinarily hold
book-entry Certificates through one or more financial intermediaries, such as
banks, brokerage firms and securities clearing organizations. See "Description
of the Certificates--Denominations, Book-Entry Form" in the REMIC Prospectus.
S-4
<PAGE>
The R and RL Certificates will not be issued in book-entry form but will be
issued in fully registered, certificated form. As to an R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R
and RL Certificates will be transferable and exchangeable, if applicable, at the
corporate trust office of the Transfer Agent, or at the agency of the Transfer
Agent in New York, New York. The Transfer Agent initially will be State Street
Bank and Trust Company in Boston, Massachusetts ("State Street"). A service
charge may be imposed for any exchange or registration of transfer of the R and
RL Certificates and Fannie Mae may require payment of a sum sufficient to cover
any tax or other governmental charge. See also "Characteristics of the R and RL
Classes" herein.
Distributions on the R and RL Classes will be made by check mailed by the
Paying Agent to the address of each person entitled thereto as it appears on the
Certificate Register maintained by the Certificate Registrar (initially State
Street) not later than each Distribution Date; provided, however, that the final
distribution to the Holders of the R and RL Classes of the proceeds of any
remaining assets of the Trust and the Lower Tier REMIC, as applicable, will be
made only upon presentation and surrender of the respective Certificates at the
office of the Paying Agent. The Paying Agent initially will be State Street.
Notional Classes. The S and SC Classes will be Notional Classes. A Notional
Class will have no principal balance and will bear interest at the per annum
interest rate set forth on the cover or described herein during each Interest
Accrual Period on the related notional principal balance. The notional principal
balance of each Notional Class will be equal to the indicated percentage of the
outstanding principal balance of the following Classes immediately prior to the
related Distribution Date:
Percentage of
Principal Balance
Class of Specified Class
------ -------------------
S ........................................... 10.7254708482% of F Class
SC........................................... 84.9843408126% of F Class
The notional principal balance of a Notional Class is used for purposes of
the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the MBS or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to any such
Class that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally shall
be deemed to refer also to the notional principal balance of any Notional Class.
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. The R and RL Certificates will each be issued
as a single certificate in a denomination of $1,000.
Distribution Dates. Distributions on the Certificates will be made on the
25th day of each month (or, if such 25th day is not a business day, on the first
business day next succeeding such 25th day), commencing in the month following
the Settlement Date.
Calculation of Distributions. Interest on the interest-bearing Certificates
is calculated on the basis of a 360-day year consisting of twelve 30-day months
and is distributable monthly on each Distribution Date, commencing (except with
respect to the Accrual Classes, if any) in the month after the Settlement Date.
Interest to be distributed or, in the case of any Accrual Classes, added to
principal on each interest-bearing Certificate on a Distribution Date will
consist of one month's interest on the outstanding principal balance of such
Certificate immediately prior to such Distribution Date. Interest to be
distributed or, in the case of any Accrual Classes, added to principal on a
Distribution Date will accrue on the interest-bearing Certificates during the
one month periods set forth herein under "Distributions of Interest--Interest
Accrual Periods." Principal on the Certificates
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<PAGE>
will be distributed on each Distribution Date in an amount equal to the sum of
the aggregate distributions of principal concurrently made on the MBS and any
interest accrued and added on such Distribution Date to the principal balances
of the Accrual Classes, if any. See "Distributions of Principal" herein.
Record Date. Each monthly distribution on the Certificates will be made to
Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh calendar
day of each month, Fannie Mae will publish or otherwise make available for each
Class of Certificates the factor (carried to eight decimal places) which, when
multiplied by the original principal balance of a Certificate of such Class,
will equal the remaining principal balance of such Certificate after giving
effect to the distribution of principal to be made on the following Distribution
Date and any interest to be added as principal to the principal balances of any
Accrual Classes on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Trust or the
Lower Tier REMIC through the exercise of its right to repurchase the Mortgage
Loans underlying any MBS unless only one Mortgage Loan remains in the related
Pool or the principal balance of such Pool at the time of repurchase is less
than one percent of the original principal balance thereof.
Liquid Assets. The E Class is intended to qualify as a "liquid asset" for
purposes of the liquidity requirements applicable to federal savings
associations, federal savings banks and state chartered associations whose
deposits are insured by the Federal Deposit Insurance Corporation.
The MBS
The MBS underlying the Certificates will have the aggregate unpaid
principal balance and Pass-Through Rate set forth below and the general
characteristics described in the MBS Prospectus. The Mortgage Loans will be
conventional Level Payment Mortgage Loans secured by a first mortgage or deed of
trust on a one- to four-family ("single-family") residential property and having
an original maturity of up to 30 years, as described under "The Mortgage Pools"
and "Yield Considerations" in the MBS Prospectus. The characteristics of the MBS
and Mortgage Loans as of May 1, 1993 (the "Issue Date") are expected to be as
follows:
<TABLE>
<CAPTION>
MBS
<S> <C> Aggregate Unpaid Principal Balance...................... $300,000,000
Pass-Through Rate....................................... 7.00%
Mortgage Loans
Range of WACs (per annum percentages)................... 7.25% to 9.50%
Range of WAMs........................................... 180 months to 360 months
Approximate Weighted Average WAM........................ 357 months
Approximate Weighted Average CAGE....................... 3 months
</TABLE>
Following the issuance of the Certificates, Fannie Mae will prepare a Final
Data Statement setting forth the Pool number, the current WAC (or original WAC,
if the current WAC is not available) and the current WAM (or Adjusted WAM, if
the current WAM is not available) of the Mortgage Loans underlying each MBS,
along with the weighted average of all the current or original WACs and the
weighted average of all the current or Adjusted WAMs, based on the current
unpaid principal balances of the Mortgage Loans underlying the MBS as of the
Issue Date. The Final Data Statement will not accompany this Prospectus
Supplement but will be made available by Fannie Mae. To request the Final Data
Statement, telephone Fannie Mae at 1-800-BEST-MBS or 202-752-6547. The contents
of the Final Data Statement and other data specific to the Certificates are
available in electronic form by calling Fannie Mae at 1-800-752-6440 or
202-752-6000.
S-6
<PAGE>
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
Interest Type* Classes
---------------------- ---------
Fixed Rate All Classes except F, S, SC, FA, SA, FB and SB
Floating Rate F, FA and FB
Inverse Floating Rate S, SC, SA and SB
Interest Only S and SC
Accrual Z
--------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
respective per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to any Accrual Classes)
in the month after the Settlement Date. Interest to be distributed or, in the
case of any Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date.
Interest Accrual Periods. Interest to be distributed or, in the case of any
Accrual Classes, added to principal on a Distribution Date will accrue on the
interest-bearing Certificates during the one-month periods set forth below
(each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Period
------- -----------------------
<S> <C>
F, S, SC, FB and SB (collectively, the One month period beginning on the 25th
"No Delay Classes") day of the month preceding the month of
the Distribution Date and ending on the
24th day of the month of the Distribution
Date
All other Classes (collectively, the Calendar month preceding the month in
"Delay Classes") which the Distribution Date occurs
</TABLE>
See "Yield Considerations" herein.
Accrual Class. The Z Class is an Accrual Class. Interest will accrue on the
Accrual Class at the per annum rate set forth on the cover hereof; however, such
interest will not be distributed for so long as such Class is outstanding.
Interest so accrued and unpaid on the Accrual Class will be added as principal
to the principal balance thereof on each Distribution Date. Distributions of
principal of the Accrual Class will be distributed as described herein.
S-7
<PAGE>
Floating Rate and Inverse Floating Rate Classes. Each of the following
Classes will bear interest during its initial Interest Accrual Period at the
Initial Interest Rate set forth below, and will bear interest during each
Interest Accrual Period thereafter, subject to the applicable Maximum and
Minimum Interest Rates, at the rate determined as described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
------ ------ -------- -------- ---------------
<S> <C>
F ...................... 3.58750% 10.00000% 0.40% LIBOR + 40 basis points
S ...................... 8.97750% 13.44000% 0.00% 13.44% - (1.4 X LIBOR)
SC...................... 6.41250% 9.60000% 0.00% 9.6% - LIBOR
FA...................... 5.58300% 10.00000% 1.25% COFI + 125 basis points
SA...................... 10.30633% 20.41666% 0.00% 20.41666% - (2.33333333 X COFI)
FB...................... 4.73750% 9.25000% 1.55% LIBOR + 155 basis points
SB...................... 14.03805% 23.95354% 0.00% 23.95354% - (3.11074243 X LIBOR)
</TABLE>
The yields with respect to such Classes will be affected by changes in the
applicable index as set forth in the table above (each, an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with an
increase in the level of an Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of an Index.
Each Index value (except COFI) will be established as described herein by
Fannie Mae two business days prior to the commencement of the related Interest
Accrual Period. See "--COFI" below for a description of how COFI is established.
The establishment of each Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for the applicable Classes for the related
Interest Accrual Period shall (in the absence of manifest error) be final and
binding. Each such rate of interest may be obtained by telephoning Fannie Mae at
1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each LIBOR Determination Date, until the principal balances of the F, S,
SC, FB and SB Classes (the "LIBOR Classes") have been reduced to zero, Fannie
Mae will establish LIBOR for the related Interest Accrual Period in the manner
described in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--LIBOR."
If on the initial LIBOR Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be 3.1875%.
COFI
Except as otherwise specified below, the amount of interest which will
accrue in respect of the FA and SA Classes (the "COFI Classes") during each
Interest Accrual Period following their initial Interest Accrual Period will be
determined on the basis of the Eleventh District Cost of Funds Index for the
second month next preceding the month in which such Interest Accrual Period
commences if such Eleventh District Cost of Funds Index for such second
preceding month is published on or before the tenth day of the month in which
such Interest Accrual Period commences. For example, if the Eleventh District
Cost of Funds Index for May is announced on or before July 10, interest accrued
on the COFI Classes for the Interest Accrual Period commencing in July and
distributable in August will be based on the Eleventh District Cost of Funds
Index relating to May. If the Eleventh District Cost of Funds Index for the
applicable month is not published on or before the tenth day of the second
following month, interest will accrue on the COFI Classes at a rate determined
as provided in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--COFI." In such a circumstance, the alternative index applicable to the
S-8
<PAGE>
COFI Classes may be LIBOR. A change of index from the Eleventh District Cost of
Funds Index to an alternative index will result in a change in the index level,
and, particularly if LIBOR is the alternative index, could increase its
volatility.
For information regarding historical values of the Eleventh District Cost
of Funds Index as reported by the Federal Home Loan Bank of San Francisco
("FHLBSF"), see "Description of the Certificates--Indices Applicable to Floating
Rate and Inverse Floating Rate Classes--COFI " in the REMIC Prospectus.
The value of the Eleventh District Cost of Funds Index as reported by the
FHLBSF for December 1992 and January 1993 were 4.432% and 4.360%, respectively.
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
Principal Type* Classes
------------------- ----------
Scheduled A, B, C, F, D, Z, R and RL
Notional S and SC
Support FA, SA, FB and SB
Liquid Assets E
Accretion Directed E, G and H
-----------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
Principal Distribution Amount
Principal will be distributed monthly on the Certificates in an amount (the
"Principal Distribution Amount") equal to the sum of (i) the aggregate
distributions of principal concurrently made on the MBS (the "Cash Flow
Distribution Amount") and (ii) any interest accrued and added on such
Distribution Date to the principal balance of the Accrual Class ("the Accrual
Amount").
Accrual Amount
<TABLE>
<S> <C>
On each Distribution Date, the Accrual Amount will be
distributed, sequentially, as principal of the E, G and H Classes, in
that order, until the respective principal balances thereof are Accretion Directed and Accrual Classes
reduced to zero, and then to the Z Class, without regard to its
Scheduled Balance.
</TABLE>
S-9
<PAGE>
Cash Flow Distribution Amount
On each Distribution Date, the Cash Flow Distribution Amount will be
distributed as principal of the Classes in the following order of priority:
<TABLE>
<S> <C>
(i) to the Scheduled Classes, in the order and proportions set forth
in the following table, until the principal balances thereof are reduced to Scheduled Classes
their respective Scheduled Balances for such Distribution Date:
</TABLE>
<TABLE>
<CAPTION>
Allocated to
---------------------------------------------------------------------
Class listed in the
preceding column F Class R Class RL Class
-------------------- --------------- -------------- --------------
<S> <C>
A ........... 74.9986865608% 25.0000000000% 0.0006567196% 0.0006567196%
B ........... 85.7142857143% 14.2857142857% 0% 0%
C ........... 92.3076923077% 7.6923076923% 0% 0%
D............ 100% 0% 0% 0%
Z ........... 100% 0% 0% 0%
(ii) concurrently, to the FA, SA, FB and SB Classes, in the
proportions of 33.1981539931%, 14.2277802827%, 39.7846325226% Support Classes
and 12.7894332016%, respectively, until the principal balances
thereof are reduced to zero; and
(iii) to the Scheduled Classes and the E, G and H Classes, in the
order and proportions set forth in the following table, without regard to Schecduled and Accretion Directed Classes
the Scheduled Balances and until the respective principal balances thereof
are reduced to zero:
<CAPTION>
Allocated to
---------------------------------------------------------------------
Class listed in the
preceding column F Class R Class RL Class
-------------------- --------------- -------------- --------------
<S> <C>
A ........... 74.9986865608% 25.0000000000% 0.0006567196% 0.0006567196%
B ........... 85.7142857143% 14.2857142857% 0% 0%
C ........... 92.3076923077% 7.6923076923% 0% 0%
D ........... 100% 0% 0% 0%
E ........... 100% 0% 0% 0%
G ........... 100% 0% 0% 0%
H............ 100% 0% 0% 0%
Z ........... 100% 0% 0% 0%
</TABLE>
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
following assumptions (the "Pricing Assumptions"):
- each Mortgage Loan bears interest at a rate of 7.65% per annum and has
an original term to maturity of 360 months, a CAGE of 3 months and a
remaining term to maturity of 357 months;
- the Mortgage Loans prepay at the constant percentages of PSA specified
in the related table;
- the closing date for the sale of the Certificates is the Settlement
Date; and
- the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
S-10
<PAGE>
PSA Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA (for example, 175% PSA) is to assume
a specified rate of prepayment each month of the then outstanding principal
balance of a pool of new mortgage loans computed as described under "Description
of the Certificates--Prepayment Considerations and Risks" in the REMIC
Prospectus. There is no assurance that prepayments will occur at any PSA rate or
at any other constant rate.
The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the Mortgage Loans prepay at the
approximate constant levels set forth in the following table.
Principal Balance
Schedule References Related Classes PSA Levels
------------------- --------------------------- ----------------------
Scheduled Balances A, B, C, F, D, Z, R and RL Between 175% and 250%
There is no assurance that the principal balances of the Classes listed
above will conform on any Distribution Date to the applicable balances specified
for such Distribution Date in the Principal Balance Schedules below, or that
distributions of principal on the related Classes will begin or end on the
respective Distribution Dates specified therein. Because any excess of the
principal available for distribution on any Distribution Date over the amount
necessary to reduce the principal balances of the applicable Classes to their
respective scheduled balances will be distributed, the ability to so reduce the
principal balances of such Classes will not be enhanced by the averaging of high
and low principal payments. In addition, even if prepayments remain within the
range specified above, the principal available for distribution may be
insufficient to reduce the applicable Classes to such respective balances, if
prepayments do not occur at a constant PSA rate. Moreover, because of the
diverse remaining terms to maturity of the Mortgage Loans (which may include
recently originated Mortgage Loans), the Classes specified above may not be
reduced to their respective scheduled amounts, even if prepayments occur at a
constant level within the range specified above.
S-11
<PAGE>
<TABLE>
<CAPTION>
Principal Balance Schedules
A Class B Class C Class F Class D Class Z Class R Class RL Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
------------- ----------- ----------- ----------- ------------- --------------- --------------- ---------- ---------
<S> <C>
Initial Balance. $114,202,000.00 $36,894,000.00 $28,812,000.00 $46,618,000.00 $22,900,000.00 $3,707,000.00 $1,000.00 $1,000.00
June 1993....... 113,773,054.01 36,894,000.00 28,812,000.00 46,475,015.50 22,900,000.00 3,728,624.17 996.24 996.24
July 1993....... 113,276,782.45 36,894,000.00 28,812,000.00 46,309,588.75 22,900,000.00 3,750,374.47 991.90 991.90
August 1993..... 112,713,947.45 36,894,000.00 28,812,000.00 46,121,973.80 22,900,000.00 3,772,251.66 986.97 986.97
September 1993.. 112,084,810.40 36,894,000.00 28,812,000.00 45,912,257.77 22,900,000.00 3,794,256.46 981.46 981.46
October 1993.... 111,389,691.91 36,894,000.00 28,812,000.00 45,680,547.55 22,900,000.00 3,816,389.62 975.37 975.37
November 1993... 110,628,972.27 36,894,000.00 28,812,000.00 45,426,969.90 22,900,000.00 3,838,651.90 968.71 968.71
December 1993... 109,803,091.30 36,894,000.00 28,812,000.00 45,151,671.42 22,900,000.00 3,861,044.03 961.48 961.48
January 1994.... 108,912,548.02 36,894,000.00 28,812,000.00 44,854,818.46 22,900,000.00 3,883,566.79 953.68 953.68
February 1994... 107,957,900.28 36,894,000.00 28,812,000.00 44,536,596.98 22,900,000.00 3,906,220.93 945.32 945.32
March 1994...... 106,939,764.28 36,894,000.00 28,812,000.00 44,197,212.37 22,900,000.00 3,929,007.22 936.41 936.41
April 1994...... 105,858,814.03 36,894,000.00 28,812,000.00 43,836,889.30 22,900,000.00 3,951,926.43 926.94 926.94
May 1994........ 104,715,780.66 36,894,000.00 28,812,000.00 43,455,871.51 22,900,000.00 3,974,979.33 916.93 916.93
June 1994....... 103,511,451.72 36,894,000.00 28,812,000.00 43,054,421.50 22,900,000.00 3,998,166.71 906.39 906.39
July 1994....... 102,246,670.32 36,894,000.00 28,812,000.00 42,632,820.32 22,900,000.00 4,021,489.35 895.31 895.31
August 1994..... 100,922,334.25 36,894,000.00 28,812,000.00 42,191,367.23 22,900,000.00 4,044,948.04 883.72 883.72
September 1994.. 99,539,394.94 36,894,000.00 28,812,000.00 41,730,379.39 22,900,000.00 4,068,543.57 871.61 871.61
October 1994.... 98,098,856.43 36,894,000.00 28,812,000.00 41,250,191.47 22,900,000.00 4,092,276.74 858.99 858.99
November 1994... 96,601,774.13 36,894,000.00 28,812,000.00 40,751,155.30 22,900,000.00 4,116,148.35 845.89 845.89
December 1994... 95,049,253.68 36,894,000.00 28,812,000.00 40,233,639.42 22,900,000.00 4,140,159.22 832.29 832.29
January 1995.... 93,442,449.50 36,894,000.00 28,812,000.00 39,698,028.65 22,900,000.00 4,164,310.15 818.22 818.22
February 1995... 91,782,563.51 36,894,000.00 28,812,000.00 39,144,723.63 22,900,000.00 4,188,601.95 803.69 803.69
March 1995...... 90,070,843.55 36,894,000.00 28,812,000.00 38,574,140.32 22,900,000.00 4,213,035.47 788.70 788.70
April 1995...... 88,308,581.91 36,894,000.00 28,812,000.00 37,986,709.48 22,900,000.00 4,237,611.51 773.27 773.27
May 1995........ 86,497,113.67 36,894,000.00 28,812,000.00 37,382,876.16 22,900,000.00 4,262,330.91 757.40 757.40
June 1995....... 84,637,815.02 36,894,000.00 28,812,000.00 36,763,099.09 22,900,000.00 4,287,194.50 741.12 741.12
July 1995....... 82,732,101.53 36,894,000.00 28,812,000.00 36,127,850.14 22,900,000.00 4,312,203.14 724.44 724.44
August 1995..... 80,781,426.34 36,894,000.00 28,812,000.00 35,477,613.68 22,900,000.00 4,337,357.66 707.36 707.36
September 1995.. 78,849,190.92 36,894,000.00 28,812,000.00 34,833,523.93 22,900,000.00 4,362,658.91 690.44 690.44
October 1995.... 76,935,224.20 36,894,000.00 28,812,000.00 34,195,523.85 22,900,000.00 4,388,107.75 673.68 673.68
November 1995... 75,039,356.65 36,894,000.00 28,812,000.00 33,563,556.93 22,900,000.00 4,413,705.05 657.08 657.08
December 1995... 73,161,420.32 36,894,000.00 28,812,000.00 32,937,567.20 22,900,000.00 4,439,451.66 640.63 640.63
January 1996.... 71,301,248.83 36,894,000.00 28,812,000.00 32,317,499.17 22,900,000.00 4,465,348.46 624.34 624.34
February 1996... 69,458,677.29 36,894,000.00 28,812,000.00 31,703,297.90 22,900,000.00 4,491,396.33 608.21 608.21
March 1996...... 67,633,542.37 36,894,000.00 28,812,000.00 31,094,908.94 22,900,000.00 4,517,596.14 592.23 592.23
April 1996...... 65,825,682.23 36,894,000.00 28,812,000.00 30,492,278.34 22,900,000.00 4,543,948.78 576.40 576.40
May 1996........ 64,034,936.53 36,894,000.00 28,812,000.00 29,895,352.65 22,900,000.00 4,570,455.15 560.72 560.72
June 1996....... 62,261,146.40 36,894,000.00 28,812,000.00 29,304,078.92 22,900,000.00 4,597,116.14 545.18 545.18
July 1996....... 60,504,154.44 36,894,000.00 28,812,000.00 28,718,404.68 22,900,000.00 4,623,932.65 529.80 529.80
August 1996..... 58,763,804.72 36,894,000.00 28,812,000.00 28,138,277.95 22,900,000.00 4,650,905.59 514.56 514.56
September 1996.. 57,039,942.71 36,894,000.00 28,812,000.00 27,563,647.21 22,900,000.00 4,678,035.88 499.47 499.47
October 1996.... 55,332,415.35 36,894,000.00 28,812,000.00 26,994,461.46 22,900,000.00 4,705,324.42 484.51 484.51
November 1996... 53,641,070.95 36,894,000.00 28,812,000.00 26,430,670.12 22,900,000.00 4,732,772.14 469.70 469.70
December 1996... 51,965,759.26 36,894,000.00 28,812,000.00 25,872,223.11 22,900,000.00 4,760,379.98 455.03 455.03
January 1997.... 50,306,331.38 36,894,000.00 28,812,000.00 25,319,070.80 22,900,000.00 4,788,148.86 440.50 440.50
February 1997... 48,662,639.82 36,894,000.00 28,812,000.00 24,771,164.01 22,900,000.00 4,816,079.73 426.11 426.11
March 1997...... 47,034,538.42 36,894,000.00 28,812,000.00 24,228,454.04 22,900,000.00 4,844,173.53 411.85 411.85
April 1997...... 45,421,882.38 36,894,000.00 28,812,000.00 23,690,892.62 22,900,000.00 4,872,431.21 397.73 397.73
May 1997........ 43,824,528.25 36,894,000.00 28,812,000.00 23,158,431.91 22,900,000.00 4,900,853.73 383.75 383.75
June 1997....... 42,242,333.87 36,894,000.00 28,812,000.00 22,631,024.55 22,900,000.00 4,929,442.04 369.89 369.89
July 1997....... 40,675,158.44 36,894,000.00 28,812,000.00 22,108,623.59 22,900,000.00 4,958,197.12 356.17 356.17
August 1997..... 39,122,862.41 36,894,000.00 28,812,000.00 21,591,182.52 22,900,000.00 4,987,119.93 342.58 342.58
</TABLE>
S-12
<PAGE>
<TABLE>
<CAPTION>
A Class B Class C Class F Class D Class Z Class R Class RL Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
------------ ----------- --------- ---------- --------- ---------- ---------- ---------- ----------
<S> <C>
September 1997... $37,585,307.55 $ 36,894,000.00 $ 28,812,000.00 $ 21,078,655.26 $ 22,900,000.00 $ 5,016,211.47 $ 329.11 $ 329.11
October 1997..... 36,062,356.89 36,894,000.00 28,812,000.00 20,570,996.15 22,900,000.00 5,045,472.70 315.78 315.78
November 1997.... 34,553,874.75 36,894,000.00 28,812,000.00 20,068,159.96 22,900,000.00 5,074,904.62 302.57 302.57
December 1997.... 33,059,726.66 36,894,000.00 28,812,000.00 19,570,101.88 22,900,000.00 5,104,508.23 289.48 289.48
January 1998..... 31,579,779.42 36,894,000.00 28,812,000.00 19,076,777.49 22,900,000.00 5,134,284.53 276.53 276.53
February 1998.... 30,113,901.06 36,894,000.00 28,812,000.00 18,588,142.81 22,900,000.00 5,164,234.53 263.69 263.69
March 1998....... 28,661,960.82 36,894,000.00 28,812,000.00 18,104,154.26 22,900,000.00 5,194,359.23 250.98 250.98
April 1998....... 27,223,829.14 36,894,000.00 28,812,000.00 17,624,768.64 22,900,000.00 5,224,659.66 238.38 238.38
May 1998......... 25,799,377.68 36,894,000.00 28,812,000.00 17,149,943.17 22,900,000.00 5,255,136.84 225.91 225.91
June 1998........ 24,388,479.25 36,894,000.00 28,812,000.00 16,679,635.46 22,900,000.00 5,285,791.80 213.56 213.56
July 1998........ 22,991,007.87 36,894,000.00 28,812,000.00 16,213,803.50 22,900,000.00 5,316,625.59 201.32 201.32
August 1998...... 21,606,838.70 36,894,000.00 28,812,000.00 15,752,405.70 22,900,000.00 5,347,639.24 189.20 189.20
September 1998... 20,235,848.06 36,894,000.00 28,812,000.00 15,295,400.81 22,900,000.00 5,378,833.80 177.19 177.19
October 1998..... 18,877,913.40 36,894,000.00 28,812,000.00 14,842,748.00 22,900,000.00 5,410,210.33 165.30 165.30
November 1998.... 17,532,913.32 36,894,000.00 28,812,000.00 14,394,406.79 22,900,000.00 5,441,769.89 153.53 153.53
December 1998.... 16,200,727.54 36,894,000.00 28,812,000.00 13,950,337.09 22,900,000.00 5,473,513.55 141.86 141.86
January 1999..... 14,881,236.87 36,894,000.00 28,812,000.00 13,510,499.16 22,900,000.00 5,505,442.38 130.31 130.31
February 1999.... 13,574,323.24 36,894,000.00 28,812,000.00 13,074,853.65 22,900,000.00 5,537,557.46 118.86 118.86
March 1999....... 12,279,869.66 36,894,000.00 28,812,000.00 12,643,361.57 22,900,000.00 5,569,859.88 107.53 107.53
April 1999....... 10,997,760.23 36,894,000.00 28,812,000.00 12,215,984.28 22,900,000.00 5,602,350.73 96.30 96.30
May 1999......... 9,727,880.10 36,894,000.00 28,812,000.00 11,792,683.49 22,900,000.00 5,635,031.10 85.18 85.18
June 1999........ 8,470,115.51 36,894,000.00 28,812,000.00 11,373,421.28 22,900,000.00 5,667,902.12 74.17 74.17
July 1999........ 7,224,353.72 36,894,000.00 28,812,000.00 10,958,160.08 22,900,000.00 5,700,964.88 63.26 63.26
August 1999...... 5,990,483.06 36,894,000.00 28,812,000.00 10,546,862.66 22,900,000.00 5,734,220.51 52.46 52.46
September 1999... 4,768,392.87 36,894,000.00 28,812,000.00 10,139,492.12 22,900,000.00 5,767,670.13 41.75 41.75
October 1999..... 3,557,973.51 36,894,000.00 28,812,000.00 9,736,011.94 22,900,000.00 5,801,314.87 31.16 31.16
November 1999.... 2,359,116.37 36,894,000.00 28,812,000.00 9,336,385.89 22,900,000.00 5,835,155.88 20.66 20.66
December 1999.... 1,171,713.83 36,894,000.00 28,812,000.00 8,940,578.12 22,900,000.00 5,869,194.28 10.26 10.26
January 2000..... 0.00 36,889,039.08 28,812,000.00 8,549,173.18 22,900,000.00 5,903,431.25 0.00 0.00
February 2000.... 0.00 35,557,801.81 28,812,000.00 8,327,300.30 22,900,000.00 5,937,867.93 0.00 0.00
March 2000....... 0.00 34,239,293.53 28,812,000.00 8,107,548.92 22,900,000.00 5,972,505.50 0.00 0.00
April 2000....... 0.00 32,933,395.74 28,812,000.00 7,889,899.29 22,900,000.00 6,007,345.11 0.00 0.00
May 2000......... 0.00 31,639,991.02 28,812,000.00 7,674,331.84 22,900,000.00 6,042,387.96 0.00 0.00
June 2000........ 0.00 30,358,963.03 28,812,000.00 7,460,827.17 22,900,000.00 6,077,635.22 0.00 0.00
July 2000........ 0.00 29,090,196.53 28,812,000.00 7,249,366.09 22,900,000.00 6,113,088.09 0.00 0.00
August 2000...... 0.00 27,833,577.31 28,812,000.00 7,039,929.55 22,900,000.00 6,148,747.77 0.00 0.00
September 2000... 0.00 26,588,992.24 28,812,000.00 6,832,498.71 22,900,000.00 6,184,615.47 0.00 0.00
October 2000..... 0.00 25,356,329.22 28,812,000.00 6,627,054.87 22,900,000.00 6,220,692.39 0.00 0.00
November 2000.... 0.00 24,135,477.19 28,812,000.00 6,423,579.53 22,900,000.00 6,256,979.77 0.00 0.00
December 2000.... 0.00 22,926,326.13 28,812,000.00 6,222,054.35 22,900,000.00 6,293,478.81 0.00 0.00
January 2001..... 0.00 21,731,326.03 28,812,000.00 6,022,887.67 22,900,000.00 6,330,190.77 0.00 0.00
February 2001.... 0.00 20,553,219.94 28,812,000.00 5,826,536.66 22,900,000.00 6,367,116.89 0.00 0.00
March 2001....... 0.00 19,391,774.40 28,812,000.00 5,632,962.40 22,900,000.00 6,404,258.40 0.00 0.00
April 2001....... 0.00 18,246,759.43 28,812,000.00 5,442,126.57 22,900,000.00 6,441,616.58 0.00 0.00
May 2001......... 0.00 17,117,948.14 28,812,000.00 5,253,991.36 22,900,000.00 6,479,192.67 0.00 0.00
June 2001........ 0.00 16,005,116.91 28,812,000.00 5,068,519.49 22,900,000.00 6,516,987.96 0.00 0.00
July 2001........ 0.00 14,908,045.03 28,812,000.00 4,885,674.17 22,900,000.00 6,555,003.73 0.00 0.00
August 2001...... 0.00 13,826,514.94 28,812,000.00 4,705,419.16 22,900,000.00 6,593,241.25 0.00 0.00
September 2001... 0.00 12,760,311.94 28,812,000.00 4,527,718.66 22,900,000.00 6,631,701.82 0.00 0.00
October 2001..... 0.00 11,709,224.14 28,812,000.00 4,352,537.36 22,900,000.00 6,670,386.75 0.00 0.00
November 2001.... 0.00 10,673,042.83 28,812,000.00 4,179,840.47 22,900,000.00 6,709,297.34 0.00 0.00
December 2001.... 0.00 9,651,561.94 28,812,000.00 4,009,593.66 22,900,000.00 6,748,434.91 0.00 0.00
</TABLE>
S-13
<PAGE>
<TABLE>
<CAPTION>
A Class B Class C Class F Class D Class Z Class R Class RL Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
------------ ---------- ---------- --------- ------------- ---------- --------- --------- -----------
<S> <C>
January 2002..... $ 0.00 $ 8,644,578.26 $ 28,812,000.00 $ 3,841,763.04 $ 22,900,000.00 $ 6,787,800.78 $ 0.00 $ 0.00
February 2002.... 0.00 7,651,891.29 28,812,000.00 3,676,315.21 22,900,000.00 6,827,396.28 0.00 0.00
March 2002....... 0.00 6,673,303.46 28,812,000.00 3,513,217.24 22,900,000.00 6,867,222.76 0.00 0.00
April 2002....... 0.00 5,708,619.69 28,812,000.00 3,352,436.61 22,900,000.00 6,907,281.56 0.00 0.00
May 2002......... 0.00 4,757,647.71 28,812,000.00 3,193,941.29 22,900,000.00 6,947,574.03 0.00 0.00
June 2002........ 0.00 3,820,197.69 28,812,000.00 3,037,699.61 22,900,000.00 6,988,101.55 0.00 0.00
July 2002........ 0.00 2,896,082.66 28,812,000.00 2,883,680.44 22,900,000.00 7,028,865.48 0.00 0.00
August 2002...... 0.00 1,985,117.91 28,812,000.00 2,731,852.99 22,900,000.00 7,069,867.19 0.00 0.00
September 2002... 0.00 1,087,121.40 28,812,000.00 2,582,186.90 22,900,000.00 7,111,108.08 0.00 0.00
October 2002..... 0.00 201,913.71 28,812,000.00 2,434,652.29 22,900,000.00 7,152,589.55 0.00 0.00
November 2002.... 0.00 0.00 28,089,726.55 2,340,810.55 22,900,000.00 7,194,312.99 0.00 0.00
December 2002.... 0.00 0.00 27,163,401.32 2,263,616.78 22,900,000.00 7,236,279.81 0.00 0.00
January 2003..... 0.00 0.00 26,250,284.03 2,187,523.67 22,900,000.00 7,278,491.44 0.00 0.00
February 2003.... 0.00 0.00 25,350,191.82 2,112,515.98 22,900,000.00 7,320,949.31 0.00 0.00
March 2003....... 0.00 0.00 24,462,944.12 2,038,578.68 22,900,000.00 7,363,654.85 0.00 0.00
April 2003....... 0.00 0.00 23,588,362.80 1,965,696.90 22,900,000.00 7,406,609.50 0.00 0.00
May 2003......... 0.00 0.00 22,726,272.28 1,893,856.02 22,900,000.00 7,449,814.72 0.00 0.00
June 2003........ 0.00 0.00 21,876,499.38 1,823,041.62 22,900,000.00 7,493,271.98 0.00 0.00
July 2003........ 0.00 0.00 21,038,873.26 1,753,239.44 22,900,000.00 7,536,982.73 0.00 0.00
August 2003...... 0.00 0.00 20,213,225.26 1,684,435.44 22,900,000.00 7,580,948.46 0.00 0.00
September 2003... 0.00 0.00 19,399,389.23 1,616,615.77 22,900,000.00 7,625,170.66 0.00 0.00
October 2003..... 0.00 0.00 18,597,201.32 1,549,766.78 22,900,000.00 7,669,650.82 0.00 0.00
November 2003.... 0.00 0.00 17,806,499.72 1,483,874.98 22,900,000.00 7,714,390.45 0.00 0.00
December 2003.... 0.00 0.00 17,027,124.92 1,418,927.08 22,900,000.00 7,759,391.06 0.00 0.00
January 2004..... 0.00 0.00 16,258,919.63 1,354,909.97 22,900,000.00 7,804,654.18 0.00 0.00
February 2004.... 0.00 0.00 15,501,728.77 1,291,810.73 22,900,000.00 7,850,181.33 0.00 0.00
March 2004....... 0.00 0.00 14,755,399.20 1,229,616.60 22,900,000.00 7,895,974.05 0.00 0.00
April 2004....... 0.00 0.00 14,019,780.00 1,168,315.00 22,900,000.00 7,942,033.90 0.00 0.00
May 2004......... 0.00 0.00 13,294,722.37 1,107,893.53 22,900,000.00 7,988,362.43 0.00 0.00
June 2004........ 0.00 0.00 12,580,079.26 1,048,339.94 22,900,000.00 8,034,961.21 0.00 0.00
July 2004........ 0.00 0.00 11,875,706.12 989,642.18 22,900,000.00 8,081,831.82 0.00 0.00
August 2004...... 0.00 0.00 11,181,459.88 931,788.32 22,900,000.00 8,128,975.84 0.00 0.00
September 2004... 0.00 0.00 10,497,199.66 874,766.64 22,900,000.00 8,176,394.86 0.00 0.00
October 2004..... 0.00 0.00 9,822,786.65 818,565.55 22,900,000.00 8,224,090.50 0.00 0.00
November 2004.... 0.00 0.00 9,158,083.66 763,173.64 22,900,000.00 8,272,064.36 0.00 0.00
December 2004.... 0.00 0.00 8,502,955.48 708,579.62 22,900,000.00 8,320,318.07 0.00 0.00
January 2005..... 0.00 0.00 7,857,268.89 654,772.41 22,900,000.00 8,368,853.26 0.00 0.00
February 2005.... 0.00 0.00 7,220,892.28 601,741.02 22,900,000.00 8,417,671.57 0.00 0.00
March 2005....... 0.00 0.00 6,593,695.94 549,474.66 22,900,000.00 8,466,774.66 0.00 0.00
April 2005....... 0.00 0.00 5,975,551.94 497,962.66 22,900,000.00 8,516,164.17 0.00 0.00
May 2005......... 0.00 0.00 5,366,334.18 447,194.52 22,900,000.00 8,565,841.80 0.00 0.00
June 2005........ 0.00 0.00 4,765,918.15 397,159.85 22,900,000.00 8,615,809.21 0.00 0.00
July 2005........ 0.00 0.00 4,174,181.08 347,848.42 22,900,000.00 8,666,068.10 0.00 0.00
August 2005...... 0.00 0.00 3,591,002.03 299,250.17 22,900,000.00 8,716,620.16 0.00 0.00
September 2005... 0.00 0.00 3,016,261.38 251,355.12 22,900,000.00 8,767,467.11 0.00 0.00
October 2005..... 0.00 0.00 2,449,841.63 204,153.47 22,900,000.00 8,818,610.67 0.00 0.00
November 2005.... 0.00 0.00 1,891,626.37 157,635.53 22,900,000.00 8,870,052.56 0.00 0.00
December 2005.... 0.00 0.00 1,341,501.23 111,791.77 22,900,000.00 8,921,794.54 0.00 0.00
January 2006..... 0.00 0.00 799,353.05 66,612.75 22,900,000.00 8,973,838.34 0.00 0.00
February 2006.... 0.00 0.00 265,070.58 22,089.22 22,900,000.00 9,026,185.73 0.00 0.00
March 2006....... 0.00 0.00 0.00 0.00 22,616,755.80 9,078,838.48 0.00 0.00
April 2006....... 0.00 0.00 0.00 0.00 22,054,636.40 9,131,798.37 0.00 0.00
</TABLE>
S-14
<PAGE>
<TABLE>
<CAPTION>
A Class B Class C Class F Class D Class Z Class R Class RL Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Schedule Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
------------- --------- ----------- --------- --------- ---------- --------- ---------- ---------
<S> <C>
May 2006............ $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 21,500,685.70 $ 9,185,067.19 $ 0.00 $ 0.00
June 2006........... 0.00 0.00 0.00 0.00 20,954,789.60 9,238,646.75 0.00 0.00
July 2006........... 0.00 0.00 0.00 0.00 20,416,835.30 9,292,538.86 0.00 0.00
August 2006......... 0.00 0.00 0.00 0.00 19,886,711.80 9,346,745.34 0.00 0.00
September 2006...... 0.00 0.00 0.00 0.00 19,364,309.40 9,401,268.02 0.00 0.00
October 2006........ 0.00 0.00 0.00 0.00 18,849,520.00 9,456,108.75 0.00 0.00
November 2006....... 0.00 0.00 0.00 0.00 18,342,237.10 9,511,269.38 0.00 0.00
December 2006....... 0.00 0.00 0.00 0.00 17,842,355.50 9,566,751.79 0.00 0.00
January 2007........ 0.00 0.00 0.00 0.00 17,349,771.60 9,622,557.84 0.00 0.00
February 2007....... 0.00 0.00 0.00 0.00 16,864,382.90 9,678,689.43 0.00 0.00
March 2007.......... 0.00 0.00 0.00 0.00 16,386,088.80 9,735,148.45 0.00 0.00
April 2007.......... 0.00 0.00 0.00 0.00 15,914,789.60 9,791,936.81 0.00 0.00
May 2007............ 0.00 0.00 0.00 0.00 15,450,387.30 9,849,056.44 0.00 0.00
June 2007........... 0.00 0.00 0.00 0.00 14,992,785.10 9,906,509.27 0.00 0.00
July 2007........... 0.00 0.00 0.00 0.00 14,541,887.50 9,964,297.24 0.00 0.00
August 2007......... 0.00 0.00 0.00 0.00 14,097,600.50 10,022,422.31 0.00 0.00
September 2007...... 0.00 0.00 0.00 0.00 13,659,831.30 10,080,886.44 0.00 0.00
October 2007........ 0.00 0.00 0.00 0.00 13,228,488.20 10,139,691.61 0.00 0.00
November 2007....... 0.00 0.00 0.00 0.00 12,803,480.90 10,198,839.81 0.00 0.00
December 2007....... 0.00 0.00 0.00 0.00 12,384,720.50 10,258,333.05 0.00 0.00
January 2008........ 0.00 0.00 0.00 0.00 11,972,119.10 10,318,173.32 0.00 0.00
February 2008....... 0.00 0.00 0.00 0.00 11,565,590.10 10,378,362.67 0.00 0.00
March 2008.......... 0.00 0.00 0.00 0.00 11,165,048.00 10,438,903.12 0.00 0.00
April 2008.......... 0.00 0.00 0.00 0.00 10,770,408.70 10,499,796.72 0.00 0.00
May 2008............ 0.00 0.00 0.00 0.00 10,381,588.90 10,561,045.53 0.00 0.00
June 2008........... 0.00 0.00 0.00 0.00 9,998,506.80 10,622,651.63 0.00 0.00
July 2008........... 0.00 0.00 0.00 0.00 9,621,081.60 10,684,617.10 0.00 0.00
August 2008......... 0.00 0.00 0.00 0.00 9,249,233.50 10,746,944.03 0.00 0.00
September 2008...... 0.00 0.00 0.00 0.00 8,882,884.00 10,809,634.54 0.00 0.00
October 2008........ 0.00 0.00 0.00 0.00 8,521,955.50 10,872,690.74 0.00 0.00
November 2008....... 0.00 0.00 0.00 0.00 8,166,371.60 10,936,114.77 0.00 0.00
December 2008....... 0.00 0.00 0.00 0.00 7,816,056.80 10,999,908.77 0.00 0.00
January 2009........ 0.00 0.00 0.00 0.00 7,470,936.90 11,064,074.91 0.00 0.00
February 2009....... 0.00 0.00 0.00 0.00 7,130,938.40 11,128,615.34 0.00 0.00
March 2009.......... 0.00 0.00 0.00 0.00 6,795,989.10 11,193,532.27 0.00 0.00
April 2009.......... 0.00 0.00 0.00 0.00 6,466,017.60 11,258,827.87 0.00 0.00
May 2009............ 0.00 0.00 0.00 0.00 6,140,953.50 11,324,504.37 0.00 0.00
June 2009........... 0.00 0.00 0.00 0.00 5,820,727.60 11,390,563.98 0.00 0.00
July 2009........... 0.00 0.00 0.00 0.00 5,505,271.40 11,457,008.93 0.00 0.00
August 2009......... 0.00 0.00 0.00 0.00 5,194,517.40 11,523,841.48 0.00 0.00
September 2009...... 0.00 0.00 0.00 0.00 4,888,399.10 11,591,063.89 0.00 0.00
October 2009........ 0.00 0.00 0.00 0.00 4,586,850.80 11,658,678.43 0.00 0.00
November 2009....... 0.00 0.00 0.00 0.00 4,289,807.90 11,726,687.39 0.00 0.00
December 2009....... 0.00 0.00 0.00 0.00 3,997,206.50 11,795,093.07 0.00 0.00
January 2010........ 0.00 0.00 0.00 0.00 3,708,983.70 11,863,897.78 0.00 0.00
February 2010....... 0.00 0.00 0.00 0.00 3,425,077.40 11,933,103.85 0.00 0.00
March 2010.......... 0.00 0.00 0.00 0.00 3,145,426.40 12,002,713.62 0.00 0.00
April 2010.......... 0.00 0.00 0.00 0.00 2,869,970.40 12,072,729.45 0.00 0.00
May 2010............ 0.00 0.00 0.00 0.00 2,598,649.70 12,143,153.70 0.00 0.00
June 2010........... 0.00 0.00 0.00 0.00 2,331,405.80 12,213,988.77 0.00 0.00
July 2010........... 0.00 0.00 0.00 0.00 2,068,180.60 12,285,237.03 0.00 0.00
August 2010......... 0.00 0.00 0.00 0.00 1,808,917.10 12,356,900.92 0.00 0.00
</TABLE>
S-15
<PAGE>
<TABLE>
<CAPTION>
A Class B Class C Class F Class D Class Z Class R Class RL Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
------------- ---------- ---------- ---------- ---------- ----------- ---------- ---------- ----------
<S> <C>
September 2010... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1,553,559.10 $ 12,428,982.84 $ 0.00 $ 0.00
October 2010..... 0.00 0.00 0.00 0.00 1,302,050.90 12,501,485.24 0.00 0.00
November 2010.... 0.00 0.00 0.00 0.00 1,054,337.80 12,574,410.57 0.00 0.00
December 2010.... 0.00 0.00 0.00 0.00 810,365.80 12,647,761.30 0.00 0.00
January 2011..... 0.00 0.00 0.00 0.00 570,081.70 12,721,539.91 0.00 0.00
February 2011.... 0.00 0.00 0.00 0.00 333,432.90 12,795,748.89 0.00 0.00
March 2011....... 0.00 0.00 0.00 0.00 100,367.60 12,869,000.00 0.00 0.00
April 2011....... 0.00 0.00 0.00 0.00 0.00 12,739,834.80 0.00 0.00
May 2011......... 0.00 0.00 0.00 0.00 0.00 12,513,784.20 0.00 0.00
June 2011........ 0.00 0.00 0.00 0.00 0.00 12,291,165.90 0.00 0.00
July 2011........ 0.00 0.00 0.00 0.00 0.00 12,071,931.20 0.00 0.00
August 2011...... 0.00 0.00 0.00 0.00 0.00 11,856,031.60 0.00 0.00
September 2011... 0.00 0.00 0.00 0.00 0.00 11,643,419.50 0.00 0.00
October 2011..... 0.00 0.00 0.00 0.00 0.00 11,434,048.00 0.00 0.00
November 2011.... 0.00 0.00 0.00 0.00 0.00 11,227,870.80 0.00 0.00
December 2011.... 0.00 0.00 0.00 0.00 0.00 11,024,842.10 0.00 0.00
January 2012..... 0.00 0.00 0.00 0.00 0.00 10,824,917.00 0.00 0.00
February 2012.... 0.00 0.00 0.00 0.00 0.00 10,628,051.00 0.00 0.00
March 2012....... 0.00 0.00 0.00 0.00 0.00 10,434,200.30 0.00 0.00
April 2012....... 0.00 0.00 0.00 0.00 0.00 10,243,321.70 0.00 0.00
May 2012......... 0.00 0.00 0.00 0.00 0.00 10,055,372.60 0.00 0.00
June 2012........ 0.00 0.00 0.00 0.00 0.00 9,870,311.14 0.00 0.00
July 2012........ 0.00 0.00 0.00 0.00 0.00 9,688,095.76 0.00 0.00
August 2012...... 0.00 0.00 0.00 0.00 0.00 9,508,685.66 0.00 0.00
September 2012... 0.00 0.00 0.00 0.00 0.00 9,332,040.56 0.00 0.00
October 2012..... 0.00 0.00 0.00 0.00 0.00 9,158,120.76 0.00 0.00
November 2012.... 0.00 0.00 0.00 0.00 0.00 8,986,887.09 0.00 0.00
December 2012.... 0.00 0.00 0.00 0.00 0.00 8,818,300.94 0.00 0.00
January 2013..... 0.00 0.00 0.00 0.00 0.00 8,652,324.22 0.00 0.00
February 2013.... 0.00 0.00 0.00 0.00 0.00 8,488,919.39 0.00 0.00
March 2013....... 0.00 0.00 0.00 0.00 0.00 8,328,049.43 0.00 0.00
April 2013....... 0.00 0.00 0.00 0.00 0.00 8,169,677.81 0.00 0.00
May 2013......... 0.00 0.00 0.00 0.00 0.00 8,013,768.55 0.00 0.00
June 2013........ 0.00 0.00 0.00 0.00 0.00 7,860,286.13 0.00 0.00
July 2013........ 0.00 0.00 0.00 0.00 0.00 7,709,195.55 0.00 0.00
August 2013...... 0.00 0.00 0.00 0.00 0.00 7,560,462.30 0.00 0.00
September 2013... 0.00 0.00 0.00 0.00 0.00 7,414,052.33 0.00 0.00
October 2013..... 0.00 0.00 0.00 0.00 0.00 7,269,932.08 0.00 0.00
November 2013.... 0.00 0.00 0.00 0.00 0.00 7,128,068.46 0.00 0.00
December 2013.... 0.00 0.00 0.00 0.00 0.00 6,988,428.84 0.00 0.00
January 2014..... 0.00 0.00 0.00 0.00 0.00 6,850,981.03 0.00 0.00
February 2014.... 0.00 0.00 0.00 0.00 0.00 6,715,693.31 0.00 0.00
March 2014....... 0.00 0.00 0.00 0.00 0.00 6,582,534.39 0.00 0.00
April 2014....... 0.00 0.00 0.00 0.00 0.00 6,451,473.42 0.00 0.00
May 2014......... 0.00 0.00 0.00 0.00 0.00 6,322,479.98 0.00 0.00
June 2014........ 0.00 0.00 0.00 0.00 0.00 6,195,524.09 0.00 0.00
July 2014........ 0.00 0.00 0.00 0.00 0.00 6,070,576.16 0.00 0.00
August 2014...... 0.00 0.00 0.00 0.00 0.00 5,947,607.04 0.00 0.00
September 2014... 0.00 0.00 0.00 0.00 0.00 5,826,587.97 0.00 0.00
October 2014..... 0.00 0.00 0.00 0.00 0.00 5,707,490.59 0.00 0.00
November 2014.... 0.00 0.00 0.00 0.00 0.00 5,590,286.97 0.00 0.00
December 2014.... 0.00 0.00 0.00 0.00 0.00 5,474,949.52 0.00 0.00
</TABLE>
S-16
<PAGE>
<TABLE>
<CAPTION>
A Class B Class C Class F Class D Class Z Class R Class RL Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
------------- ---------- ----------- ---------- ---------- --------- ----------- ---------- ----------
<S> <C>
January 2015........ $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 5,361,451.08 $ 0.00 $ 0.00
February 2015...... 0.00 0.00 0.00 0.00 0.00 5,249,764.85 0.00 0.00
March 2015.......... 0.00 0.00 0.00 0.00 0.00 5,139,864.40 0.00 0.00
April 2015.......... 0.00 0.00 0.00 0.00 0.00 5,031,723.68 0.00 0.00
May 2015............ 0.00 0.00 0.00 0.00 0.00 4,925,317.01 0.00 0.00
June 2015........... 0.00 0.00 0.00 0.00 0.00 4,820,619.06 0.00 0.00
July 2015........... 0.00 0.00 0.00 0.00 0.00 4,717,604.85 0.00 0.00
August 2015......... 0.00 0.00 0.00 0.00 0.00 4,616,249.76 0.00 0.00
September 2015...... 0.00 0.00 0.00 0.00 0.00 4,516,529.53 0.00 0.00
October 2015........ 0.00 0.00 0.00 0.00 0.00 4,418,420.20 0.00 0.00
November 2015....... 0.00 0.00 0.00 0.00 0.00 4,321,898.19 0.00 0.00
December 2015....... 0.00 0.00 0.00 0.00 0.00 4,226,940.22 0.00 0.00
January 2016........ 0.00 0.00 0.00 0.00 0.00 4,133,523.35 0.00 0.00
February 2016....... 0.00 0.00 0.00 0.00 0.00 4,041,624.96 0.00 0.00
March 2016.......... 0.00 0.00 0.00 0.00 0.00 3,951,222.75 0.00 0.00
April 2016.......... 0.00 0.00 0.00 0.00 0.00 3,862,294.73 0.00 0.00
May 2016............ 0.00 0.00 0.00 0.00 0.00 3,774,819.22 0.00 0.00
June 2016........... 0.00 0.00 0.00 0.00 0.00 3,688,774.84 0.00 0.00
July 2016........... 0.00 0.00 0.00 0.00 0.00 3,604,140.53 0.00 0.00
August 2016......... 0.00 0.00 0.00 0.00 0.00 3,520,895.51 0.00 0.00
September 2016...... 0.00 0.00 0.00 0.00 0.00 3,439,019.28 0.00 0.00
October 2016........ 0.00 0.00 0.00 0.00 0.00 3,358,491.65 0.00 0.00
November 2016....... 0.00 0.00 0.00 0.00 0.00 3,279,292.72 0.00 0.00
December 2016....... 0.00 0.00 0.00 0.00 0.00 3,201,402.85 0.00 0.00
January 2017........ 0.00 0.00 0.00 0.00 0.00 3,124,802.68 0.00 0.00
February 2017....... 0.00 0.00 0.00 0.00 0.00 3,049,473.14 0.00 0.00
March 2017.......... 0.00 0.00 0.00 0.00 0.00 2,975,395.40 0.00 0.00
April 2017.......... 0.00 0.00 0.00 0.00 0.00 2,902,550.93 0.00 0.00
May 2017............ 0.00 0.00 0.00 0.00 0.00 2,830,921.44 0.00 0.00
June 2017........... 0.00 0.00 0.00 0.00 0.00 2,760,488.89 0.00 0.00
July 2017........... 0.00 0.00 0.00 0.00 0.00 2,691,235.53 0.00 0.00
August 2017......... 0.00 0.00 0.00 0.00 0.00 2,623,143.81 0.00 0.00
September 2017...... 0.00 0.00 0.00 0.00 0.00 2,556,196.48 0.00 0.00
October 2017........ 0.00 0.00 0.00 0.00 0.00 2,490,376.49 0.00 0.00
November 2017....... 0.00 0.00 0.00 0.00 0.00 2,425,667.07 0.00 0.00
December 2017....... 0.00 0.00 0.00 0.00 0.00 2,362,051.66 0.00 0.00
January 2018........ 0.00 0.00 0.00 0.00 0.00 2,299,513.93 0.00 0.00
February 2018....... 0.00 0.00 0.00 0.00 0.00 2,238,037.81 0.00 0.00
March 2018.......... 0.00 0.00 0.00 0.00 0.00 2,177,607.44 0.00 0.00
April 2018.......... 0.00 0.00 0.00 0.00 0.00 2,118,207.18 0.00 0.00
May 2018............ 0.00 0.00 0.00 0.00 0.00 2,059,821.61 0.00 0.00
June 2018........... 0.00 0.00 0.00 0.00 0.00 2,002,435.55 0.00 0.00
July 2018........... 0.00 0.00 0.00 0.00 0.00 1,946,034.01 0.00 0.00
August 2018......... 0.00 0.00 0.00 0.00 0.00 1,890,602.24 0.00 0.00
September 2018...... 0.00 0.00 0.00 0.00 0.00 1,836,125.66 0.00 0.00
October 2018........ 0.00 0.00 0.00 0.00 0.00 1,782,589.94 0.00 0.00
November 2018....... 0.00 0.00 0.00 0.00 0.00 1,729,980.92 0.00 0.00
December 2018....... 0.00 0.00 0.00 0.00 0.00 1,678,284.66 0.00 0.00
January 2019........ 0.00 0.00 0.00 0.00 0.00 1,627,487.41 0.00 0.00
February 2019....... 0.00 0.00 0.00 0.00 0.00 1,577,575.63 0.00 0.00
March 2019.......... 0.00 0.00 0.00 0.00 0.00 1,528,535.94 0.00 0.00
April 2019.......... 0.00 0.00 0.00 0.00 0.00 1,480,355.19 0.00 0.00
</TABLE>
S-17
<PAGE>
<TABLE>
<CAPTION>
A Class B Class C Class F Class D Class Z Class R Class RL Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance Balance
------------ ---------- ---------- --------- ---------- ---------- -------- --------- --------
<S> <C>
May 2019............ $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1,433,020.39 $ 0.00 $ 0.00
June 2019........... 0.00 0.00 0.00 0.00 0.00 1,386,518.75 0.00 0.00
July 2019........... 0.00 0.00 0.00 0.00 0.00 1,340,837.64 0.00 0.00
August 2019......... 0.00 0.00 0.00 0.00 0.00 1,295,964.64 0.00 0.00
September 2019...... 0.00 0.00 0.00 0.00 0.00 1,251,887.49 0.00 0.00
October 2019........ 0.00 0.00 0.00 0.00 0.00 1,208,594.11 0.00 0.00
November 2019....... 0.00 0.00 0.00 0.00 0.00 1,166,072.58 0.00 0.00
December 2019....... 0.00 0.00 0.00 0.00 0.00 1,124,311.17 0.00 0.00
January 2020........ 0.00 0.00 0.00 0.00 0.00 1,083,298.30 0.00 0.00
February 2020....... 0.00 0.00 0.00 0.00 0.00 1,043,022.56 0.00 0.00
March 2020.......... 0.00 0.00 0.00 0.00 0.00 1,003,472.72 0.00 0.00
April 2020.......... 0.00 0.00 0.00 0.00 0.00 964,637.69 0.00 0.00
May 2020............ 0.00 0.00 0.00 0.00 0.00 926,506.54 0.00 0.00
June 2020........... 0.00 0.00 0.00 0.00 0.00 889,068.50 0.00 0.00
July 2020........... 0.00 0.00 0.00 0.00 0.00 852,312.97 0.00 0.00
August 2020......... 0.00 0.00 0.00 0.00 0.00 816,229.48 0.00 0.00
September 2020...... 0.00 0.00 0.00 0.00 0.00 780,807.71 0.00 0.00
October 2020........ 0.00 0.00 0.00 0.00 0.00 746,037.50 0.00 0.00
November 2020....... 0.00 0.00 0.00 0.00 0.00 711,908.84 0.00 0.00
December 2020....... 0.00 0.00 0.00 0.00 0.00 678,411.84 0.00 0.00
January 2021........ 0.00 0.00 0.00 0.00 0.00 645,536.78 0.00 0.00
February 2021....... 0.00 0.00 0.00 0.00 0.00 613,274.06 0.00 0.00
March 2021.......... 0.00 0.00 0.00 0.00 0.00 581,614.23 0.00 0.00
April 2021.......... 0.00 0.00 0.00 0.00 0.00 550,547.96 0.00 0.00
May 2021............ 0.00 0.00 0.00 0.00 0.00 520,066.07 0.00 0.00
June 2021........... 0.00 0.00 0.00 0.00 0.00 490,159.51 0.00 0.00
July 2021........... 0.00 0.00 0.00 0.00 0.00 460,819.35 0.00 0.00
August 2021......... 0.00 0.00 0.00 0.00 0.00 432,036.81 0.00 0.00
September 2021...... 0.00 0.00 0.00 0.00 0.00 403,803.20 0.00 0.00
October 2021........ 0.00 0.00 0.00 0.00 0.00 376,109.99 0.00 0.00
November 2021....... 0.00 0.00 0.00 0.00 0.00 348,948.76 0.00 0.00
December 2021....... 0.00 0.00 0.00 0.00 0.00 322,311.21 0.00 0.00
January 2022........ 0.00 0.00 0.00 0.00 0.00 296,189.16 0.00 0.00
February 2022....... 0.00 0.00 0.00 0.00 0.00 270,574.56 0.00 0.00
March 2022.......... 0.00 0.00 0.00 0.00 0.00 245,459.45 0.00 0.00
April 2022.......... 0.00 0.00 0.00 0.00 0.00 220,836.01 0.00 0.00
May 2022............ 0.00 0.00 0.00 0.00 0.00 196,696.52 0.00 0.00
June 2022........... 0.00 0.00 0.00 0.00 0.00 173,033.38 0.00 0.00
July 2022........... 0.00 0.00 0.00 0.00 0.00 149,839.10 0.00 0.00
August 2022......... 0.00 0.00 0.00 0.00 0.00 127,106.28 0.00 0.00
September 2022...... 0.00 0.00 0.00 0.00 0.00 104,827.66 0.00 0.00
October 2022........ 0.00 0.00 0.00 0.00 0.00 82,996.06 0.00 0.00
November 2022....... 0.00 0.00 0.00 0.00 0.00 61,604.41 0.00 0.00
December 2022....... 0.00 0.00 0.00 0.00 0.00 40,645.74 0.00 0.00
January 2023........ 0.00 0.00 0.00 0.00 0.00 20,113.19 0.00 0.00
February 2023 and
thereafter......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
S-18
<PAGE>
Characteristics of the R and RL Classes
In addition to distributions of principal and interest, the Holder of the R
Class will be entitled to receive the proceeds of the remaining assets of the
Trust, if any, after the principal balances of all Classes (other than the RL
Class) have been reduced to zero, and the Holder of the RL Class will be
entitled to receive the proceeds of the remaining assets of the Lower Tier
REMIC, if any, after the principal balances of the Lower Tier Interests have
been reduced to zero. It is not anticipated that there will be any material
assets remaining in either such circumstance.
The R Class and the RL Class will be subject to certain transfer
restrictions. No transfer of record or beneficial ownership of an R or RL
Certificate will be allowed to a "disqualified organization." In addition, no
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to any person that is not a "U.S. Person" without the written consent of
Fannie Mae. Under regulations issued by the Treasury Department on December 23,
1992 (the "Regulations"), a transfer of a "noneconomic residual interest" to a
U.S. Person will be disregarded for all federal tax purposes unless no
significant purpose of the transfer is to impede the assessment or collection of
tax. Any transferee of an R or RL Certificate must execute and deliver an
affidavit and an Internal Revenue Service Form W-9 on which the transferee
provides its taxpayer identification number. See "Description of the
Certificates--Additional Characteristics of Residual Certificates" and "Certain
Federal Income Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates" in the REMIC Prospectus. Transferors of an R or RL Certificate
should consult with their own tax advisors for further information regarding
such transfers.
The Holder of the R Class will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Class will be considered to be the holder of the "residual interest" in the
REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, Fannie
Mae will be obligated to provide to such Holders (i) such information as is
necessary to enable them to prepare their federal income tax returns and (ii)
any reports regarding the Certificates that may be required under the Code.
Yield Considerations
General. There can be no assurance that the Mortgage Loans will have the
characteristics assumed herein or will prepay at any of the rates assumed herein
or at any other particular rate, that the pre-tax yields on the Certificates
will correspond to any of the pre-tax yields shown herein or that the aggregate
purchase prices of the Certificates will be as assumed. In addition, there can
be no assurance that the applicable Index will correspond to the levels shown
herein. Because the rate of principal distributions on the Certificates will be
related to the amortization of the Mortgage Loans, which are likely to include
Mortgage Loans that have remaining terms to maturity shorter or longer than
those assumed and interest rates higher or lower than those assumed, the
principal distributions on the Certificates are likely to differ from those
assumed, even if all Mortgage Loans prepay at the indicated constant percentages
of PSA. In addition, it is not likely that the Mortgage Loans will prepay at a
constant PSA rate until maturity, that all of such Mortgage Loans will prepay at
the same rate or that the level of the applicable Index will remain constant.
The timing of changes in the rate of prepayments or the level of the
applicable Index may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments or the average
level of such Index is consistent with the expectations of investors. In
general, the earlier the payment of principal of the Mortgage Loans or change in
the level of an Index, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal
prepayments or the level of an Index occurring at a rate or level higher (or
lower) than the rate or level anticipated by the investor during the period
immediately following the issuance of the Certificates will not be offset by a
subsequent like reduction (or increase) in the rate of principal prepayments or
level of such Index.
S-19
<PAGE>
The effective yield on the Delay Classes will be reduced below the yield
otherwise produced because principal and interest payable on a Distribution Date
will not be distributed until the 25th day following the end of the related
Interest Accrual Period and will not bear interest during such delay. No
interest at all will be paid on any Class after its principal balance has been
reduced to zero. As a result of the foregoing, the market value of the Delay
Classes will be lower than would have been the case if there were no such delay.
Investors must make their own decisions as to the appropriate assumptions,
including prepayment assumptions, to be used in deciding whether to purchase the
Certificates.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of certain Classes to various constant percentages
of PSA and, where specified, to changes in an Index. The yields set forth in the
tables were calculated by determining the monthly discount rates that, when
applied to the assumed streams of cash flows to be paid on the applicable
Classes, would cause the discounted present value of such assumed streams of
cash flows to equal the assumed aggregate purchase prices of such Classes 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 Certificates and consequently do not purport to reflect the
return on any investment in the Certificates when such reinvestment rates are
considered.
The Inverse Floating Rate Classes. The yields to investors in the Inverse
Floating Rate Classes will be sensitive in varying degrees to the level of the
applicable Index and to the rate of principal payments (including prepayments)
of the Mortgage Loans, which generally can be prepaid at any time. As indicated
in the tables below, a high level of the applicable Index will have a material
negative effect on the yields to investors in the Inverse Floating Rate Classes.
It is possible that, under certain high Index or prepayment scenarios, investors
in the S and SC Classes would not fully recoup their initial investments.
Changes in an Index may not correlate with changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur
concurrently with an increased level of such Index.
The information set forth in the following tables was prepared on the basis
of the Pricing Assumptions and the assumptions that (i) the interest rates
applicable to the Inverse Floating Rate Classes for each Interest Accrual Period
subsequent to their initial Interest Accrual Periods will be based on the
indicated level of the applicable Index and (ii) the aggregate purchase prices
of the Inverse Floating Rate Classes (expressed as percentages of original
principal balance) are as follows:
Class Price*
------ -------
S ......................................................... 20.15479%
SA ......................................................... 85.18750%
SB ......................................................... 83.50000%
SC ......................................................... 14.39628%
-------------------------------
* The prices do not include accrued interest. Accrued interest has been
added to such prices in calculating the yields set forth in the tables
below.
S-20
<PAGE>
Sensitivity of the S Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
----------------------------------------------------
LIBOR 50% 100% 175% 250% 500%
- ------- ------- ------- ------- ------- --------
1.1875%............ 59.1% 54.8% 47.8% 47.8% 34.2%
3.1875%............ 42.4% 37.7% 30.0% 30.0% 13.7%
5.1875%............ 26.0% 20.6% 11.8% 11.8% (8.1)%
7.1875%............ 9.1% 2.5% (8.1)% (8.1)% (33.2)%
9.1875%............ (14.4)% (23.8)% (38.6)% (38.6)% (74.3)%
9.6000%............ * * * * *
- ---------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SA Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 100% 175% 250% 500%
- ----- ------ ------ ------ ------ ------
2.333%.................. 18.0% 18.0% 18.2% 23.0% 34.0%
4.333%.................. 12.4% 12.4% 12.6% 17.6% 28.7%
6.333%.................. 6.9% 6.9% 7.2% 12.2% 23.5%
8.333%.................. 1.6% 1.7% 2.0% 7.0% 18.3%
8.750%.................. 0.6% 0.6% 0.9% 5.9% 17.3%
Sensitivity of the SB Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 175% 250% 500%
- ------ ------ ------ ------ ------ ------
1.1875%................. 25.4% 25.4% 25.5% 31.2% 44.5%
3.1875%................. 17.4% 17.5% 17.7% 23.6% 37.1%
5.1875%................. 9.8% 9.8% 10.1% 16.2% 29.8%
7.1875%................. 2.5% 2.5% 2.9% 8.9% 22.7%
7.7000%................. 0.7% 0.8% 1.1% 7.1% 20.9%
Sensitivity of the SC Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 100% 175% 250% 500%
- ----- -------- -------- -------- -------- --------
1.1875%........... 59.1% 54.8% 47.8% 47.8% 34.2%
3.1875%........... 42.4% 37.7% 30.0% 30.0% 13.7%
5.1875%........... 26.0% 20.6% 11.8% 11.8% (8.1)%
7.1875%........... 9.1% 2.5% (8.1)% (8.1)% (33.2)%
9.1875%........... (14.4)% (23.8)% (38.6)% (38.6)% (74.3)%
9.6000%........... * * * * *
- ---------------
* The pre-tax yield to maturity would be less than (99.9)%.
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a) multiplying
the amount of the reduction, if any, of the principal balance of such
Certificate from one Distribution Date to the next Distribution Date by the
number of years from the date of issuance to the second such Distribution Date,
(b) summing the results and (c) dividing the sum by the aggregate amount of the
reductions in
S-21
<PAGE>
principal balance of such Certificate referred to in clause (a). For a
description of the factors which may influence the weighted average life of a
Certificate, see "Description of the Certificates-- Weighted Average Life and
Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including the timing of changes in such rate of principal
payments, the priority sequence of distributions of principal of the Classes and
the distribution of principal of certain Classes in accordance with the
Principal Balance Schedules herein. In particular, if the amount distributable
as principal of the Certificates on any Distribution Date exceeds the amount
required to reduce the principal balances of certain Classes with higher
principal payment priorities to their respective scheduled amounts as set forth
in the Principal Balance Schedules, such excess principal will be distributed on
the remaining Classes on such Distribution Date. Conversely, if the principal
distributable on any Distribution Date is less than the amount so required to
reduce certain Classes to their respective scheduled amounts, no principal will
be distributed on the remaining Classes on such Distribution Date. Accordingly,
the rate of principal payments on the Mortgage Loans is expected to have a
greater effect on the weighted average lives of the Support Classes than on the
weighted average lives of the Scheduled Classes. See "Distributions of
Principal" herein.
The interaction of the foregoing factors may have different effects on
various Classes and the effects on any Class may vary at different times during
the life of such Class. Accordingly, no assurance can be given as to the
weighted average life of any Class. Further, to the extent the prices of the
Certificates represent discounts or premiums to their respective original
principal balances, variability in the weighted average lives of such Classes of
Certificates could result in variability in the related yields to maturity. For
an example of how the weighted average lives of the Classes may be affected at
various constant prepayment rates, see the Decrement Tables below.
S-22
<PAGE>
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of the
Pricing Assumptions, except that with respect to the information set forth for
each such Class under 0% PSA it has been assumed that each underlying Mortgage
Loan bears an interest rate of 9.50% per annum and has an original and remaining
term to maturity of 360 months. It is not likely that (i) all of the underlying
Mortgage Loans will have the interest rates, CAGEs or remaining terms to
maturity assumed or (ii) the underlying Mortgage Loans will prepay at a constant
PSA level. In addition, the diverse remaining terms to maturity of the Mortgage
Loans (which will include recently originated Mortgage Loans) could produce
slower or faster principal distributions than indicated in the tables at the
specified constant PSA levels, even if the weighted average remaining term to
maturity and the weighted average CAGE of the Mortgage Loans are identical to
the remaining term to maturity and CAGE specified in the Pricing Assumptions.
Percent of Original Principal Balances Outstanding
A, R and RL Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ----- ------ ------ ------
Initial Percent... 100 100 100 100 100
May 1994.......... 99 94 92 92 92
May 1995.......... 97 84 76 76 65
May 1996.......... 96 72 56 56 23
May 1997.......... 94 60 38 38 0
May 1998.......... 93 48 23 23 0
May 1999.......... 91 38 9 9 0
May 2000.......... 89 28 0 0 0
May 2001.......... 86 18 0 0 0
May 2002.......... 84 9 0 0 0
May 2003.......... 81 1 0 0 0
May 2004.......... 78 0 0 0 0
May 2005.......... 74 0 0 0 0
May 2006.......... 70 0 0 0 0
May 2007.......... 66 0 0 0 0
May 2008.......... 62 0 0 0 0
May 2009.......... 57 0 0 0 0
May 2010.......... 51 0 0 0 0
May 2011.......... 45 0 0 0 0
May 2012.......... 38 0 0 0 0
May 2013.......... 31 0 0 0 0
May 2014.......... 23 0 0 0 0
May 2015.......... 14 0 0 0 0
May 2016.......... 4 0 0 0 0
May 2017.......... 0 0 0 0 0
May 2018.......... 0 0 0 0 0
May 2019.......... 0 0 0 0 0
May 2020.......... 0 0 0 0 0
May 2021.......... 0 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 15.7 5.1 3.5 3.5 2.3
B Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ---- ---- ---- -----
Initial Percent... 100 100 100 100 100
May 1994.......... 100 100 100 100 100
May 1995.......... 100 100 100 100 100
May 1996.......... 100 100 100 100 100
May 1997.......... 100 100 100 100 77
May 1998.......... 100 100 100 100 5
May 1999.......... 100 100 100 100 0
May 2000.......... 100 100 86 86 0
May 2001.......... 100 100 46 46 0
May 2002.......... 100 100 13 13 0
May 2003.......... 100 100 0 0 0
May 2004.......... 100 75 0 0 0
May 2005.......... 100 48 0 0 0
May 2006.......... 100 23 0 0 0
May 2007.......... 100 0 0 0 0
May 2008.......... 100 0 0 0 0
May 2009.......... 100 0 0 0 0
May 2010.......... 100 0 0 0 0
May 2011.......... 100 0 0 0 0
May 2012.......... 100 0 0 0 0
May 2013.......... 100 0 0 0 0
May 2014.......... 100 0 0 0 0
May 2015.......... 100 0 0 0 0
May 2016.......... 100 0 0 0 0
May 2017.......... 77 0 0 0 0
May 2018.......... 36 0 0 0 0
May 2019.......... 0 0 0 0 0
May 2020.......... 0 0 0 0 0
May 2021.......... 0 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 24.7 12.0 8.0 8.0 4.4
C Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ------ ----- ----- ----- -----
Initial Percent... 100 100 100 100 100
May 1994.......... 100 100 100 100 100
May 1995.......... 100 100 100 100 100
May 1996.......... 100 100 100 100 100
May 1997.......... 100 100 100 100 100
May 1998.......... 100 100 100 100 100
May 1999.......... 100 100 100 100 39
May 2000.......... 100 100 100 100 0
May 2001.......... 100 100 100 100 0
May 2002.......... 100 100 100 100 0
May 2003.......... 100 100 79 79 0
May 2004.......... 100 100 46 46 0
May 2005.......... 100 100 19 19 0
May 2006.......... 100 100 0 0 0
May 2007.......... 100 100 0 0 0
May 2008.......... 100 69 0 0 0
May 2009.......... 100 40 0 0 0
May 2010.......... 100 12 0 0 0
May 2011.......... 100 0 0 0 0
May 2012.......... 100 0 0 0 0
May 2013.......... 100 0 0 0 0
May 2014.......... 100 0 0 0 0
May 2015.......... 100 0 0 0 0
May 2016.......... 100 0 0 0 0
May 2017.......... 100 0 0 0 0
May 2018.......... 100 0 0 0 0
May 2019.......... 86 0 0 0 0
May 2020.......... 17 0 0 0 0
May 2021.......... 0 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 26.6 15.7 11.0 11.0 5.9
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-23
<PAGE>
F, S+ and SC+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ----- ----- ----- ------
Initial Percent... 100 100 100 100 100
May 1994.......... 99 95 93 93 93
May 1995.......... 98 87 80 80 71
May 1996.......... 97 77 64 64 37
May 1997.......... 95 67 50 50 15
May 1998.......... 94 58 37 37 6
May 1999.......... 92 49 25 25 2
May 2000.......... 91 41 16 16 0
May 2001.......... 89 33 11 11 0
May 2002.......... 87 26 7 7 0
May 2003.......... 84 19 4 4 0
May 2004.......... 82 15 2 2 0
May 2005.......... 79 12 1 1 0
May 2006.......... 76 8 0 0 0
May 2007.......... 72 5 0 0 0
May 2008.......... 69 4 0 0 0
May 2009.......... 65 2 0 0 0
May 2010.......... 60 1 0 0 0
May 2011.......... 55 0 0 0 0
May 2012.......... 50 0 0 0 0
May 2013.......... 44 0 0 0 0
May 2014.......... 37 0 0 0 0
May 2015.......... 30 0 0 0 0
May 2016.......... 22 0 0 0 0
May 2017.......... 15 0 0 0 0
May 2018.......... 10 0 0 0 0
May 2019.......... 4 0 0 0 0
May 2020.......... 1 0 0 0 0
May 2021.......... 0 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 17.5 6.5 4.4 4.4 2.8
D Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ----- ----- ---- -----
Initial Percent... 100 100 100 100 100
May 1994.......... 100 100 100 100 100
May 1995.......... 100 100 100 100 100
May 1996.......... 100 100 100 100 100
May 1997.......... 100 100 100 100 100
May 1998.......... 100 100 100 100 100
May 1999.......... 100 100 100 100 100
May 2000.......... 100 100 100 100 88
May 2001.......... 100 100 100 100 43
May 2002.......... 100 100 100 100 12
May 2003.......... 100 100 100 100 0
May 2004.......... 100 100 100 100 0
May 2005.......... 100 100 100 100 0
May 2006.......... 100 100 94 94 0
May 2007.......... 100 100 67 67 0
May 2008.......... 100 100 45 45 0
May 2009.......... 100 100 27 27 0
May 2010.......... 100 100 11 11 0
May 2011.......... 100 81 0 0 0
May 2012.......... 100 47 0 0 0
May 2013.......... 100 16 0 0 0
May 2014.......... 100 0 0 0 0
May 2015.......... 100 0 0 0 0
May 2016.......... 100 0 0 0 0
May 2017.......... 100 0 0 0 0
May 2018.......... 100 0 0 0 0
May 2019.......... 100 0 0 0 0
May 2020.......... 100 0 0 0 0
May 2021.......... 19 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 27.7 19.0 15.0 15.0 8.0
E Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ----- ----- ---- -----
Initial Percent... 100 100 100 100 100
May 1994.......... 81 81 81 81 81
May 1995.......... 61 61 61 61 61
May 1996.......... 40 40 40 40 40
May 1997.......... 16 16 16 16 16
May 1998.......... 0 0 0 0 0
May 1999.......... 0 0 0 0 0
May 2000.......... 0 0 0 0 0
May 2001.......... 0 0 0 0 0
May 2002.......... 0 0 0 0 0
May 2003.......... 0 0 0 0 0
May 2004.......... 0 0 0 0 0
May 2005.......... 0 0 0 0 0
May 2006.......... 0 0 0 0 0
May 2007.......... 0 0 0 0 0
May 2008.......... 0 0 0 0 0
May 2009.......... 0 0 0 0 0
May 2010.......... 0 0 0 0 0
May 2011.......... 0 0 0 0 0
May 2012.......... 0 0 0 0 0
May 2013.......... 0 0 0 0 0
May 2014.......... 0 0 0 0 0
May 2015.......... 0 0 0 0 0
May 2016.......... 0 0 0 0 0
May 2017.......... 0 0 0 0 0
May 2018.......... 0 0 0 0 0
May 2019.......... 0 0 0 0 0
May 2020.......... 0 0 0 0 0
May 2021.......... 0 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 2.5 2.5 2.5 2.5 2.5
G Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ----- ----- ----- ------
Initial Percent... 100 100 100 100 100
May 1994.......... 100 100 100 100 100
May 1995.......... 100 100 100 100 100
May 1996.......... 100 100 100 100 100
May 1997.......... 100 100 100 100 100
May 1998.......... 96 96 96 96 96
May 1999.......... 82 82 82 82 82
May 2000.......... 67 67 67 67 67
May 2001.......... 51 51 51 51 51
May 2002.......... 34 34 34 34 34
May 2003.......... 16 16 16 16 0
May 2004.......... 0 0 0 0 0
May 2005.......... 0 0 0 0 0
May 2006.......... 0 0 0 0 0
May 2007.......... 0 0 0 0 0
May 2008.......... 0 0 0 0 0
May 2009.......... 0 0 0 0 0
May 2010.......... 0 0 0 0 0
May 2011.......... 0 0 0 0 0
May 2012.......... 0 0 0 0 0
May 2013.......... 0 0 0 0 0
May 2014.......... 0 0 0 0 0
May 2015.......... 0 0 0 0 0
May 2016.......... 0 0 0 0 0
May 2017.......... 0 0 0 0 0
May 2018.......... 0 0 0 0 0
May 2019.......... 0 0 0 0 0
May 2020.......... 0 0 0 0 0
May 2021.......... 0 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 8.0 8.0 8.0 8.0 7.8
H Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ----- ----- ----- -----
Initial Percent... 100 100 100 100 100
May 1994.......... 100 100 100 100 100
May 1995.......... 100 100 100 100 100
May 1996.......... 100 100 100 100 100
May 1997.......... 100 100 100 100 100
May 1998.......... 100 100 100 100 100
May 1999.......... 100 100 100 100 100
May 2000.......... 100 100 100 100 100
May 2001.......... 100 100 100 100 100
May 2002.......... 100 100 100 100 100
May 2003.......... 100 100 100 100 65
May 2004.......... 98 98 98 98 0
May 2005.......... 86 86 86 86 0
May 2006.......... 74 74 74 74 0
May 2007.......... 60 60 60 60 0
May 2008.......... 46 46 46 46 0
May 2009.......... 31 31 31 31 0
May 2010.......... 15 15 15 15 0
May 2011.......... 0 0 0 0 0
May 2012.......... 0 0 0 0 0
May 2013.......... 0 0 0 0 0
May 2014.......... 0 0 0 0 0
May 2015.......... 0 0 0 0 0
May 2016.......... 0 0 0 0 0
May 2017.......... 0 0 0 0 0
May 2018.......... 0 0 0 0 0
May 2019.......... 0 0 0 0 0
May 2020.......... 0 0 0 0 0
May 2021.......... 0 0 0 0 0
May 2022.......... 0 0 0 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 14.6 14.6 14.6 14.6 10.2
Z Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ----- ---- ---- ------
Initial Percent... 100 100 100 100 100
May 1994.......... 107 107 107 107 107
May 1995.......... 115 115 115 115 115
May 1996.......... 123 123 123 123 123
May 1997.......... 132 132 132 132 132
May 1998.......... 142 142 142 142 142
May 1999.......... 152 152 152 152 152
May 2000.......... 163 163 163 163 163
May 2001.......... 175 175 175 175 175
May 2002.......... 187 187 187 187 187
May 2003.......... 201 201 201 201 201
May 2004.......... 215 215 215 215 197
May 2005.......... 231 231 231 231 135
May 2006.......... 248 248 248 248 92
May 2007.......... 266 266 266 266 62
May 2008.......... 285 285 285 285 42
May 2009.......... 305 305 305 305 28
May 2010.......... 328 328 328 328 19
May 2011.......... 347 347 338 338 13
May 2012.......... 347 347 271 271 8
May 2013.......... 347 347 216 216 5
May 2014.......... 347 257 171 171 4
May 2015.......... 347 133 133 133 2
May 2016.......... 347 102 102 102 1
May 2017.......... 347 76 76 76 1
May 2018.......... 347 56 56 56 1
May 2019.......... 347 39 39 39 *
May 2020.......... 347 25 25 25 *
May 2021.......... 347 14 14 14 *
May 2022.......... 5 5 5 5 *
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 28.5 22.6 21.7 21.7 13.4
FA, SA, FB and SB Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 175% 250% 500%
----- ----- ---- ----- ---- -----
Initial Percent... 100 100 100 100 100
May 1994.......... 100 100 100 89 51
May 1995.......... 100 100 100 66 0
May 1996.......... 100 100 100 40 0
May 1997.......... 100 100 100 22 0
May 1998.......... 100 100 100 11 0
May 1999.......... 100 100 100 4 0
May 2000.......... 100 100 100 * 0
May 2001.......... 100 100 100 0 0
May 2002.......... 100 100 98 0 0
May 2003.......... 100 100 94 0 0
May 2004.......... 100 100 89 0 0
May 2005.......... 100 100 84 0 0
May 2006.......... 100 100 78 0 0
May 2007.......... 100 100 72 0 0
May 2008.......... 100 100 65 0 0
May 2009.......... 100 100 59 0 0
May 2010.......... 100 100 52 0 0
May 2011.......... 100 100 46 0 0
May 2012.......... 100 100 41 0 0
May 2013.......... 100 100 35 0 0
May 2014.......... 100 100 30 0 0
May 2015.......... 100 95 25 0 0
May 2016.......... 100 81 21 0 0
May 2017.......... 100 68 17 0 0
May 2018.......... 100 56 13 0 0
May 2019.......... 100 43 10 0 0
May 2020.......... 100 31 7 0 0
May 2021.......... 100 19 4 0 0
May 2022.......... 76 8 2 0 0
May 2023.......... 0 0 0 0 0
Weighted Average
Life (years)**... 29.4 25.6 18.0 2.8 1.0
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-24
<PAGE>
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion
of "Certain Federal Income Tax Consequences" in the REMIC Prospectus, describes
the current federal income tax treatment of investors in the Certificates. These
two tax discussions do not purport to deal with all federal tax consequences
applicable to all categories of investors, some of which may be subject to
special rules. Investors should consult their own tax advisors in determining
the federal, state, local and any other tax consequences to them of the
purchase, ownership and disposition of the Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. The Certificates, other than the R and
RL Classes, will be designated as the "regular interests," and the R Class will
be designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests,"
and the RL Class will be designated as the "residual interest," in the Lower
Tier REMIC.
As a consequence of the qualification of the Trust and the Lower Tier REMIC
as REMICs, the Certificates generally will be treated as "qualifying real
property loans" for mutual savings banks and domestic building and loan
associations, "regular or residual interests in a REMIC" for domestic building
and loan associations, "real estate assets" for real estate investment trusts,
and, except for the R and RL Classes, as "qualified mortgages" for other REMICs.
See "Certain Federal Income Tax Consequences--Special Tax Attributes" in the
REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The S, SC, Z, SA and SB Classes will be, and certain other Classes of
Certificates may be, issued with original issue discount for federal income tax
purposes, which generally will result in recognition of some taxable income in
advance of the receipt of the cash attributable to such income. The Prepayment
Assumption that will be used in determining the rate of accrual of original
issue discount will be 175% PSA. See "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates--Original
Issue Discount" in the REMIC Prospectus. No representation is made as to whether
the Mortgage Loans underlying the MBS will prepay at that or any other rate. See
"Description of the Certificates--Weighted Average Lives of the Certificates"
herein and "Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus. In addition, certain Classes of
Certificates may be treated as having been issued at a premium for federal
income tax purposes. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Certificates Purchased at a Premium"
in the REMIC Prospectus.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R nor the RL Certificates will have
significant value. As a result, an organization to which section 593 of the Code
applies and which is the beneficial owner of any R or RL Certificate may not use
its allowable deductions to offset any "excess inclusions" with respect to such
Certificate. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Residual Certificates--Excess Inclusions" in the REMIC
Prospectus.
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about April 20, 1993. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual Certificates--Excess
Inclusions" and "--Foreign Investors--Residual Certificates" in the REMIC
Prospectus. The federal income tax consequences of any consideration paid to a
transferee on the transfer of any R or RL Certificate are unclear; any
transferee receiving such consideration should consult its own tax advisors.
S-25
<PAGE>
Under the proposed IRS regulations relating to original issue discount, the
Lower Tier Regular Interests would be treated as a single debt instrument for
original issue discount purposes because they were issued to the Trust in a
single transaction. Although there can be no assurance that final regulations
will apply this aggregation rule to the Lower Tier Regular Interests, Fannie Mae
intends to calculate the taxable income (or net loss) of the Trust and of the
Lower Tier REMIC (and to report to the R and RL Certificateholders) by treating
the Lower Tier Regular Interests as a single debt instrument. A failure of the
Lower Tier Regular Interests to qualify as a single debt instrument for original
issue discount purposes could result in material adverse tax consequences to the
beneficial owners of the RL Class.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the MBS
pursuant to a Fannie Mae commitment. The Dealer proposes to offer the
Certificates directly to the public from time to time in negotiated transactions
at varying prices to be determined at the time of sale. The Dealer may effect
such transactions to or through dealers.
Increase in Certificates. Fannie Mae and the Dealer may agree to offer
hereby Certificates in addition to those contemplated as of the date hereof. In
such event, the MBS will be increased in principal balance, but it is expected
that all additional MBS will have the same characteristics as described herein
under "Description of the Certificates--The MBS." The proportion that the
original principal balance of each Class (and any Components) bears to the
aggregate original principal balance of all the Certificates will remain the
same. The dollar amounts reflected in the Principal Balance Schedules will be
increased in pro rata amounts that correspond to the increase of the principal
balance of the Certificates.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Skadden, Arps,
Slate, Meagher & Flom.
S-26
<PAGE>
- ------------------------------------------------------
- ------------------------------------------------------
No dealer, salesman or other person has been authorized to give any information
or to make any representations in connection with this offering other than those
contained in this Prospectus Supplement and the accompanying REMIC Prospectus
and, if given or made, such information or representations must not be relied
upon as having been authorized. This Prospectus Supplement and the accompanying
REMIC Prospectus do not constitute an offer to sell or a solicitation of an
offer to buy any of the Certificates offered hereby in any state to any person
to whom it is unlawful to make such offer or solicitation in such state. The
delivery of this Prospectus Supplement and the accompanying REMIC Prospectus at
any time does not imply that the information contained herein or therein is
correct as of any time subsequent to the date hereof or thereof.
------------------------
TABLE OF CONTENTS
Page
----
Prospectus Supplement
Table of Contents..................................... S- 3
Description of the Certificates....................... S- 4
Certain Additional Federal Income Tax
Consequences........................................ S-25
Plan of Distribution.................................. S-26
Legal Matters......................................... S-26
REMIC Prospectus
Prospectus Supplement................................. 2
Summary of Prospectus................................. 3
Description of the Certificates....................... 7
The Trust Agreement................................... 20
Certain Federal Income Tax
Consequences........................................ 22
Legal Investment Considerations....................... 32
Legal Opinion......................................... 33
ERISA Considerations.................................. 33
Glossary.............................................. 34
- ------------------------------------------------------
- ------------------------------------------------------
$300,000,000
Federal National
Mortgage Association
(FANNIE MAE LOGO)
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1993-60
------------------------
PROSPECTUS SUPPLEMENT
------------------------
LEHMAN BROTHERS
March 24, 1993
- ------------------------------------------------------
- ------------------------------------------------------
<PAGE>
Annex 2(d)
Prospectus Supplement
dated June 3, 1993
to
Prospectus dated December 29, 1992
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1993-113
<PAGE>
Prospectus Supplement
(To Prospectus dated December 29, 1992)
$370,500,000
Federal National Mortgage Association
(FANNIE MAE LOGO)
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1993-113
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1993-113 (the
"Trust"). The assets of the Trust will consist of (i) the "regular interests"
in a separate trust fund (the "Lower Tier REMIC") and (ii) a non-interest
bearing cash deposit of $6,700,833.34 (the "Initial Cash Deposit") to be
applied as described herein. The assets of the Lower Tier REMIC will consist
of two Fannie Mae Stripped Mortgage-Backed Securities (together, the "SMBS")
each of which will evidence the beneficial ownership interest in certain
distributions of principal and interest made in respect of certain Fannie Mae
Guaranteed Mortgage Pass-Through Certificates (the "MBS"), held in the form of
a Fannie Mae Guaranteed MBS Pass-Through Certificate (the "Mega Certificate")
and included in Fannie Mae Stripped Mortgage-Backed Security Trust 000231-CL
(the "SMBS Trust"). Each MBS will represent a beneficial interest in a pool
(the "Pool") of first lien, single-family, fixed-rate residential mortgage
loans (the "Mortgage Loans") having the characteristics described herein. The
Certificates will be issued and guaranteed as to timely distribution of
principal and interest by Fannie Mae and offered by Fannie Mae pursuant to its
Prospectus for Guaranteed Mortgage Pass-Through Certificates (the "MBS
Prospectus"), its Prospectus for Stripped Mortgage-Backed Securities (the
"SMBS Prospectus") and its Prospectus for Guaranteed MBS Pass-Through
Certificates (the "Mega Prospectus"), each available as described herein, and
its Prospectus for Guaranteed REMIC Pass-Through Certificates (the "REMIC
Prospectus"), accompanying this Prospectus Supplement.
Elections will be made to treat the Lower Tier REMIC and the Trust as
"real estate mortgage investment conduits" ("REMICs") pursuant to the Internal
Revenue Code of 1986, as amended (the "Code"). The R and RL Classes will be
subject to transfer restrictions. See "Description of the
Certificates--Characteristics of the R and RL Classes" and "Certain Additional
Federal Income Tax Consequences" herein, and "Description of the
Certificates--Additional Characteristics of Residual Certificates" and
"Certain Federal Income Tax Consequences" in the REMIC Prospectus.
(Cover continued on next page)
------------------------
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY
THE UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF
OTHER THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE
REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE
ACT OF 1934.
==========================================================================
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
- --------------------------------------------------------------------------
PA....... $26,580,240 PAC 5.00% FIX August 2007
PB ...... 5,193,378 PAC 5.00 FIX December 2008
PC....... 25,722,072 PAC 5.25 FIX December 2013
PD....... 6,809,490 PAC 5.75 FIX December 2014
PE ...... 28,643,184 PAC 6.00 FIX April 2018
PL ...... (2) NTL 7.50 FIX/IO April 2018
PG....... 23,967,108 PAC 6.50 FIX June 2020
VA....... 3,128,440 AD/LIQ 3.50 FIX July 1998
VB ...... 2,952,742 AD 3.50 FIX July 2002
PZ ...... 17,000,000 PAC (3) Z July 2022
PH....... 6,331,952 PAC 6.50 FIX July 2022
PM....... (2) NTL 7.50 FIX/IO July 2022
PJ ...... 8,304,498 PAC 6.50 FIX February 2023
PK ...... 8,139,024 PAC 6.50 FIX July 2023
T ....... 19,673,136 SCH 6.50 FIX July 2023
FE ...... 7,002,000 SCH (4) FLT July 2023
SE ...... $ 5,754,308 SCH (4) INV July 2023
SF ...... 2,650,000 SCH (4) INV July 2023
FD ...... 41,045,730 SUP (4) FLT July 2023
SD....... 22,102,698 SUP (4) INV July 2023
F ....... 22,967,389 TAC (4) FLT July 2023
S ....... (2) NTL (4) INV/IO July 2023
A ....... 40,416,000 SCH 5.90% FIX July 2023
FC ...... 6,951,000 TAC (4) FLT July 2023
B ....... 4,831,611 TAC (5) PO July 2023
SC ...... (2) NTL (4) INV/IO July 2023
FA ...... 24,033,000 SUP (4) FLT July 2023
SA ...... 5,000,000 SUP (4) INV July 2023
SB ...... 5,301,000 SUP (4) INV July 2023
R ....... 0 NPR 0 NPR July 2023
RL ...... 0 NPR 0 NPR July 2023
==============================================================================
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the
Certificates--Distributions of Interest" and "--Distributions of
Principal" herein.
(2) The PL, PM, S and SC Classes will be Notional Classes, will have no
principal balances and will bear interest on their notional principal
balances (initially, $13,232,230, $9,232,472, $22,967,389 and $4,831,611,
respectively). The notional principal balance of the PL Class will be
calculated based on the principal balances of certain PAC Classes. The
notional principal balance of the PM Class will be calculated based on the
principal balance of certain Accretion Directed and PAC Classes. The
notional principal balance of the S Class will be calculated based on the
principal balance of a TAC Class. The notional principal balance of the SC
Class will be calculated based on the principal balance of a TAC Class.
See "Description of the Certificates--General--Notional Classes" herein.
(3) During the initial two Interest Accrual Periods, interest will accrue on
the principal balance of the PZ Class at a per annum rate of 240%. During
each Interest Accrual Period thereafter, interest will accrue on such
principal balance at a per annum rate of 3.5%
(4) The FE, SE, SF, F, S, FC and SC Classes will bear interest based on
"LIBOR" and the FD, SD, FA, SA and SB Classes will bear interest based on
the "10-Year Treasury Index," as described under "Description of the
Certificates--Distributions of Interest" herein and "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating
Rate Classes" in the REMIC Prospectus.
(5) The B Class will be a Principal Only Class and will bear no interest.
------------------------
The Certificates are offered by Donaldson, Lufkin & Jenrette Securities
Corporation (the "Dealer") from time to time in negotiated transactions, at
varying prices to be determined at the time of sale.
The Certificates are offered by the Dealer, subject to issuance by Fannie
Mae, to prior sale or to withdrawal or modification of the offer without
notice, when, as and if delivered to and accepted by the Dealer, and subject
to approval of certain legal matters by counsel. It is expected that the
Certificates, except for the R and RL Classes, will be available through the
book-entry system of the Federal Reserve Banks on or about July 30, 1993 (the
"Settlement Date"). It is expected that the R and RL Classes in registered,
certificated form will be available for delivery at the offices of the Dealer,
140 Broadway, New York, New York 10005, on or about the Settlement Date.
Donaldson, Lufkin & Jenrette
Securities Corporation
------------------------
The date of this Prospectus Supplement is June 3, 1993
<PAGE>
(Cover continued from previous page)
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH
SUCH CERTIFICATES.
The yield to investors in each Class will be sensitive in varying degrees
to the rate of principal payments of the Mortgage Loans, the characteristics
of the Mortgage Loans actually included in the Pool, the purchase price paid
for the related Class and, in the case of any Floating Rate and Inverse
Floating Rate Classes, the level of the applicable Index (as defined herein).
Accordingly, investors should consider the following risks:
- The Mortgage Loans generally may be prepaid at any time without
penalty, and, accordingly, the rate of principal payments thereon is
likely to vary considerably from time to time.
- Slight variations in Mortgage Loan characteristics could
substantially affect the weighted average lives and yields of some
or all of the Classes.
- In the case of any Certificates purchased at a discount to their
principal amounts, a slower than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Interest Only Class, a faster than anticipated
rate of principal payments is likely to result in a lower than
anticipated yield and, in certain cases, an actual loss on the
investment.
- The yield on any Floating Rate or Inverse Floating Rate Class will
be sensitive to the level of the applicable Index, particularly if
the interest rate thereon fluctuates as a multiple of such Index.
See "Description of the Certificates--Yield Considerations" herein.
In addition, investors should purchase Certificates only after
considering the following:
- The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
- The rate of principal distributions of the Certificates is uncertain
and investors may be unable to reinvest the distributions thereon at
yields equaling the yields on the Certificates. See "Description of
the Certificates--Reinvestment Risk" in the REMIC Prospectus.
- Investors whose investment activities are subject to legal
investment laws and regulations or to review by regulatory
authorities may be subject to restrictions on investment in certain
Classes of the Certificates. Investors should consult their legal
advisors to determine whether and to what extent the Certificates
constitute legal investments or are subject to restrictions on
investment. See "Legal Investment Considerations" in the REMIC
Prospectus.
The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary market
will develop or, if developed, that it will continue. Thus, investors may not
be able to sell their Certificates readily or at prices that will enable them
to realize their anticipated yield. No investor should purchase Certificates
unless such investor understands and is able to bear the risk that the value
of the Certificates will fluctuate over time and that the Certificates may not
be readily salable.
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, the REMIC
Prospectus, the SMBS Prospectus, the Mega Prospectus or the MBS Prospectus.
Any representation to the contrary is a criminal offense.
This Prospectus Supplement does not contain complete information about
the Certificates. Investors should purchase Certificates only after reading
this Prospectus Supplement, the REMIC Prospectus, the MBS Prospectus dated May
1, 1993, the SMBS Prospectus dated December 1, 1992, the Mega Prospectus dated
December 1, 1992 and the Fannie Mae Information Statement dated February 16,
1993 and any supplements thereto (the "Information Statement"). The MBS
Prospectus, the SMBS Prospectus, the Mega Prospectus and the Information
Statement are incorporated herein by reference and may be obtained from Fannie
Mae by writing or calling its MBS Helpline at 3900 Wisconsin Avenue, N.W.,
Area 2H-2N, Washington, D.C. 20016 (telephone 1-800-BEST-MBS or 202-752-6547).
Such documents may also be obtained from Donaldson, Lufkin & Jenrette
Securities Corporation by writing or calling its Prospectus Department at 140
Broadway, 30th Floor, New York, New York 10005 (telephone 212-504-4525).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Description of the Certificates....... S- 4
General............................. S- 4
Structure........................ S- 4
SMBS Distributions............... S- 4
Fannie Mae Guaranty.............. S- 4
Characteristics of
Certificates................... S- 4
Notional Classes................. S- 5
Authorized Denominations......... S- 5
Distribution Dates............... S- 5
Calculation of Distributions..... S- 6
Record Date...................... S- 6
REMIC Trust Factors.............. S- 6
Optional Termination............. S- 6
Liquid Assets.................... S- 6
The SMBS............................ S- 6
Distributions of Interest........... S- 7
Categories of Classes............ S- 7
General.......................... S- 7
Interest Accrual Periods......... S- 7
Accrual Class.................... S- 8
Floating Rate and Inverse
Floating Rate Classes.......... S- 8
Calculation of LIBOR................ S- 8
Calculation of 10-Year Treasury
Index............................ S- 9
Distributions of Principal.......... S- 9
Categories of Classes............ S- 9
Principal Distribution Amount.... S- 9
Accrual Amount................... S- 9
Cash Flow Distribution Amount.... S-10
Structuring Assumptions............. S-11
Pricing Assumptions.............. S-11
PSA Assumptions.................. S-11
Principal Balance Schedules......... S-13
Characteristics of the R and
RL Classes....................... S-24
Yield Considerations................ S-24
General.......................... S-24
The Interest Only Classes........ S-25
The Principal Only Class......... S-25
The Inverse Floating Rate
Classes........................ S-26
Weighted Average Lives of the
Certificates..................... S-28
Decrement Tables.................... S-29
Certain Additional Federal Income Tax
Consequences........................ S-33
REMIC Elections and Special Tax
Attributes....................... S-33
Taxation of Beneficial Owners of
Regular Certificates............. S-33
Taxation of Beneficial Owners of
Residual Certificates............ S-34
Plan of Distribution.................. S-34
General.......................... S-34
Increase in Certificates......... S-34
Legal Matters......................... S-34
S-3
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the REMIC Prospectus, the SMBS Prospectus, the Mega
Prospectus, the MBS Prospectus and the provisions of the Trust Agreement
(defined below). Capitalized terms used and not otherwise defined in this
Prospectus Supplement have the respective meanings assigned to such terms in
the REMIC Prospectus (including the Glossary contained therein), the MBS
Prospectus, the SMBS Prospectus, the Mega Prospectus or the Trust Agreement
(as the context may require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant
to a trust agreement dated as of July 1, 1993 (the "Trust Agreement"),
executed by the Federal National Mortgage Association ("Fannie Mae") in its
corporate capacity and in its capacity as Trustee, and the Certificates in the
Classes and aggregate original principal balances set forth on the cover
hereof will be issued by Fannie Mae pursuant thereto. A description of Fannie
Mae and its business, together with certain financial statements and other
financial information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will
be designated as the "regular interests," and the RL Class will be designated
as the "residual interest," in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests
and the Initial Cash Deposit. The Certificates, other than the RL Class, will
evidence the entire beneficial ownership interest in (i) the distributions of
principal and interest on the Lower Tier Regular Interests and (ii) the
Initial Cash Deposit, to the extent described herein.
The assets of the Lower Tier REMIC will consist of the SMBS, and the
Lower Tier Regular Interests and the RL Class (collectively, the "Lower Tier
Interests") will in the aggregate evidence the entire beneficial ownership
interest in the distributions of principal and interest on the SMBS.
SMBS Distributions. The SMBS will provide that certain principal and
interest payments on the MBS will be passed through monthly, commencing on the
25th day of the month following the month of the initial issuance of the SMBS
(or, if such 25th day is not a business day, on the first business day next
succeeding such 25th day).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. In addition, Fannie Mae will be obligated to distribute
on a timely basis to the Holders of Certificates required installments of
principal and interest and to distribute the principal balance of each Class
of Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the MBS Account. The guaranty
obligations of Fannie Mae with respect to the SMBS and the Mega Certificate
are described in the SMBS Prospectus and the Mega Prospectus, respectively.
The guaranties of Fannie Mae are not backed by the full faith and credit of
the United States. See "Description of the Certificates--Fannie Mae's
Guaranty" in the REMIC Prospectus, "The SMBS Certificates--Fannie Mae
Obligations" in the SMBS Prospectus, "The Certificates--Fannie Mae's Guaranty"
in the Mega Prospectus and "Description of Certificates--The Corporation's
Guaranty" in the MBS Prospectus.
Characteristics of Certificates. The Certificates, other than the R and
RL Certificates, will be issued and maintained and may be transferred by
Holders only on the book-entry system of the Federal Reserve Banks. Such
entities whose names appear on the book-entry records of a Federal
S-4
<PAGE>
Reserve Bank as the entities for whose accounts such Certificates have been
deposited are herein referred to as "Holders" or "Certificateholders." A
Holder is not necessarily the beneficial owner of a book-entry Certificate.
Beneficial owners will ordinarily hold book-entry Certificates through one or
more financial intermediaries, such as banks, brokerage firms and securities
clearing organizations. See "Description of the Certificates--Denominations,
Book-Entry Form" in the REMIC Prospectus.
The R and RL Certificates will not be issued in book-entry form but will
be issued in fully registered, certificated form. As to the R or RL
Certificate, "Holder" or "Certificateholder" refers to the registered owner
thereof. The R and RL Certificates will be transferable at the corporate trust
office of the Transfer Agent, or at the agency of the Transfer Agent in New
York, New York. The Transfer Agent initially will be State Street Bank and
Trust Company in Boston, Massachusetts ("State Street"). A service charge may
be imposed for any registration of transfer of the R or RL Certificate and
Fannie Mae may require payment of a sum sufficient to cover any tax or other
governmental charge. See also "Characteristics of the R and RL Classes"
herein.
The distribution to the Holder of the R or RL Certificate of the proceeds
of any remaining assets of the Trust or Lower Tier REMIC, as applicable, will
be made only upon presentation and surrender of the related Certificate at the
office of the Paying Agent. The Paying Agent initially will be State Street.
Notional Classes. The PL, PM, S and SC Classes will be Notional Classes.
A Notional Class will have no principal balance and will bear interest at the
per annum interest rate set forth on the cover or described herein during each
Interest Accrual Period on the related notional principal balance. The
notional principal balance of each Notional Class will be equal to the
indicated percentages of the outstanding principal balances of the following
Classes immediately prior to the related Distribution Date:
<TABLE>
<CAPTION>
Percentage of
Principal Balance
Class of Specified Class
----------------------------------------------------- ------------------------------
<S> <C>
PL................................................... 20% of PA Class
20% of PB Class
16.6666666667% of PC Class
10% of PD Class
6.6666666667% of PE Class
PM................................................... 40% of VA Class
40% of VB Class
40% of PZ Class
S.................................................... 100% of F Class
SC................................................... 100% of B Class
The notional principal balance of a Notional Class is used for purposes
of the determination of interest distributions thereon and does not represent
an interest in the principal distributions of the SMBS, MBS or the underlying
Mortgage Loans. Although a Notional Class will not have a principal balance, a
REMIC Trust Factor (as described herein) will be published with respect to any
such Class that will be applicable to the notional principal balance thereof,
and references herein to the principal balances of the Certificates generally
shall be deemed to refer also to the notional principal balance of any
Notional Class.
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. Each of the R and RL Classes will be issued
as a single certificate and will not have a principal balance.
Distribution Dates. Distributions on the Certificates will be made on
the 25th day of each month (or, if such 25th day is not a business day, on the
first business day next succeeding such 25th day), commencing in the month
following the Settlement Date.
S-5
<PAGE>
Calculation of Distributions. Interest on the interest-bearing
Certificates is calculated on the basis of a 360-day year consisting of twelve
30-day months and is distributable monthly on each Distribution Date,
commencing (except with respect to the Accrual Classes, if any) in the month
after the Settlement Date. Interest to be distributed or, in the case of any
Accrual Classes, added to principal on each interest-bearing Certificate on a
Distribution Date will consist of one month's interest on the outstanding
principal balance of such Certificate immediately prior to such Distribution
Date. Interest to be distributed or, in the case of any Accrual Classes, added
to principal on a Distribution Date will accrue on the interest-bearing
Certificates during the one month periods set forth herein under
"Distributions of Interest--Interest Accrual Periods." Principal on the
Certificates will be distributed on each Distribution Date in an amount equal
to the sum of the aggregate distributions of principal concurrently made on
the SMBS and any interest accrued and added on such Distribution Date to the
principal balances of the Accrual Classes, if any. See "Distributions of
Principal" herein.
Record Date. Each monthly distribution on the Certificates will be made
to Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh
calendar day of each month, Fannie Mae will publish or otherwise make
available for each Class of Certificates the factor (carried to eight decimal
places) which, when multiplied by the original principal balance of a
Certificate of such Class, will equal the remaining principal balance of such
Certificate after giving effect to the distribution of principal to be made on
the following Distribution Date and any interest to be added as principal to
the principal balances of any Accrual Classes on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Trust or the
Lower Tier REMIC through the exercise of its right to repurchase the Mortgage
Loans underlying any MBS unless only one Mortgage Loan remains in the related
Pool or the principal balance of such Pool at the time of repurchase is less
than one percent of the original principal balance thereof.
Liquid Assets. The VA Class is intended to qualify as a "liquid asset"
for purposes of the liquidity requirements applicable to federal savings
associations, federal savings banks and state-chartered associations whose
deposits are insured by the Federal Deposit Insurance Corporation.
The SMBS
The SMBS underlying the Certificates will represent the aggregate of
interest payments at Pass-Through Rates of 7.0% and 6.5% on principal amounts
of $109,500,000 and $261,000,000, respectively, of MBS having the general
characteristics described in the MBS Prospectus. The MBS underlying the SMBS
have a Pass-Through Rate of 7.50%. The MBS are held in the form of Mega
Certificate CL-190231, the general characteristics of which are described in
the Mega Prospectus.
The Mortgage Loans will be conventional Level Payment Mortgage Loans
secured by a first mortgage or deed of trust on a one- to four-family
("single-family") residential property and having an original maturity of up
to 30 years, as described under "The Mortgage Pools" and "Yield
Considerations" in the MBS Prospectus. The characteristics of the Mortgage
Loans as of July 1, 1993 (the "Issue Date") are expected to be as follows:
Range of WACs (per annum percentages)................... 7.75% to 8.50%
Range of WAMs........................................... 340 months to 360
months
Approximate Weighted Average WAM........................ 354 months
Approximate Weighted Average CAGE....................... 6 months
S-6
<PAGE>
A Final Data Statement listing the pools underlying the Mega Certificate
and the SMBS will be made available by Fannie Mae but will not accompany this
Prospectus Supplement. To request the Final Data Statement, telephone Fannie
Mae at 1-800-BEST-MBS or 202-752-6547. The contents of the Final Data
Statement and other data specific to the Certificates are available in
electronic form by calling Fannie Mae at 1-800-752-6440 or 202-752-6000.
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized
as follows:
Interest Type* Classes
- -------------------- -------------------------------------------------
Fixed Rate All Classes except the Floating Rate and Inverse
Floating Rate Classes and R and RL
Floating Rate F, FA, FC, FD and FE
Inverse Floating S, SA, SB, SC, SD, SE and SF
Rate
Interest Only PL, PM, S and SC
Principal Only B
Accrual PZ
No Payment Residual R and RL
--------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
respective per annum interest rates set forth on the cover or described
herein. Interest on the interest-bearing Certificates is calculated on the
basis of a 360-day year consisting of twelve 30-day months and, except as
provided herein with respect to the Accrual Class, is distributable monthly on
each Distribution Date, commencing in the month after the Settlement Date.
Interest to be distributed or, in the case of any Accrual Classes, added to
principal on each interest-bearing Certificate on a Distribution Date will
consist of one month's interest on the outstanding principal balance of such
Certificate immediately prior to such Distribution Date.
Interest Accrual Periods. Interest to be distributed or added to
principal on a Distribution Date will accrue on the interest-bearing
Certificates during the one-month periods set forth below (each, an "Interest
Accrual Period").
</TABLE>
<TABLE>
<CAPTION>
Classes Interest Accrual Period
----------------------------------------- -----------------------------------------
<S> <C>
PZ, F, S, FA, SA, SB, FC, SC, FD, SD, FE, One month period beginning on the 25th
SE and SF (collectively, the "No Delay day of the month preceding the month of
Classes") the Distribution Date and ending on the
24th day of the month of the Distribution
Date
All other interest-bearing Classes Calendar month preceding the month in
(collectively, the "Delay Classes") which the Distribution Date occurs
See "Yield Considerations" herein.
S-7
<PAGE>
Accrual Class. The PZ Class is an Accrual Class. Interest during the
initial two Interest Accrual Periods will accrue on the Accrual Class at a per
annum rate of 240% and will be distributed thereon on the related Distribution
Dates. The Initial Cash Deposit will be applied to the extent necessary to
make such distributions after giving effect to required interest distributions
on all other Classes on such dates. Interest during subsequent Interest
Accrual Periods will accrue on the Accrual Class at a per annum rate of 3.5%;
however, such interest will not be distributed thereon until the Distribution
Date following the Distribution Date upon which the principal balance of the
VB Class is reduced to zero. Interest so accrued and unpaid on the Accrual
Class will be added as principal to the principal balance thereof on each
Distribution Date. Distributions of principal of the Accrual Class will be
distributed as described herein.
Floating Rate and Inverse Floating Rate Classes. Each of the following
Classes will bear interest during its initial Interest Accrual Period at the
Initial Interest Rate set forth below, and will bear interest during each
Interest Accrual Period thereafter, subject to the applicable Maximum and
Minimum Interest Rates, at the rate determined as described below:
</TABLE>
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
- ------- --------- --------- ------- --------------------------------------------------
<S> <C>
F ..... 3.78750% 9.50000% 0.60% LIBOR + 60 basis points
S ..... 5.71250% 8.90000% 0.00% 8.9% - LIBOR
FA..... 5.39000% 10.00000% 0.00% 10-Year Treasury Index - 65 basis points
SA..... 11.82423% 37.73181% 0.00% 40.8561% - (4.8066 X 10-Year Treasury Index)
SB..... 9.74890% 9.74890% 0.00% 48.28512% - (4.53367289 X 10-Year Treasury Index)
FC..... 3.88750% 10.00000% 0.70% LIBOR + 70 basis points
SC .... 8.79528% 13.38098% 0.00% 13.38098% - (1.43865059 X LIBOR)
FD..... 5.24000% 10.00000% 0.00% 10-Year Treasury Index - 70 basis points
SD..... 8.83987% 18.57079% 0.00% 19.87073% - (1.85704614 X 10-Year Treasury Index)
FE..... 3.83750% 9.50000% 0.65% LIBOR + 65 basis points
SE..... 8.63915% 12.51779% 4.00% 12.51779% - (1.21682746 X LIBOR)
SF .... 8.88998% 8.88998% 4.00% 27.38583% - (2.64226415 X LIBOR)
The yields with respect to such Classes will be affected by changes in
the applicable index, as set forth in the table above (each, an "Index"),
which changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with an
increase in the level of an Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of an Index.
Each Index value will be established as described herein by Fannie Mae
two business days prior to the commencement of the related Interest Accrual
Period. The establishment of each Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for the applicable Classes for the
related Interest Accrual Period shall (in the absence of manifest error) be
final and binding. Each such rate of interest may be obtained by telephoning
Fannie Mae at 1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each LIBOR Determination Date, until the principal balances of the F,
S, FC, SC, FE, SE and SF Classes (the "LIBOR Classes") have been reduced to
zero, Fannie Mae will establish LIBOR for the related Interest Accrual Period
in the manner described in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--LIBOR."
If on the initial LIBOR Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be 3.1875%.
S-8
<PAGE>
Calculation of 10-Year Treasury Index
On each Treasury Index Determination Date, until the principal balances
of the FA, SA, SB, FD and SD Classes (the "10-Year Treasury Index Classes")
have been reduced to zero, Fannie Mae will ascertain the average yield on U.S.
Treasury securities, adjusted to a constant maturity of ten years, in effect
for the week ending on the last Friday immediately preceding the related
Treasury Index Determination Date in the manner described in the REMIC
Prospectus under "Description of the Certificates--Indices Applicable to
Floating Rate and Inverse Floating Rate Classes--Treasury Index" with respect
to yields on U.S. Treasury securities at "constant maturity."
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
Principal Type* Classes
- -------------------- -------------------------------
PAC PA, PB, PC, PD, PE, PG, PZ, PH,
PJ and PK
Scheduled T, FE, SE, SF and A
TAC F, FC and B
Notional PL, PM, S and SC
Accretion Directed VA and VB
Support FD, SD, FA, SA and SB
Liquid Asset VA
No Payment Residual R and RL
--------------------------
* See "Description of the Certificates--Class
Definitions and Abbreviations" in the REMIC
Prospectus.
Principal Distribution Amount
Principal will be distributed monthly on the Certificates in an amount
(the "Principal Distribution Amount") equal to the sum of (i) the aggregate
distributions of principal concurrently made on the SMBS (the "Cash Flow
Distribution Amount") and (ii) any interest accrued and added on such
Distribution Date to the principal balance of the Accrual Class (the "Accrual
Amount").
Accrual Amount
On the Distribution Date in October 1993 and on each
Distribution Date thereafter the interest, if any, accrued and added Accretion
to the principal balance of the PZ Class will be distributed, Directed
sequentially, as principal of the VA and VB Classes, in that order, and
until the respective principal balances thereof are reduced to zero, Accrual
and then to the PZ Class, without regard to its Planned Balance. Classes
S-9
<PAGE>
Cash Flow Distribution Amount
(a) On each Distribution Date, an amount equal to 70.4453441296% of the
Cash Flow Distribution Amount will be distributed as principal of the Classes
specified below, in the following order of priority:
(i) sequentially, to the PA, PB, PC, PD, PE and PG Classes,
in that order, until the principal balances thereof are reduced
to their respective Planned Balances for such Distribution Date;
(ii) concurrently, to the PZ and PH Classes, in the
proportions of 78.4723654406% and 21.5276345594%, respectively, PAC
until the principal balances thereof are reduced to their Classes
respective Planned Balances for such Distribution Date;
(iii) sequentially, to the PJ and PK Classes, in that
order, until the principal balances thereof are reduced to their
respective Planned Balances for such Distribution Date;
(iv) to the T Class, until the principal balance thereof is
reduced to its Scheduled Balance for such Distribution Date;
(v) concurrently, to the FE, SE and SF Classes, in the
proportions of 45.4489161193%, 37.3503372774% and Scheduled
17.2007466033%, respectively, until the principal balances Classes
thereof are reduced to their respective Scheduled Balances for
such Distribution Date;
(vi) concurrently, to the FD and SD Classes, in proportion
to their original principal balances (or 64.9988151724% and Support
35.0011848276%, respectively), until the principal balances Classes
thereof are reduced to zero;
(vii) concurrently, to the FE, SE and SF Classes, in the
proportions set forth in clause (v) above, without regard to the Scheduled
Scheduled Balances and until the principal balances thereof are Classes
reduced to zero;
(viii) to the T Class, without regard to its Scheduled
Balance and until the principal balance thereof is reduced to
zero;
(ix) sequentially, to the PA, PB, PC, PD, PE and PG
Classes, in that order, without regard to the Planned Balances
and until the respective principal balances thereof are reduced
to zero;
PAC
(x) to the VA, VB, PZ and PH Classes, without regard to the and
applicable Planned Balances and until the principal balances Accretion
thereof are reduced to zero, concurrently, as follows: (A) Directed
78.4723654406%, sequentially, to the VA, VB and PZ Classes, in Classes
that order, and (B) 21.5276345594% to the PH Class; and
(xi) sequentially, to the PJ and PK Classes, in that order,
without regard to the Planned Balances and until the respective
principal balances thereof are reduced to zero.
S-10
<PAGE>
(b) On each Distribution Date, an amount equal to 29.5546558704% of the
Cash Flow Distribution Amount will be distributed as principal of the Classes
specified below, in the following order of priority:
(i) to the F, A, FC and B Classes, in the following
proportions, until the principal balance of the F Class is
reduced to its Targeted Balance for such Distribution Date:
(A) 30.5555557034% to the F Class; and
(B) 69.4444442966%, first, to the A Class, until the
principal balance thereof is reduced to its Scheduled Balance TAC
for such Distribution Date, and, second, concurrently, to the and
FC and B Classes, in the proportions of 58.9937154001% and Scheduled
41.0062845999%, respectively, until the principal balances Classes
thereof are reduced to their respective Targeted Balances for
such Distribution Date; and
(ii) concurrently, to the FA, SA and SB Classes, in the
proportions of 69.9976699482%, 14.5628240228% and Support
15.4395060290%, respectively, until the principal balances Classes
thereof are reduced to zero; and
(iii) to the F, A, FC and B Classes, in the following
proportions, without regard to the applicable Targeted and
Scheduled Balances and until the respective principal balances
thereof are reduced to zero:
(A) 30.5555557034% to the F Class; and
TAC
(B) 69.4444442966%, first, concurrently, to the FC and B and
Classes, in the proportions of 58.9937154001% and Scheduled
41.0062845999%, respectively, and, second, to the A Class. Classes
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
following assumptions (the "Pricing Assumptions"):
- each Mortgage Loan bears interest at a rate of 8.05% per annum and
has an original term to maturity of 360 months, a CAGE of 6 months
and a remaining term to maturity of 354 months.
- the Mortgage Loans prepay at the constant percentages of PSA
specified in the related table;
- the closing date for the sale of the Certificates is the Settlement
Date; and
- the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
PSA Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA (for example, 250% PSA) is to
assume a specified rate of prepayment each month of the then outstanding
principal balance of a pool of new mortgage loans computed as described under
"Description of the Certificates--Prepayment Considerations and Risks" in the
REMIC Prospectus. There is no assurance that prepayments will occur at any PSA
rate or at any other constant rate.
S-11
<PAGE>
The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the Mortgage Loans prepay at the
approximate constant levels set forth in the following table.
Principal Balance
Schedule References Related Classes PSA Levels
- ------------------- --------------- ----------------------
Planned Balances PAC Between 95% and 300%
Scheduled Balances T Between 125% and 250%
Scheduled Balances FE, SE and SF Between 150% and 250%
Scheduled Balances A Between 175% and 250%
Targeted Balances TAC 250%
There is no assurance that the principal balances of the Classes listed
above will conform on any Distribution Date to the applicable balances
specified for such Distribution Date in the Principal Balance Schedules below,
or that distributions of principal on the related Classes will begin or end on
the respective Distribution Dates specified therein. Because any excess of the
principal available for distribution on any Distribution Date over the amount
necessary to reduce the principal balances of the applicable Classes to their
respective scheduled balances will be distributed, the ability to so reduce
the principal balances of such Classes will not be enhanced by the averaging
of high and low principal payments. In addition, even if prepayments remain
within the ranges specified above, the principal available for distribution
may be insufficient to reduce the applicable Classes to such respective
balances, if prepayments do not occur at a constant PSA rate. Moreover,
because of the diverse remaining terms to maturity of the Mortgage Loans
(which may include recently originated Mortgage Loans), the Classes specified
above may not be reduced to their respective scheduled amounts, even if
prepayments occur at a constant level within the ranges or at the rate
specified above.
S-12
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
Principal Balance Schedules
PA Class PB Class PC Class PD Class PE Class PG Class PZ Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- -------------- --------------- -------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 26,580,240.00 $ 5,193,378.00 $ 25,722,072.00 $ 6,809,490.00 $ 28,643,184.00 $ 23,967,108.00 $ 17,000,000.00
August 1993......... 26,108,202.88 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,000,000.00
September 1993...... 25,593,913.89 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,000,000.00
October 1993........ 25,037,535.45 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,049,583.33
November 1993....... 24,439,250.73 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,099,311.28
December 1993....... 23,799,263.61 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,149,184.28
January 1994........ 23,117,798.56 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,199,202.73
February 1994....... 22,395,100.53 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,249,367.07
March 1994.......... 21,631,434.86 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,299,677.73
April 1994.......... 20,827,087.08 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,350,135.12
May 1994............ 19,982,362.79 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,400,739.68
June 1994........... 19,097,587.46 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,451,491.84
July 1994........... 18,173,106.25 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,502,392.02
August 1994......... 17,209,283.79 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,553,440.66
September 1994...... 16,206,503.94 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,604,638.20
October 1994........ 15,165,169.58 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,655,985.06
November 1994....... 14,085,702.33 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,707,481.68
December 1994....... 12,968,542.25 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,759,128.51
January 1995........ 11,814,147.61 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,810,925.96
February 1995....... 10,622,994.53 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,862,874.50
March 1995.......... 9,395,576.67 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,914,974.55
April 1995.......... 8,132,404.93 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 17,967,226.56
May 1995............ 6,834,007.03 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,019,630.97
June 1995........... 5,500,927.24 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,072,188.23
July 1995........... 4,133,725.90 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,124,898.77
August 1995......... 2,772,841.50 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,177,763.06
September 1995...... 1,418,242.58 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,230,781.54
October 1995........ 69,897.83 5,193,378.00 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,283,954.65
November 1995....... 0.00 3,921,154.11 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,337,282.85
December 1995....... 0.00 2,585,224.41 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,390,766.59
January 1996........ 0.00 1,255,455.89 25,722,072.00 6,809,490.00 28,643,184.00 23,967,108.00 18,444,406.33
February 1996....... 0.00 0.00 25,653,889.85 6,809,490.00 28,643,184.00 23,967,108.00 18,498,202.52
March 1996.......... 0.00 0.00 24,336,351.74 6,809,490.00 28,643,184.00 23,967,108.00 18,552,155.61
April 1996.......... 0.00 0.00 23,024,883.14 6,809,490.00 28,643,184.00 23,967,108.00 18,606,266.06
May 1996............ 0.00 0.00 21,719,453.82 6,809,490.00 28,643,184.00 23,967,108.00 18,660,534.34
June 1996........... 0.00 0.00 20,420,033.65 6,809,490.00 28,643,184.00 23,967,108.00 18,714,960.89
July 1996........... 0.00 0.00 19,126,592.67 6,809,490.00 28,643,184.00 23,967,108.00 18,769,546.20
August 1996......... 0.00 0.00 17,839,101.07 6,809,490.00 28,643,184.00 23,967,108.00 18,824,290.71
September 1996...... 0.00 0.00 16,557,529.17 6,809,490.00 28,643,184.00 23,967,108.00 18,879,194.89
October 1996........ 0.00 0.00 15,281,847.43 6,809,490.00 28,643,184.00 23,967,108.00 18,934,259.21
November 1996....... 0.00 0.00 14,012,026.48 6,809,490.00 28,643,184.00 23,967,108.00 18,989,484.13
December 1996....... 0.00 0.00 12,748,037.06 6,809,490.00 28,643,184.00 23,967,108.00 19,044,870.12
January 1997........ 0.00 0.00 11,489,850.07 6,809,490.00 28,643,184.00 23,967,108.00 19,100,417.66
February 1997....... 0.00 0.00 10,237,436.54 6,809,490.00 28,643,184.00 23,967,108.00 19,156,127.21
March 1997.......... 0.00 0.00 8,990,767.66 6,809,490.00 28,643,184.00 23,967,108.00 19,211,999.25
April 1997.......... 0.00 0.00 7,749,814.74 6,809,490.00 28,643,184.00 23,967,108.00 19,268,034.25
May 1997............ 0.00 0.00 6,514,549.23 6,809,490.00 28,643,184.00 23,967,108.00 19,324,232.68
June 1997........... 0.00 0.00 5,284,942.72 6,809,490.00 28,643,184.00 23,967,108.00 19,380,595.03
July 1997........... 0.00 0.00 4,060,966.96 6,809,490.00 28,643,184.00 23,967,108.00 19,437,121.76
August 1997......... 0.00 0.00 2,842,593.80 6,809,490.00 28,643,184.00 23,967,108.00 19,493,813.37
September 1997...... 0.00 0.00 1,629,795.24 6,809,490.00 28,643,184.00 23,967,108.00 19,550,670.32
October 1997........ 0.00 0.00 422,543.43 6,809,490.00 28,643,184.00 23,967,108.00 19,607,693.11
<CAPTION>
PH Class PJ Class
Distribution Planned Planned
Date Balance Balance
- --------------------- -------------- --------------
<S> <C>
Initial Balance..... $ 6,331,952.00 $ 8,304,498.00
August 1993......... 6,331,952.00 8,304,498.00
September 1993...... 6,331,952.00 8,304,498.00
October 1993........ 6,331,952.00 8,304,498.00
November 1993....... 6,331,952.00 8,304,498.00
December 1993....... 6,331,952.00 8,304,498.00
January 1994........ 6,331,952.00 8,304,498.00
February 1994....... 6,331,952.00 8,304,498.00
March 1994.......... 6,331,952.00 8,304,498.00
April 1994.......... 6,331,952.00 8,304,498.00
May 1994............ 6,331,952.00 8,304,498.00
June 1994........... 6,331,952.00 8,304,498.00
July 1994........... 6,331,952.00 8,304,498.00
August 1994......... 6,331,952.00 8,304,498.00
September 1994...... 6,331,952.00 8,304,498.00
October 1994........ 6,331,952.00 8,304,498.00
November 1994....... 6,331,952.00 8,304,498.00
December 1994....... 6,331,952.00 8,304,498.00
January 1995........ 6,331,952.00 8,304,498.00
February 1995....... 6,331,952.00 8,304,498.00
March 1995.......... 6,331,952.00 8,304,498.00
April 1995.......... 6,331,952.00 8,304,498.00
May 1995............ 6,331,952.00 8,304,498.00
June 1995........... 6,331,952.00 8,304,498.00
July 1995........... 6,331,952.00 8,304,498.00
August 1995......... 6,331,952.00 8,304,498.00
September 1995...... 6,331,952.00 8,304,498.00
October 1995........ 6,331,952.00 8,304,498.00
November 1995....... 6,331,952.00 8,304,498.00
December 1995....... 6,331,952.00 8,304,498.00
January 1996........ 6,331,952.00 8,304,498.00
February 1996....... 6,331,952.00 8,304,498.00
March 1996.......... 6,331,952.00 8,304,498.00
April 1996.......... 6,331,952.00 8,304,498.00
May 1996............ 6,331,952.00 8,304,498.00
June 1996........... 6,331,952.00 8,304,498.00
July 1996........... 6,331,952.00 8,304,498.00
August 1996......... 6,331,952.00 8,304,498.00
September 1996...... 6,331,952.00 8,304,498.00
October 1996........ 6,331,952.00 8,304,498.00
November 1996....... 6,331,952.00 8,304,498.00
December 1996....... 6,331,952.00 8,304,498.00
January 1997........ 6,331,952.00 8,304,498.00
February 1997....... 6,331,952.00 8,304,498.00
March 1997.......... 6,331,952.00 8,304,498.00
April 1997.......... 6,331,952.00 8,304,498.00
May 1997............ 6,331,952.00 8,304,498.00
June 1997........... 6,331,952.00 8,304,498.00
July 1997........... 6,331,952.00 8,304,498.00
August 1997......... 6,331,952.00 8,304,498.00
September 1997...... 6,331,952.00 8,304,498.00
October 1997........ 6,331,952.00 8,304,498.00
</TABLE>
S-13
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class PZ Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- -------------- --------------- -------------- --------------- --------------- ---------------
<S> <C>
November 1997....... $ 0.00 $ 0.00 $ 0.00 $ 6,030,300.63 $ 28,643,184.00 $ 23,967,108.00 $ 19,664,882.22
December 1997....... 0.00 0.00 0.00 4,834,059.27 28,643,184.00 23,967,108.00 19,722,238.12
January 1998........ 0.00 0.00 0.00 3,643,281.87 28,643,184.00 23,967,108.00 19,779,761.32
February 1998....... 0.00 0.00 0.00 2,457,941.10 28,643,184.00 23,967,108.00 19,837,452.29
March 1998.......... 0.00 0.00 0.00 1,278,009.79 28,643,184.00 23,967,108.00 19,895,311.52
April 1998.......... 0.00 0.00 0.00 103,460.85 28,643,184.00 23,967,108.00 19,953,339.52
May 1998............ 0.00 0.00 0.00 0.00 27,577,451.37 23,967,108.00 20,011,536.76
June 1998........... 0.00 0.00 0.00 0.00 26,413,586.53 23,967,108.00 20,069,903.74
July 1998........... 0.00 0.00 0.00 0.00 25,255,023.68 23,967,108.00 20,128,440.96
August 1998......... 0.00 0.00 0.00 0.00 24,101,736.25 23,967,108.00 20,187,148.91
September 1998...... 0.00 0.00 0.00 0.00 22,953,697.84 23,967,108.00 20,246,028.10
October 1998........ 0.00 0.00 0.00 0.00 21,810,882.16 23,967,108.00 20,305,079.01
November 1998....... 0.00 0.00 0.00 0.00 20,673,263.05 23,967,108.00 20,364,302.16
December 1998....... 0.00 0.00 0.00 0.00 19,540,814.47 23,967,108.00 20,423,698.04
January 1999........ 0.00 0.00 0.00 0.00 18,413,510.52 23,967,108.00 20,483,267.16
February 1999....... 0.00 0.00 0.00 0.00 17,291,325.42 23,967,108.00 20,543,010.02
March 1999.......... 0.00 0.00 0.00 0.00 16,174,233.50 23,967,108.00 20,602,927.13
April 1999.......... 0.00 0.00 0.00 0.00 15,062,209.23 23,967,108.00 20,663,019.00
May 1999............ 0.00 0.00 0.00 0.00 13,955,227.20 23,967,108.00 20,723,286.14
June 1999........... 0.00 0.00 0.00 0.00 12,853,262.12 23,967,108.00 20,783,729.06
July 1999........... 0.00 0.00 0.00 0.00 11,756,288.83 23,967,108.00 20,844,348.27
August 1999......... 0.00 0.00 0.00 0.00 10,664,282.27 23,967,108.00 20,905,144.29
September 1999...... 0.00 0.00 0.00 0.00 9,577,217.53 23,967,108.00 20,966,117.62
October 1999........ 0.00 0.00 0.00 0.00 8,495,069.81 23,967,108.00 21,027,268.80
November 1999....... 0.00 0.00 0.00 0.00 7,417,814.41 23,967,108.00 21,088,598.33
December 1999....... 0.00 0.00 0.00 0.00 6,345,426.78 23,967,108.00 21,150,106.75
January 2000........ 0.00 0.00 0.00 0.00 5,277,882.46 23,967,108.00 21,211,794.56
February 2000....... 0.00 0.00 0.00 0.00 4,215,157.13 23,967,108.00 21,273,662.29
March 2000.......... 0.00 0.00 0.00 0.00 3,157,226.59 23,967,108.00 21,335,710.47
April 2000.......... 0.00 0.00 0.00 0.00 2,104,066.73 23,967,108.00 21,397,939.63
May 2000............ 0.00 0.00 0.00 0.00 1,055,653.58 23,967,108.00 21,460,350.29
June 2000........... 0.00 0.00 0.00 0.00 11,963.27 23,967,108.00 21,522,942.97
July 2000........... 0.00 0.00 0.00 0.00 0.00 22,940,080.07 21,585,718.22
August 2000......... 0.00 0.00 0.00 0.00 0.00 21,905,764.33 21,648,676.57
September 2000...... 0.00 0.00 0.00 0.00 0.00 20,876,100.55 21,711,818.54
October 2000........ 0.00 0.00 0.00 0.00 0.00 19,851,065.31 21,775,144.68
November 2000....... 0.00 0.00 0.00 0.00 0.00 18,830,635.32 21,838,655.52
December 2000....... 0.00 0.00 0.00 0.00 0.00 17,814,787.41 21,902,351.60
January 2001........ 0.00 0.00 0.00 0.00 0.00 16,803,498.51 21,966,233.46
February 2001....... 0.00 0.00 0.00 0.00 0.00 15,796,745.66 22,030,301.64
March 2001.......... 0.00 0.00 0.00 0.00 0.00 14,794,506.02 22,094,556.68
April 2001.......... 0.00 0.00 0.00 0.00 0.00 13,796,756.85 22,158,999.14
May 2001............ 0.00 0.00 0.00 0.00 0.00 12,803,475.52 22,223,629.56
June 2001........... 0.00 0.00 0.00 0.00 0.00 11,814,639.53 22,288,448.47
July 2001........... 0.00 0.00 0.00 0.00 0.00 10,830,226.45 22,353,456.45
August 2001......... 0.00 0.00 0.00 0.00 0.00 9,850,214.00 22,418,654.03
September 2001...... 0.00 0.00 0.00 0.00 0.00 8,874,579.98 22,484,041.77
October 2001........ 0.00 0.00 0.00 0.00 0.00 7,903,302.30 22,549,620.23
November 2001....... 0.00 0.00 0.00 0.00 0.00 6,942,734.87 22,615,389.95
December 2001....... 0.00 0.00 0.00 0.00 0.00 5,998,694.89 22,681,351.51
January 2002........ 0.00 0.00 0.00 0.00 0.00 5,070,903.70 22,747,505.45
February 2002....... 0.00 0.00 0.00 0.00 0.00 4,159,087.30 22,813,852.34
<CAPTION>
PH Class PJ Class
Distribution Planned Planned
Date Balance Balance
- --------------------- -------------- --------------
<S> <C>
November 1997....... $ 6,331,952.00 $ 8,304,498.00
December 1997....... 6,331,952.00 8,304,498.00
January 1998........ 6,331,952.00 8,304,498.00
February 1998....... 6,331,952.00 8,304,498.00
March 1998.......... 6,331,952.00 8,304,498.00
April 1998.......... 6,331,952.00 8,304,498.00
May 1998............ 6,331,952.00 8,304,498.00
June 1998........... 6,331,952.00 8,304,498.00
July 1998........... 6,331,952.00 8,304,498.00
August 1998......... 6,331,952.00 8,304,498.00
September 1998...... 6,331,952.00 8,304,498.00
October 1998........ 6,331,952.00 8,304,498.00
November 1998....... 6,331,952.00 8,304,498.00
December 1998....... 6,331,952.00 8,304,498.00
January 1999........ 6,331,952.00 8,304,498.00
February 1999....... 6,331,952.00 8,304,498.00
March 1999.......... 6,331,952.00 8,304,498.00
April 1999.......... 6,331,952.00 8,304,498.00
May 1999............ 6,331,952.00 8,304,498.00
June 1999........... 6,331,952.00 8,304,498.00
July 1999........... 6,331,952.00 8,304,498.00
August 1999......... 6,331,952.00 8,304,498.00
September 1999...... 6,331,952.00 8,304,498.00
October 1999........ 6,331,952.00 8,304,498.00
November 1999....... 6,331,952.00 8,304,498.00
December 1999....... 6,331,952.00 8,304,498.00
January 2000........ 6,331,952.00 8,304,498.00
February 2000....... 6,331,952.00 8,304,498.00
March 2000.......... 6,331,952.00 8,304,498.00
April 2000.......... 6,331,952.00 8,304,498.00
May 2000............ 6,331,952.00 8,304,498.00
June 2000........... 6,331,952.00 8,304,498.00
July 2000........... 6,331,952.00 8,304,498.00
August 2000......... 6,331,952.00 8,304,498.00
September 2000...... 6,331,952.00 8,304,498.00
October 2000........ 6,331,952.00 8,304,498.00
November 2000....... 6,331,952.00 8,304,498.00
December 2000....... 6,331,952.00 8,304,498.00
January 2001........ 6,331,952.00 8,304,498.00
February 2001....... 6,331,952.00 8,304,498.00
March 2001.......... 6,331,952.00 8,304,498.00
April 2001.......... 6,331,952.00 8,304,498.00
May 2001............ 6,331,952.00 8,304,498.00
June 2001........... 6,331,952.00 8,304,498.00
July 2001........... 6,331,952.00 8,304,498.00
August 2001......... 6,331,952.00 8,304,498.00
September 2001...... 6,331,952.00 8,304,498.00
October 2001........ 6,331,952.00 8,304,498.00
November 2001....... 6,331,952.00 8,304,498.00
December 2001....... 6,331,952.00 8,304,498.00
January 2002........ 6,331,952.00 8,304,498.00
February 2002....... 6,331,952.00 8,304,498.00
</TABLE>
S-14
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class PZ Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- -------------- --------------- -------------- --------------- --------------- ---------------
<S> <C>
March 2002.......... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 3,262,976.26 $ 22,880,392.74
April 2002.......... 0.00 0.00 0.00 0.00 0.00 2,382,305.62 22,947,127.22
May 2002............ 0.00 0.00 0.00 0.00 0.00 1,516,814.86 23,014,056.34
June 2002........... 0.00 0.00 0.00 0.00 0.00 666,247.79 23,081,180.67
July 2002........... 0.00 0.00 0.00 0.00 0.00 0.00 22,948,055.59
August 2002......... 0.00 0.00 0.00 0.00 0.00 0.00 22,303,427.70
September 2002...... 0.00 0.00 0.00 0.00 0.00 0.00 21,669,927.57
October 2002........ 0.00 0.00 0.00 0.00 0.00 0.00 21,047,367.26
November 2002....... 0.00 0.00 0.00 0.00 0.00 0.00 20,435,561.95
December 2002....... 0.00 0.00 0.00 0.00 0.00 0.00 19,834,329.91
January 2003........ 0.00 0.00 0.00 0.00 0.00 0.00 19,243,492.43
February 2003....... 0.00 0.00 0.00 0.00 0.00 0.00 18,662,873.81
March 2003.......... 0.00 0.00 0.00 0.00 0.00 0.00 18,092,301.26
April 2003.......... 0.00 0.00 0.00 0.00 0.00 0.00 17,531,604.87
May 2003............ 0.00 0.00 0.00 0.00 0.00 0.00 16,980,617.60
June 2003........... 0.00 0.00 0.00 0.00 0.00 0.00 16,439,175.16
July 2003........... 0.00 0.00 0.00 0.00 0.00 0.00 15,907,116.03
August 2003......... 0.00 0.00 0.00 0.00 0.00 0.00 15,384,281.37
September 2003...... 0.00 0.00 0.00 0.00 0.00 0.00 14,870,515.02
October 2003........ 0.00 0.00 0.00 0.00 0.00 0.00 14,365,663.41
November 2003....... 0.00 0.00 0.00 0.00 0.00 0.00 13,869,575.52
December 2003....... 0.00 0.00 0.00 0.00 0.00 0.00 13,382,102.89
January 2004........ 0.00 0.00 0.00 0.00 0.00 0.00 12,903,099.52
February 2004....... 0.00 0.00 0.00 0.00 0.00 0.00 12,432,421.85
March 2004.......... 0.00 0.00 0.00 0.00 0.00 0.00 11,969,928.73
April 2004.......... 0.00 0.00 0.00 0.00 0.00 0.00 11,515,481.37
May 2004............ 0.00 0.00 0.00 0.00 0.00 0.00 11,068,943.28
June 2004........... 0.00 0.00 0.00 0.00 0.00 0.00 10,630,180.28
July 2004........... 0.00 0.00 0.00 0.00 0.00 0.00 10,199,060.42
August 2004......... 0.00 0.00 0.00 0.00 0.00 0.00 9,775,453.97
September 2004...... 0.00 0.00 0.00 0.00 0.00 0.00 9,359,233.35
October 2004........ 0.00 0.00 0.00 0.00 0.00 0.00 8,950,273.13
November 2004....... 0.00 0.00 0.00 0.00 0.00 0.00 8,548,449.98
December 2004....... 0.00 0.00 0.00 0.00 0.00 0.00 8,153,642.62
January 2005........ 0.00 0.00 0.00 0.00 0.00 0.00 7,765,731.83
February 2005....... 0.00 0.00 0.00 0.00 0.00 0.00 7,384,600.34
March 2005.......... 0.00 0.00 0.00 0.00 0.00 0.00 7,010,132.90
April 2005.......... 0.00 0.00 0.00 0.00 0.00 0.00 6,642,216.14
May 2005............ 0.00 0.00 0.00 0.00 0.00 0.00 6,280,738.63
June 2005........... 0.00 0.00 0.00 0.00 0.00 0.00 5,925,590.77
July 2005........... 0.00 0.00 0.00 0.00 0.00 0.00 5,576,664.82
August 2005......... 0.00 0.00 0.00 0.00 0.00 0.00 5,233,854.84
September 2005...... 0.00 0.00 0.00 0.00 0.00 0.00 4,897,056.66
October 2005........ 0.00 0.00 0.00 0.00 0.00 0.00 4,566,167.87
November 2005....... 0.00 0.00 0.00 0.00 0.00 0.00 4,241,087.77
December 2005....... 0.00 0.00 0.00 0.00 0.00 0.00 3,921,717.34
January 2006........ 0.00 0.00 0.00 0.00 0.00 0.00 3,607,959.24
February 2006....... 0.00 0.00 0.00 0.00 0.00 0.00 3,299,717.73
March 2006.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,996,898.72
April 2006.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,699,409.66
May 2006............ 0.00 0.00 0.00 0.00 0.00 0.00 2,407,159.58
June 2006........... 0.00 0.00 0.00 0.00 0.00 0.00 2,120,059.02
<CAPTION>
PH Class PJ Class
Distribution Planned Planned
Date Balance Balance
- --------------------- -------------- --------------
<S> <C>
March 2002.......... $ 6,331,952.00 $ 8,304,498.00
April 2002.......... 6,331,952.00 8,304,498.00
May 2002............ 6,331,952.00 8,304,498.00
June 2002........... 6,331,952.00 8,304,498.00
July 2002........... 6,295,430.90 8,304,498.00
August 2002......... 6,118,587.58 8,304,498.00
September 2002...... 5,944,796.98 8,304,498.00
October 2002........ 5,774,007.55 8,304,498.00
November 2002....... 5,606,168.58 8,304,498.00
December 2002....... 5,441,230.21 8,304,498.00
January 2003........ 5,279,143.43 8,304,498.00
February 2003....... 5,119,860.03 8,304,498.00
March 2003.......... 4,963,332.60 8,304,498.00
April 2003.......... 4,809,514.54 8,304,498.00
May 2003............ 4,658,360.02 8,304,498.00
June 2003........... 4,509,823.97 8,304,498.00
July 2003........... 4,363,862.09 8,304,498.00
August 2003......... 4,220,430.79 8,304,498.00
September 2003...... 4,079,487.23 8,304,498.00
October 2003........ 3,940,989.29 8,304,498.00
November 2003....... 3,804,895.54 8,304,498.00
December 2003....... 3,671,165.24 8,304,498.00
January 2004........ 3,539,758.35 8,304,498.00
February 2004....... 3,410,635.48 8,304,498.00
March 2004.......... 3,283,757.92 8,304,498.00
April 2004.......... 3,159,087.57 8,304,498.00
May 2004............ 3,036,587.01 8,304,498.00
June 2004........... 2,916,219.42 8,304,498.00
July 2004........... 2,797,948.60 8,304,498.00
August 2004......... 2,681,738.97 8,304,498.00
September 2004...... 2,567,555.52 8,304,498.00
October 2004........ 2,455,363.84 8,304,498.00
November 2004....... 2,345,130.11 8,304,498.00
December 2004....... 2,236,821.04 8,304,498.00
January 2005........ 2,130,403.94 8,304,498.00
February 2005....... 2,025,846.63 8,304,498.00
March 2005.......... 1,923,117.50 8,304,498.00
April 2005.......... 1,822,185.44 8,304,498.00
May 2005............ 1,723,019.88 8,304,498.00
June 2005........... 1,625,590.76 8,304,498.00
July 2005........... 1,529,868.52 8,304,498.00
August 2005......... 1,435,824.11 8,304,498.00
September 2005...... 1,343,428.93 8,304,498.00
October 2005........ 1,252,654.90 8,304,498.00
November 2005....... 1,163,474.39 8,304,498.00
December 2005....... 1,075,860.23 8,304,498.00
January 2006........ 989,785.73 8,304,498.00
February 2006....... 905,224.62 8,304,498.00
March 2006.......... 822,151.08 8,304,498.00
April 2006.......... 740,539.73 8,304,498.00
May 2006............ 660,365.61 8,304,498.00
June 2006........... 581,604.18 8,304,498.00
</TABLE>
S-15
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class PZ Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- -------------- --------------- -------------- --------------- --------------- ---------------
<S> <C>
July 2006........... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1,838,020.04
August 2006......... 0.00 0.00 0.00 0.00 0.00 0.00 1,560,956.14
September 2006...... 0.00 0.00 0.00 0.00 0.00 0.00 1,288,782.32
October 2006........ 0.00 0.00 0.00 0.00 0.00 0.00 1,021,414.98
November 2006....... 0.00 0.00 0.00 0.00 0.00 0.00 758,771.92
December 2006....... 0.00 0.00 0.00 0.00 0.00 0.00 500,772.34
January 2007........ 0.00 0.00 0.00 0.00 0.00 0.00 247,336.79
February 2007....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
March 2007.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2007.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
May 2007............ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
June 2007........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2007........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
August 2007......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2007...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2007........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2007....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2007....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
January 2008........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
February 2008....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
March 2008.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2008.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
May 2008............ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
June 2008........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2008........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
August 2008......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2008...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2008........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2008....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2008....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
January 2009........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
February 2009....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
March 2009.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2009.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
May 2009............ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
June 2009........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2009........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
August 2009......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2009...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2009........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2009....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2009....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
January 2010........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
February 2010 and
thereafter......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
<CAPTION>
PH Class PJ Class
Distribution Planned Planned
Date Balance Balance
- --------------------- -------------- --------------
<S> <C>
July 2006........... $ 504,231.31 $ 8,304,498.00
August 2006......... 428,223.27 8,304,498.00
September 2006...... 353,556.75 8,304,498.00
October 2006........ 280,208.81 8,304,498.00
November 2006....... 208,156.90 8,304,498.00
December 2006....... 137,378.86 8,304,498.00
January 2007........ 67,852.88 8,304,498.00
February 2007....... 0.00 8,302,442.69
March 2007.......... 0.00 7,990,816.38
April 2007.......... 0.00 7,684,712.53
May 2007............ 0.00 7,384,036.51
June 2007........... 0.00 7,088,695.31
July 2007........... 0.00 6,798,597.48
August 2007......... 0.00 6,513,653.10
September 2007...... 0.00 6,233,773.78
October 2007........ 0.00 5,958,872.60
November 2007....... 0.00 5,688,864.11
December 2007....... 0.00 5,423,664.30
January 2008........ 0.00 5,163,190.58
February 2008....... 0.00 4,907,361.73
March 2008.......... 0.00 4,656,097.92
April 2008.......... 0.00 4,409,320.67
May 2008............ 0.00 4,166,952.79
June 2008........... 0.00 3,928,918.43
July 2008........... 0.00 3,695,142.99
August 2008......... 0.00 3,465,553.14
September 2008...... 0.00 3,240,076.79
October 2008........ 0.00 3,018,643.07
November 2008....... 0.00 2,801,182.28
December 2008....... 0.00 2,587,625.92
January 2009........ 0.00 2,377,906.64
February 2009....... 0.00 2,171,958.24
March 2009.......... 0.00 1,969,715.61
April 2009.......... 0.00 1,771,114.76
May 2009............ 0.00 1,576,092.77
June 2009........... 0.00 1,384,587.80
July 2009........... 0.00 1,196,539.04
August 2009......... 0.00 1,011,886.72
September 2009...... 0.00 830,572.06
October 2009........ 0.00 652,537.29
November 2009....... 0.00 477,725.62
December 2009....... 0.00 306,081.21
January 2010........ 0.00 137,549.17
February 2010 and
thereafter......... 0.00 0.00
</TABLE>
S-16
<PAGE>
<TABLE>
<CAPTION>
PK Class T Class FE Class SE Class SF Class
Distribution Planned Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ---------------------------------- --------------- -------------- -------------- --------------
<S> <C>
Initial Balance..... $ 8,139,024.00 $ 19,673,136.00 $ 7,002,000.00 $ 5,754,308.00 $ 2,650,000.00
August 1993......... 8,139,024.00 19,580,541.32 6,966,804.44 5,725,383.96 2,636,679.77
September 1993...... 8,139,024.00 19,474,914.30 6,926,660.45 5,692,393.27 2,621,486.74
October 1993........ 8,139,024.00 19,356,342.03 6,881,606.62 5,655,367.62 2,604,435.52
November 1993....... 8,139,024.00 19,224,926.48 6,831,688.57 5,614,344.50 2,585,543.37
December 1993....... 8,139,024.00 19,080,784.40 6,776,958.93 5,569,367.18 2,564,830.21
January 1994........ 8,139,024.00 18,924,047.27 6,717,477.29 5,520,484.62 2,542,318.59
February 1994....... 8,139,024.00 18,754,861.18 6,653,310.15 5,467,751.47 2,518,033.69
March 1994.......... 8,139,024.00 18,573,386.65 6,584,530.83 5,411,228.00 2,492,003.24
April 1994.......... 8,139,024.00 18,379,798.55 6,511,219.40 5,350,979.99 2,464,257.55
May 1994............ 8,139,024.00 18,174,285.87 6,433,462.57 5,287,078.71 2,434,829.45
June 1994........... 8,139,024.00 17,957,051.54 6,351,353.57 5,219,600.78 2,403,754.20
July 1994........... 8,139,024.00 17,728,312.21 6,264,992.07 5,148,628.10 2,371,069.54
August 1994......... 8,139,024.00 17,488,298.01 6,174,483.98 5,074,247.73 2,336,815.56
September 1994...... 8,139,024.00 17,237,252.31 6,079,941.39 4,996,551.75 2,301,034.65
October 1994........ 8,139,024.00 16,975,431.42 5,981,482.31 4,915,637.17 2,263,771.51
November 1994....... 8,139,024.00 16,703,104.30 5,879,230.59 4,831,605.77 2,225,072.98
December 1994....... 8,139,024.00 16,420,552.26 5,773,315.69 4,744,563.93 2,184,988.08
January 1995........ 8,139,024.00 16,128,068.58 5,663,872.50 4,654,622.51 2,143,567.85
February 1995....... 8,139,024.00 15,825,958.22 5,551,041.16 4,561,896.68 2,100,865.33
March 1995.......... 8,139,024.00 15,514,537.40 5,434,966.81 4,466,505.71 2,056,935.45
April 1995.......... 8,139,024.00 15,194,133.22 5,315,799.40 4,368,572.84 2,011,834.96
May 1995............ 8,139,024.00 14,865,083.30 5,193,693.44 4,268,225.04 1,965,622.34
June 1995........... 8,139,024.00 14,527,735.27 5,068,807.80 4,165,592.87 1,918,357.70
July 1995........... 8,139,024.00 14,182,446.45 4,941,305.39 4,060,810.22 1,870,102.72
August 1995......... 8,139,024.00 13,841,893.98 4,815,970.86 3,957,809.15 1,822,668.20
September 1995...... 8,139,024.00 13,506,037.73 4,692,780.32 3,856,570.03 1,776,045.11
October 1995........ 8,139,024.00 13,174,837.90 4,571,710.13 3,757,073.43 1,730,224.48
November 1995....... 8,139,024.00 12,848,254.96 4,452,736.86 3,659,300.11 1,685,197.47
December 1995....... 8,139,024.00 12,526,249.71 4,335,837.33 3,563,230.99 1,640,955.28
January 1996........ 8,139,024.00 12,208,783.26 4,220,988.55 3,468,847.21 1,597,489.24
February 1996....... 8,139,024.00 11,895,817.00 4,108,167.79 3,376,130.07 1,554,790.72
March 1996.......... 8,139,024.00 11,587,312.64 3,997,352.51 3,285,061.06 1,512,851.21
April 1996.......... 8,139,024.00 11,283,232.17 3,888,520.42 3,195,621.85 1,471,662.25
May 1996............ 8,139,024.00 10,983,537.91 3,781,649.43 3,107,794.28 1,431,215.50
June 1996........... 8,139,024.00 10,688,192.43 3,676,717.65 3,021,560.38 1,391,502.68
July 1996........... 8,139,024.00 10,397,158.62 3,573,703.42 2,936,902.34 1,352,515.57
August 1996......... 8,139,024.00 10,110,399.64 3,472,585.31 2,853,802.54 1,314,246.08
September 1996...... 8,139,024.00 9,827,878.97 3,373,342.05 2,772,243.52 1,276,686.15
October 1996........ 8,139,024.00 9,549,560.33 3,275,952.62 2,692,207.99 1,239,827.82
November 1996....... 8,139,024.00 9,275,407.77 3,180,396.19 2,613,678.84 1,203,663.22
December 1996....... 8,139,024.00 9,005,385.58 3,086,652.13 2,536,639.11 1,168,184.54
January 1997........ 8,139,024.00 8,739,458.35 2,994,700.01 2,461,072.01 1,133,384.04
February 1997....... 8,139,024.00 8,477,590.95 2,904,519.62 2,386,960.94 1,099,254.07
March 1997.......... 8,139,024.00 8,219,748.51 2,816,090.92 2,314,289.42 1,065,787.05
April 1997.......... 8,139,024.00 7,965,896.45 2,729,394.09 2,243,041.17 1,032,975.48
May 1997............ 8,139,024.00 7,716,000.45 2,644,409.48 2,173,200.03 1,000,811.93
June 1997........... 8,139,024.00 7,470,026.47 2,561,117.65 2,104,750.04 969,289.03
July 1997........... 8,139,024.00 7,227,940.71 2,479,499.36 2,037,675.37 938,399.50
August 1997......... 8,139,024.00 6,989,709.66 2,399,535.52 1,971,960.36 908,136.12
September 1997...... 8,139,024.00 6,755,300.08 2,321,207.27 1,907,589.48 878,491.75
October 1997........ 8,139,024.00 6,524,678.96 2,244,495.92 1,844,547.39 849,459.32
<CAPTION>
A Class F Class FC Class B Class
Distribution Scheduled Targeted Targeted Targeted
Date Balance Balance Balance Balance
- ------------------------------------ --------------- -------------- --------------
<S> <C>
Initial Balance..... $ 40,416,000.00 $ 22,967,389.00 $ 6,951,000.00 $ 4,831,611.00
August 1993......... 40,206,298.16 22,845,042.96 6,910,673.46 4,803,580.19
September 1993...... 39,974,137.70 22,708,598.14 6,864,692.94 4,771,619.32
October 1993........ 39,719,644.05 22,558,155.43 6,813,119.69 4,735,770.97
November 1993....... 39,442,962.87 22,393,833.92 6,756,027.46 4,696,086.40
December 1993....... 39,144,260.01 22,215,770.79 6,693,502.35 4,652,625.46
January 1994........ 38,823,721.32 22,024,121.24 6,625,642.78 4,605,456.56
February 1994....... 38,481,552.55 21,819,058.24 6,552,559.30 4,554,656.53
March 1994.......... 38,117,979.13 21,600,772.35 6,474,374.41 4,500,310.55
April 1994.......... 37,733,245.96 21,369,471.48 6,391,222.40 4,442,511.93
May 1994............ 37,327,617.19 21,125,380.56 6,303,249.02 4,381,362.01
June 1994........... 36,901,375.89 20,868,741.27 6,210,611.29 4,316,969.91
July 1994........... 36,454,823.81 20,599,811.59 6,113,477.12 4,249,452.35
August 1994......... 35,988,281.01 20,318,865.48 6,012,024.99 4,178,933.40
September 1994...... 35,502,085.48 20,026,192.39 5,906,443.60 4,105,544.22
October 1994........ 34,996,592.80 19,722,096.80 5,796,931.41 4,029,422.75
November 1994....... 34,472,175.69 19,406,897.70 5,683,696.24 3,950,713.46
December 1994....... 33,929,223.54 19,080,928.06 5,566,954.78 3,869,566.96
January 1995........ 33,368,142.01 18,744,534.23 5,446,932.12 3,786,139.71
February 1995....... 32,789,352.45 18,398,075.35 5,323,861.22 3,700,593.65
March 1995.......... 32,193,291.45 18,041,922.74 5,197,982.35 3,613,095.77
April 1995.......... 31,580,410.23 17,676,459.17 5,069,542.53 3,523,817.79
May 1995............ 30,951,174.14 17,302,078.23 4,938,794.95 3,432,935.69
June 1995........... 30,306,062.01 16,919,183.57 4,805,998.34 3,340,629.32
July 1995........... 29,645,565.57 16,528,188.22 4,671,416.35 3,247,081.95
August 1995......... 28,991,284.31 16,142,604.74 4,540,423.86 3,156,029.62
September 1995...... 28,343,160.70 15,762,359.30 4,412,955.81 3,067,427.11
October 1995........ 27,701,137.72 15,387,379.06 4,288,948.16 2,981,229.91
November 1995....... 27,065,158.89 15,017,592.16 4,168,337.91 2,897,394.23
December 1995....... 26,435,168.24 14,652,927.73 4,051,063.04 2,815,876.96
January 1996........ 25,811,110.33 14,293,315.84 3,937,062.50 2,736,635.66
February 1996....... 25,192,930.20 13,938,687.52 3,826,276.25 2,659,628.60
March 1996.......... 24,580,573.45 13,588,974.74 3,718,645.16 2,584,814.68
April 1996.......... 23,973,986.12 13,244,110.38 3,614,111.06 2,512,153.47
May 1996............ 23,373,114.80 12,904,028.24 3,512,616.72 2,441,605.18
June 1996........... 22,777,906.54 12,568,663.00 3,414,105.80 2,373,130.65
July 1996........... 22,188,308.88 12,237,950.25 3,318,522.87 2,306,691.35
August 1996......... 21,604,269.86 11,911,826.43 3,225,813.38 2,242,249.37
September 1996...... 21,025,738.00 11,590,228.86 3,135,923.65 2,179,767.40
October 1996........ 20,452,662.27 11,273,095.70 3,048,800.88 2,119,208.72
November 1996....... 19,884,992.13 10,960,365.95 2,964,393.08 2,060,537.22
December 1996....... 19,322,677.50 10,651,979.43 2,882,649.14 2,003,717.35
January 1997........ 18,765,668.76 10,347,876.79 2,803,518.73 1,948,714.13
February 1997....... 18,213,916.76 10,047,999.47 2,726,952.35 1,895,493.16
March 1997.......... 17,667,372.79 9,752,289.72 2,652,901.29 1,844,020.58
April 1997.......... 17,125,988.59 9,460,690.56 2,581,317.63 1,794,263.08
May 1997............ 16,589,716.35 9,173,145.79 2,512,154.23 1,746,187.89
June 1997........... 16,058,508.69 8,889,599.97 2,445,364.70 1,699,762.77
July 1997........... 15,532,318.69 8,609,998.42 2,380,903.40 1,654,955.99
August 1997......... 15,011,099.84 8,334,287.17 2,318,725.44 1,611,736.34
September 1997...... 14,494,806.06 8,062,413.03 2,258,786.64 1,570,073.14
October 1997........ 13,983,391.71 7,794,323.49 2,201,043.57 1,529,936.17
</TABLE>
S-17
<PAGE>
<TABLE>
<CAPTION>
PK Class T Class FE Class SE Class SF Class
Distribution Planned Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ---------------------------------- --------------- -------------- -------------- --------------
<S> <C>
November 1997....... $ 8,139,024.00 $ 6,297,813.58 $ 2,169,382.95 $ 1,782,818.86 $ 821,031.82
December 1997....... 8,139,024.00 6,074,671.46 2,095,850.04 1,722,388.84 793,202.31
January 1998........ 8,139,024.00 5,855,220.39 2,023,879.05 1,663,242.42 765,963.93
February 1998....... 8,139,024.00 5,639,428.39 1,953,452.01 1,605,364.83 739,309.88
March 1998.......... 8,139,024.00 5,427,263.75 1,884,551.13 1,548,741.45 713,233.43
April 1998.......... 8,139,024.00 5,218,695.01 1,817,158.79 1,493,357.81 687,727.90
May 1998............ 8,139,024.00 5,013,690.95 1,751,257.57 1,439,199.57 662,786.71
June 1998........... 8,139,024.00 4,812,220.60 1,686,830.18 1,386,252.55 638,403.31
July 1998........... 8,139,024.00 4,614,253.25 1,623,859.53 1,334,502.70 614,571.23
August 1998......... 8,139,024.00 4,419,758.40 1,562,328.71 1,283,936.10 591,284.07
September 1998...... 8,139,024.00 4,228,705.81 1,502,220.94 1,234,538.98 568,535.49
October 1998........ 8,139,024.00 4,041,065.49 1,443,519.64 1,186,297.71 546,319.20
November 1998....... 8,139,024.00 3,856,807.66 1,386,208.37 1,139,198.79 524,628.99
December 1998....... 8,139,024.00 3,675,902.80 1,330,270.87 1,093,228.84 503,458.70
January 1999........ 8,139,024.00 3,498,321.62 1,275,691.04 1,048,374.63 482,802.23
February 1999....... 8,139,024.00 3,324,035.06 1,222,452.94 1,004,623.07 462,653.56
March 1999.......... 8,139,024.00 3,153,014.27 1,170,540.77 961,961.17 443,006.71
April 1999.......... 8,139,024.00 2,985,230.67 1,119,938.91 920,376.10 423,855.77
May 1999............ 8,139,024.00 2,820,655.86 1,070,631.90 879,855.14 405,194.87
June 1999........... 8,139,024.00 2,659,261.71 1,022,604.40 840,385.70 387,018.23
July 1999........... 8,139,024.00 2,501,020.29 975,841.26 801,955.32 369,320.10
August 1999......... 8,139,024.00 2,345,903.88 930,327.46 764,551.66 352,094.79
September 1999...... 8,139,024.00 2,193,885.02 886,048.15 728,162.51 335,336.70
October 1999........ 8,139,024.00 2,044,936.44 842,988.59 692,775.78 319,040.24
November 1999....... 8,139,024.00 1,899,031.08 801,134.24 658,379.49 303,199.90
December 1999....... 8,139,024.00 1,756,142.12 760,470.67 624,961.79 287,810.23
January 2000........ 8,139,024.00 1,616,242.94 720,983.59 592,510.95 272,865.82
February 2000....... 8,139,024.00 1,479,307.14 682,658.88 561,015.35 258,361.33
March 2000.......... 8,139,024.00 1,345,308.52 645,482.55 530,463.50 244,291.45
April 2000.......... 8,139,024.00 1,214,221.11 609,440.75 500,844.01 230,650.95
May 2000............ 8,139,024.00 1,086,019.12 574,519.75 472,145.62 217,434.64
June 2000........... 8,139,024.00 960,676.98 540,706.00 444,357.17 204,637.37
July 2000........... 8,139,024.00 838,169.34 507,986.06 417,467.61 192,254.07
August 2000......... 8,139,024.00 718,471.03 476,346.61 391,466.03 180,279.71
September 2000...... 8,139,024.00 601,557.09 445,774.51 366,341.59 168,709.29
October 2000........ 8,139,024.00 487,402.77 416,256.71 342,083.59 157,537.88
November 2000....... 8,139,024.00 375,983.50 387,780.30 318,681.42 146,760.61
December 2000....... 8,139,024.00 267,274.93 360,332.53 296,124.59 136,372.63
January 2001........ 8,139,024.00 161,252.88 333,900.75 274,402.70 126,369.17
February 2001....... 8,139,024.00 57,893.40 308,472.44 253,505.48 116,745.49
March 2001.......... 8,139,024.00 0.00 264,570.66 217,426.60 100,130.28
April 2001.......... 8,139,024.00 0.00 196,524.37 161,505.54 74,377.26
May 2001............ 8,139,024.00 0.00 130,622.71 107,346.95 49,435.90
June 2001........... 8,139,024.00 0.00 69,038.51 56,736.48 26,128.54
July 2001........... 8,139,024.00 0.00 12,649.74 10,395.67 4,787.46
August 2001......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2001...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2001........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2001....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2001....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2002........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2002....... 8,139,024.00 0.00 0.00 0.00 0.00
<CAPTION>
A Class F Class FC Class B Class
Distribution Scheduled Targeted Targeted Targeted
Date Balance Balance Balance Balance
- ------------------------------------ --------------- -------------- --------------
<S> <C>
November 1997....... $ 13,476,811.56 $ 7,529,966.78 $ 2,145,453.46 $ 1,491,295.72
December 1997....... 12,975,020.80 7,269,291.82 2,091,974.28 1,454,122.56
January 1998........ 12,477,975.03 7,012,248.22 2,040,564.66 1,418,387.95
February 1998....... 11,985,630.27 6,758,786.28 1,991,183.92 1,384,063.60
March 1998.......... 11,497,942.93 6,508,856.97 1,943,792.02 1,351,121.69
April 1998.......... 11,014,869.83 6,262,411.94 1,898,349.61 1,319,534.86
May 1998............ 10,536,368.18 6,019,403.47 1,854,817.95 1,289,276.19
June 1998........... 10,062,395.61 5,779,784.51 1,813,158.97 1,260,319.21
July 1998........... 9,592,910.10 5,543,508.64 1,773,335.20 1,232,637.87
August 1998......... 9,127,870.06 5,310,530.07 1,735,309.79 1,206,206.57
September 1998...... 8,667,234.26 5,080,803.62 1,699,046.51 1,181,000.11
October 1998........ 8,210,961.85 4,854,284.76 1,664,509.71 1,156,993.73
November 1998....... 7,759,012.36 4,630,929.52 1,631,664.34 1,134,163.05
December 1998....... 7,311,345.69 4,410,694.56 1,600,475.94 1,112,484.12
January 1999........ 6,867,922.12 4,193,537.11 1,570,910.59 1,091,933.37
February 1999....... 6,428,702.29 3,979,414.98 1,542,934.96 1,072,487.63
March 1999.......... 5,993,647.20 3,768,286.57 1,516,516.27 1,054,124.11
April 1999.......... 5,562,718.22 3,560,110.82 1,491,622.28 1,036,820.40
May 1999............ 5,135,877.05 3,354,847.25 1,468,221.28 1,020,554.46
June 1999........... 4,713,085.79 3,152,455.93 1,446,282.10 1,005,304.63
July 1999........... 4,294,306.84 2,952,897.45 1,425,774.09 991,049.60
August 1999......... 3,879,502.97 2,756,132.96 1,406,667.11 977,768.42
September 1999...... 3,468,637.30 2,562,124.11 1,388,931.52 965,440.48
October 1999........ 3,061,673.28 2,370,833.11 1,372,538.20 954,045.55
November 1999....... 2,658,574.70 2,182,222.65 1,357,458.48 943,563.71
December 1999....... 2,259,305.68 1,996,255.93 1,343,664.22 933,975.37
January 2000........ 1,863,830.67 1,812,896.67 1,331,127.71 925,261.30
February 2000....... 1,472,114.46 1,632,109.07 1,319,821.75 917,402.57
March 2000.......... 1,084,122.15 1,453,857.82 1,309,719.56 910,380.58
April 2000.......... 699,819.18 1,278,108.08 1,300,794.84 904,177.05
May 2000............ 319,171.28 1,104,825.49 1,293,021.73 898,773.99
June 2000........... 0.00 933,976.17 1,252,243.73 870,429.37
July 2000........... 0.00 765,526.68 1,026,392.33 713,441.01
August 2000......... 0.00 599,444.04 803,714.34 558,658.47
September 2000...... 0.00 435,695.73 584,166.14 406,051.43
October 2000........ 0.00 274,249.67 367,704.70 255,589.99
November 2000....... 0.00 115,074.19 154,287.59 107,244.66
December 2000....... 0.00 0.00 0.00 0.00
January 2001........ 0.00 0.00 0.00 0.00
February 2001....... 0.00 0.00 0.00 0.00
March 2001.......... 0.00 0.00 0.00 0.00
April 2001.......... 0.00 0.00 0.00 0.00
May 2001............ 0.00 0.00 0.00 0.00
June 2001........... 0.00 0.00 0.00 0.00
July 2001........... 0.00 0.00 0.00 0.00
August 2001......... 0.00 0.00 0.00 0.00
September 2001...... 0.00 0.00 0.00 0.00
October 2001........ 0.00 0.00 0.00 0.00
November 2001....... 0.00 0.00 0.00 0.00
December 2001....... 0.00 0.00 0.00 0.00
January 2002........ 0.00 0.00 0.00 0.00
February 2002....... 0.00 0.00 0.00 0.00
</TABLE>
S-18
<PAGE>
<TABLE>
<CAPTION>
PK Class T Class FE Class SE Class SF Class
Distribution Planned Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ---------------------------------- --------------- -------------- -------------- --------------
<S> <C>
March 2002.......... $ 8,139,024.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
April 2002.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2002............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2002........... 8,139,024.00 0.00 0.00 0.00 0.00
July 2002........... 8,139,024.00 0.00 0.00 0.00 0.00
August 2002......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2002...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2002........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2002....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2002....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2003........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2003....... 8,139,024.00 0.00 0.00 0.00 0.00
March 2003.......... 8,139,024.00 0.00 0.00 0.00 0.00
April 2003.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2003............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2003........... 8,139,024.00 0.00 0.00 0.00 0.00
July 2003........... 8,139,024.00 0.00 0.00 0.00 0.00
August 2003......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2003...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2003........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2003....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2003....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2004........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2004....... 8,139,024.00 0.00 0.00 0.00 0.00
March 2004.......... 8,139,024.00 0.00 0.00 0.00 0.00
April 2004.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2004............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2004........... 8,139,024.00 0.00 0.00 0.00 0.00
July 2004........... 8,139,024.00 0.00 0.00 0.00 0.00
August 2004......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2004...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2004........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2004....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2004....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2005........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2005....... 8,139,024.00 0.00 0.00 0.00 0.00
March 2005.......... 8,139,024.00 0.00 0.00 0.00 0.00
April 2005.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2005............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2005........... 8,139,024.00 0.00 0.00 0.00 0.00
July 2005........... 8,139,024.00 0.00 0.00 0.00 0.00
August 2005......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2005...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2005........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2005....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2005....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2006........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2006....... 8,139,024.00 0.00 0.00 0.00 0.00
March 2006.......... 8,139,024.00 0.00 0.00 0.00 0.00
April 2006.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2006............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2006........... 8,139,024.00 0.00 0.00 0.00 0.00
<CAPTION>
A Class F Class FC Class B Class
Distribution Scheduled Targeted Targeted Targeted
Date Balance Balance Balance Balance
- ------------------------------------ --------------- -------------- --------------
<S> <C>
March 2002.......... $ 0.00 $ 0.00 $ 0.00 $ 0.00
April 2002.......... 0.00 0.00 0.00 0.00
May 2002............ 0.00 0.00 0.00 0.00
June 2002........... 0.00 0.00 0.00 0.00
July 2002........... 0.00 0.00 0.00 0.00
August 2002......... 0.00 0.00 0.00 0.00
September 2002...... 0.00 0.00 0.00 0.00
October 2002........ 0.00 0.00 0.00 0.00
November 2002....... 0.00 0.00 0.00 0.00
December 2002....... 0.00 0.00 0.00 0.00
January 2003........ 0.00 0.00 0.00 0.00
February 2003....... 0.00 0.00 0.00 0.00
March 2003.......... 0.00 0.00 0.00 0.00
April 2003.......... 0.00 0.00 0.00 0.00
May 2003............ 0.00 0.00 0.00 0.00
June 2003........... 0.00 0.00 0.00 0.00
July 2003........... 0.00 0.00 0.00 0.00
August 2003......... 0.00 0.00 0.00 0.00
September 2003...... 0.00 0.00 0.00 0.00
October 2003........ 0.00 0.00 0.00 0.00
November 2003....... 0.00 0.00 0.00 0.00
December 2003....... 0.00 0.00 0.00 0.00
January 2004........ 0.00 0.00 0.00 0.00
February 2004....... 0.00 0.00 0.00 0.00
March 2004.......... 0.00 0.00 0.00 0.00
April 2004.......... 0.00 0.00 0.00 0.00
May 2004............ 0.00 0.00 0.00 0.00
June 2004........... 0.00 0.00 0.00 0.00
July 2004........... 0.00 0.00 0.00 0.00
August 2004......... 0.00 0.00 0.00 0.00
September 2004...... 0.00 0.00 0.00 0.00
October 2004........ 0.00 0.00 0.00 0.00
November 2004....... 0.00 0.00 0.00 0.00
December 2004....... 0.00 0.00 0.00 0.00
January 2005........ 0.00 0.00 0.00 0.00
February 2005....... 0.00 0.00 0.00 0.00
March 2005.......... 0.00 0.00 0.00 0.00
April 2005.......... 0.00 0.00 0.00 0.00
May 2005............ 0.00 0.00 0.00 0.00
June 2005........... 0.00 0.00 0.00 0.00
July 2005........... 0.00 0.00 0.00 0.00
August 2005......... 0.00 0.00 0.00 0.00
September 2005...... 0.00 0.00 0.00 0.00
October 2005........ 0.00 0.00 0.00 0.00
November 2005....... 0.00 0.00 0.00 0.00
December 2005....... 0.00 0.00 0.00 0.00
January 2006........ 0.00 0.00 0.00 0.00
February 2006....... 0.00 0.00 0.00 0.00
March 2006.......... 0.00 0.00 0.00 0.00
April 2006.......... 0.00 0.00 0.00 0.00
May 2006............ 0.00 0.00 0.00 0.00
June 2006........... 0.00 0.00 0.00 0.00
</TABLE>
S-19
<PAGE>
<TABLE>
<CAPTION>
PK Class T Class FE Class SE Class SF Class
Distribution Planned Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ---------------------------------- --------------- -------------- -------------- --------------
<S> <C>
July 2006........... $ 8,139,024.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
August 2006......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2006...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2006........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2006....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2006....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2007........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2007....... 8,139,024.00 0.00 0.00 0.00 0.00
March 2007.......... 8,139,024.00 0.00 0.00 0.00 0.00
April 2007.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2007............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2007........... 8,139,024.00 0.00 0.00 0.00 0.00
July 2007........... 8,139,024.00 0.00 0.00 0.00 0.00
August 2007......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2007...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2007........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2007....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2007....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2008........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2008....... 8,139,024.00 0.00 0.00 0.00 0.00
March 2008.......... 8,139,024.00 0.00 0.00 0.00 0.00
April 2008.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2008............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2008........... 8,139,024.00 0.00 0.00 0.00 0.00
July 2008........... 8,139,024.00 0.00 0.00 0.00 0.00
August 2008......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2008...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2008........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2008....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2008....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2009........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2009....... 8,139,024.00 0.00 0.00 0.00 0.00
March 2009.......... 8,139,024.00 0.00 0.00 0.00 0.00
April 2009.......... 8,139,024.00 0.00 0.00 0.00 0.00
May 2009............ 8,139,024.00 0.00 0.00 0.00 0.00
June 2009........... 8,139,024.00 0.00 0.00 0.00 0.00
July 2009........... 8,139,024.00 0.00 0.00 0.00 0.00
August 2009......... 8,139,024.00 0.00 0.00 0.00 0.00
September 2009...... 8,139,024.00 0.00 0.00 0.00 0.00
October 2009........ 8,139,024.00 0.00 0.00 0.00 0.00
November 2009....... 8,139,024.00 0.00 0.00 0.00 0.00
December 2009....... 8,139,024.00 0.00 0.00 0.00 0.00
January 2010........ 8,139,024.00 0.00 0.00 0.00 0.00
February 2010....... 8,111,099.55 0.00 0.00 0.00 0.00
March 2010.......... 7,948,631.29 0.00 0.00 0.00 0.00
April 2010.......... 7,789,116.24 0.00 0.00 0.00 0.00
May 2010............ 7,632,503.15 0.00 0.00 0.00 0.00
June 2010........... 7,478,741.61 0.00 0.00 0.00 0.00
July 2010........... 7,327,782.08 0.00 0.00 0.00 0.00
August 2010......... 7,179,575.86 0.00 0.00 0.00 0.00
September 2010...... 7,034,075.06 0.00 0.00 0.00 0.00
October 2010........ 6,891,232.64 0.00 0.00 0.00 0.00
<CAPTION>
A Class F Class FC Class B Class
Distribution Scheduled Targeted Targeted Targeted
Date Balance Balance Balance Balance
- ------------------------------------ --------------- -------------- --------------
<S> <C>
July 2006........... $ 0.00 $ 0.00 $ 0.00 $ 0.00
August 2006......... 0.00 0.00 0.00 0.00
September 2006...... 0.00 0.00 0.00 0.00
October 2006........ 0.00 0.00 0.00 0.00
November 2006....... 0.00 0.00 0.00 0.00
December 2006....... 0.00 0.00 0.00 0.00
January 2007........ 0.00 0.00 0.00 0.00
February 2007....... 0.00 0.00 0.00 0.00
March 2007.......... 0.00 0.00 0.00 0.00
April 2007.......... 0.00 0.00 0.00 0.00
May 2007............ 0.00 0.00 0.00 0.00
June 2007........... 0.00 0.00 0.00 0.00
July 2007........... 0.00 0.00 0.00 0.00
August 2007......... 0.00 0.00 0.00 0.00
September 2007...... 0.00 0.00 0.00 0.00
October 2007........ 0.00 0.00 0.00 0.00
November 2007....... 0.00 0.00 0.00 0.00
December 2007....... 0.00 0.00 0.00 0.00
January 2008........ 0.00 0.00 0.00 0.00
February 2008....... 0.00 0.00 0.00 0.00
March 2008.......... 0.00 0.00 0.00 0.00
April 2008.......... 0.00 0.00 0.00 0.00
May 2008............ 0.00 0.00 0.00 0.00
June 2008........... 0.00 0.00 0.00 0.00
July 2008........... 0.00 0.00 0.00 0.00
August 2008......... 0.00 0.00 0.00 0.00
September 2008...... 0.00 0.00 0.00 0.00
October 2008........ 0.00 0.00 0.00 0.00
November 2008....... 0.00 0.00 0.00 0.00
December 2008....... 0.00 0.00 0.00 0.00
January 2009........ 0.00 0.00 0.00 0.00
February 2009....... 0.00 0.00 0.00 0.00
March 2009.......... 0.00 0.00 0.00 0.00
April 2009.......... 0.00 0.00 0.00 0.00
May 2009............ 0.00 0.00 0.00 0.00
June 2009........... 0.00 0.00 0.00 0.00
July 2009........... 0.00 0.00 0.00 0.00
August 2009......... 0.00 0.00 0.00 0.00
September 2009...... 0.00 0.00 0.00 0.00
October 2009........ 0.00 0.00 0.00 0.00
November 2009....... 0.00 0.00 0.00 0.00
December 2009....... 0.00 0.00 0.00 0.00
January 2010........ 0.00 0.00 0.00 0.00
February 2010....... 0.00 0.00 0.00 0.00
March 2010.......... 0.00 0.00 0.00 0.00
April 2010.......... 0.00 0.00 0.00 0.00
May 2010............ 0.00 0.00 0.00 0.00
June 2010........... 0.00 0.00 0.00 0.00
July 2010........... 0.00 0.00 0.00 0.00
August 2010......... 0.00 0.00 0.00 0.00
September 2010...... 0.00 0.00 0.00 0.00
October 2010........ 0.00 0.00 0.00 0.00
</TABLE>
S-20
<PAGE>
<TABLE>
<CAPTION>
PK Class T Class FE Class SE Class SF Class
Distribution Planned Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ---------------------------------- --------------- -------------- -------------- --------------
<S> <C>
November 2010....... $ 6,751,002.31 $ 0.00 $ 0.00 $ 0.00 $ 0.00
December 2010....... 6,613,338.59 0.00 0.00 0.00 0.00
January 2011........ 6,478,196.78 0.00 0.00 0.00 0.00
February 2011....... 6,345,532.93 0.00 0.00 0.00 0.00
March 2011.......... 6,215,303.82 0.00 0.00 0.00 0.00
April 2011.......... 6,087,466.99 0.00 0.00 0.00 0.00
May 2011............ 5,961,980.69 0.00 0.00 0.00 0.00
June 2011........... 5,838,803.88 0.00 0.00 0.00 0.00
July 2011........... 5,717,896.21 0.00 0.00 0.00 0.00
August 2011......... 5,599,218.02 0.00 0.00 0.00 0.00
September 2011...... 5,482,730.34 0.00 0.00 0.00 0.00
October 2011........ 5,368,394.85 0.00 0.00 0.00 0.00
November 2011....... 5,256,173.87 0.00 0.00 0.00 0.00
December 2011....... 5,146,030.39 0.00 0.00 0.00 0.00
January 2012........ 5,037,927.99 0.00 0.00 0.00 0.00
February 2012....... 4,931,830.92 0.00 0.00 0.00 0.00
March 2012.......... 4,827,703.99 0.00 0.00 0.00 0.00
April 2012.......... 4,725,512.65 0.00 0.00 0.00 0.00
May 2012............ 4,625,222.91 0.00 0.00 0.00 0.00
June 2012........... 4,526,801.37 0.00 0.00 0.00 0.00
July 2012........... 4,430,215.20 0.00 0.00 0.00 0.00
August 2012......... 4,335,432.13 0.00 0.00 0.00 0.00
September 2012...... 4,242,420.45 0.00 0.00 0.00 0.00
October 2012........ 4,151,148.97 0.00 0.00 0.00 0.00
November 2012....... 4,061,587.04 0.00 0.00 0.00 0.00
December 2012....... 3,973,704.55 0.00 0.00 0.00 0.00
January 2013........ 3,887,471.88 0.00 0.00 0.00 0.00
February 2013....... 3,802,859.94 0.00 0.00 0.00 0.00
March 2013.......... 3,719,840.10 0.00 0.00 0.00 0.00
April 2013.......... 3,638,384.27 0.00 0.00 0.00 0.00
May 2013............ 3,558,464.81 0.00 0.00 0.00 0.00
June 2013........... 3,480,054.54 0.00 0.00 0.00 0.00
July 2013........... 3,403,126.78 0.00 0.00 0.00 0.00
August 2013......... 3,327,655.27 0.00 0.00 0.00 0.00
September 2013...... 3,253,614.24 0.00 0.00 0.00 0.00
October 2013........ 3,180,978.33 0.00 0.00 0.00 0.00
November 2013....... 3,109,722.62 0.00 0.00 0.00 0.00
December 2013....... 3,039,822.62 0.00 0.00 0.00 0.00
January 2014........ 2,971,254.27 0.00 0.00 0.00 0.00
February 2014....... 2,903,993.91 0.00 0.00 0.00 0.00
March 2014.......... 2,838,018.28 0.00 0.00 0.00 0.00
April 2014.......... 2,773,304.54 0.00 0.00 0.00 0.00
May 2014............ 2,709,830.23 0.00 0.00 0.00 0.00
June 2014........... 2,647,573.28 0.00 0.00 0.00 0.00
July 2014........... 2,586,511.98 0.00 0.00 0.00 0.00
August 2014......... 2,526,625.02 0.00 0.00 0.00 0.00
September 2014...... 2,467,891.44 0.00 0.00 0.00 0.00
October 2014........ 2,410,290.64 0.00 0.00 0.00 0.00
November 2014....... 2,353,802.40 0.00 0.00 0.00 0.00
December 2014....... 2,298,406.80 0.00 0.00 0.00 0.00
January 2015........ 2,244,084.31 0.00 0.00 0.00 0.00
February 2015....... 2,190,815.71 0.00 0.00 0.00 0.00
zz
<CAPTION>
A Class F Class FC Class B Class
Distribution Scheduled Targeted Targeted Targeted
Date Balance Balance Balance Balance
- ------------------------------------ --------------- -------------- --------------
<S> <C>
November 2010....... $ 0.00 $ 0.00 $ 0.00 $ 0.00
December 2010....... 0.00 0.00 0.00 0.00
January 2011........ 0.00 0.00 0.00 0.00
February 2011....... 0.00 0.00 0.00 0.00
March 2011.......... 0.00 0.00 0.00 0.00
April 2011.......... 0.00 0.00 0.00 0.00
May 2011............ 0.00 0.00 0.00 0.00
June 2011........... 0.00 0.00 0.00 0.00
July 2011........... 0.00 0.00 0.00 0.00
August 2011......... 0.00 0.00 0.00 0.00
September 2011...... 0.00 0.00 0.00 0.00
October 2011........ 0.00 0.00 0.00 0.00
November 2011....... 0.00 0.00 0.00 0.00
December 2011....... 0.00 0.00 0.00 0.00
January 2012........ 0.00 0.00 0.00 0.00
February 2012....... 0.00 0.00 0.00 0.00
March 2012.......... 0.00 0.00 0.00 0.00
April 2012.......... 0.00 0.00 0.00 0.00
May 2012............ 0.00 0.00 0.00 0.00
June 2012........... 0.00 0.00 0.00 0.00
July 2012........... 0.00 0.00 0.00 0.00
August 2012......... 0.00 0.00 0.00 0.00
September 2012...... 0.00 0.00 0.00 0.00
October 2012........ 0.00 0.00 0.00 0.00
November 2012....... 0.00 0.00 0.00 0.00
December 2012....... 0.00 0.00 0.00 0.00
January 2013........ 0.00 0.00 0.00 0.00
February 2013....... 0.00 0.00 0.00 0.00
March 2013.......... 0.00 0.00 0.00 0.00
April 2013.......... 0.00 0.00 0.00 0.00
May 2013............ 0.00 0.00 0.00 0.00
June 2013........... 0.00 0.00 0.00 0.00
July 2013........... 0.00 0.00 0.00 0.00
August 2013......... 0.00 0.00 0.00 0.00
September 2013...... 0.00 0.00 0.00 0.00
October 2013........ 0.00 0.00 0.00 0.00
November 2013....... 0.00 0.00 0.00 0.00
December 2013....... 0.00 0.00 0.00 0.00
January 2014........ 0.00 0.00 0.00 0.00
February 2014....... 0.00 0.00 0.00 0.00
March 2014.......... 0.00 0.00 0.00 0.00
April 2014.......... 0.00 0.00 0.00 0.00
May 2014............ 0.00 0.00 0.00 0.00
June 2014........... 0.00 0.00 0.00 0.00
July 2014........... 0.00 0.00 0.00 0.00
August 2014......... 0.00 0.00 0.00 0.00
September 2014...... 0.00 0.00 0.00 0.00
October 2014........ 0.00 0.00 0.00 0.00
November 2014....... 0.00 0.00 0.00 0.00
December 2014....... 0.00 0.00 0.00 0.00
January 2015........ 0.00 0.00 0.00 0.00
February 2015....... 0.00 0.00 0.00 0.00
</TABLE>
S-21
<PAGE>
<TABLE>
<CAPTION>
PK Class T Class FE Class SE Class SF Class
Distribution Planned Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ---------------------------------- --------------- -------------- -------------- --------------
<S> <C>
March 2015.......... $ 2,138,582.11 $ 0.00 $ 0.00 $ 0.00 $ 0.00
April 2015.......... 2,087,364.97 0.00 0.00 0.00 0.00
May 2015............ 2,037,146.04 0.00 0.00 0.00 0.00
June 2015........... 1,987,907.39 0.00 0.00 0.00 0.00
July 2015........... 1,939,631.43 0.00 0.00 0.00 0.00
August 2015......... 1,892,300.83 0.00 0.00 0.00 0.00
September 2015...... 1,845,898.58 0.00 0.00 0.00 0.00
October 2015........ 1,800,407.98 0.00 0.00 0.00 0.00
November 2015....... 1,755,812.58 0.00 0.00 0.00 0.00
December 2015....... 1,712,096.25 0.00 0.00 0.00 0.00
January 2016........ 1,669,243.12 0.00 0.00 0.00 0.00
February 2016....... 1,627,237.60 0.00 0.00 0.00 0.00
March 2016.......... 1,586,064.36 0.00 0.00 0.00 0.00
April 2016.......... 1,545,708.36 0.00 0.00 0.00 0.00
May 2016............ 1,506,154.79 0.00 0.00 0.00 0.00
June 2016........... 1,467,389.13 0.00 0.00 0.00 0.00
July 2016........... 1,429,397.07 0.00 0.00 0.00 0.00
August 2016......... 1,392,164.59 0.00 0.00 0.00 0.00
September 2016...... 1,355,677.88 0.00 0.00 0.00 0.00
October 2016........ 1,319,923.39 0.00 0.00 0.00 0.00
November 2016....... 1,284,887.80 0.00 0.00 0.00 0.00
December 2016....... 1,250,558.01 0.00 0.00 0.00 0.00
January 2017........ 1,216,921.18 0.00 0.00 0.00 0.00
February 2017....... 1,183,964.65 0.00 0.00 0.00 0.00
March 2017.......... 1,151,676.01 0.00 0.00 0.00 0.00
April 2017.......... 1,120,043.06 0.00 0.00 0.00 0.00
May 2017............ 1,089,053.80 0.00 0.00 0.00 0.00
June 2017........... 1,058,696.45 0.00 0.00 0.00 0.00
July 2017........... 1,028,959.45 0.00 0.00 0.00 0.00
August 2017......... 999,831.40 0.00 0.00 0.00 0.00
September 2017...... 971,301.15 0.00 0.00 0.00 0.00
October 2017........ 943,357.69 0.00 0.00 0.00 0.00
November 2017....... 915,990.25 0.00 0.00 0.00 0.00
December 2017....... 889,188.23 0.00 0.00 0.00 0.00
January 2018........ 862,941.20 0.00 0.00 0.00 0.00
February 2018....... 837,238.94 0.00 0.00 0.00 0.00
March 2018.......... 812,071.38 0.00 0.00 0.00 0.00
April 2018.......... 787,428.65 0.00 0.00 0.00 0.00
May 2018............ 763,301.05 0.00 0.00 0.00 0.00
June 2018........... 739,679.03 0.00 0.00 0.00 0.00
July 2018........... 716,553.23 0.00 0.00 0.00 0.00
August 2018......... 693,914.44 0.00 0.00 0.00 0.00
September 2018...... 671,753.62 0.00 0.00 0.00 0.00
October 2018........ 650,061.88 0.00 0.00 0.00 0.00
November 2018....... 628,830.49 0.00 0.00 0.00 0.00
December 2018....... 608,050.88 0.00 0.00 0.00 0.00
January 2019........ 587,714.62 0.00 0.00 0.00 0.00
February 2019....... 567,813.45 0.00 0.00 0.00 0.00
March 2019.......... 548,339.21 0.00 0.00 0.00 0.00
April 2019.......... 529,283.93 0.00 0.00 0.00 0.00
May 2019............ 510,639.77 0.00 0.00 0.00 0.00
June 2019........... 492,399.00 0.00 0.00 0.00 0.00
<CAPTION>
A Class F Class FC Class B Class
Distribution Scheduled Targeted Targeted Targeted
Date Balance Balance Balance Balance
- ------------------------------------ --------------- -------------- --------------
<S> <C>
March 2015.......... $ 0.00 $ 0.00 $ 0.00 $ 0.00
April 2015.......... 0.00 0.00 0.00 0.00
May 2015............ 0.00 0.00 0.00 0.00
June 2015........... 0.00 0.00 0.00 0.00
July 2015........... 0.00 0.00 0.00 0.00
August 2015......... 0.00 0.00 0.00 0.00
September 2015...... 0.00 0.00 0.00 0.00
October 2015........ 0.00 0.00 0.00 0.00
November 2015....... 0.00 0.00 0.00 0.00
December 2015....... 0.00 0.00 0.00 0.00
January 2016........ 0.00 0.00 0.00 0.00
February 2016....... 0.00 0.00 0.00 0.00
March 2016.......... 0.00 0.00 0.00 0.00
April 2016.......... 0.00 0.00 0.00 0.00
May 2016............ 0.00 0.00 0.00 0.00
June 2016........... 0.00 0.00 0.00 0.00
July 2016........... 0.00 0.00 0.00 0.00
August 2016......... 0.00 0.00 0.00 0.00
September 2016...... 0.00 0.00 0.00 0.00
October 2016........ 0.00 0.00 0.00 0.00
November 2016....... 0.00 0.00 0.00 0.00
December 2016....... 0.00 0.00 0.00 0.00
January 2017........ 0.00 0.00 0.00 0.00
February 2017....... 0.00 0.00 0.00 0.00
March 2017.......... 0.00 0.00 0.00 0.00
April 2017.......... 0.00 0.00 0.00 0.00
May 2017............ 0.00 0.00 0.00 0.00
June 2017........... 0.00 0.00 0.00 0.00
July 2017........... 0.00 0.00 0.00 0.00
August 2017......... 0.00 0.00 0.00 0.00
September 2017...... 0.00 0.00 0.00 0.00
October 2017........ 0.00 0.00 0.00 0.00
November 2017....... 0.00 0.00 0.00 0.00
December 2017....... 0.00 0.00 0.00 0.00
January 2018........ 0.00 0.00 0.00 0.00
February 2018....... 0.00 0.00 0.00 0.00
March 2018.......... 0.00 0.00 0.00 0.00
April 2018.......... 0.00 0.00 0.00 0.00
May 2018............ 0.00 0.00 0.00 0.00
June 2018........... 0.00 0.00 0.00 0.00
July 2018........... 0.00 0.00 0.00 0.00
August 2018......... 0.00 0.00 0.00 0.00
September 2018...... 0.00 0.00 0.00 0.00
October 2018........ 0.00 0.00 0.00 0.00
November 2018....... 0.00 0.00 0.00 0.00
December 2018....... 0.00 0.00 0.00 0.00
January 2019........ 0.00 0.00 0.00 0.00
February 2019....... 0.00 0.00 0.00 0.00
March 2019.......... 0.00 0.00 0.00 0.00
April 2019.......... 0.00 0.00 0.00 0.00
May 2019............ 0.00 0.00 0.00 0.00
June 2019........... 0.00 0.00 0.00 0.00
</TABLE>
S-22
<PAGE>
<TABLE>
<CAPTION>
PK Class T Class FE Class SE Class SF Class
Distribution Planned Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ---------------------------------- --------------- -------------- -------------- --------------
<S> <C>
July 2019........... $ 474,554.06 $ 0.00 $ 0.00 $ 0.00 $ 0.00
August 2019......... 457,097.50 0.00 0.00 0.00 0.00
September 2019...... 440,022.03 0.00 0.00 0.00 0.00
October 2019........ 423,320.45 0.00 0.00 0.00 0.00
November 2019....... 406,985.72 0.00 0.00 0.00 0.00
December 2019....... 391,010.92 0.00 0.00 0.00 0.00
January 2020........ 375,389.22 0.00 0.00 0.00 0.00
February 2020....... 360,113.96 0.00 0.00 0.00 0.00
March 2020.......... 345,178.55 0.00 0.00 0.00 0.00
April 2020.......... 330,576.56 0.00 0.00 0.00 0.00
May 2020............ 316,301.65 0.00 0.00 0.00 0.00
June 2020........... 302,347.60 0.00 0.00 0.00 0.00
July 2020........... 288,708.28 0.00 0.00 0.00 0.00
August 2020......... 275,377.70 0.00 0.00 0.00 0.00
September 2020...... 262,349.97 0.00 0.00 0.00 0.00
October 2020........ 249,619.28 0.00 0.00 0.00 0.00
November 2020....... 237,179.94 0.00 0.00 0.00 0.00
December 2020....... 225,026.38 0.00 0.00 0.00 0.00
January 2021........ 213,153.10 0.00 0.00 0.00 0.00
February 2021....... 201,554.72 0.00 0.00 0.00 0.00
March 2021.......... 190,225.93 0.00 0.00 0.00 0.00
April 2021.......... 179,161.53 0.00 0.00 0.00 0.00
May 2021............ 168,356.43 0.00 0.00 0.00 0.00
June 2021........... 157,805.60 0.00 0.00 0.00 0.00
July 2021........... 147,504.12 0.00 0.00 0.00 0.00
August 2021......... 137,447.15 0.00 0.00 0.00 0.00
September 2021...... 127,629.94 0.00 0.00 0.00 0.00
October 2021........ 118,047.82 0.00 0.00 0.00 0.00
November 2021....... 108,696.22 0.00 0.00 0.00 0.00
December 2021....... 99,570.63 0.00 0.00 0.00 0.00
January 2022........ 90,666.63 0.00 0.00 0.00 0.00
February 2022....... 81,979.88 0.00 0.00 0.00 0.00
March 2022.......... 73,506.13 0.00 0.00 0.00 0.00
April 2022.......... 65,241.19 0.00 0.00 0.00 0.00
May 2022............ 57,180.94 0.00 0.00 0.00 0.00
June 2022........... 49,321.36 0.00 0.00 0.00 0.00
July 2022........... 41,658.47 0.00 0.00 0.00 0.00
August 2022......... 34,188.40 0.00 0.00 0.00 0.00
September 2022...... 26,907.32 0.00 0.00 0.00 0.00
October 2022........ 19,811.47 0.00 0.00 0.00 0.00
November 2022....... 12,897.18 0.00 0.00 0.00 0.00
December 2022....... 6,160.83 0.00 0.00 0.00 0.00
January 2023 and
thereafter......... 0.00 0.00 0.00 0.00 0.00
<CAPTION>
A Class F Class FC Class B Class
Distribution Scheduled Targeted Targeted Targeted
Date Balance Balance Balance Balance
- ------------------------------------ --------------- -------------- --------------
<S> <C>
July 2019........... $ 0.00 $ 0.00 $ 0.00 $ 0.00
August 2019......... 0.00 0.00 0.00 0.00
September 2019...... 0.00 0.00 0.00 0.00
October 2019........ 0.00 0.00 0.00 0.00
November 2019....... 0.00 0.00 0.00 0.00
December 2019....... 0.00 0.00 0.00 0.00
January 2020........ 0.00 0.00 0.00 0.00
February 2020....... 0.00 0.00 0.00 0.00
March 2020.......... 0.00 0.00 0.00 0.00
April 2020.......... 0.00 0.00 0.00 0.00
May 2020............ 0.00 0.00 0.00 0.00
June 2020........... 0.00 0.00 0.00 0.00
July 2020........... 0.00 0.00 0.00 0.00
August 2020......... 0.00 0.00 0.00 0.00
September 2020...... 0.00 0.00 0.00 0.00
October 2020........ 0.00 0.00 0.00 0.00
November 2020....... 0.00 0.00 0.00 0.00
December 2020....... 0.00 0.00 0.00 0.00
January 2021........ 0.00 0.00 0.00 0.00
February 2021....... 0.00 0.00 0.00 0.00
March 2021.......... 0.00 0.00 0.00 0.00
April 2021.......... 0.00 0.00 0.00 0.00
May 2021............ 0.00 0.00 0.00 0.00
June 2021........... 0.00 0.00 0.00 0.00
July 2021........... 0.00 0.00 0.00 0.00
August 2021......... 0.00 0.00 0.00 0.00
September 2021...... 0.00 0.00 0.00 0.00
October 2021........ 0.00 0.00 0.00 0.00
November 2021....... 0.00 0.00 0.00 0.00
December 2021....... 0.00 0.00 0.00 0.00
January 2022........ 0.00 0.00 0.00 0.00
February 2022....... 0.00 0.00 0.00 0.00
March 2022.......... 0.00 0.00 0.00 0.00
April 2022.......... 0.00 0.00 0.00 0.00
May 2022............ 0.00 0.00 0.00 0.00
June 2022........... 0.00 0.00 0.00 0.00
July 2022........... 0.00 0.00 0.00 0.00
August 2022......... 0.00 0.00 0.00 0.00
September 2022...... 0.00 0.00 0.00 0.00
October 2022........ 0.00 0.00 0.00 0.00
November 2022....... 0.00 0.00 0.00 0.00
December 2022....... 0.00 0.00 0.00 0.00
January 2023 and
thereafter......... 0.00 0.00 0.00 0.00
</TABLE>
S-23
<PAGE>
Characteristics of the R and RL Classes
The R and RL Certificates will not have principal balances and will not
bear interest. The Holder of the R Certificate will be entitled to receive the
proceeds of the remaining assets of the Trust, if any, after the principal
balances of all Classes have been reduced to zero, and the Holder of the RL
Certificate will be entitled to receive the proceeds of the remaining assets
of the Lower Tier REMIC, if any, after the principal balances of the Lower
Tier Interests have been reduced to zero. It is not anticipated that there
will be any material assets remaining in either such circumstance.
The R Class and the RL Class will be subject to certain transfer
restrictions. No transfer of record or beneficial ownership of an R or RL
Certificate will be allowed to a "disqualified organization." In addition, no
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to any person that is not a "U.S. Person" without the written consent
of Fannie Mae. Under regulations issued by the Treasury Department on December
23, 1992 (the "Regulations"), a transfer of a "noneconomic residual interest"
to a U.S. Person will be disregarded for all federal tax purposes unless no
significant purpose of the transfer is to impede the assessment or collection
of tax. The R and RL Certificates will constitute noneconomic residual
interests under the Regulations. Any transferee of an R or RL Certificate must
execute and deliver an affidavit and an Internal Revenue Service Form W-9 on
which the transferee provides its taxpayer identification number. See
"Description of the Certificates--Additional Characteristics of Residual
Certificates" and "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Residual Certificates" in the REMIC Prospectus.
Transferors of an R or RL Certificate should consult with their own tax
advisors for further information regarding such transfers.
The Holder of the R Certificate will be considered to be the holder of
the "residual interest" in the REMIC constituted by the Trust, and the Holder
of the RL Certificate will be considered to be the holder of the "residual
interest" in the REMIC constituted by the Lower Tier REMIC. See "Certain
Federal Income Tax Consequences" in the REMIC Prospectus. Pursuant to the
Trust Agreement, Fannie Mae will be obligated to provide to such Holders (i)
such information as is necessary to enable them to prepare their federal
income tax returns and (ii) any reports regarding the Certificates that may be
required under the Code.
Yield Considerations
General. There can be no assurance that the Mortgage Loans will have the
characteristics assumed herein or will prepay at any of the rates assumed
herein or at any other particular rate, that the pre-tax yields on the
Certificates will correspond to any of the pre-tax yields shown herein or that
the aggregate purchase prices of the Certificates will be as assumed. In
addition, there can be no assurance that the applicable Index will correspond
to the levels shown herein. Because the rate of principal distributions on the
Certificates will be related to the amortization of the Mortgage Loans in each
Pool, which are likely to include Mortgage Loans that have remaining terms to
maturity shorter or longer than those assumed and interest rates higher or
lower than those assumed, the principal distributions on the Certificates are
likely to differ from those assumed, even if all Mortgage Loans prepay at the
indicated constant percentages of PSA. In addition, it is not likely that the
Mortgage Loans will prepay at a constant PSA rate until maturity, that all of
such Mortgage Loans will prepay at the same rate or that the level of the
applicable Index will remain constant.
The timing of changes in the rate of prepayments or the level of the
applicable Index may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments or the average
level of such Index is consistent with the expectations of investors. In
general, the earlier the payment of principal of the Mortgage Loans or change
in the level of an Index, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal
prepayments or the level of an Index occurring at a rate or level higher (or
lower) than the rate or level anticipated by the investor during the period
immediately following the issuance of the
S-24
<PAGE>
Certificates will not be offset by a subsequent like reduction (or increase)
in the rate of principal prepayments or level of such Index.
The effective yield on the Delay Classes will be reduced below the yield
otherwise produced because principal and interest payable on a Distribution
Date will not be distributed until the 25th day following the end of the
related Interest Accrual Period and will not bear interest during such delay.
No interest at all will be paid on any Class after its principal balance has
been reduced to zero. As a result of the foregoing, the market value of the
Delay Classes will be lower than would have been the case if there were no
such delay. Investors must make their own decisions as to the appropriate
assumptions, including prepayment assumptions, to be used in deciding whether
to purchase the Certificates.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of certain Classes to various constant
percentages of PSA and, where specified, to changes in the applicable Index.
The yields set forth in the tables were calculated by determining the monthly
discount rates that, when applied to the assumed streams of cash flows to be
paid on the applicable Classes, would cause the discounted present value of
such assumed streams of cash flows to equal the assumed aggregate purchase
prices of such Classes 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 Certificates and consequently
do not purport to reflect the return on any investment in the Certificates
when such reinvestment rates are considered.
The Interest Only Classes. As indicated in the table below, the yields
to investors in the PL and PM Classes will be sensitive to the rate of
principal payments (including prepayments) of the Mortgage Loans, which
generally can be prepaid at any time. On the basis of the assumptions
described below, the yield to maturity on the PL and PM Classes would be 0% if
prepayments were to occur at constant rates of approximately 543% PSA and 492%
PSA, respectively. If the actual prepayment rate of the Mortgage Loans were to
exceed either of the foregoing levels for as little as one month while
equaling such level for the remaining months, the investors in the PL or PM
Class, as applicable, would not fully recoup their initial investments.
The information set forth in the following table was prepared on the
basis of the Pricing Assumptions and the assumption that the aggregate
purchase prices of the PL and PM Classes (expressed in each case as a
percentage of original principal balance) are as follows:
<TABLE>
Caption>
Class Price*
---------------------------------------------------------------- ---------
<S> <C>
PL.............................................................. 17.018271%
PM.............................................................. 50.636246%
</TABLE>
-------------------------------
* The prices do not include accrued interest. Accrued interest
has been added to such prices in calculating the yields set
forth in the table below.
Sensitivity of the PL and PM Classes to Prepayments
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
------------------------------------------
Class 50% 95% 250% 300% 500%
-------------------------------------------- ----- ----- ----- ----- ------
<S> <C>
PL ......................................... 27.0% 12.5% 12.5% 12.5% 3.2%
PM.......................................... 12.6% 9.5% 9.5% 9.5% (0.4)%
</TABLE>
The Principal Only Class. The B Class is a principal only class and will
not bear interest. As indicated in the table below, a low rate of principal
payments (including prepayments) will have a negative effect on the yield to
investors in the B Class.
S-25
<PAGE>
The information set forth in the following table has been prepared on the
basis of the Pricing Assumptions and on the assumption that the aggregate
purchase price of the B Class (expressed as a percentage of original principal
balance) is 78.454056%.
Sensitivity of the B Class to Prepayments
<TABLE>
<CAPTION>
PSA Percentages.................... 50% 95% 250% 300% 500%
-------- -------- -------- -------- --------
<S> <C>
Pre-Tax Yields to Maturity......... 1.3% 1.8% 7.5% 7.5% 6.9%
</TABLE>
The Inverse Floating Rate Classes. The yields to investors in the
Inverse Floating Rate Classes will be sensitive in varying degrees to the
level of the applicable Index and to the rate of principal payments (including
prepayments) of the Mortgage Loans, which generally can be prepaid at any
time. As indicated in the tables below, a high level of the applicable Index
will have a negative effect on the yields to investors in the Inverse Floating
Rate Classes. It is possible that, under certain Index or prepayment
scenarios, investors in the S and SC Classes would not fully recoup their
initial investments.
Changes in the applicable Index may not correlate with changes in
prevailing mortgage interest rates. It is possible that lower prevailing
mortgage interest rates, which might be expected to result in faster
prepayments, could occur concurrently with an increased level of such Index.
The information set forth in the following tables was prepared on the
basis of the Pricing Assumptions and the assumptions that (i) the interest
rates applicable to the Inverse Floating Rate Classes for each Interest
Accrual Period subsequent to their initial Interest Accrual Period will be
based on the indicated level of the applicable Index and (ii) the aggregate
purchase prices of the Inverse Floating Rate Classes (expressed in each case
as a percentage of original principal balance) are as follows:
<TABLE>
<CAPTION>
Class Price*
------------------------------------------------------------- -----------
<S> <C>
S ........................................................... 12.653777%
SA........................................................... 92.245400%
SB........................................................... 99.659657%
SC .......................................................... 16.576315%
SD........................................................... 98.178365%
SE........................................................... 101.094403%
SF .......................................................... 101.532663%
</TABLE>
-------------------------------
* The prices do not include accrued interest. Accrued interest
has been added to such prices in calculating the yields set
forth in the tables below.
Sensitivity of the S Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-----------------------------------------------------
LIBOR 50% 95% 250% 300% 500%
- ------------------------- ------ ------- -------- -------- --------
<S> <C>
1.1875%.................. 62.6% 58.8% 43.9% 43.9% 44.2%
3.1875%.................. 43.6% 39.6% 23.0% 23.0% 23.6%
5.1875%.................. 25.0% 20.4% 1.0% 1.0% 2.1%
7.1875%.................. 5.7% (0.3)% (25.5)% (25.4)% (23.0)%
8.9000%.................. * * * * *
</TABLE>
-----------------------
* The pre-tax yield to maturity would be less than (99.9)%.
S-26
<PAGE>
Sensitivity of the SA Class to Prepayments and 10-Year Treasury Index
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
10-Year ----------------------------------------------
Treasury Index 50% 95% 250% 300% 500%
- ------------------------- ------ ------ ------ ------ ------
<S> <C>
4.04%.................... 24.2% 24.2% 24.4% 24.7% 26.9%
6.04%.................... 13.2% 13.3% 13.5% 13.8% 16.0%
8.04%.................... 2.7% 2.7% 3.1% 3.3% 5.3%
8.50% and above.......... 0.4% 0.4% 0.7% 0.9% 2.9%
</TABLE>
Sensitivity of the SB Class to Prepayments and 10-Year Treasury Index
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
10-Year ----------------------------------------------
Treasury Index 50% 95% 250% 300% 500%
- ------------------------- ------ ------ ----- ----- ------
<S> <C>
8.50% and below......... 10.0% 10.0% 10.0% 10.0% 10.1%
9.04%................... 7.5% 7.5% 7.5% 7.5% 7.6%
10.04%................... 2.8% 2.8% 2.9% 2.9% 3.1%
10.65%................... 0.0% 0.0% 0.1% 0.1% 0.3%
</TABLE>
Sensitivity of the SC Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 250% 300% 500%
- ------------------------- -------- -------- -------- -------- --------
<S> <C>
1.1875%.................. 80.5% 80.5% 54.3% 54.3% 55.0%
3.1875%.................. 59.3% 59.2% 32.2% 32.3% 33.6%
5.1875%.................. 38.9% 38.5% 10.0% 10.0% 12.6%
7.1875%.................. 18.7% 17.2% (14.7)% (14.6)% (9.9)%
9.1875%.................. (14.5)% (22.4)% (66.4)% (66.2)% (56.3)%
9.3000%.................. (40.8)% (54.8)% * * (95.8)%
</TABLE>
-----------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SD Class to Prepayments and 10-Year Treasury Index
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
10-Year ---------------------------------------------
Treasury Index 50% 95% 250% 300% 500%
- ------------------------- ----- ----- ----- ----- -----
<S> <C>
3.94%................... 13.1% 13.1% 13.4% 13.7% 14.4%
5.94%................... 9.2% 9.2% 9.5% 9.9% 10.7%
7.94%................... 5.3% 5.3% 5.7% 6.1% 7.0%
9.94%................... 1.5% 1.5% 1.8% 2.4% 3.4%
10.70%................... 0.1% 0.1% 0.4% 1.0% 2.0%
</TABLE>
Sensitivity of the SE Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 150% 250% 300% 500%
- ------------------------- ------ ------ ------ ------ ------ ------
<S> <C>
1.1875%.................. 11.2% 11.2% 10.8% 10.8% 10.8% 10.6%
3.1875%.................. 8.7% 8.7% 8.4% 8.4% 8.4% 8.2%
5.1875%.................. 6.2% 6.2% 6.0% 6.0% 6.0% 5.8%
7.0000% and above........ 4.0% 4.0% 3.8% 3.8% 3.8% 3.6%
</TABLE>
S-27
<PAGE>
Sensitivity of the SF Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------
LIBOR 50% 95% 150% 250% 300% 500%
- ------------------------- ----- ----- ---- ---- ---- ----
<S> <C>
7.0000% and below........ 8.9% 8.9% 8.5% 8.5% 8.5% 8.2%
7.1875%.................. 8.4% 8.4% 8.0% 8.0% 8.0% 7.7%
8.0000%.................. 6.2% 6.2% 5.9% 5.9% 5.9% 5.6%
8.8500%.................. 4.0% 3.9% 3.7% 3.7% 3.6% 3.4%
</TABLE>
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a)
multiplying the amount of the reduction, if any, of the principal balance of
such Certificate from one Distribution Date to the next Distribution Date by
the number of years from the date of issuance to the second such Distribution
Date, (b) summing the results and (c) dividing the sum by the aggregate amount
of the reductions in principal balance of such Certificate referred to in
clause (a). For a description of the factors which may influence the weighted
average life of a Certificate, see "Description of the Certificates-- Weighted
Average Life and Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including the timing of changes in such rate of principal
payments, the priority sequence of distributions of principal of the Classes
and the distribution of principal of certain Classes in accordance with the
Principal Balance Schedules herein. In particular, if the amount distributable
as principal of the Certificates on any Distribution Date exceeds the amount
required to reduce the principal balances of certain Classes with higher
principal payment priorities to their respective scheduled amounts as set
forth in the Principal Balance Schedules, such excess principal will be
distributed on the remaining Classes on such Distribution Date. Conversely, if
the principal distributable on any Distribution Date is less than the amount
so required to reduce certain Classes to their respective scheduled amounts,
no principal will be distributed on the remaining Classes on such Distribution
Date. Accordingly, the rate of principal payments on the Mortgage Loans is
expected to have a greater effect on the weighted average lives of the Support
Classes and, under certain prepayment scenarios, the TAC and Scheduled
Classes, than on the weighted average lives of the PAC Classes. See
"Distributions of Principal" herein.
The interaction of the foregoing factors may have different effects on
various Classes and the effects on any Class may vary at different times
during the life of such Class. Accordingly, no assurance can be given as to
the weighted average life of any Class. Further, to the extent the prices of
the Certificates represent discounts or premiums to their respective original
principal balances, variability in the weighted average lives of such Classes
of Certificates could result in variability in the related yields to maturity.
For an example of how the weighted average lives of the Classes may be
affected at various constant prepayment rates, see the Decrement Tables below.
S-28
<PAGE>
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of
the Pricing Assumptions, except that with respect to the information set forth
for each such Class under 0% PSA it has been assumed that each underlying
Mortgage Loan bears an interest rate of 10.00% per annum and has an original
and remaining term to maturity of 360 months. It is not likely that (i) all of
the underlying Mortgage Loans will have the interest rates, CAGEs or remaining
terms to maturity assumed or (ii) the underlying Mortgage Loans will prepay at
a constant PSA level. In addition, the diverse remaining terms to maturity of
the Mortgage Loans (which will include recently originated Mortgage Loans)
could produce slower or faster principal distributions than indicated in the
tables at the specified constant PSA levels, even if the weighted average
remaining term to maturity and the weighted average CAGE of the Mortgage Loans
are identical to the remaining term to maturity and CAGE specified in the
Pricing Assumptions.
S-29
<PAGE>
Percent of Original Principal Balances Outstanding
PA Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 95 68 68 68 68
July 1995........... 89 16 16 16 16
July 1996........... 82 0 0 0 0
July 1997........... 74 0 0 0 0
July 1998........... 66 0 0 0 0
July 1999........... 57 0 0 0 0
July 2000........... 47 0 0 0 0
July 2001........... 37 0 0 0 0
July 2002........... 24 0 0 0 0
July 2003........... 11 0 0 0 0
July 2004........... 0 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 6.3 1.3 1.3 1.3 1.3
PB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 0 0 0 0
July 1997........... 100 0 0 0 0
July 1998........... 100 0 0 0 0
July 1999........... 100 0 0 0 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 81 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 11.4 2.4 2.4 2.4 2.4
PC Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 74 74 74 46
July 1997........... 100 16 16 16 0
July 1998........... 100 0 0 0 0
July 1999........... 100 0 0 0 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 99 0 0 0 0
July 2006........... 81 0 0 0 0
July 2007........... 60 0 0 0 0
July 2008........... 37 0 0 0 0
July 2009........... 12 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.4 3.4 3.4 3.4 3.0
PD Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 0
July 1998........... 100 0 0 0 0
July 1999........... 100 0 0 0 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 100 0 0 0 0
July 2006........... 100 0 0 0 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 42 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 16.9 4.5 4.5 4.5 3.4
PE Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 39
July 1998........... 100 88 88 88 0
July 1999........... 100 41 41 41 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 100 0 0 0 0
July 2006........... 100 0 0 0 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 82 0 0 0 0
July 2012........... 52 0 0 0 0
July 2013........... 18 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 19.0 5.8 5.8 5.8 3.9
PL+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 98 87 87 87 87
July 1995........... 95 66 66 66 66
July 1996........... 93 44 44 44 34
July 1997........... 90 25 25 25 6
July 1998........... 86 13 13 13 0
July 1999........... 83 6 6 6 0
July 2000........... 79 0 0 0 0
July 2001........... 74 0 0 0 0
July 2002........... 70 0 0 0 0
July 2003........... 64 0 0 0 0
July 2004........... 58 0 0 0 0
July 2005........... 52 0 0 0 0
July 2006........... 46 0 0 0 0
July 2007........... 39 0 0 0 0
July 2008........... 32 0 0 0 0
July 2009........... 24 0 0 0 0
July 2010........... 17 0 0 0 0
July 2011........... 12 0 0 0 0
July 2012........... 8 0 0 0 0
July 2013........... 3 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 11.7 2.9 2.9 2.9 2.4
PG Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 42
July 1999........... 100 100 100 100 0
July 2000........... 100 96 96 96 0
July 2001........... 100 45 45 45 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 100 0 0 0 0
July 2006........... 100 0 0 0 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 78 0 0 0 0
July 2015........... 29 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 21.6 7.9 7.9 7.9 5.0
VA Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 84 84 84 84 84
July 1995........... 64 64 64 64 64
July 1996........... 43 43 43 43 43
July 1997........... 22 22 22 22 22
July 1998........... 0 0 0 0 0
July 1999........... 0 0 0 0 0
July 2000........... 0 0 0 0 0
July 2001........... 0 0 0 0 0
July 2002........... 0 0 0 0 0
July 2003........... 0 0 0 0 0
July 2004........... 0 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 2.7 2.7 2.7 2.7 2.7
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the
percentage of the original notional principal balance outstanding.
S-30
<PAGE>
VB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 100
July 1999........... 76 76 76 76 0
July 2000........... 51 51 51 51 0
July 2001........... 25 25 25 25 0
July 2002........... 0 0 0 0 0
July 2003........... 0 0 0 0 0
July 2004........... 0 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 7.0 7.0 7.0 7.0 5.6
PZ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 103 103 103 103 103
July 1995........... 107 107 107 107 107
July 1996........... 110 110 110 110 110
July 1997........... 114 114 114 114 114
July 1998........... 118 118 118 118 118
July 1999........... 123 123 123 123 103
July 2000........... 127 127 127 127 47
July 2001........... 131 131 131 131 9
July 2002........... 136 135 135 135 0
July 2003........... 136 94 94 94 0
July 2004........... 136 60 60 60 0
July 2005........... 136 33 33 33 0
July 2006........... 136 11 11 11 0
July 2007........... 136 0 0 0 0
July 2008........... 136 0 0 0 0
July 2009........... 136 0 0 0 0
July 2010........... 136 0 0 0 0
July 2011........... 136 0 0 0 0
July 2012........... 136 0 0 0 0
July 2013........... 136 0 0 0 0
July 2014........... 136 0 0 0 0
July 2015........... 136 0 0 0 0
July 2016........... 108 0 0 0 0
July 2017........... 41 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.6 10.9 10.9 10.9 6.8
PH and PM+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 100
July 1999........... 100 100 100 100 76
July 2000........... 100 100 100 100 35
July 2001........... 100 100 100 100 7
July 2002........... 100 99 99 99 0
July 2003........... 100 69 69 69 0
July 2004........... 100 44 44 44 0
July 2005........... 100 24 24 24 0
July 2006........... 100 8 8 8 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 100 0 0 0 0
July 2015........... 100 0 0 0 0
July 2016........... 79 0 0 0 0
July 2017........... 30 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.6 10.9 10.9 10.9 6.7
PJ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 100
July 1999........... 100 100 100 100 100
July 2000........... 100 100 100 100 100
July 2001........... 100 100 100 100 100
July 2002........... 100 100 100 100 54
July 2003........... 100 100 100 100 6
July 2004........... 100 100 100 100 0
July 2005........... 100 100 100 100 0
July 2006........... 100 100 100 100 0
July 2007........... 100 82 82 82 0
July 2008........... 100 44 44 44 0
July 2009........... 100 14 14 14 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 100 0 0 0 0
July 2015........... 100 0 0 0 0
July 2016........... 100 0 0 0 0
July 2017........... 100 0 0 0 0
July 2018........... 17 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 24.9 14.9 14.9 14.9 9.1
PK Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 100
July 1999........... 100 100 100 100 100
July 2000........... 100 100 100 100 100
July 2001........... 100 100 100 100 100
July 2002........... 100 100 100 100 100
July 2003........... 100 100 100 100 100
July 2004........... 100 100 100 100 73
July 2005........... 100 100 100 100 50
July 2006........... 100 100 100 100 34
July 2007........... 100 100 100 100 23
July 2008........... 100 100 100 100 16
July 2009........... 100 100 100 100 10
July 2010........... 100 90 90 90 7
July 2011........... 100 70 70 70 5
July 2012........... 100 54 54 54 3
July 2013........... 100 42 42 42 2
July 2014........... 100 32 32 32 1
July 2015........... 100 24 24 24 1
July 2016........... 100 18 18 18 1
July 2017........... 100 13 13 13 *
July 2018........... 100 9 9 9 *
July 2019........... 6 6 6 6 *
July 2020........... 4 4 4 4 *
July 2021........... 2 2 2 2 *
July 2022........... 1 1 1 1 *
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.5 20.2 20.2 20.2 12.8
T Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 95% 125% 250% 300% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
July 1994........... 100 100 90 90 90 90
July 1995........... 100 100 72 72 72 72
July 1996........... 100 100 53 53 53 0
July 1997........... 100 100 37 37 37 0
July 1998........... 100 100 23 23 23 0
July 1999........... 100 100 13 13 13 0
July 2000........... 100 100 4 4 4 0
July 2001........... 100 100 0 0 0 0
July 2002........... 100 98 0 0 0 0
July 2003........... 100 88 0 0 0 0
July 2004........... 100 72 0 0 0 0
July 2005........... 100 53 0 0 0 0
July 2006........... 100 30 0 0 0 0
July 2007........... 100 4 0 0 0 0
July 2008........... 100 0 0 0 0 0
July 2009........... 100 0 0 0 0 0
July 2010........... 100 0 0 0 0 0
July 2011........... 100 0 0 0 0 0
July 2012........... 100 0 0 0 0 0
July 2013........... 100 0 0 0 0 0
July 2014........... 100 0 0 0 0 0
July 2015........... 100 0 0 0 0 0
July 2016........... 100 0 0 0 0 0
July 2017........... 100 0 0 0 0 0
July 2018........... 100 0 0 0 0 0
July 2019........... 57 0 0 0 0 0
July 2020........... 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 26.1 12.0 3.4 3.4 3.4 2.2
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the
percentage of the original notional principal balance outstanding.
S-31
<PAGE>
FE, SE and SF Classes
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 95% 150% 250% 300% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
July 1994........... 100 100 89 89 89 89
July 1995........... 100 100 71 71 71 71
July 1996........... 100 100 51 51 51 0
July 1997........... 100 100 35 35 35 0
July 1998........... 100 100 23 23 23 0
July 1999........... 100 100 14 14 14 0
July 2000........... 100 100 7 7 5 0
July 2001........... 100 100 * * * 0
July 2002........... 100 100 0 0 * 0
July 2003........... 100 100 0 0 * 0
July 2004........... 100 100 0 0 * 0
July 2005........... 100 100 0 0 * 0
July 2006........... 100 100 0 0 * 0
July 2007........... 100 100 0 0 * 0
July 2008........... 100 71 0 0 * 0
July 2009........... 100 36 0 0 * 0
July 2010........... 100 0 0 0 * 0
July 2011........... 100 0 0 0 * 0
July 2012........... 100 0 0 0 * 0
July 2013........... 100 0 0 0 * 0
July 2014........... 100 0 0 0 * 0
July 2015........... 100 0 0 0 * 0
July 2016........... 100 0 0 0 * 0
July 2017........... 100 0 0 0 * 0
July 2018........... 100 0 0 0 * 0
July 2019........... 100 0 0 0 * 0
July 2020........... 49 0 0 0 * 0
July 2021........... 0 0 0 0 * 0
July 2022........... 0 0 0 0 * 0
July 2023........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 27.0 15.6 3.4 3.4 3.4 2.0
FD and SD Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 90 85 64
July 1995........... 100 100 72 58 6
July 1996........... 100 100 55 34 0
July 1997........... 100 100 43 17 0
July 1998........... 100 100 35 7 0
July 1999........... 100 100 30 1 0
July 2000........... 100 100 27 0 0
July 2001........... 100 100 26 0 0
July 2002........... 100 100 25 0 0
July 2003........... 100 100 23 0 0
July 2004........... 100 100 21 0 0
July 2005........... 100 100 18 0 0
July 2006........... 100 100 16 0 0
July 2007........... 100 100 14 0 0
July 2008........... 100 100 12 0 0
July 2009........... 100 100 11 0 0
July 2010........... 100 100 9 0 0
July 2011........... 100 91 8 0 0
July 2012........... 100 82 6 0 0
July 2013........... 100 73 5 0 0
July 2014........... 100 65 4 0 0
July 2015........... 100 56 4 0 0
July 2016........... 100 48 3 0 0
July 2017........... 100 40 2 0 0
July 2018........... 100 32 2 0 0
July 2019........... 100 25 1 0 0
July 2020........... 100 17 1 0 0
July 2021........... 78 10 * 0 0
July 2022........... 41 3 * 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.8 22.9 6.1 2.5 1.2
F and S+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 99 95 90 90 90
July 1995........... 98 87 72 72 72
July 1996........... 97 79 53 53 53
July 1997........... 96 70 37 37 37
July 1998........... 95 62 24 24 24
July 1999........... 94 55 13 13 15
July 2000........... 92 48 3 4 8
July 2001........... 91 41 0 0 3
July 2002........... 89 34 0 0 *
July 2003........... 87 28 0 0 0
July 2004........... 85 23 0 0 0
July 2005........... 82 17 0 0 0
July 2006........... 80 12 0 0 0
July 2007........... 77 7 0 0 0
July 2008........... 73 2 0 0 0
July 2009........... 70 0 0 0 0
July 2010........... 66 0 0 0 0
July 2011........... 61 0 0 0 0
July 2012........... 56 0 0 0 0
July 2013........... 51 0 0 0 0
July 2014........... 45 0 0 0 0
July 2015........... 39 0 0 0 0
July 2016........... 31 0 0 0 0
July 2017........... 23 0 0 0 0
July 2018........... 14 0 0 0 0
July 2019........... 5 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.5 7.1 3.4 3.4 3.5
A Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 95% 175% 250% 300% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
July 1994........... 99 94 90 90 90 90
July 1995........... 98 84 73 73 73 73
July 1996........... 97 72 55 55 55 55
July 1997........... 95 61 38 38 38 38
July 1998........... 94 51 24 24 24 24
July 1999........... 92 41 11 11 11 11
July 2000........... 90 32 0 0 0 3
July 2001........... 88 24 0 0 0 0
July 2002........... 86 15 0 0 0 0
July 2003........... 83 7 0 0 0 0
July 2004........... 80 0 0 0 0 0
July 2005........... 77 0 0 0 0 0
July 2006........... 74 0 0 0 0 0
July 2007........... 70 0 0 0 0 0
July 2008........... 66 0 0 0 0 0
July 2009........... 61 0 0 0 0 0
July 2010........... 56 0 0 0 0 0
July 2011........... 50 0 0 0 0 0
July 2012........... 44 0 0 0 0 0
July 2013........... 37 0 0 0 0 0
July 2014........... 29 0 0 0 0 0
July 2015........... 21 0 0 0 0 0
July 2016........... 11 0 0 0 0 0
July 2017........... 1 0 0 0 0 0
July 2018........... 0 0 0 0 0 0
July 2019........... 0 0 0 0 0 0
July 2020........... 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 16.5 5.4 3.4 3.4 3.4 3.5
FC, B and SC+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 88 88 88
July 1995........... 100 100 67 67 67
July 1996........... 100 100 48 48 48
July 1997........... 100 100 34 34 34
July 1998........... 100 100 26 26 26
July 1999........... 100 100 21 21 25
July 2000........... 100 100 15 16 25
July 2001........... 100 100 0 0 14
July 2002........... 100 100 0 0 *
July 2003........... 100 100 0 0 0
July 2004........... 100 100 0 0 0
July 2005........... 100 76 0 0 0
July 2006........... 100 53 0 0 0
July 2007........... 100 31 0 0 0
July 2008........... 100 10 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 100 0 0 0 0
July 2015........... 100 0 0 0 0
July 2016........... 100 0 0 0 0
July 2017........... 100 0 0 0 0
July 2018........... 64 0 0 0 0
July 2019........... 21 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.3 13.2 3.5 3.5 3.8
FA, SA and SB Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 96 80
July 1995........... 100 100 100 89 49
July 1996........... 100 100 100 84 26
July 1997........... 100 100 100 80 17
July 1998........... 100 100 100 79 15
July 1999........... 100 100 100 78 15
July 2000........... 100 100 100 78 15
July 2001........... 100 100 90 69 15
July 2002........... 100 100 75 56 15
July 2003........... 100 100 62 45 11
July 2004........... 100 100 52 36 7
July 2005........... 100 100 43 29 5
July 2006........... 100 100 36 23 3
July 2007........... 100 100 29 18 2
July 2008........... 100 100 24 14 2
July 2009........... 100 95 20 11 1
July 2010........... 100 86 16 9 1
July 2011........... 100 77 13 7 *
July 2012........... 100 69 10 5 *
July 2013........... 100 61 8 4 *
July 2014........... 100 53 7 3 *
July 2015........... 100 46 5 2 *
July 2016........... 100 39 4 2 *
July 2017........... 100 32 3 1 *
July 2018........... 100 26 2 1 *
July 2019........... 100 20 1 1 *
July 2020........... 87 14 1 * *
July 2021........... 61 8 * * *
July 2022........... 32 3 * * *
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.4 21.8 12.5 9.8 3.3
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the
percentage of the original notional principal balance outstanding.
S-32
<PAGE>
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the
discussion of "Certain Federal Income Tax Consequences" in the REMIC
Prospectus, describes the current federal income tax treatment of investors in
the Certificates. These two tax discussions do not purport to deal with all
federal tax consequences applicable to all categories of investors, some of
which may be subject to special rules. Investors should consult their own tax
advisors in determining the federal, state, local and any other tax
consequences to them of the purchase, ownership and disposition of the
Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. The Certificates, other than the R and
RL Classes, will be designated as the "regular interests," and the R Class
will be designated as the "residual interest," in the REMIC constituted by the
Trust. The Lower Tier Regular Interests will be designated as the "regular
interests," and the RL Class will be designated as the "residual interest," in
the Lower Tier REMIC.
As a consequence of the qualification of the Trust and the Lower Tier
REMIC as REMICs, the Certificates generally will be treated as "qualifying
real property loans" for mutual savings banks and domestic building and loan
associations, "regular or residual interests in a REMIC" for domestic building
and loan associations, "real estate assets" for real estate investment trusts,
and, except for the R and RL Classes, as "qualified mortgages" for other
REMICs. See "Certain Federal Income Tax Consequences--Special Tax Attributes"
in the REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The Notional Classes and the VB, PZ, B and SA Classes will be, and
certain other Classes of Certificates may be, issued with original issue
discount for federal income tax purposes, which generally will result in
recognition of some taxable income in advance of the receipt of the cash
attributable to such income. The Prepayment Assumption that will be used in
determining the rate of accrual of original issue discount will be 250% PSA.
See "Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Regular Certificates--Original Issue Discount" in the REMIC Prospectus. No
representation is made as to whether the Mortgage Loans underlying the MBS
will prepay at that or any other rate. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final Distribution
Dates" in the REMIC Prospectus. In addition, certain Classes of Certificates
may be treated as having been issued at a premium for federal income tax
purposes. See "Certain Federal Income Tax Consequences--Taxation of Beneficial
Owners of Regular Certificates--Certificates Purchased at a Premium" in the
REMIC Prospectus.
The initial interest rates on the SB and SF Classes are the respective
maximum stated interest rates for those Classes. The proposed original issue
discount regulations that were published on December 22, 1992 (the "1992
Proposed OID Regulations") provide, in effect, that a debt instrument bearing
interest at a variable rate with a restriction on its minimim or maximum
stated interest rate will be treated as a contingent debt instrument if the
restriction is very likely to cause the interest rate during one or more
accrual periods to be significantly greater or less, respectively, than the
instrument's overall expected return. The 1992 Proposed OID Regulations are
proposed to be effective for debt instruments issued on or after the date that
is 60 days after the regulations are issued in final form. Although it is
possible that the principles contained in the 1992 Proposed OID Regulations
would be applied to debt instruments issued prior to that date, it is not
clear whether those principles would apply to the SB and SF Classes. Fannie
Mae, therefore, intends to treat the SB and SF Classes as variable rate debt
instruments and not as contingent debt instruments. Investors are urged to
consult with their own tax advisors regarding the possible treatment of the SB
and SF Classes as variable rate or contingent debt instruments and the
consequences of either such treatment.
S-33
<PAGE>
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R nor the RL Certificate will have
significant value. As a result, an organization to which section 593 of the
Code applies and which is the beneficial owner of the R or RL Certificate may
not use its allowable deductions to offset any "excess inclusions" with
respect to such Certificate. See "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Residual Certificates--Excess
Inclusions" in the REMIC Prospectus.
For purposes of determining the portion of the taxable income of the
Trust (or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about June 20, 1993. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates--Excess Inclusions" and "--Foreign Investors--Residual
Certificates" in the REMIC Prospectus. The federal income tax consequences of
any consideration paid to a transferee on the transfer of the R or RL
Certificate are unclear; any transferee receiving such consideration should
consult its own tax advisors.
Under the proposed IRS regulations relating to original issue discount,
the Lower Tier Regular Interests would be treated as a single debt instrument
for original issue discount purposes because they were issued to the Trust in
a single transaction. Although there can be no assurance that final
regulations will apply this aggregation rule to the Lower Tier Regular
Interests, Fannie Mae intends to calculate the taxable income (or net loss) of
the Trust and of the Lower Tier REMIC (and to report to the R and RL
Certificateholders) by treating the Lower Tier Regular Interests as a single
debt instrument. A failure of the Lower Tier Regular Interests to qualify as a
single debt instrument for original issue discount purposes could result in
material adverse tax consequences to the beneficial owners of the RL Class.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the
SMBS pursuant to a Fannie Mae commitment. The Dealer proposes to offer the
Certificates directly to the public from time to time in negotiated
transactions at varying prices to be determined at the time of sale. The
Dealer may effect such transactions to or through dealers.
Increase in Certificates. Fannie Mae and the Dealer may agree to offer
hereby Certificates in addition to those contemplated as of the date hereof.
In such event, the SMBS will be increased in principal balance, but it is
expected that all additional MBS will have the same characteristics as
described herein under "Description of the Certificates--The SMBS." The
proportion that the original principal balance of each Class bears to the
aggregate original principal balance of all the Certificates will remain the
same. The dollar amounts reflected in the Principal Balance Schedules,
together with the Initial Cash Deposit, will be increased in pro rata amounts
that correspond to the increase of the principal balance of the Certificates.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Cleary,
Gottlieb, Steen & Hamilton.
S-34
<PAGE>
======================================================
No dealer, salesman or other person has been authorized to give any
information or to make any representations in connection with this offering
other than those contained in this Prospectus Supplement, the REMIC
Prospectus, the SMBS Prospectus, the Mega Prospectus, the MBS Prospectus and
the Information Statement and, if given or made, such information or
representations must not be relied upon as having been authorized. This
Prospectus Supplement and the aforementioned documents do not constitute an
offer to sell or a solicitation of an offer to buy any of the Certificates
offered hereby in any state to any person to whom it is unlawful to make such
offer or solicitation in such state. The delivery of this Prospectus
Supplement and the aforementioned documents at any time does not imply that
the information contained herein or therein is correct as of any time
subsequent to the date hereof or thereof.
------------------------
TABLE OF CONTENTS
Page
-----
Prospectus Supplement
Table of Contents..................... S- 3
Description of the Certificates....... S- 4
Certain Additional Federal Income Tax
Consequences........................ S-33
Plan of Distribution.................. S-34
Legal Matters......................... S-34
REMIC Prospectus
Prospectus Supplement................. 2
Summary of Prospectus................. 3
Description of the Certificates....... 7
The Trust Agreement................... 20
Certain Federal Income Tax
Consequences........................ 22
Legal Investment Considerations....... 32
Legal Opinion......................... 33
ERISA Considerations.................. 33
Glossary.............................. 34
======================================================
$370,500,000
Federal National
Mortgage Association
(FANNIE MAE LOGO)
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1993-113
------------------
PROSPECTUS SUPPLEMENT
------------------
Donaldson, Lufkin & Jenrette
Securities Corporation
June 3, 1993
======================================================
<PAGE>
Annex 2(e)
Prospectus Supplement
dated June 10, 1993
to
Prospectus dated December 29, 1992
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1993-120
<PAGE>
Prospectus Supplement
(To Prospectus dated December 29, 1992)
$750,000,000
Federal National Mortgage Association
[FANNIE MAE LOGO]
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1993-120
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1993-120 (the "Trust").
The assets of the Trust will consist of the "regular interests" in a separate
trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier REMIC will
consist of Fannie Mae Guaranteed Mortgage Pass-Through Certificates (the "MBS"),
each of which will represent a beneficial interest in a pool (the "Pool") of
first lien, single-family, fixed-rate residential mortgage loans (the "Mortgage
Loans") having the characteristics described herein. The Certificates will be
issued and guaranteed as to timely distribution of principal and interest by
Fannie Mae and offered by Fannie Mae pursuant to its Prospectus for Guaranteed
Mortgage Pass-Through Certificates (the "MBS Prospectus"), available as
described herein, and its Prospectus for Guaranteed REMIC Pass-Through
Certificates (the "REMIC Prospectus"), accompanying this Prospectus Supplement.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates--Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates--Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
(Cover continued on next page)
------------------------
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY THE
UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF OTHER
THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE REGISTRATION REQUIREMENTS
OF THE SECURITIES ACT OF 1933 AND ARE "EXEMPTED SECURITIES" WITHIN THE MEANING
OF THE SECURITIES EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
- ---------------- ----------- ---------- -------- -------- ---------------
<S> <C>
A .............. $15,000,000 PAC 4.50% FIX January 2004
AB ............. 31,200,000 PAC 4.75 FIX January 2004
B .............. 30,900,000 PAC 4.75 FIX October 2007
C .............. 47,000,000 PAC 5.25 FIX September 2011
D .............. 28,400,000 PAC 5.50 FIX June 2013
E .............. 72,600,000 PAC 6.00 FIX November 2016
G .............. 49,500,000 PAC 4.50 FIX April 2019
GA.............. 20,600,000 PAC 3.50 FIX April 2019
H .............. 41,625,424 PAC 6.50 FIX November 2021
HA ............. 35,000,000 PAC 6.50 FIX January 2021
HB.............. 19,907,909 PAC 6.50 FIX November 2021
K .............. 40,500,000 PAC 7.00 FIX October 2022
L .............. 40,650,000 PAC 7.00 FIX July 2023
JA ............. (2) NTL 7.00 FIX/IO February 1998
JB ............. (2) NTL 7.00 FIX/IO November 2021
JD ............. (2) NTL 7.00 FIX/IO April 2019
JE ............. (2) NTL 7.00 FIX/IO July 1994
FJ ............. 43,416,667 PAC (3) FLT November 2021
SJ ............. (2) NTL (3) INV/IO November 2021
M .............. 20,000,000 PAC 6.75 FIX April 2023
MA.............. 25,750,000 PAC 6.60 FIX April 2023
JC ............. (2) NTL 7.00 FIX/IO April 2023
N .............. 14,550,000 PAC 7.00 FIX July 2023
P .............. 13,000,000 SCH 7.00 FIX November 2022
<CAPTION>
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
- ---------------- ----------- ---------- -------- -------- ---------------
<S> <C>
FG ............. $12,460,000 SCH (3) FLT April 2023
SG ............. 4,343,200 SCH (3) INV April 2023
SH ............. 996,800 SCH (3) INV April 2023
FD ............. 7,490,000 SCH (3) FLT July 2023
SD ............. 1,172,348 SCH (3) INV July 2023
SE ............. 2,037,652 SCH (3) INV July 2023
FK ............. 20,755,000 SCH (3) FLT July 2023
SK ............. 6,442,136 SCH (3) INV July 2023
SL ............. 2,452,864 SCH (3) INV July 2023
F .............. 17,850,000 SUP (3) FLT July 2022
S .............. 2,210,000 SUP (3) INV July 2022
SC ............. 5,440,000 SUP (3) INV July 2022
FA ............. 34,020,000 SUP (3) FLT July 2023
SA ............. 4,252,500 SUP (3) INV July 2023
SB ............. 10,327,500 SUP (3) INV July 2023
FO ............. 8,575,000 SUP (3) FLT December 2022
SO.............. 1,267,609 SUP (3) INV December 2022
SP ............. 2,407,391 SUP (3) INV December 2022
FM.............. 10,600,000 SUP (3) FLT July 2023
SM.............. 2,067,000 SUP (3) INV July 2023
SN ............. 3,233,000 SUP (3) INV July 2023
R .............. 0 NPR 0 NPR July 2023
RL ............. 0 NPR 0 NPR July 2023
</TABLE>
- ------------------------------------------------------------------------------
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the
Certificates--Distributions of Interest" and "--Distributions of
Principal" herein.
(2) The JA, JB, JC, JD, JE and SJ Classes will be Notional Classes, will have no
principal balances and will bear interest on their notional principal
balances (initially, $4,000,000, $45,921,429, $2,185,714, $22,971,429,
$1,550,595 and $43,416,667, respectively). The notional principal balances
of the JA, JB, JC, JD, JE and SJ Classes will be calculated based on the
principal balances of certain PAC Classes. See "Description of the
Certificates--General--Notional Classes" herein.
(3) The FJ, SJ, FG, SG, SH, FD, SD, SE, FK, SK, SL, F, S, SC, FO, SO and SP
Classes will bear interest based on "LIBOR" and the FA, SA, SB, FM, SM and
SN Classes will bear interest based on "COFI", as described under
"Description of the Certificates--Distributions of Interest" herein and
"Description of the Certificates--Indices Applicable to Floating Rate and
Inverse Floating Rate Classes" in the REMIC Prospectus.
The Certificates will be offered by Salomon Brothers Inc (the "Dealer") from
time to time in negotiated transactions, at varying prices to be determined at
the time of sale.
The Certificates will be offered by the Dealer, subject to issuance by Fannie
Mae and to prior sale or to withdrawal or modification of the offer without
notice, when, as and if delivered to and accepted by the Dealer, subject to the
right by the Dealer to reject any order in whole or in part and subject to
approval of certain legal matters by counsel. It is expected that the
Certificates, except for the R and RL Classes, will be available through the
book-entry system of the Federal Reserve Banks on or about July 30, 1993 (the
"Settlement Date"). It is expected that the R and RL Classes in registered,
certificated form will be available for delivery at the offices of the Dealer,
Seven World Trade Center, New York, New York 10048, on or about the Settlement
Date.
- ----------------------------------------------------
Salomon Brothers Inc
---------------------------------------------------------------------------
The date of this Prospectus Supplement is June 10, 1993.
<PAGE>
(Cover continued from previous page)
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH
SUCH CERTIFICATES.
The yield to investors in each Class will be sensitive in varying degrees
to the rate of principal payments of the Mortgage Loans, the characteristics of
the Mortgage Loans actually included in the Pool, the purchase price paid for
the related Class and, in the case of any Floating Rate and Inverse Floating
Rate Classes, the level of the applicable Index (as defined herein).
Accordingly, investors should consider the following risks:
- The Mortgage Loans generally may be prepaid at any time without
penalty, and, accordingly, the rate of principal payments thereon is
likely to vary considerably from time to time.
- Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the
Classes.
- In the case of any Certificates purchased at a discount to their
principal amounts, a slower than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Interest Only Class, a faster than anticipated rate
of principal payments is likely to result in a lower than anticipated
yield and, in certain cases, an actual loss on the investment.
- The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index, particularly if the
interest rate thereon fluctuates as a multiple of such Index.
See "Description of the Certificates--Yield Considerations" herein.
In addition, investors should purchase Certificates only after considering
the following:
- The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
- The rate of principal distributions of the Certificates is uncertain
and investors may be unable to reinvest the distributions thereon at
yields equaling the yields on the Certificates. See "Description of
the Certificates--Reinvestment Risk" in the REMIC Prospectus.
- Investors whose investment activities are subject to legal investment
laws and regulations or to review by regulatory authorities may be
subject to restrictions on investment in certain Classes of the
Certificates. Investors should consult their legal advisors to
determine whether and to what extent the Certificates constitute legal
investments or are subject to restrictions on investment. See "Legal
Investment Considerations" in the REMIC Prospectus.
The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary market will
develop or, if developed, that it will continue. Thus, investors may not be able
to sell their Certificates readily or at prices that will enable them to realize
their anticipated yield. No investor should purchase Certificates unless such
investor understands and is able to bear the risk that the value of the
Certificates will fluctuate over time and that the Certificates may not be
readily salable.
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, the REMIC
Prospectus or the MBS Prospectus. Any representation to the contrary is a
criminal offense.
This Prospectus Supplement does not contain complete information about the
Certificates. Investors should purchase Certificates only after reading this
Prospectus Supplement, the REMIC Prospectus, the MBS Prospectus dated May 1,
1993 and the Fannie Mae Information Statement dated February 16, 1993 and any
supplements thereto (the "Information Statement"). The MBS Prospectus and the
Information Statement are incorporated herein by reference and may be obtained
from Fannie Mae by writing or calling its MBS Helpline at 3900 Wisconsin Avenue,
N.W., Area 2H-2N, Washington, D.C. 20016 (telephone 1-800-BEST-MBS or
202-752-6547). Such documents may also be obtained from Salomon Brothers Inc by
writing or calling its Prospectus Department at Brooklyn Army Terminal, 140 58th
Street, Brooklyn, New York 11220 (telephone 212-783-1400).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Description of the Certificates....... S- 4
General............................. S- 4
Structure........................ S- 4
MBS Distributions................ S- 4
Fannie Mae Guaranty.............. S- 4
Characteristics of
Certificates................... S- 4
Notional Classes................. S- 5
Authorized Denominations......... S- 6
Distribution Dates............... S- 6
Calculation of Distributions..... S- 6
Record Date...................... S- 6
REMIC Trust Factors.............. S- 6
Optional Termination............. S- 6
The MBS............................. S- 6
Distributions of Interest........... S- 7
Categories of Classes............ S- 7
General.......................... S- 7
Interest Accrual Periods......... S- 7
Floating Rate and Inverse
Floating Rate Classes.......... S- 7
Calculation of LIBOR................ S- 8
COFI................................ S- 9
Distributions of Principal.......... S- 9
Categories of Classes............ S- 9
Principal Distribution Amount.... S- 9
Page
----
Structuring Assumptions............. S-11
Pricing Assumptions.............. S-11
PSA Assumptions.................. S-12
Principal Balance Schedules......... S-13
Characteristics of the R and
RL Classes....................... S-27
Yield Considerations................ S-27
General.......................... S-27
The Interest Only Classes........ S-28
The Inverse Floating Rate
Classes........................ S-29
Weighted Average Lives of the
Certificates..................... S-33
Decrement Tables.................... S-33
Certain Additional Federal Income Tax
Consequences........................ S-38
REMIC Elections and Special Tax
Attributes....................... S-38
Taxation of Beneficial Owners of
Regular Certificates............. S-38
Taxation of Beneficial Owners of
Residual Certificates............ S-39
Plan of Distribution.................. S-39
General.......................... S-39
Increase in Certificates......... S-40
Legal Matters......................... S-40
S-3
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the REMIC Prospectus, the MBS Prospectus and the
provisions of the Trust Agreement (defined below). Capitalized terms used and
not otherwise defined in this Prospectus Supplement have the respective meanings
assigned to such terms in the REMIC Prospectus (including the Glossary contained
therein), the MBS Prospectus or the Trust Agreement (as the context may
require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant to a
trust agreement dated as of July 1, 1993 (the "Trust Agreement"), executed by
the Federal National Mortgage Association ("Fannie Mae") in its corporate
capacity and in its capacity as Trustee, and the Certificates in the Classes and
aggregate original principal balances set forth on the cover hereof will be
issued by Fannie Mae pursuant thereto. A description of Fannie Mae and its
business, together with certain financial statements and other financial
information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests,
and the Certificates, other than the RL Class, will evidence the entire
beneficial ownership interest in the distributions of principal and interest on
the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of the MBS, and the Lower
Tier Regular Interests and the RL Class (collectively, the "Lower Tier
Interests") will in the aggregate evidence the entire beneficial ownership
interest in the distributions of principal and interest on the MBS.
MBS Distributions. The MBS will provide that principal and interest on the
underlying Mortgage Loans will be passed through monthly, commencing on the 25th
day of the month following the month of the initial issuance of the MBS (or, if
such 25th day is not a business day, on the first business day next succeeding
such 25th day).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. In addition, Fannie Mae will be obligated to distribute
on a timely basis to the Holders of Certificates required installments of
principal and interest and to distribute the principal balance of each Class of
Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the MBS Account. The guaranties
of Fannie Mae are not backed by the full faith and credit of the United States.
See "Description of the Certificates--Fannie Mae's Guaranty" in the REMIC
Prospectus and "Description of Certificates-- The Corporation's Guaranty" in the
MBS Prospectus.
Characteristics of Certificates. The Certificates, other than the R and RL
Certificates, will be issued and maintained and may be transferred by Holders
only on the book-entry system of the Federal Reserve Banks. Such entities whose
names appear on the book-entry records of a Federal Reserve Bank as the entities
for whose accounts such Certificates have been deposited are herein referred to
as "Holders" or "Certificateholders." A Holder is not necessarily the beneficial
owner of a book-entry Certificate. Beneficial owners will ordinarily hold
book-entry Certificates through one or more financial intermediaries, such as
banks, brokerage firms and securities clearing organizations. See "Description
of the Certificates--Denominations, Book-Entry Form" in the REMIC Prospectus.
S-4
<PAGE>
The R and RL Certificates will not be issued in book-entry form but will be
issued in fully registered, certificated form. As to the R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R
and RL Certificates will be transferable at the corporate trust office of the
Transfer Agent, or at the agency of the Transfer Agent in New York, New York.
The Transfer Agent initially will be State Street Bank and Trust Company in
Boston, Massachusetts ("State Street"). A service charge may be imposed for any
registration of transfer of the R or RL Certificate and Fannie Mae may require
payment of a sum sufficient to cover any tax or other governmental charge. See
also "Characteristics of the R and RL Classes" herein.
The distribution to the Holder of the R or RL Certificate of the proceeds
of any remaining assets of the Trust or the Lower Tier REMIC, as applicable,
will be made only upon presentation and surrender of the related Certificate at
the office of the Paying Agent. The Paying Agent initially will be State Street.
Notional Classes. The JA, JB, JC, JD, JE and SJ Classes will be Notional
Classes. A Notional Class will have no principal balance and will bear interest
at the per annum interest rate set forth on the cover or described herein during
each Interest Accrual Period on the related notional principal balance. The
notional principal balance of each Notional Class will be equal to the indicated
percentages of the outstanding principal balances of the following Classes
immediately prior to the related Distribution Date:
<TABLE>
<CAPTION>
Percentage of
Principal Balance
Class of Specified Class
-------- ---------------------------
<S> <C>
Aggregate of JA and JB*............................... 35.7142857143% of A Class
22.2527472528% of AB Class
25.4854368932% of B Class
19.3085106383% of C Class
16.2977867204% of D Class
10.5273514364% of E Class
7.1428571429% of G Class
5.0389700253% of H Class
5.0389700253% of HA Class
5.0389700253% of HB Class
JC.................................................... 3.5714285714% of M Class
5.7142857143% of MA Class
JD.................................................... 28.5714285714% of G Class
42.8571428571% of GA Class
SJ ................................................... 100% of FJ Class
</TABLE>
--------------------------
* Reductions of the aggregate principal balance of the A, AB, B, C, D, E,
G, H, HA and HB Classes will be applied sequentially to the notional
principal balance of the JA Class, until the notional principal balance
thereof is reduced to zero, and then to the notional principal balance of
the JB Class.
Through June 1994, the JE Class will have a notional principal balance
equal to 3.5714285714% of the outstanding principal balance of the FJ Class.
Thereafter, the JE Class will have no notional principal balance and will not be
entitled to any distributions of interest.
The notional principal balance of a Notional Class is used for purposes of
the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the MBS or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to any such
Class that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally shall
be deemed to refer also to the notional principal balance of any Notional Class.
S-5
<PAGE>
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. Each of the R and RL Classes will be issued
as a single certificate and will not have a principal balance.
Distribution Dates. Distributions on the Certificates will be made on the
25th day of each month (or, if such 25th day is not a business day, on the first
business day next succeeding such 25th day), commencing in the month following
the Settlement Date.
Calculation of Distributions. Interest on the interest-bearing Certificates
is calculated on the basis of a 360-day year consisting of twelve 30-day months
and is distributable monthly on each Distribution Date, commencing (except with
respect to the Accrual Classes, if any) in the month after the Settlement Date.
Interest to be distributed or, in the case of any Accrual Classes, added to
principal on each interest-bearing Certificate on a Distribution Date will
consist of one month's interest on the outstanding principal balance of such
Certificate immediately prior to such Distribution Date. Interest to be
distributed or, in the case of any Accrual Classes, added to principal on a
Distribution Date will accrue on the interest-bearing Certificates during the
one month periods set forth herein under "Distributions of Interest--Interest
Accrual Periods." Principal on the Certificates will be distributed on each
Distribution Date in an amount equal to the sum of the aggregate distributions
of principal concurrently made on the MBS and any interest accrued and added on
such Distribution Date to the principal balances of the Accrual Classes, if any.
See "Distributions of Principal" herein.
Record Date. Each monthly distribution on the Certificates will be made
to Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh calendar
day of each month, Fannie Mae will publish or otherwise make available for each
Class of Certificates the factor (carried to eight decimal places) which, when
multiplied by the original principal balance of a Certificate of such Class,
will equal the remaining principal balance of such Certificate after giving
effect to the distribution of principal to be made on the following Distribution
Date and any interest to be added as principal to the principal balances of any
Accrual Classes on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Trust or the
Lower Tier REMIC through the exercise of its right to repurchase the Mortgage
Loans underlying any MBS unless only one Mortgage Loan remains in the related
Pool or the principal balance of such Pool at the time of repurchase is less
than one percent of the original principal balance thereof.
The MBS
The MBS underlying the Certificates will have the aggregate unpaid
principal balance and Pass-Through Rate set forth below and the general
characteristics described in the MBS Prospectus. The Mortgage Loans will be
conventional Level Payment Mortgage Loans secured by a first mortgage or deed of
trust on a one- to four-family ("single-family") residential property and having
an original maturity of up to 30 years, as described under "The Mortgage Pools"
and "Yield Considerations" in the MBS Prospectus. The characteristics of the MBS
and Mortgage Loans as of July 1, 1993 (the "Issue Date") are expected to be as
follows:
Aggregate Unpaid Principal Balance............... $750,000,000
MBS Pass-Through Rate............................ 7.00%
Range of WACs (per annum percentages)............ 7.25% to 9.50%
Range of WAMs.................................... 180 months to 360
months
Approximate Weighted Average WAM................. 358 months
Approximate Weighted Average CAGE................ 2 months
Following the issuance of the Certificates, Fannie Mae will prepare a Final
Data Statement setting forth the Pool number, the current WAC (or original WAC,
if the current WAC is not available) and
S-6
<PAGE>
the current WAM (or Adjusted WAM, if the current WAM is not available) of the
Mortgage Loans underlying each MBS, along with the weighted average of all the
current or original WACs and the weighted average of all the current or Adjusted
WAMs, based on the current unpaid principal balances of the Mortgage Loans
underlying the MBS as of the Issue Date. The Final Data Statement will not
accompany this Prospectus Supplement but will be made available by Fannie Mae.
To request the Final Data Statement, telephone Fannie Mae at 1-800-BEST-MBS or
202-752-6547. The contents of the Final Data Statement and other data specific
to the Certificates are available in electronic form by calling Fannie Mae at
1-800-752-6440 or 202-752-6000.
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
<TABLE>
<CAPTION>
Interest Type* Classes
- -------------------- -------------------------------------------------------
<S> <C>
Fixed Rate All Classes except the Floating Rate, Inverse Floating
Rate, R and RL Classes
Floating Rate F, FA, FD, FG, FJ, FK, FM and FO
Inverse Floating S, SA, SB, SC, SD, SE, SG, SH, SJ, SK, SL, SM, SN, SO
Rate and SP
Interest Only JA, JB, JC, JD, JE and SJ
No Payment Residual R and RL
</TABLE>
--------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
respective per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to any Accrual Classes)
in the month after the Settlement Date. Interest to be distributed or, in the
case of any Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date.
Interest Accrual Periods. Interest to be distributed or added to principal
on a Distribution Date will accrue on the interest-bearing Certificates during
the one-month periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Period
----------------------------------------- ---------------------------------
<S> <C>
F,FD, FG, FJ, FK, FO, S, SC, SD, SE, SG, One month period beginning on the
25th SH, SJ, SK, SL, SO and SP day of the month preceding the month of
(collectively, the "No Delay Classes") the Distribution Date and ending on
the 24th day of the month of the Distribution
Date
All other interest-bearing Classes Calendar month preceding the month in
(collectively, the "Delay Classes") which the Distribution Date occurs
</TABLE>
See "Yield Considerations" herein.
Floating Rate and Inverse Floating Rate Classes. Each of the following
Classes will bear interest during its initial Interest Accrual Period at the
Initial Interest Rate set forth below, and will bear
S-7
<PAGE>
interest during each Interest Accrual Period thereafter, subject to the
applicable Maximum and Minimum Interest Rates, at the rate determined as
described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
- --------------------- -------- --------- ------- -----------------------------------
<S> <C>
FJ* ................. 4.2500% 9.50000% 0.45% LIBOR + 45 basis points
SJ* ................. 5.0000% 9.05000% 0.00% 9.05% - LIBOR
FG .................. 3.9500% 10.00000% 0.70% LIBOR + 70 basis points
SG .................. 15.0615% 24.38525% 0.00% 24.38525% - (2.86885246 X LIBOR)
SH .................. 10.0000% 10.00000% 0.00% 116.25% - (12.5 X LIBOR)
FD .................. 4.4500% 10.00000% 1.20% LIBOR + 120 basis points
SD .................. 11.5000% 11.50000% 0.00% 56.22222% - (6.38888888 X LIBOR)
SE .................. 13.7843% 25.73059% 0.00% 25.73059% - (3.67579909 X LIBOR)
FK .................. 3.8875% 10.00000% 0.70% LIBOR + 70 basis points
SK .................. 15.5047% 25.77406% 0.00% 25.77406% - (3.22175732 X LIBOR)
SL .................. 11.0000% 11.00000% 0.00% 78.6923% - (8.46153846 X LIBOR)
F ................. 3.9500% 10.00000% 0.70% LIBOR + 70 basis points
S ................. 10.5000% 10.50000% 0.00% 75.11538% - (8.07692308 X LIBOR)
SC .................. 15.5859% 26.25000% 0.00% 26.25% - (3.28125 X LIBOR)
FA .................. 5.4200% 10.00000% 1.25% COFI + 125 basis points
SA .................. 10.0000% 10.00000% 0.00% 70.0% - (8.0 X COFI)
SB .................. 10.9694% 24.70588% 0.00% 24.70588% - (3.29411765 X COFI)
FO .................. 3.9875% 10.00000% 0.80% LIBOR + 80 basis points
SO .................. 11.5000% 11.50000% 0.00% 62.23529% - (6.76470588 X LIBOR)
SP .................. 15.3609% 26.71460% 0.00% 26.7146% - (3.56194690 X LIBOR)
FM .................. 5.2200% 10.50000% 1.05% COFI + 105 basis points
SM .................. 10.0000% 10.00000% 0.00% 48.46158% - (5.12820513 X COFI)
SN .................. 10.9180% 24.59016% 0.00% 24.59016% - (3.27868852 X COFI)
</TABLE>
- ---------------
* The FJ and SJ Classes will each bear interest during their initial twelve
Interest Accrual Periods ending July 24, 1994 at the Initial Interest Rates
set forth in the table.
The yields with respect to such Classes will be affected by changes in the
applicable index as set forth in the table above (each, an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with an
increase in the level of an Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of an Index.
Each Index value (except COFI) will be established as described herein by
Fannie Mae two business days prior to the commencement of the related Interest
Accrual Period. See "--COFI" below for a description of how COFI is established.
The establishment of each Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for the applicable Classes for the related
Interest Accrual Period shall (in the absence of manifest error) be final and
binding. Each such rate of interest may be obtained by telephoning Fannie Mae at
1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each LIBOR Determination Date, until the principal balances of the FJ,
SJ, FG, SG, SH, FD, SD, SE, FK, SK, SL, F, S, SC, FO, SO and SP Classes (the
"LIBOR Classes") have been reduced to zero, Fannie Mae will establish LIBOR for
the related Interest Accrual Period in the manner described in the REMIC
Prospectus under "Description of the Certificates--Indices Applicable to
Floating Rate and Inverse Floating Rate Classes--LIBOR."
If on the initial LIBOR Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be 3.25%.
S-8
<PAGE>
COFI
Except as otherwise specified below, the amount of interest which will
accrue in respect of the FA, SA, SB, FM, SM and SN Classes (the "COFI Classes")
during each Interest Accrual Period following their Initial Interest Accrual
Period will be determined on the basis of the Eleventh District Cost of Funds
Index for the second month next preceding the month in which such Interest
Accrual Period commences if such Eleventh District Cost of Funds Index for such
second preceding month is published on or before the tenth day of the month in
which such Interest Accrual Period commences. For example, if the Eleventh
District Cost of Funds Index for June is announced on or before August 10,
interest accrued on the COFI Classes for the Interest Accrual Period commencing
in August and distributable in September will be based on the Eleventh District
Cost of Funds Index relating to June. If the Eleventh District Cost of Funds
Index for the applicable month is not published on or before the tenth day of
the second following month, interest will accrue on the COFI Classes at a rate
determined as provided in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--COFI." Under certain circumstances, an alternative index may be
applicable to the COFI Classes. A change of index from the Eleventh District
Cost of Funds Index to an alternative index will result in a change in the index
level, and, particularly if LIBOR is the alternative index, could increase its
volatility.
For information regarding historical values of the Eleventh District Cost
of Funds Index as reported by the Federal Home Loan Bank of San Francisco
("FHLBSF"), see "Description of the Certificates--Indices Applicable to Floating
Rate and Inverse Floating Rate Classes--COFI " in the REMIC Prospectus.
The values of the Eleventh District Cost of Funds Index as reported by the
FHLBSF for the following months were as follows:
Months COFI
----------------------------------------------------- -----
December 1992........................................ 4.432%
January 1993......................................... 4.360%
February 1993........................................ 4.333%
March 1993........................................... 4.245%
April 1993........................................... 4.171%
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
Principal Type* Classes
- -------------------- -------------------------------------------------
PAC I A, AB, B, C, D, E, G, GA, H, HA, HB, K, L and FJ
PAC II M, MA and N
Scheduled FD, FG, FK, P, SD, SE, SG, SH, SK and SL
Notional JA, JB, JC, JD, JE and SJ
Support F, FA, FM, FO, S, SA, SB, SC, SM, SN, SO and SP
No Payment Residual R and RL
-----------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
Principal Distribution Amount
Principal will be distributed monthly on the Certificates in an amount (the
"Principal Distribution Amount") equal to the aggregate distributions of
principal concurrently made on the MBS.
S-9
<PAGE>
On each Distribution Date, the Principal Distribution Amount will be
distributed as principal of the Classes in the following order of priority:
(i) to the PAC I Classes, in the order and proportions set forth in
the following table, until the principal balances thereof are reduced to
their respective Planned Balances for such Distribution Date:
<TABLE>
<CAPTION>
Allocated to
---------------------------------------------------------------------------------------
Class listed in the
preceding column AB Class FJ Class GA Class H Class
------------------- -------------- -------------- -------------- --------------
<S> <C>
A ............... 27.3522975930% 56.8927789934% 15.7549234136% 0% 0%
B ............... 84.2880523732% 0% 15.7119476268% 0% 0%
C ............... 86.2543585979% 0% 13.7456414021% 0% 0%
D ............... 87.4384236453% 0% 12.5615763547% 0% 0% PAC I
E ............... 90.4785643071% 0% 9.5214356929% 0% 0% Classes
G ............... 66.6936135813% 0% 5.5510644031% 27.7553220156% 0%
HA............... 53.7154265310% 0% 5.5631647427% 0% 40.7214087263%
HB............... 53.7154265310% 0% 5.5631647427% 0% 40.7214087263%
K ............... 100% 0% 0% 0% 0%
L ............... 100% 0% 0% 0% 0%
</TABLE>
(ii) to the PAC II Classes in the following order of
priority:
(a) concurrently, to the M and MA Classes in the
proportions of 45.8190148912% and 54.1809851088%,
respectively, until the principal balance of the M Class is
reduced to its Planned Balance for such Distribution Date;
and
(b) sequentially, to the MA and N Classes, until the principal
balances thereof are reduced to their respective Planned Balances for
such Distribution Date;
(iii) 66.6666666667% of the excess of the Principal Distribution
Amount over the amount applied pursuant to paragraphs (i) and (ii) above,
in the following order and priority:
(a) to the P Class, until the principal balance thereof
is reduced to its Scheduled Balance for such Distribution
Date;
(b) concurrently, to the FG, SG and SH Classes, in the
proportions of 70.0%, 24.4% and 5.6%, respectively, until the
principal balances thereof are reduced to their respective
Scheduled Balances for such Distribution Date;
(c) concurrently, to the FD, SD and SE Classes, in the proportions
of 70.0%, 10.9565233645% and 19.0434766355%, respectively, until the
principal balances thereof are reduced to their respective Scheduled
Balances for such Distribution Date;
(d) concurrently, to the F, S and SC Classes, in the proportions of
70.0%, 8.6666666667% and 21.3333333333%, respectively, until the
principal balances thereof are
reduced to zero;
(e) concurrently, to the FA, SA and SB Classes, in the proportions
of 70.0%, 8.75% and 21.25%, respectively, until the principal balances
thereof are reduced to zero;
S-10
<PAGE>
(f) to the P Class, without regard to its Scheduled
Balance and until the principal balance thereof is reduced to
zero;
(g) concurrently, to the FG, SG and SH Classes, in the
proportions set forth in paragraph (iii) clause (b) above,
without regard to the Scheduled Balances and until the
principal balances thereof are reduced to zero; and
(h) concurrently, to the FD, SD, and SE Classes, in the proportions
set forth in paragraph (iii) clause (c) above, without regard to the
Scheduled Balances and until the principal balances thereof are reduced
to zero;
(iv) 33.3333333333% of the excess of the Principal Distribution Amount
over the amount applied pursuant to paragraphs (i) and (ii) above, in the
following order and priority:
(a) concurrently, to the FK, SK and SL Classes, in the
proportions of 70.0%, 21.7272715008% and 8.2727284992%,
respectively, until the principal balances thereof are
reduced to their respective Scheduled Balances for such
Distribution Date;
(b) concurrently, to the FO, SO and SP Classes, in the proportions
of 70.0%, 10.3478285714% and 19.6521714286%, respectively, until the
principal balances thereof are
reduced to zero;
(c) concurrently, to the FM, SM and SN Classes, in the proportions
of 66.6666666667%, 13.0% and 20.3333333333%, respectively, until the
principal balances thereof are reduced to zero; and
(d) concurrently, to the FK, SK and SL Classes, in the
proportions set forth in paragraph (iv) clause (a) above,
without regard to the Scheduled Balances and until the
principal balances thereof are reduced to zero;
(v) the excess of the Principal Distribution Amount over the amount
applied pursuant to paragraphs (i) through (iv) above, to the PAC II
Classes in the following order of priority:
(a) concurrently, to the M and MA Classes, in the proportions set
forth in paragraph (ii) clause (a) above, without regard to the Planned
Balances and until the
principal balance of the M Class is reduced to zero; and
(b) sequentially, to the MA and N Classes, without regard to the
Planned Balances and until the principal balances thereof are reduced to
zero;
(vi) the excess of the Principal Distribution Amount over
the amount applied pursuant to paragraphs (i) through (v) above, PAC I to
the PAC I Classes, in the order and proportions set forth in Classes
paragraph (i) above, without regard to the Planned Balances and until the
respective principal balances thereof are reduced to zero.
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
following assumptions (the "Pricing Assumptions"):
- each Mortgage Loan bears interest at a rate of 7.60% per annum and has
an original term to maturity of 360 months, a CAGE of 2 months and a
remaining term to maturity of 358 months;
S-11
<PAGE>
- the Mortgage Loans prepay at the constant percentages of PSA
specified in the related table;
- the closing date for the sale of the Certificates is the Settlement
Date; and
- the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
PSA Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA (for example, 200% PSA) is to assume
a specified rate of prepayment each month of the then outstanding principal
balance of a pool of new mortgage loans computed as described under "Description
of the Certificates--Prepayment Considerations and Risks" in the REMIC
Prospectus. There is no assurance that prepayments will occur at any PSA rate or
at any other constant rate.
The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the Mortgage Loans prepay at the
approximate constant levels set forth in the following table.
Principal Balance
Schedule References Related Classes PSA Levels
- ------------------- --------------- ----------------------
Planned Balances PAC I Between 95% and 250%
Planned Balances PAC II Between 120% and 230%
Scheduled Balances Scheduled Between 175% and 200%
There is no assurance that the principal balances of the Classes listed
above will conform on any Distribution Date to the applicable balances specified
for such Distribution Date in the Principal Balance Schedules below, or that
distributions of principal on the related Classes will begin or end on the
respective Distribution Dates specified therein. Because any excess of the
principal available for distribution on any Distribution Date over the amount
necessary to reduce the principal balances of the applicable Classes to their
respective scheduled balances will be distributed, the ability to so reduce the
principal balances of such Classes will not be enhanced by the averaging of high
and low principal payments. In addition, even if prepayments remain within the
ranges specified above, the principal available for distribution may be
insufficient to reduce the applicable Classes to such respective balances, if
prepayments do not occur at a constant PSA rate. Moreover, because of the
diverse remaining terms to maturity of the Mortgage Loans (which may include
recently originated Mortgage Loans), the Classes specified above may not be
reduced to their respective scheduled amounts, even if prepayments occur at a
constant level within the ranges specified above.
S-12
<PAGE>
<TABLE>
<CAPTION>
Principal Balance Schedules
A Class AB Class B Class C Class D Class E Class
Distribution Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 15,000,000.00 $ 31,200,000.00 $ 30,900,000.00 $ 47,000,000.00 $ 28,400,000.00 $ 72,600,000.00
August 1993......... 14,751,033.65 30,682,150.00 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
September 1993...... 14,468,684.12 30,094,862.98 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
October 1993........ 14,153,019.54 29,438,280.65 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
November 1993....... 13,804,124.40 28,712,578.76 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
December 1993....... 13,422,099.56 27,917,967.09 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
January 1994........ 13,007,062.21 27,054,689.39 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
February 1994....... 12,559,145.82 26,123,023.30 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
March 1994.......... 12,078,500.11 25,123,280.23 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
April 1994.......... 11,565,290.99 24,055,805.26 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
May 1994............ 11,019,700.45 22,920,976.93 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
June 1994........... 10,441,926.47 21,719,207.07 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
July 1994........... 9,832,182.98 20,450,940.59 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
August 1994......... 9,190,699.64 19,116,655.24 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
September 1994...... 8,517,721.78 17,716,861.30 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
October 1994........ 7,813,510.25 16,252,101.32 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
November 1994....... 7,078,341.22 14,722,949.74 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
December 1994....... 6,312,506.06 13,130,012.61 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
January 1995........ 5,516,311.13 11,473,927.14 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
February 1995....... 4,690,077.56 9,755,361.33 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
March 1995.......... 3,834,141.11 7,975,013.52 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
April 1995.......... 2,948,851.89 6,133,611.93 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
May 1995............ 2,034,574.15 4,231,914.22 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
June 1995........... 1,091,686.02 2,270,706.92 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
July 1995........... 120,579.29 250,804.92 30,900,000.00 47,000,000.00 28,400,000.00 72,600,000.00
August 1995......... 0.00 0.00 28,193,329.98 47,000,000.00 28,400,000.00 72,600,000.00
September 1995...... 0.00 0.00 25,030,665.97 47,000,000.00 28,400,000.00 72,600,000.00
October 1995........ 0.00 0.00 21,784,909.90 47,000,000.00 28,400,000.00 72,600,000.00
November 1995....... 0.00 0.00 18,457,428.58 47,000,000.00 28,400,000.00 72,600,000.00
December 1995....... 0.00 0.00 15,145,450.70 47,000,000.00 28,400,000.00 72,600,000.00
January 1996........ 0.00 0.00 11,848,899.57 47,000,000.00 28,400,000.00 72,600,000.00
February 1996....... 0.00 0.00 8,567,698.89 47,000,000.00 28,400,000.00 72,600,000.00
March 1996.......... 0.00 0.00 5,301,772.73 47,000,000.00 28,400,000.00 72,600,000.00
April 1996.......... 0.00 0.00 2,051,045.51 47,000,000.00 28,400,000.00 72,600,000.00
May 1996............ 0.00 0.00 0.00 45,787,808.17 28,400,000.00 72,600,000.00
June 1996........... 0.00 0.00 0.00 42,492,123.19 28,400,000.00 72,600,000.00
July 1996........... 0.00 0.00 0.00 39,211,761.99 28,400,000.00 72,600,000.00
August 1996......... 0.00 0.00 0.00 35,946,648.71 28,400,000.00 72,600,000.00
September 1996...... 0.00 0.00 0.00 32,696,707.91 28,400,000.00 72,600,000.00
October 1996........ 0.00 0.00 0.00 29,461,864.47 28,400,000.00 72,600,000.00
November 1996....... 0.00 0.00 0.00 26,242,043.66 28,400,000.00 72,600,000.00
December 1996....... 0.00 0.00 0.00 23,037,171.11 28,400,000.00 72,600,000.00
January 1997........ 0.00 0.00 0.00 19,847,172.80 28,400,000.00 72,600,000.00
February 1997....... 0.00 0.00 0.00 16,671,975.08 28,400,000.00 72,600,000.00
March 1997.......... 0.00 0.00 0.00 13,511,504.65 28,400,000.00 72,600,000.00
April 1997.......... 0.00 0.00 0.00 10,365,688.58 28,400,000.00 72,600,000.00
May 1997............ 0.00 0.00 0.00 7,234,454.28 28,400,000.00 72,600,000.00
June 1997........... 0.00 0.00 0.00 4,117,729.52 28,400,000.00 72,600,000.00
July 1997........... 0.00 0.00 0.00 1,015,442.43 28,400,000.00 72,600,000.00
August 1997......... 0.00 0.00 0.00 0.00 26,299,071.31 72,600,000.00
<CAPTION>
G Class GA Class H Class
Distribution Planned Planned Planned
Date Balance Balance Balance
- -------------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 49,500,000.00 $ 20,600,000.00 $ 41,625,424.00
August 1993......... 49,500,000.00 20,600,000.00 41,625,424.00
September 1993...... 49,500,000.00 20,600,000.00 41,625,424.00
October 1993........ 49,500,000.00 20,600,000.00 41,625,424.00
November 1993....... 49,500,000.00 20,600,000.00 41,625,424.00
December 1993....... 49,500,000.00 20,600,000.00 41,625,424.00
January 1994........ 49,500,000.00 20,600,000.00 41,625,424.00
February 1994....... 49,500,000.00 20,600,000.00 41,625,424.00
March 1994.......... 49,500,000.00 20,600,000.00 41,625,424.00
April 1994.......... 49,500,000.00 20,600,000.00 41,625,424.00
May 1994............ 49,500,000.00 20,600,000.00 41,625,424.00
June 1994........... 49,500,000.00 20,600,000.00 41,625,424.00
July 1994........... 49,500,000.00 20,600,000.00 41,625,424.00
August 1994......... 49,500,000.00 20,600,000.00 41,625,424.00
September 1994...... 49,500,000.00 20,600,000.00 41,625,424.00
October 1994........ 49,500,000.00 20,600,000.00 41,625,424.00
November 1994....... 49,500,000.00 20,600,000.00 41,625,424.00
December 1994....... 49,500,000.00 20,600,000.00 41,625,424.00
January 1995........ 49,500,000.00 20,600,000.00 41,625,424.00
February 1995....... 49,500,000.00 20,600,000.00 41,625,424.00
March 1995.......... 49,500,000.00 20,600,000.00 41,625,424.00
April 1995.......... 49,500,000.00 20,600,000.00 41,625,424.00
May 1995............ 49,500,000.00 20,600,000.00 41,625,424.00
June 1995........... 49,500,000.00 20,600,000.00 41,625,424.00
July 1995........... 49,500,000.00 20,600,000.00 41,625,424.00
August 1995......... 49,500,000.00 20,600,000.00 41,625,424.00
September 1995...... 49,500,000.00 20,600,000.00 41,625,424.00
October 1995........ 49,500,000.00 20,600,000.00 41,625,424.00
November 1995....... 49,500,000.00 20,600,000.00 41,625,424.00
December 1995....... 49,500,000.00 20,600,000.00 41,625,424.00
January 1996........ 49,500,000.00 20,600,000.00 41,625,424.00
February 1996....... 49,500,000.00 20,600,000.00 41,625,424.00
March 1996.......... 49,500,000.00 20,600,000.00 41,625,424.00
April 1996.......... 49,500,000.00 20,600,000.00 41,625,424.00
May 1996............ 49,500,000.00 20,600,000.00 41,625,424.00
June 1996........... 49,500,000.00 20,600,000.00 41,625,424.00
July 1996........... 49,500,000.00 20,600,000.00 41,625,424.00
August 1996......... 49,500,000.00 20,600,000.00 41,625,424.00
September 1996...... 49,500,000.00 20,600,000.00 41,625,424.00
October 1996........ 49,500,000.00 20,600,000.00 41,625,424.00
November 1996....... 49,500,000.00 20,600,000.00 41,625,424.00
December 1996....... 49,500,000.00 20,600,000.00 41,625,424.00
January 1997........ 49,500,000.00 20,600,000.00 41,625,424.00
February 1997....... 49,500,000.00 20,600,000.00 41,625,424.00
March 1997.......... 49,500,000.00 20,600,000.00 41,625,424.00
April 1997.......... 49,500,000.00 20,600,000.00 41,625,424.00
May 1997............ 49,500,000.00 20,600,000.00 41,625,424.00
June 1997........... 49,500,000.00 20,600,000.00 41,625,424.00
July 1997........... 49,500,000.00 20,600,000.00 41,625,424.00
August 1997......... 49,500,000.00 20,600,000.00 41,625,424.00
S-13
<PAGE>
<CAPTION>
A Class AB Class B Class C Class D Class E Class G Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
September 1997...... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 23,183,251.78 $ 72,600,000.00 $ 49,500,000.00
October 1997........ 0.00 0.00 0.00 0.00 20,081,851.61 72,600,000.00 49,500,000.00
November 1997....... 0.00 0.00 0.00 0.00 16,994,799.34 72,600,000.00 49,500,000.00
December 1997....... 0.00 0.00 0.00 0.00 13,922,023.85 72,600,000.00 49,500,000.00
January 1998........ 0.00 0.00 0.00 0.00 10,863,454.38 72,600,000.00 49,500,000.00
February 1998....... 0.00 0.00 0.00 0.00 7,819,020.50 72,600,000.00 49,500,000.00
March 1998.......... 0.00 0.00 0.00 0.00 4,788,652.12 72,600,000.00 49,500,000.00
April 1998.......... 0.00 0.00 0.00 0.00 1,772,279.51 72,600,000.00 49,500,000.00
May 1998............ 0.00 0.00 0.00 0.00 0.00 71,327,061.66 49,500,000.00
June 1998........... 0.00 0.00 0.00 0.00 0.00 68,234,562.62 49,500,000.00
July 1998........... 0.00 0.00 0.00 0.00 0.00 65,156,331.56 49,500,000.00
August 1998......... 0.00 0.00 0.00 0.00 0.00 62,092,297.68 49,500,000.00
September 1998...... 0.00 0.00 0.00 0.00 0.00 59,042,390.57 49,500,000.00
October 1998........ 0.00 0.00 0.00 0.00 0.00 56,006,540.10 49,500,000.00
November 1998....... 0.00 0.00 0.00 0.00 0.00 52,984,676.55 49,500,000.00
December 1998....... 0.00 0.00 0.00 0.00 0.00 49,976,730.50 49,500,000.00
January 1999........ 0.00 0.00 0.00 0.00 0.00 46,982,632.87 49,500,000.00
February 1999....... 0.00 0.00 0.00 0.00 0.00 44,002,314.91 49,500,000.00
March 1999.......... 0.00 0.00 0.00 0.00 0.00 41,035,708.23 49,500,000.00
April 1999.......... 0.00 0.00 0.00 0.00 0.00 38,082,744.74 49,500,000.00
May 1999............ 0.00 0.00 0.00 0.00 0.00 35,143,356.71 49,500,000.00
June 1999........... 0.00 0.00 0.00 0.00 0.00 32,217,476.72 49,500,000.00
July 1999........... 0.00 0.00 0.00 0.00 0.00 29,305,037.66 49,500,000.00
August 1999......... 0.00 0.00 0.00 0.00 0.00 26,405,972.81 49,500,000.00
September 1999...... 0.00 0.00 0.00 0.00 0.00 23,520,215.69 49,500,000.00
October 1999........ 0.00 0.00 0.00 0.00 0.00 20,647,700.20 49,500,000.00
November 1999....... 0.00 0.00 0.00 0.00 0.00 17,788,360.55 49,500,000.00
December 1999....... 0.00 0.00 0.00 0.00 0.00 14,942,131.26 49,500,000.00
January 2000........ 0.00 0.00 0.00 0.00 0.00 12,108,947.17 49,500,000.00
February 2000....... 0.00 0.00 0.00 0.00 0.00 9,288,743.43 49,500,000.00
March 2000.......... 0.00 0.00 0.00 0.00 0.00 6,481,455.52 49,500,000.00
April 2000.......... 0.00 0.00 0.00 0.00 0.00 3,687,019.23 49,500,000.00
May 2000............ 0.00 0.00 0.00 0.00 0.00 905,370.65 49,500,000.00
June 2000........... 0.00 0.00 0.00 0.00 0.00 0.00 48,126,336.10
July 2000........... 0.00 0.00 0.00 0.00 0.00 0.00 46,094,637.40
August 2000......... 0.00 0.00 0.00 0.00 0.00 0.00 44,072,224.84
September 2000...... 0.00 0.00 0.00 0.00 0.00 0.00 42,059,052.23
October 2000........ 0.00 0.00 0.00 0.00 0.00 0.00 40,055,073.58
November 2000....... 0.00 0.00 0.00 0.00 0.00 0.00 38,060,243.16
December 2000....... 0.00 0.00 0.00 0.00 0.00 0.00 36,074,515.42
January 2001........ 0.00 0.00 0.00 0.00 0.00 0.00 34,097,845.08
February 2001....... 0.00 0.00 0.00 0.00 0.00 0.00 32,130,187.03
March 2001.......... 0.00 0.00 0.00 0.00 0.00 0.00 30,171,496.42
April 2001.......... 0.00 0.00 0.00 0.00 0.00 0.00 28,221,728.59
May 2001............ 0.00 0.00 0.00 0.00 0.00 0.00 26,280,839.10
June 2001........... 0.00 0.00 0.00 0.00 0.00 0.00 24,348,783.75
July 2001........... 0.00 0.00 0.00 0.00 0.00 0.00 22,425,518.51
August 2001......... 0.00 0.00 0.00 0.00 0.00 0.00 20,510,999.61
September 2001...... 0.00 0.00 0.00 0.00 0.00 0.00 18,605,183.46
October 2001........ 0.00 0.00 0.00 0.00 0.00 0.00 16,708,026.70
<CAPTION>
GA Class H Class
Distribution Planned Planned
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
September 1997...... $ 20,600,000.00 $ 41,625,424.00
October 1997........ 20,600,000.00 41,625,424.00
November 1997....... 20,600,000.00 41,625,424.00
December 1997....... 20,600,000.00 41,625,424.00
January 1998........ 20,600,000.00 41,625,424.00
February 1998....... 20,600,000.00 41,625,424.00
March 1998.......... 20,600,000.00 41,625,424.00
April 1998.......... 20,600,000.00 41,625,424.00
May 1998............ 20,600,000.00 41,625,424.00
June 1998........... 20,600,000.00 41,625,424.00
July 1998........... 20,600,000.00 41,625,424.00
August 1998......... 20,600,000.00 41,625,424.00
September 1998...... 20,600,000.00 41,625,424.00
October 1998........ 20,600,000.00 41,625,424.00
November 1998....... 20,600,000.00 41,625,424.00
December 1998....... 20,600,000.00 41,625,424.00
January 1999........ 20,600,000.00 41,625,424.00
February 1999....... 20,600,000.00 41,625,424.00
March 1999.......... 20,600,000.00 41,625,424.00
April 1999.......... 20,600,000.00 41,625,424.00
May 1999............ 20,600,000.00 41,625,424.00
June 1999........... 20,600,000.00 41,625,424.00
July 1999........... 20,600,000.00 41,625,424.00
August 1999......... 20,600,000.00 41,625,424.00
September 1999...... 20,600,000.00 41,625,424.00
October 1999........ 20,600,000.00 41,625,424.00
November 1999....... 20,600,000.00 41,625,424.00
December 1999....... 20,600,000.00 41,625,424.00
January 2000........ 20,600,000.00 41,625,424.00
February 2000....... 20,600,000.00 41,625,424.00
March 2000.......... 20,600,000.00 41,625,424.00
April 2000.......... 20,600,000.00 41,625,424.00
May 2000............ 20,600,000.00 41,625,424.00
June 2000........... 20,028,333.81 41,625,424.00
July 2000........... 19,182,818.80 41,625,424.00
August 2000......... 18,341,168.32 41,625,424.00
September 2000...... 17,503,363.15 41,625,424.00
October 2000........ 16,669,384.16 41,625,424.00
November 2000....... 15,839,212.30 41,625,424.00
December 2000....... 15,012,828.64 41,625,424.00
January 2001........ 14,190,214.32 41,625,424.00
February 2001....... 13,371,350.56 41,625,424.00
March 2001.......... 12,556,218.71 41,625,424.00
April 2001.......... 11,744,800.18 41,625,424.00
May 2001............ 10,937,076.47 41,625,424.00
June 2001........... 10,133,029.20 41,625,424.00
July 2001........... 9,332,640.03 41,625,424.00
August 2001......... 8,535,890.75 41,625,424.00
September 2001...... 7,742,763.22 41,625,424.00
October 2001........ 6,953,239.39 41,625,424.00
S-14
<PAGE>
<CAPTION>
A Class AB Class B Class C Class D Class E Class G Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
November 2001....... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 14,819,486.17
December 2001....... 0.00 0.00 0.00 0.00 0.00 0.00 12,939,518.93
January 2002........ 0.00 0.00 0.00 0.00 0.00 0.00 11,068,082.23
February 2002....... 0.00 0.00 0.00 0.00 0.00 0.00 9,205,133.55
March 2002.......... 0.00 0.00 0.00 0.00 0.00 0.00 7,350,630.55
April 2002.......... 0.00 0.00 0.00 0.00 0.00 0.00 5,504,531.11
May 2002............ 0.00 0.00 0.00 0.00 0.00 0.00 3,666,793.31
June 2002........... 0.00 0.00 0.00 0.00 0.00 0.00 1,837,375.47
July 2002........... 0.00 0.00 0.00 0.00 0.00 0.00 16,236.04
August 2002......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2002...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2002........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2002....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2002....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
January 2003........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
February 2003....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
March 2003.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2003.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
May 2003............ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
June 2003........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2003........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
August 2003......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2003...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2003........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2003....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2003....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
January 2004........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
February 2004....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
March 2004.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2004.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
May 2004............ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
June 2004........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2004........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
August 2004......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2004...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2004........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2004....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2004....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
January 2005........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
February 2005....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
March 2005.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2005.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
May 2005............ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
June 2005........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2005........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
August 2005......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2005...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2005........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2005....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2005....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
<CAPTION>
GA Class H Class
Distribution Planned Planned
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
November 2001....... $ 6,167,301.32 $ 41,625,424.00
December 2001....... 5,384,931.11 41,625,424.00
January 2002........ 4,606,110.99 41,625,424.00
February 2002....... 3,830,823.25 41,625,424.00
March 2002.......... 3,059,050.29 41,625,424.00
April 2002.......... 2,290,774.56 41,625,424.00
May 2002............ 1,525,978.63 41,625,424.00
June 2002........... 764,645.14 41,625,424.00
July 2002........... 6,756.82 41,625,424.00
August 2002......... 0.00 40,528,425.69
September 2002...... 0.00 39,426,518.33
October 2002........ 0.00 38,331,433.15
November 2002....... 0.00 37,251,941.04
December 2002....... 0.00 36,187,826.03
January 2003........ 0.00 35,138,875.10
February 2003....... 0.00 34,104,878.16
March 2003.......... 0.00 33,085,627.95
April 2003.......... 0.00 32,080,920.09
May 2003............ 0.00 31,090,552.94
June 2003........... 0.00 30,114,327.67
July 2003........... 0.00 29,152,048.12
August 2003......... 0.00 28,203,520.84
September 2003...... 0.00 27,268,555.01
October 2003........ 0.00 26,346,962.44
November 2003....... 0.00 25,438,557.49
December 2003....... 0.00 24,543,157.06
January 2004........ 0.00 23,660,580.57
February 2004....... 0.00 22,790,649.91
March 2004.......... 0.00 21,933,189.37
April 2004.......... 0.00 21,088,025.69
May 2004............ 0.00 20,254,987.97
June 2004........... 0.00 19,433,907.62
July 2004........... 0.00 18,624,618.38
August 2004......... 0.00 17,826,956.27
September 2004...... 0.00 17,040,759.55
October 2004........ 0.00 16,265,868.68
November 2004....... 0.00 15,502,126.33
December 2004....... 0.00 14,749,377.30
January 2005........ 0.00 14,007,468.53
February 2005....... 0.00 13,276,249.04
March 2005.......... 0.00 12,555,569.95
April 2005.......... 0.00 11,845,284.38
May 2005............ 0.00 11,145,247.48
June 2005........... 0.00 10,455,316.41
July 2005........... 0.00 9,775,350.25
August 2005......... 0.00 9,105,210.02
September 2005...... 0.00 8,444,758.66
October 2005........ 0.00 7,793,860.96
November 2005....... 0.00 7,152,383.61
December 2005....... 0.00 6,520,195.09
S-15
<PAGE>
<CAPTION>
A Class AB Class B Class C Class D Class E Class G Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
January 2006........ $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00
February 2006....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
March 2006.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
April 2006.......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
May 2006............ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
June 2006........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
July 2006........... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
August 2006......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
September 2006...... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
October 2006........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
November 2006....... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
December 2006 and
thereafter......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
<CAPTION>
GA Class H Class
Distribution Planned Planned
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
January 2006........ $ 0.00 $ 5,897,165.69
February 2006....... 0.00 5,283,167.48
March 2006.......... 0.00 4,678,074.30
April 2006.......... 0.00 4,081,761.70
May 2006............ 0.00 3,494,106.96
June 2006........... 0.00 2,914,989.02
July 2006........... 0.00 2,344,288.50
August 2006......... 0.00 1,781,887.64
September 2006...... 0.00 1,227,670.32
October 2006........ 0.00 681,522.00
November 2006....... 0.00 143,329.72
December 2006 and
thereafter......... 0.00 0.00
S-16
<PAGE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 35,000,000.00 $ 19,907,909.00 $ 40,500,000.00 $ 40,650,000.00 $ 43,416,667.00 $ 20,000,000.00 $25,750,000.00
August 1993......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 43,273,262.38 19,956,820.99 25,698,940.82
September 1993...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 43,110,629.06 19,899,271.59 25,630,888.66
October 1993........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 42,928,806.26 19,827,384.33 25,545,881.97
November 1993....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 42,727,842.66 19,741,207.63 25,443,978.02
December 1993....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 42,507,796.35 19,640,805.83 25,325,252.90
January 1994........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 42,268,734.83 19,526,259.21 25,189,801.51
February 1994....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 42,010,734.99 19,397,663.88 25,037,737.53
March 1994.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 41,733,883.06 19,255,131.77 24,869,193.32
April 1994.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 41,438,274.61 19,098,790.58 24,684,319.86
May 1994............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 41,124,014.46 18,928,783.60 24,483,286.61
June 1994........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 40,791,216.65 18,745,269.67 24,266,281.38
July 1994........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 40,440,004.39 18,548,422.98 24,033,510.17
August 1994......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 40,070,509.99 18,338,432.91 23,785,196.91
September 1994...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 39,682,874.75 18,115,503.86 23,521,583.32
October 1994........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 39,277,248.90 17,879,855.04 23,242,928.58
November 1994....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 38,853,791.54 17,631,720.21 22,949,509.14
December 1994....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 38,412,670.49 17,371,347.44 22,641,618.35
January 1995........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 37,954,062.21 17,098,998.87 22,319,566.17
February 1995....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 37,478,151.68 16,814,950.36 21,983,678.81
March 1995.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 36,985,132.28 16,519,491.21 21,634,298.35
April 1995.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 36,475,205.69 16,212,923.81 21,271,782.40
May 1995............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 35,948,581.71 15,895,563.28 20,896,503.58
June 1995........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 35,405,478.15 15,567,737.14 20,508,849.16
July 1995........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 34,846,120.67 15,229,784.85 20,109,220.59
August 1995......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 34,272,122.68 14,882,057.48 19,698,032.98
September 1995...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 33,682,577.55 14,524,917.21 19,275,714.60
October 1995........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 33,077,543.41 14,158,736.93 18,842,706.43
November 1995....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 32,457,275.05 13,783,899.79 18,399,461.50
December 1995....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 31,839,896.64 13,414,166.65 17,962,252.06
January 1996........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 31,225,393.91 13,049,495.18 17,531,028.06
February 1996....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 30,613,752.62 12,689,843.40 17,105,739.83
March 1996.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 30,004,958.61 12,335,169.63 16,686,338.09
April 1996.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 29,398,997.81 11,985,432.49 16,272,773.92
May 1996............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 28,823,490.05 11,640,590.92 15,864,998.77
June 1996........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 28,298,284.08 11,300,604.19 15,462,964.45
July 1996........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 27,775,520.13 10,965,431.84 15,066,623.16
August 1996......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 27,255,186.13 10,635,033.75 14,675,927.42
September 1996...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 26,737,270.03 10,309,370.09 14,290,830.13
October 1996........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 26,221,759.87 9,988,401.33 13,911,284.57
November 1996....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 25,708,643.75 9,672,088.23 13,537,244.33
December 1996....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 25,197,909.80 9,360,391.87 13,168,663.39
January 1997........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 24,689,546.24 9,053,273.61 12,805,496.04
February 1997....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 24,183,541.33 8,750,695.10 12,447,696.96
March 1997.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 23,679,883.38 8,452,618.30 12,095,221.13
April 1997.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 23,178,560.78 8,159,005.42 11,748,023.92
May 1997............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 22,679,561.95 7,869,819.01 11,406,060.98
June 1997........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 22,182,875.39 7,585,021.86 11,069,288.36
July 1997........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 21,688,489.63 7,304,577.07 10,737,662.38
August 1997......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 21,224,843.44 7,028,448.00 10,411,139.75
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 14,550,000.00 $ 13,000,000.00
August 1993......... 14,550,000.00 12,861,477.15
September 1993...... 14,550,000.00 12,676,789.00
October 1993........ 14,550,000.00 12,446,038.58
November 1993....... 14,550,000.00 12,169,398.57
December 1993....... 14,550,000.00 11,847,111.42
January 1994........ 14,550,000.00 11,479,489.34
February 1994....... 14,550,000.00 11,066,914.24
March 1994.......... 14,550,000.00 10,609,837.45
April 1994.......... 14,550,000.00 10,108,779.32
May 1994............ 14,550,000.00 9,564,328.73
June 1994........... 14,550,000.00 8,977,142.44
July 1994........... 14,550,000.00 8,347,944.27
August 1994......... 14,550,000.00 7,677,524.21
September 1994...... 14,550,000.00 6,966,737.38
October 1994........ 14,550,000.00 6,216,502.83
November 1994....... 14,550,000.00 5,427,802.21
December 1994....... 14,550,000.00 4,601,678.40
January 1995........ 14,550,000.00 3,739,233.88
February 1995....... 14,550,000.00 2,841,629.08
March 1995.......... 14,550,000.00 1,910,080.57
April 1995.......... 14,550,000.00 945,859.13
May 1995............ 14,550,000.00 0.00
June 1995........... 14,550,000.00 0.00
July 1995........... 14,550,000.00 0.00
August 1995......... 14,550,000.00 0.00
September 1995...... 14,550,000.00 0.00
October 1995........ 14,550,000.00 0.00
November 1995....... 14,550,000.00 0.00
December 1995....... 14,550,000.00 0.00
January 1996........ 14,550,000.00 0.00
February 1996....... 14,550,000.00 0.00
March 1996.......... 14,550,000.00 0.00
April 1996.......... 14,550,000.00 0.00
May 1996............ 14,550,000.00 0.00
June 1996........... 14,550,000.00 0.00
July 1996........... 14,550,000.00 0.00
August 1996......... 14,550,000.00 0.00
September 1996...... 14,550,000.00 0.00
October 1996........ 14,550,000.00 0.00
November 1996....... 14,550,000.00 0.00
December 1996....... 14,550,000.00 0.00
January 1997........ 14,550,000.00 0.00
February 1997....... 14,550,000.00 0.00
March 1997.......... 14,550,000.00 0.00
April 1997.......... 14,550,000.00 0.00
May 1997............ 14,550,000.00 0.00
June 1997........... 14,550,000.00 0.00
July 1997........... 14,550,000.00 0.00
August 1997......... 14,550,000.00 0.00
S-17
<PAGE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
September 1997...... $ 35,000,000.00 $ 19,907,909.00 $ 40,500,000.00 $ 40,650,000.00 $ 20,777,218.66 $ 6,756,598.30 $10,089,677.48
October 1997........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 20,331,665.40 6,488,991.90 9,773,232.92
November 1997....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 19,888,173.38 6,225,593.00 9,461,763.72
December 1997....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 19,446,732.40 5,966,366.07 9,155,227.88
January 1998........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 19,007,332.28 5,711,275.86 8,853,583.71
February 1998....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 18,569,962.90 5,460,287.38 8,556,789.83
March 1998.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 18,134,614.21 5,213,365.91 8,264,805.19
April 1998.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 17,701,276.17 4,970,476.99 7,977,589.04
May 1998............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 17,312,710.40 4,731,586.43 7,695,100.96
June 1998........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 16,987,273.87 4,496,660.31 7,417,300.82
July 1998........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 16,663,338.81 4,265,664.95 7,144,148.80
August 1998......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 16,340,897.78 4,038,566.94 6,875,605.40
September 1998...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 16,019,943.36 3,815,333.11 6,611,631.40
October 1998........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 15,700,468.19 3,595,930.58 6,352,187.91
November 1998....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 15,382,464.92 3,380,326.68 6,097,236.30
December 1998....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 15,065,926.24 3,168,489.02 5,846,738.26
January 1999........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 14,750,844.89 2,960,385.44 5,600,655.79
February 1999....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 14,437,213.64 2,755,984.05 5,358,951.15
March 1999.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 14,125,025.28 2,555,253.18 5,121,586.89
April 1999.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 13,814,272.65 2,358,161.42 4,888,525.89
May 1999............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 13,504,948.62 2,164,677.59 4,659,731.26
June 1999........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 13,197,046.09 1,974,770.76 4,435,166.43
July 1999........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 12,890,558.02 1,788,410.24 4,214,795.10
August 1999......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 12,585,477.36 1,605,565.55 3,998,581.26
September 1999...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 12,281,797.14 1,426,206.47 3,786,489.16
October 1999........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 11,979,510.38 1,250,303.03 3,578,483.34
November 1999....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 11,678,610.18 1,077,825.45 3,374,528.60
December 1999....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 11,379,089.63 908,744.21 3,174,590.02
January 2000........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 11,080,941.88 743,029.99 2,978,632.97
February 2000....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 10,784,160.11 580,653.74 2,786,623.05
March 2000.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 10,488,737.53 421,586.59 2,598,526.15
April 2000.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 10,194,667.37 265,799.93 2,414,308.41
May 2000............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 9,901,942.92 113,265.33 2,233,936.26
June 2000........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 9,692,333.76 0.00 2,021,330.99
July 2000........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 9,523,230.76 0.00 1,702,435.49
August 2000......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 9,354,900.66 0.00 1,390,454.54
September 2000...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 9,187,339.63 0.00 1,085,328.03
October 2000........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 9,020,543.83 0.00 786,996.36
November 2000....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 8,854,509.46 0.00 495,400.34
December 2000....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 8,689,232.73 0.00 210,481.29
January 2001........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 8,524,709.86 0.00 0.00
February 2001....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 8,360,937.11 0.00 0.00
March 2001.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 8,197,910.74 0.00 0.00
April 2001.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 8,035,627.04 0.00 0.00
May 2001............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 7,874,082.29 0.00 0.00
June 2001........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 7,713,272.84 0.00 0.00
July 2001........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 7,553,195.01 0.00 0.00
August 2001......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 7,393,845.15 0.00 0.00
September 2001...... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 7,235,219.64 0.00 0.00
October 2001........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 7,077,314.88 0.00 0.00
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
September 1997...... $ 14,550,000.00 $ 0.00
October 1997........ 14,550,000.00 0.00
November 1997....... 14,550,000.00 0.00
December 1997....... 14,550,000.00 0.00
January 1998........ 14,550,000.00 0.00
February 1998....... 14,550,000.00 0.00
March 1998.......... 14,550,000.00 0.00
April 1998.......... 14,550,000.00 0.00
May 1998............ 14,550,000.00 0.00
June 1998........... 14,550,000.00 0.00
July 1998........... 14,550,000.00 0.00
August 1998......... 14,550,000.00 0.00
September 1998...... 14,550,000.00 0.00
October 1998........ 14,550,000.00 0.00
November 1998....... 14,550,000.00 0.00
December 1998....... 14,550,000.00 0.00
January 1999........ 14,550,000.00 0.00
February 1999....... 14,550,000.00 0.00
March 1999.......... 14,550,000.00 0.00
April 1999.......... 14,550,000.00 0.00
May 1999............ 14,550,000.00 0.00
June 1999........... 14,550,000.00 0.00
July 1999........... 14,550,000.00 0.00
August 1999......... 14,550,000.00 0.00
September 1999...... 14,550,000.00 0.00
October 1999........ 14,550,000.00 0.00
November 1999....... 14,550,000.00 0.00
December 1999....... 14,550,000.00 0.00
January 2000........ 14,550,000.00 0.00
February 2000....... 14,550,000.00 0.00
March 2000.......... 14,550,000.00 0.00
April 2000.......... 14,550,000.00 0.00
May 2000............ 14,550,000.00 0.00
June 2000........... 14,550,000.00 0.00
July 2000........... 14,550,000.00 0.00
August 2000......... 14,550,000.00 0.00
September 2000...... 14,550,000.00 0.00
October 2000........ 14,550,000.00 0.00
November 2000....... 14,550,000.00 0.00
December 2000....... 14,550,000.00 0.00
January 2001........ 14,482,180.95 0.00
February 2001....... 14,210,441.54 0.00
March 2001.......... 13,945,205.70 0.00
April 2001.......... 13,686,416.57 0.00
May 2001............ 13,434,017.67 0.00
June 2001........... 13,187,953.02 0.00
July 2001........... 12,948,167.03 0.00
August 2001......... 12,714,604.56 0.00
September 2001...... 12,487,210.92 0.00
October 2001........ 12,265,931.82 0.00
S-18
<PAGE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
November 2001....... $ 35,000,000.00 $ 19,907,909.00 $ 40,500,000.00 $ 40,650,000.00 $ 6,920,127.26 $ 0.00 $ 0.00
December 2001....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 6,763,653.22 0.00 0.00
January 2002........ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 6,607,889.20 0.00 0.00
February 2002....... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 6,452,831.65 0.00 0.00
March 2002.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 6,298,477.06 0.00 0.00
April 2002.......... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 6,144,821.91 0.00 0.00
May 2002............ 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 5,991,862.73 0.00 0.00
June 2002........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 5,839,596.03 0.00 0.00
July 2002........... 35,000,000.00 19,907,909.00 40,500,000.00 40,650,000.00 5,688,018.36 0.00 0.00
August 2002......... 33,552,954.47 19,907,909.00 40,500,000.00 40,650,000.00 5,536,800.32 0.00 0.00
September 2002...... 32,099,433.46 19,907,909.00 40,500,000.00 40,650,000.00 5,386,262.99 0.00 0.00
October 2002........ 30,654,911.53 19,907,909.00 40,500,000.00 40,650,000.00 5,236,657.67 0.00 0.00
November 2002....... 29,230,958.36 19,907,909.00 40,500,000.00 40,650,000.00 5,089,182.61 0.00 0.00
December 2002....... 27,827,289.05 19,907,909.00 40,500,000.00 40,650,000.00 4,943,808.29 0.00 0.00
January 2003........ 26,443,622.62 19,907,909.00 40,500,000.00 40,650,000.00 4,800,505.61 0.00 0.00
February 2003....... 25,079,681.91 19,907,909.00 40,500,000.00 40,650,000.00 4,659,245.88 0.00 0.00
March 2003.......... 23,735,193.56 19,907,909.00 40,500,000.00 40,650,000.00 4,520,000.77 0.00 0.00
April 2003.......... 22,409,887.95 19,907,909.00 40,500,000.00 40,650,000.00 4,382,742.37 0.00 0.00
May 2003............ 21,103,499.12 19,907,909.00 40,500,000.00 40,650,000.00 4,247,443.14 0.00 0.00
June 2003........... 19,815,764.76 19,907,909.00 40,500,000.00 40,650,000.00 4,114,075.89 0.00 0.00
July 2003........... 18,546,426.15 19,907,909.00 40,500,000.00 40,650,000.00 3,982,613.85 0.00 0.00
August 2003......... 17,295,228.09 19,907,909.00 40,500,000.00 40,650,000.00 3,853,030.57 0.00 0.00
September 2003...... 16,061,918.89 19,907,909.00 40,500,000.00 40,650,000.00 3,725,300.00 0.00 0.00
October 2003........ 14,846,250.29 19,907,909.00 40,500,000.00 40,650,000.00 3,599,396.41 0.00 0.00
November 2003....... 13,647,977.41 19,907,909.00 40,500,000.00 40,650,000.00 3,475,294.46 0.00 0.00
December 2003....... 12,466,858.75 19,907,909.00 40,500,000.00 40,650,000.00 3,352,969.12 0.00 0.00
January 2004........ 11,302,656.09 19,907,909.00 40,500,000.00 40,650,000.00 3,232,395.73 0.00 0.00
February 2004....... 10,155,134.47 19,907,909.00 40,500,000.00 40,650,000.00 3,113,549.95 0.00 0.00
March 2004.......... 9,024,062.15 19,907,909.00 40,500,000.00 40,650,000.00 2,996,407.78 0.00 0.00
April 2004.......... 7,909,210.55 19,907,909.00 40,500,000.00 40,650,000.00 2,880,945.54 0.00 0.00
May 2004............ 6,810,354.24 19,907,909.00 40,500,000.00 40,650,000.00 2,767,139.90 0.00 0.00
June 2004........... 5,727,270.86 19,907,909.00 40,500,000.00 40,650,000.00 2,654,967.82 0.00 0.00
July 2004........... 4,659,741.07 19,907,909.00 40,500,000.00 40,650,000.00 2,544,406.58 0.00 0.00
August 2004......... 3,607,548.59 19,907,909.00 40,500,000.00 40,650,000.00 2,435,433.79 0.00 0.00
September 2004...... 2,570,480.04 19,907,909.00 40,500,000.00 40,650,000.00 2,328,027.34 0.00 0.00
October 2004........ 1,548,325.00 19,907,909.00 40,500,000.00 40,650,000.00 2,222,165.44 0.00 0.00
November 2004....... 540,875.91 19,907,909.00 40,500,000.00 40,650,000.00 2,117,826.60 0.00 0.00
December 2004....... 0.00 19,455,837.05 40,500,000.00 40,650,000.00 2,014,989.62 0.00 0.00
January 2005........ 0.00 18,477,188.54 40,500,000.00 40,650,000.00 1,913,633.58 0.00 0.00
February 2005....... 0.00 17,512,640.21 40,500,000.00 40,650,000.00 1,813,737.86 0.00 0.00
March 2005.......... 0.00 16,561,995.67 40,500,000.00 40,650,000.00 1,715,282.11 0.00 0.00
April 2005.......... 0.00 15,625,061.18 40,500,000.00 40,650,000.00 1,618,246.29 0.00 0.00
May 2005............ 0.00 14,701,645.67 40,500,000.00 40,650,000.00 1,522,610.58 0.00 0.00
June 2005........... 0.00 13,791,560.71 40,500,000.00 40,650,000.00 1,428,355.49 0.00 0.00
July 2005........... 0.00 12,894,620.41 40,500,000.00 40,650,000.00 1,335,461.75 0.00 0.00
August 2005......... 0.00 12,010,641.45 40,500,000.00 40,650,000.00 1,243,910.39 0.00 0.00
September 2005...... 0.00 11,139,443.04 40,500,000.00 40,650,000.00 1,153,682.67 0.00 0.00
October 2005........ 0.00 10,280,846.83 40,500,000.00 40,650,000.00 1,064,760.13 0.00 0.00
November 2005....... 0.00 9,434,676.95 40,500,000.00 40,650,000.00 977,124.55 0.00 0.00
December 2005....... 0.00 8,600,759.92 40,500,000.00 40,650,000.00 890,757.97 0.00 0.00
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
November 2001....... $ 12,050,713.43 $ 0.00
December 2001....... 11,841,502.29 0.00
January 2002........ 11,638,245.42 0.00
February 2002....... 11,440,890.21 0.00
March 2002.......... 11,249,384.49 0.00
April 2002.......... 11,063,676.50 0.00
May 2002............ 10,883,714.85 0.00
June 2002........... 10,709,448.59 0.00
July 2002........... 10,547,558.16 0.00
August 2002......... 10,410,918.14 0.00
September 2002...... 10,299,115.43 0.00
October 2002........ 10,207,217.03 0.00
November 2002....... 10,113,221.22 0.00
December 2002....... 10,017,201.15 0.00
January 2003........ 9,919,228.46 0.00
February 2003....... 9,819,373.25 0.00
March 2003.......... 9,717,704.13 0.00
April 2003.......... 9,614,288.25 0.00
May 2003............ 9,509,191.31 0.00
June 2003........... 9,402,477.60 0.00
July 2003........... 9,294,210.02 0.00
August 2003......... 9,184,450.11 0.00
September 2003...... 9,073,258.08 0.00
October 2003........ 8,960,692.80 0.00
November 2003....... 8,846,811.86 0.00
December 2003....... 8,731,671.59 0.00
January 2004........ 8,615,327.07 0.00
February 2004....... 8,497,832.15 0.00
March 2004.......... 8,379,239.49 0.00
April 2004.......... 8,259,600.60 0.00
May 2004............ 8,138,965.79 0.00
June 2004........... 8,017,384.23 0.00
July 2004........... 7,894,904.03 0.00
August 2004......... 7,771,572.15 0.00
September 2004...... 7,647,434.52 0.00
October 2004........ 7,522,535.99 0.00
November 2004....... 7,396,920.38 0.00
December 2004....... 7,270,630.52 0.00
January 2005........ 7,143,708.21 0.00
February 2005....... 7,016,194.31 0.00
March 2005.......... 6,888,128.67 0.00
April 2005.......... 6,759,550.25 0.00
May 2005............ 6,630,497.06 0.00
June 2005........... 6,501,006.20 0.00
July 2005........... 6,371,113.89 0.00
August 2005......... 6,240,855.51 0.00
September 2005...... 6,110,265.53 0.00
October 2005........ 5,979,377.61 0.00
November 2005....... 5,848,224.57 0.00
December 2005....... 5,716,838.45 0.00
S-19
<PAGE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
January 2006........ $ 0.00 $ 7,778,924.65 $ 40,500,000.00 $ 40,650,000.00 $ 805,642.66 $ 0.00 $ 0.00
February 2006....... 0.00 6,969,002.39 40,500,000.00 40,650,000.00 721,761.16 0.00 0.00
March 2006.......... 0.00 6,170,826.70 40,500,000.00 40,650,000.00 639,096.21 0.00 0.00
April 2006.......... 0.00 5,384,233.45 40,500,000.00 40,650,000.00 557,630.83 0.00 0.00
May 2006............ 0.00 4,609,060.72 40,500,000.00 40,650,000.00 477,348.24 0.00 0.00
June 2006........... 0.00 3,845,148.87 40,500,000.00 40,650,000.00 398,231.90 0.00 0.00
July 2006........... 0.00 3,092,340.38 40,500,000.00 40,650,000.00 320,265.52 0.00 0.00
August 2006......... 0.00 2,350,479.95 40,500,000.00 40,650,000.00 243,433.00 0.00 0.00
September 2006...... 0.00 1,619,414.38 40,500,000.00 40,650,000.00 167,718.47 0.00 0.00
October 2006........ 0.00 898,992.60 40,500,000.00 40,650,000.00 93,106.29 0.00 0.00
November 2006....... 0.00 189,065.58 40,500,000.00 40,650,000.00 19,581.02 0.00 0.00
December 2006....... 0.00 0.00 39,549,595.87 40,650,000.00 0.00 0.00 0.00
January 2007........ 0.00 0.00 38,266,209.70 40,650,000.00 0.00 0.00 0.00
February 2007....... 0.00 0.00 37,001,551.68 40,650,000.00 0.00 0.00 0.00
March 2007.......... 0.00 0.00 35,755,359.31 40,650,000.00 0.00 0.00 0.00
April 2007.......... 0.00 0.00 34,527,373.74 40,650,000.00 0.00 0.00 0.00
May 2007............ 0.00 0.00 33,317,339.65 40,650,000.00 0.00 0.00 0.00
June 2007........... 0.00 0.00 32,125,005.25 40,650,000.00 0.00 0.00 0.00
July 2007........... 0.00 0.00 30,950,122.18 40,650,000.00 0.00 0.00 0.00
August 2007......... 0.00 0.00 29,792,445.52 40,650,000.00 0.00 0.00 0.00
September 2007...... 0.00 0.00 28,651,733.73 40,650,000.00 0.00 0.00 0.00
October 2007........ 0.00 0.00 27,527,748.54 40,650,000.00 0.00 0.00 0.00
November 2007....... 0.00 0.00 26,420,255.01 40,650,000.00 0.00 0.00 0.00
December 2007....... 0.00 0.00 25,329,021.40 40,650,000.00 0.00 0.00 0.00
January 2008........ 0.00 0.00 24,253,819.20 40,650,000.00 0.00 0.00 0.00
February 2008....... 0.00 0.00 23,194,422.99 40,650,000.00 0.00 0.00 0.00
March 2008.......... 0.00 0.00 22,150,610.47 40,650,000.00 0.00 0.00 0.00
April 2008.......... 0.00 0.00 21,122,162.43 40,650,000.00 0.00 0.00 0.00
May 2008............ 0.00 0.00 20,108,862.64 40,650,000.00 0.00 0.00 0.00
June 2008........... 0.00 0.00 19,110,497.88 40,650,000.00 0.00 0.00 0.00
July 2008........... 0.00 0.00 18,126,857.83 40,650,000.00 0.00 0.00 0.00
August 2008......... 0.00 0.00 17,157,735.10 40,650,000.00 0.00 0.00 0.00
September 2008...... 0.00 0.00 16,202,925.15 40,650,000.00 0.00 0.00 0.00
October 2008........ 0.00 0.00 15,262,226.23 40,650,000.00 0.00 0.00 0.00
November 2008....... 0.00 0.00 14,335,439.41 40,650,000.00 0.00 0.00 0.00
December 2008....... 0.00 0.00 13,422,368.48 40,650,000.00 0.00 0.00 0.00
January 2009........ 0.00 0.00 12,522,819.93 40,650,000.00 0.00 0.00 0.00
February 2009....... 0.00 0.00 11,636,602.94 40,650,000.00 0.00 0.00 0.00
March 2009.......... 0.00 0.00 10,763,529.30 40,650,000.00 0.00 0.00 0.00
April 2009.......... 0.00 0.00 9,903,413.40 40,650,000.00 0.00 0.00 0.00
May 2009............ 0.00 0.00 9,056,072.21 40,650,000.00 0.00 0.00 0.00
June 2009........... 0.00 0.00 8,221,325.18 40,650,000.00 0.00 0.00 0.00
July 2009........... 0.00 0.00 7,398,994.29 40,650,000.00 0.00 0.00 0.00
August 2009......... 0.00 0.00 6,588,903.99 40,650,000.00 0.00 0.00 0.00
September 2009...... 0.00 0.00 5,790,881.10 40,650,000.00 0.00 0.00 0.00
October 2009........ 0.00 0.00 5,004,754.88 40,650,000.00 0.00 0.00 0.00
November 2009....... 0.00 0.00 4,230,356.91 40,650,000.00 0.00 0.00 0.00
December 2009....... 0.00 0.00 3,467,521.13 40,650,000.00 0.00 0.00 0.00
January 2010........ 0.00 0.00 2,716,083.75 40,650,000.00 0.00 0.00 0.00
February 2010....... 0.00 0.00 1,975,883.25 40,650,000.00 0.00 0.00 0.00
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
January 2006........ $ 5,585,250.45 $ 0.00
February 2006....... 5,453,491.07 0.00
March 2006.......... 5,321,589.96 0.00
April 2006.......... 5,189,576.09 0.00
May 2006............ 5,057,477.64 0.00
June 2006........... 4,925,322.12 0.00
July 2006........... 4,793,136.32 0.00
August 2006......... 4,660,946.31 0.00
September 2006...... 4,528,777.52 0.00
October 2006........ 4,396,654.68 0.00
November 2006....... 4,264,601.90 0.00
December 2006....... 4,132,642.62 0.00
January 2007........ 4,000,799.69 0.00
February 2007....... 3,869,095.31 0.00
March 2007.......... 3,737,551.10 0.00
April 2007.......... 3,606,188.07 0.00
May 2007............ 3,475,026.66 0.00
June 2007........... 3,344,086.74 0.00
July 2007........... 3,213,387.65 0.00
August 2007......... 3,082,948.13 0.00
September 2007...... 2,952,786.41 0.00
October 2007........ 2,822,920.23 0.00
November 2007....... 2,693,366.76 0.00
December 2007....... 2,564,142.72 0.00
January 2008........ 2,435,264.28 0.00
February 2008....... 2,306,747.16 0.00
March 2008.......... 2,178,606.63 0.00
April 2008.......... 2,050,857.45 0.00
May 2008............ 1,923,513.95 0.00
June 2008........... 1,796,590.01 0.00
July 2008........... 1,670,099.07 0.00
August 2008......... 1,544,054.16 0.00
September 2008...... 1,418,467.86 0.00
October 2008........ 1,293,352.37 0.00
November 2008....... 1,168,719.47 0.00
December 2008....... 1,044,580.56 0.00
January 2009........ 920,946.65 0.00
February 2009....... 797,828.37 0.00
March 2009.......... 675,235.98 0.00
April 2009.......... 553,179.41 0.00
May 2009............ 431,668.17 0.00
June 2009........... 310,711.52 0.00
July 2009........... 190,318.28 0.00
August 2009......... 70,496.99 0.00
September 2009...... 0.00 0.00
October 2009........ 0.00 0.00
November 2009....... 0.00 0.00
December 2009....... 0.00 0.00
January 2010........ 0.00 0.00
February 2010....... 0.00 0.00
S-20
<PAGE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
March 2010.......... $ 0.00 $ 0.00 $ 1,246,760.36 $ 40,650,000.00 $ 0.00 $ 0.00 $ 0.00
April 2010.......... 0.00 0.00 528,557.96 40,650,000.00 0.00 0.00 0.00
May 2010............ 0.00 0.00 0.00 40,471,121.16 0.00 0.00 0.00
June 2010........... 0.00 0.00 0.00 39,774,297.18 0.00 0.00 0.00
July 2010........... 0.00 0.00 0.00 39,087,935.36 0.00 0.00 0.00
August 2010......... 0.00 0.00 0.00 38,411,887.11 0.00 0.00 0.00
September 2010...... 0.00 0.00 0.00 37,746,005.91 0.00 0.00 0.00
October 2010........ 0.00 0.00 0.00 37,090,147.28 0.00 0.00 0.00
November 2010....... 0.00 0.00 0.00 36,444,168.71 0.00 0.00 0.00
December 2010....... 0.00 0.00 0.00 35,807,929.68 0.00 0.00 0.00
January 2011........ 0.00 0.00 0.00 35,181,291.62 0.00 0.00 0.00
February 2011....... 0.00 0.00 0.00 34,564,117.85 0.00 0.00 0.00
March 2011.......... 0.00 0.00 0.00 33,956,273.61 0.00 0.00 0.00
April 2011.......... 0.00 0.00 0.00 33,357,626.01 0.00 0.00 0.00
May 2011............ 0.00 0.00 0.00 32,768,043.98 0.00 0.00 0.00
June 2011........... 0.00 0.00 0.00 32,187,398.27 0.00 0.00 0.00
July 2011........... 0.00 0.00 0.00 31,615,561.44 0.00 0.00 0.00
August 2011......... 0.00 0.00 0.00 31,052,407.80 0.00 0.00 0.00
September 2011...... 0.00 0.00 0.00 30,497,813.40 0.00 0.00 0.00
October 2011........ 0.00 0.00 0.00 29,951,656.02 0.00 0.00 0.00
November 2011....... 0.00 0.00 0.00 29,413,815.14 0.00 0.00 0.00
December 2011....... 0.00 0.00 0.00 28,884,171.89 0.00 0.00 0.00
January 2012........ 0.00 0.00 0.00 28,362,609.06 0.00 0.00 0.00
February 2012....... 0.00 0.00 0.00 27,849,011.07 0.00 0.00 0.00
March 2012.......... 0.00 0.00 0.00 27,343,263.95 0.00 0.00 0.00
April 2012.......... 0.00 0.00 0.00 26,845,255.29 0.00 0.00 0.00
May 2012............ 0.00 0.00 0.00 26,354,874.27 0.00 0.00 0.00
June 2012........... 0.00 0.00 0.00 25,872,011.58 0.00 0.00 0.00
July 2012........... 0.00 0.00 0.00 25,396,559.46 0.00 0.00 0.00
August 2012......... 0.00 0.00 0.00 24,928,411.62 0.00 0.00 0.00
September 2012...... 0.00 0.00 0.00 24,467,463.26 0.00 0.00 0.00
October 2012........ 0.00 0.00 0.00 24,013,611.03 0.00 0.00 0.00
November 2012....... 0.00 0.00 0.00 23,566,753.04 0.00 0.00 0.00
December 2012....... 0.00 0.00 0.00 23,126,788.79 0.00 0.00 0.00
January 2013........ 0.00 0.00 0.00 22,693,619.18 0.00 0.00 0.00
February 2013....... 0.00 0.00 0.00 22,267,146.50 0.00 0.00 0.00
March 2013.......... 0.00 0.00 0.00 21,847,274.40 0.00 0.00 0.00
April 2013.......... 0.00 0.00 0.00 21,433,907.87 0.00 0.00 0.00
May 2013............ 0.00 0.00 0.00 21,026,953.22 0.00 0.00 0.00
June 2013........... 0.00 0.00 0.00 20,626,318.05 0.00 0.00 0.00
July 2013........... 0.00 0.00 0.00 20,231,911.29 0.00 0.00 0.00
August 2013......... 0.00 0.00 0.00 19,843,643.09 0.00 0.00 0.00
September 2013...... 0.00 0.00 0.00 19,461,424.88 0.00 0.00 0.00
October 2013........ 0.00 0.00 0.00 19,085,169.32 0.00 0.00 0.00
November 2013....... 0.00 0.00 0.00 18,714,790.28 0.00 0.00 0.00
December 2013....... 0.00 0.00 0.00 18,350,202.84 0.00 0.00 0.00
January 2014........ 0.00 0.00 0.00 17,991,323.27 0.00 0.00 0.00
February 2014....... 0.00 0.00 0.00 17,638,068.98 0.00 0.00 0.00
March 2014.......... 0.00 0.00 0.00 17,290,358.57 0.00 0.00 0.00
April 2014.......... 0.00 0.00 0.00 16,948,111.76 0.00 0.00 0.00
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
March 2010.......... $ 0.00 $ 0.00
April 2010.......... 0.00 0.00
May 2010............ 0.00 0.00
June 2010........... 0.00 0.00
July 2010........... 0.00 0.00
August 2010......... 0.00 0.00
September 2010...... 0.00 0.00
October 2010........ 0.00 0.00
November 2010....... 0.00 0.00
December 2010....... 0.00 0.00
January 2011........ 0.00 0.00
February 2011....... 0.00 0.00
March 2011.......... 0.00 0.00
April 2011.......... 0.00 0.00
May 2011............ 0.00 0.00
June 2011........... 0.00 0.00
July 2011........... 0.00 0.00
August 2011......... 0.00 0.00
September 2011...... 0.00 0.00
October 2011........ 0.00 0.00
November 2011....... 0.00 0.00
December 2011....... 0.00 0.00
January 2012........ 0.00 0.00
February 2012....... 0.00 0.00
March 2012.......... 0.00 0.00
April 2012.......... 0.00 0.00
May 2012............ 0.00 0.00
June 2012........... 0.00 0.00
July 2012........... 0.00 0.00
August 2012......... 0.00 0.00
September 2012...... 0.00 0.00
October 2012........ 0.00 0.00
November 2012....... 0.00 0.00
December 2012....... 0.00 0.00
January 2013........ 0.00 0.00
February 2013....... 0.00 0.00
March 2013.......... 0.00 0.00
April 2013.......... 0.00 0.00
May 2013............ 0.00 0.00
June 2013........... 0.00 0.00
July 2013........... 0.00 0.00
August 2013......... 0.00 0.00
September 2013...... 0.00 0.00
October 2013........ 0.00 0.00
November 2013....... 0.00 0.00
December 2013....... 0.00 0.00
January 2014........ 0.00 0.00
February 2014....... 0.00 0.00
March 2014.......... 0.00 0.00
April 2014.......... 0.00 0.00
S-21
<PAGE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
May 2014............ $ 0.00 $ 0.00 $ 0.00 $ 16,611,249.38 $ 0.00 $ 0.00 $ 0.00
June 2014........... 0.00 0.00 0.00 16,279,693.38 0.00 0.00 0.00
July 2014........... 0.00 0.00 0.00 15,953,366.79 0.00 0.00 0.00
August 2014......... 0.00 0.00 0.00 15,632,193.74 0.00 0.00 0.00
September 2014...... 0.00 0.00 0.00 15,316,099.38 0.00 0.00 0.00
October 2014........ 0.00 0.00 0.00 15,005,009.94 0.00 0.00 0.00
November 2014....... 0.00 0.00 0.00 14,698,852.68 0.00 0.00 0.00
December 2014....... 0.00 0.00 0.00 14,397,555.86 0.00 0.00 0.00
January 2015........ 0.00 0.00 0.00 14,101,048.74 0.00 0.00 0.00
February 2015....... 0.00 0.00 0.00 13,809,261.60 0.00 0.00 0.00
March 2015.......... 0.00 0.00 0.00 13,522,125.68 0.00 0.00 0.00
April 2015.......... 0.00 0.00 0.00 13,239,573.17 0.00 0.00 0.00
May 2015............ 0.00 0.00 0.00 12,961,537.22 0.00 0.00 0.00
June 2015........... 0.00 0.00 0.00 12,687,951.93 0.00 0.00 0.00
July 2015........... 0.00 0.00 0.00 12,418,752.30 0.00 0.00 0.00
August 2015......... 0.00 0.00 0.00 12,153,874.26 0.00 0.00 0.00
September 2015...... 0.00 0.00 0.00 11,893,254.63 0.00 0.00 0.00
October 2015........ 0.00 0.00 0.00 11,636,831.12 0.00 0.00 0.00
November 2015....... 0.00 0.00 0.00 11,384,542.29 0.00 0.00 0.00
December 2015....... 0.00 0.00 0.00 11,136,327.62 0.00 0.00 0.00
January 2016........ 0.00 0.00 0.00 10,892,127.38 0.00 0.00 0.00
February 2016....... 0.00 0.00 0.00 10,651,882.70 0.00 0.00 0.00
March 2016.......... 0.00 0.00 0.00 10,415,535.54 0.00 0.00 0.00
April 2016.......... 0.00 0.00 0.00 10,183,028.69 0.00 0.00 0.00
May 2016............ 0.00 0.00 0.00 9,954,305.72 0.00 0.00 0.00
June 2016........... 0.00 0.00 0.00 9,729,311.00 0.00 0.00 0.00
July 2016........... 0.00 0.00 0.00 9,507,989.69 0.00 0.00 0.00
August 2016......... 0.00 0.00 0.00 9,290,287.70 0.00 0.00 0.00
September 2016...... 0.00 0.00 0.00 9,076,151.73 0.00 0.00 0.00
October 2016........ 0.00 0.00 0.00 8,865,529.23 0.00 0.00 0.00
November 2016....... 0.00 0.00 0.00 8,658,368.36 0.00 0.00 0.00
December 2016....... 0.00 0.00 0.00 8,454,618.03 0.00 0.00 0.00
January 2017........ 0.00 0.00 0.00 8,254,227.87 0.00 0.00 0.00
February 2017....... 0.00 0.00 0.00 8,057,148.23 0.00 0.00 0.00
March 2017.......... 0.00 0.00 0.00 7,863,330.12 0.00 0.00 0.00
April 2017.......... 0.00 0.00 0.00 7,672,725.29 0.00 0.00 0.00
May 2017............ 0.00 0.00 0.00 7,485,286.14 0.00 0.00 0.00
June 2017........... 0.00 0.00 0.00 7,300,965.75 0.00 0.00 0.00
July 2017........... 0.00 0.00 0.00 7,119,717.87 0.00 0.00 0.00
August 2017......... 0.00 0.00 0.00 6,941,496.90 0.00 0.00 0.00
September 2017...... 0.00 0.00 0.00 6,766,257.87 0.00 0.00 0.00
October 2017........ 0.00 0.00 0.00 6,593,956.47 0.00 0.00 0.00
November 2017....... 0.00 0.00 0.00 6,424,548.99 0.00 0.00 0.00
December 2017....... 0.00 0.00 0.00 6,257,992.35 0.00 0.00 0.00
January 2018........ 0.00 0.00 0.00 6,094,244.09 0.00 0.00 0.00
February 2018....... 0.00 0.00 0.00 5,933,262.33 0.00 0.00 0.00
March 2018.......... 0.00 0.00 0.00 5,775,005.81 0.00 0.00 0.00
April 2018.......... 0.00 0.00 0.00 5,619,433.82 0.00 0.00 0.00
May 2018............ 0.00 0.00 0.00 5,466,506.25 0.00 0.00 0.00
June 2018........... 0.00 0.00 0.00 5,316,183.57 0.00 0.00 0.00
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
May 2014............ $ 0.00 $ 0.00
June 2014........... 0.00 0.00
July 2014........... 0.00 0.00
August 2014......... 0.00 0.00
September 2014...... 0.00 0.00
October 2014........ 0.00 0.00
November 2014....... 0.00 0.00
December 2014....... 0.00 0.00
January 2015........ 0.00 0.00
February 2015....... 0.00 0.00
March 2015.......... 0.00 0.00
April 2015.......... 0.00 0.00
May 2015............ 0.00 0.00
June 2015........... 0.00 0.00
July 2015........... 0.00 0.00
August 2015......... 0.00 0.00
September 2015...... 0.00 0.00
October 2015........ 0.00 0.00
November 2015....... 0.00 0.00
December 2015....... 0.00 0.00
January 2016........ 0.00 0.00
February 2016....... 0.00 0.00
March 2016.......... 0.00 0.00
April 2016.......... 0.00 0.00
May 2016............ 0.00 0.00
June 2016........... 0.00 0.00
July 2016........... 0.00 0.00
August 2016......... 0.00 0.00
September 2016...... 0.00 0.00
October 2016........ 0.00 0.00
November 2016....... 0.00 0.00
December 2016....... 0.00 0.00
January 2017........ 0.00 0.00
February 2017....... 0.00 0.00
March 2017.......... 0.00 0.00
April 2017.......... 0.00 0.00
May 2017............ 0.00 0.00
June 2017........... 0.00 0.00
July 2017........... 0.00 0.00
August 2017......... 0.00 0.00
September 2017...... 0.00 0.00
October 2017........ 0.00 0.00
November 2017....... 0.00 0.00
December 2017....... 0.00 0.00
January 2018........ 0.00 0.00
February 2018....... 0.00 0.00
March 2018.......... 0.00 0.00
April 2018.......... 0.00 0.00
May 2018............ 0.00 0.00
June 2018........... 0.00 0.00
S-22
<PAGE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
July 2018........... $ 0.00 $ 0.00 $ 0.00 $ 5,168,426.78 $ 0.00 $ 0.00 $ 0.00
August 2018......... 0.00 0.00 0.00 5,023,197.44 0.00 0.00 0.00
September 2018...... 0.00 0.00 0.00 4,880,457.66 0.00 0.00 0.00
October 2018........ 0.00 0.00 0.00 4,740,170.10 0.00 0.00 0.00
November 2018....... 0.00 0.00 0.00 4,602,297.95 0.00 0.00 0.00
December 2018....... 0.00 0.00 0.00 4,466,804.90 0.00 0.00 0.00
January 2019........ 0.00 0.00 0.00 4,333,655.16 0.00 0.00 0.00
February 2019....... 0.00 0.00 0.00 4,202,813.48 0.00 0.00 0.00
March 2019.......... 0.00 0.00 0.00 4,074,245.06 0.00 0.00 0.00
April 2019.......... 0.00 0.00 0.00 3,947,915.64 0.00 0.00 0.00
May 2019............ 0.00 0.00 0.00 3,823,791.44 0.00 0.00 0.00
June 2019........... 0.00 0.00 0.00 3,701,839.13 0.00 0.00 0.00
July 2019........... 0.00 0.00 0.00 3,582,025.89 0.00 0.00 0.00
August 2019......... 0.00 0.00 0.00 3,464,319.35 0.00 0.00 0.00
September 2019...... 0.00 0.00 0.00 3,348,687.60 0.00 0.00 0.00
October 2019........ 0.00 0.00 0.00 3,235,099.20 0.00 0.00 0.00
November 2019....... 0.00 0.00 0.00 3,123,523.14 0.00 0.00 0.00
December 2019....... 0.00 0.00 0.00 3,013,928.87 0.00 0.00 0.00
January 2020........ 0.00 0.00 0.00 2,906,286.26 0.00 0.00 0.00
February 2020....... 0.00 0.00 0.00 2,800,565.61 0.00 0.00 0.00
March 2020.......... 0.00 0.00 0.00 2,696,737.67 0.00 0.00 0.00
April 2020.......... 0.00 0.00 0.00 2,594,773.58 0.00 0.00 0.00
May 2020............ 0.00 0.00 0.00 2,494,644.89 0.00 0.00 0.00
June 2020........... 0.00 0.00 0.00 2,396,323.59 0.00 0.00 0.00
July 2020........... 0.00 0.00 0.00 2,299,782.05 0.00 0.00 0.00
August 2020......... 0.00 0.00 0.00 2,204,993.01 0.00 0.00 0.00
September 2020...... 0.00 0.00 0.00 2,111,929.65 0.00 0.00 0.00
October 2020........ 0.00 0.00 0.00 2,020,565.51 0.00 0.00 0.00
November 2020....... 0.00 0.00 0.00 1,930,874.49 0.00 0.00 0.00
December 2020....... 0.00 0.00 0.00 1,842,830.90 0.00 0.00 0.00
January 2021........ 0.00 0.00 0.00 1,756,409.40 0.00 0.00 0.00
February 2021....... 0.00 0.00 0.00 1,671,585.02 0.00 0.00 0.00
March 2021.......... 0.00 0.00 0.00 1,588,333.14 0.00 0.00 0.00
April 2021.......... 0.00 0.00 0.00 1,506,629.49 0.00 0.00 0.00
May 2021............ 0.00 0.00 0.00 1,426,450.17 0.00 0.00 0.00
June 2021........... 0.00 0.00 0.00 1,347,771.62 0.00 0.00 0.00
July 2021........... 0.00 0.00 0.00 1,270,570.59 0.00 0.00 0.00
August 2021......... 0.00 0.00 0.00 1,194,824.19 0.00 0.00 0.00
September 2021...... 0.00 0.00 0.00 1,120,509.87 0.00 0.00 0.00
October 2021........ 0.00 0.00 0.00 1,047,605.37 0.00 0.00 0.00
November 2021....... 0.00 0.00 0.00 976,088.78 0.00 0.00 0.00
December 2021....... 0.00 0.00 0.00 905,938.49 0.00 0.00 0.00
January 2022........ 0.00 0.00 0.00 837,133.22 0.00 0.00 0.00
February 2022....... 0.00 0.00 0.00 769,651.98 0.00 0.00 0.00
March 2022.......... 0.00 0.00 0.00 703,474.10 0.00 0.00 0.00
April 2022.......... 0.00 0.00 0.00 638,579.18 0.00 0.00 0.00
May 2022............ 0.00 0.00 0.00 574,947.12 0.00 0.00 0.00
June 2022........... 0.00 0.00 0.00 512,558.15 0.00 0.00 0.00
July 2022........... 0.00 0.00 0.00 451,392.75 0.00 0.00 0.00
August 2022......... 0.00 0.00 0.00 391,431.69 0.00 0.00 0.00
</TABLE>
<TABLE>
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
July 2018........... $ 0.00 $ 0.00
August 2018......... 0.00 0.00
September 2018...... 0.00 0.00
October 2018........ 0.00 0.00
November 2018....... 0.00 0.00
December 2018....... 0.00 0.00
January 2019........ 0.00 0.00
February 2019....... 0.00 0.00
March 2019.......... 0.00 0.00
April 2019.......... 0.00 0.00
May 2019............ 0.00 0.00
June 2019........... 0.00 0.00
July 2019........... 0.00 0.00
August 2019......... 0.00 0.00
September 2019...... 0.00 0.00
October 2019........ 0.00 0.00
November 2019....... 0.00 0.00
December 2019....... 0.00 0.00
January 2020........ 0.00 0.00
February 2020....... 0.00 0.00
March 2020.......... 0.00 0.00
April 2020.......... 0.00 0.00
May 2020............ 0.00 0.00
June 2020........... 0.00 0.00
July 2020........... 0.00 0.00
August 2020......... 0.00 0.00
September 2020...... 0.00 0.00
October 2020........ 0.00 0.00
November 2020....... 0.00 0.00
December 2020....... 0.00 0.00
January 2021........ 0.00 0.00
February 2021....... 0.00 0.00
March 2021.......... 0.00 0.00
April 2021.......... 0.00 0.00
May 2021............ 0.00 0.00
June 2021........... 0.00 0.00
July 2021........... 0.00 0.00
August 2021......... 0.00 0.00
September 2021...... 0.00 0.00
October 2021........ 0.00 0.00
November 2021....... 0.00 0.00
December 2021....... 0.00 0.00
January 2022........ 0.00 0.00
February 2022....... 0.00 0.00
March 2022.......... 0.00 0.00
April 2022.......... 0.00 0.00
May 2022............ 0.00 0.00
June 2022........... 0.00 0.00
July 2022........... 0.00 0.00
August 2022......... 0.00 0.00
</TABLE>
S-23
<PAGE>
<TABLE>
<CAPTION>
HA Class HB Class K Class L Class FJ Class M Class MA Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- ---------------- --------------- --------------- --------------- ---------------
<S> <C>
September 2022...... $ 0.00 $ 0.00 $ 0.00 $ 332,656.04 $ 0.00 $ 0.00 $ 0.00
October 2022........ 0.00 0.00 0.00 275,047.10 0.00 0.00 0.00
November 2022....... 0.00 0.00 0.00 218,586.47 0.00 0.00 0.00
December 2022....... 0.00 0.00 0.00 163,256.01 0.00 0.00 0.00
January 2023........ 0.00 0.00 0.00 109,037.87 0.00 0.00 0.00
February 2023....... 0.00 0.00 0.00 55,914.41 0.00 0.00 0.00
March 2023.......... 0.00 0.00 0.00 3,868.29 0.00 0.00 0.00
April 2023 and
thereafter......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
<CAPTION>
N Class P Class
Distribution Planned Scheduled
Date Balance Balance
- -------------------- --------------- ---------------
<S> <C>
September 2022...... $ 0.00 $ 0.00
October 2022........ 0.00 0.00
November 2022....... 0.00 0.00
December 2022....... 0.00 0.00
January 2023........ 0.00 0.00
February 2023....... 0.00 0.00
March 2023.......... 0.00 0.00
April 2023 and
thereafter......... 0.00 0.00
S-24
<PAGE>
<CAPTION>
FG Class SG Class SH Class FD Class SD Class SE Class FK Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- -------------- ------------ -------------- -------------- -------------- ---------------
<S> <C>
Initial Balance..... $ 12,460,000.00 $ 4,343,200.00 $ 996,800.00 $ 7,490,000.00 $ 1,172,348.00 $ 2,037,652.00 $ 20,755,000.00
August 1993......... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 20,706,517.00
September 1993...... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 20,641,876.15
October 1993........ 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 20,561,113.50
November 1993....... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 20,464,289.50
December 1993....... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 20,351,489.00
January 1994........ 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 20,222,821.27
February 1994....... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 20,078,419.98
March 1994.......... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 19,918,443.10
April 1994.......... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 19,743,072.76
May 1994............ 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 19,552,515.05
June 1994........... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 19,346,999.85
July 1994........... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 19,126,780.49
August 1994......... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 18,892,133.47
September 1994...... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 18,643,358.08
October 1994........ 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 18,380,775.99
November 1994....... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 18,104,730.77
December 1994....... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 17,815,587.44
January 1995........ 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 17,513,731.86
February 1995....... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 17,199,570.18
March 1995.......... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 16,873,528.20
April 1995.......... 12,460,000.00 4,343,200.00 996,800.00 7,490,000.00 1,172,348.00 2,037,652.00 16,536,050.69
May 1995............ 12,425,201.43 4,331,070.21 994,016.11 7,490,000.00 1,172,348.00 2,037,652.00 16,187,600.71
June 1995........... 11,707,317.62 4,080,836.43 936,585.41 7,490,000.00 1,172,348.00 2,037,652.00 15,828,658.80
July 1995........... 10,969,444.54 3,823,634.95 877,555.56 7,490,000.00 1,172,348.00 2,037,652.00 15,459,722.27
August 1995......... 10,212,608.60 3,559,823.57 817,008.69 7,490,000.00 1,172,348.00 2,037,652.00 15,081,304.30
September 1995...... 9,437,866.31 3,289,770.54 755,029.30 7,490,000.00 1,172,348.00 2,037,652.00 14,693,933.16
October 1995........ 8,646,302.51 3,013,854.02 691,704.20 7,490,000.00 1,172,348.00 2,037,652.00 14,298,151.25
November 1995....... 7,839,028.55 2,732,461.38 627,122.28 7,490,000.00 1,172,348.00 2,037,652.00 13,894,514.28
December 1995....... 7,046,645.13 2,456,259.16 563,731.61 7,490,000.00 1,172,348.00 2,037,652.00 13,498,322.56
January 1996........ 6,268,971.68 2,185,184.41 501,517.73 7,490,000.00 1,172,348.00 2,037,652.00 13,109,485.84
February 1996....... 5,505,829.57 1,919,174.88 440,466.37 7,490,000.00 1,172,348.00 2,037,652.00 12,727,914.79
March 1996.......... 4,757,042.07 1,658,168.95 380,563.37 7,490,000.00 1,172,348.00 2,037,652.00 12,353,521.03
April 1996.......... 4,022,434.32 1,402,105.68 321,794.75 7,490,000.00 1,172,348.00 2,037,652.00 11,986,217.16
May 1996............ 3,301,833.36 1,150,924.77 264,146.67 7,490,000.00 1,172,348.00 2,037,652.00 11,625,916.68
June 1996........... 2,595,068.04 904,566.57 207,605.44 7,490,000.00 1,172,348.00 2,037,652.00 11,272,534.02
July 1996........... 1,901,969.08 662,972.08 152,157.53 7,490,000.00 1,172,348.00 2,037,652.00 10,925,984.54
August 1996......... 1,222,368.97 426,082.90 97,789.52 7,490,000.00 1,172,348.00 2,037,652.00 10,586,184.48
September 1996...... 556,102.03 193,841.28 44,488.16 7,490,000.00 1,172,348.00 2,037,652.00 10,253,051.01
October 1996........ 0.00 0.00 0.00 7,393,004.32 1,157,166.07 2,011,264.36 9,926,502.16
November 1996....... 0.00 0.00 0.00 6,752,913.70 1,056,977.95 1,837,127.92 9,606,456.85
December 1996....... 0.00 0.00 0.00 6,125,669.72 958,800.62 1,666,486.40 9,292,834.86
January 1997........ 0.00 0.00 0.00 5,511,113.68 862,609.23 1,499,296.64 8,985,556.84
February 1997....... 0.00 0.00 0.00 4,909,088.60 768,379.20 1,335,515.92 8,684,544.30
March 1997.......... 0.00 0.00 0.00 4,319,439.15 676,086.23 1,175,101.98 8,389,719.58
April 1997.......... 0.00 0.00 0.00 3,742,011.69 585,706.26 1,018,013.03 8,101,005.84
May 1997............ 0.00 0.00 0.00 3,176,654.24 497,215.52 864,207.73 7,818,327.12
June 1997........... 0.00 0.00 0.00 2,623,216.44 410,590.46 713,645.16 7,541,608.22
July 1997........... 0.00 0.00 0.00 2,081,549.56 325,807.81 566,284.86 7,270,774.78
August 1997......... 0.00 0.00 0.00 1,551,506.47 242,844.53 422,086.82 7,005,753.24
<CAPTION>
SK Class SL Class
Distribution Scheduled Scheduled
Date Balance Balance
- -------------------- -------------- --------------
<S> <C>
Initial Balance..... $ 6,442,136.00 $ 2,452,864.00
August 1993......... 6,427,087.38 2,447,134.19
September 1993...... 6,407,023.53 2,439,494.82
October 1993........ 6,381,955.65 2,429,950.14
November 1993....... 6,351,902.49 2,418,507.30
December 1993....... 6,316,890.38 2,405,176.33
January 1994........ 6,276,953.26 2,389,970.14
February 1994....... 6,232,132.60 2,372,904.53
March 1994.......... 6,182,477.45 2,353,998.17
April 1994.......... 6,128,044.32 2,333,272.58
May 1994............ 6,068,897.19 2,310,752.12
June 1994........... 6,005,107.41 2,286,463.96
July 1994........... 5,936,753.61 2,260,438.03
August 1994......... 5,863,921.62 2,232,707.01
September 1994...... 5,786,704.33 2,203,306.28
October 1994........ 5,705,201.58 2,172,273.85
November 1994....... 5,619,520.01 2,139,650.32
December 1994....... 5,529,772.93 2,105,478.83
January 1995........ 5,436,080.10 2,069,804.98
February 1995....... 5,338,567.59 2,032,676.78
March 1995.......... 5,237,367.55 1,994,144.54
April 1995.......... 5,132,618.04 1,954,260.83
May 1995............ 5,024,462.79 1,913,080.37
June 1995........... 4,913,050.96 1,870,659.95
July 1995........... 4,798,536.90 1,827,058.36
August 1995......... 4,681,079.90 1,782,336.23
September 1995...... 4,560,843.93 1,736,555.99
October 1995........ 4,437,997.35 1,689,781.76
November 1995....... 4,312,712.63 1,642,079.20
December 1995....... 4,189,738.85 1,595,256.54
January 1996........ 4,069,047.97 1,549,303.10
February 1996....... 3,950,612.29 1,504,208.33
March 1996.......... 3,834,404.36 1,459,961.79
April 1996.......... 3,720,397.06 1,416,553.15
May 1996............ 3,608,563.55 1,373,972.17
June 1996........... 3,498,877.25 1,332,208.76
July 1996........... 3,391,311.89 1,291,252.91
August 1996......... 3,285,841.49 1,251,094.72
September 1996...... 3,182,440.33 1,211,724.39
October 1996........ 3,081,082.96 1,173,132.25
November 1996....... 2,981,744.23 1,135,308.70
December 1996....... 2,884,399.23 1,098,244.28
January 1997........ 2,789,023.33 1,061,929.60
February 1997....... 2,695,592.17 1,026,355.39
March 1997.......... 2,604,081.64 991,512.46
April 1997.......... 2,514,467.91 957,391.74
May 1997............ 2,426,727.37 923,984.25
June 1997........... 2,340,836.71 891,281.10
July 1997........... 2,256,772.82 859,273.51
August 1997......... 2,174,512.89 827,952.78
S-25
<PAGE>
<CAPTION>
FG Class SG Class SH Class FD Class SD Class SE Class FK Class
Distribution Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- -------------- ------------ -------------- -------------- -------------- ---------------
<S> <C>
September 1997...... $ 0.00 $ 0.00 $ 0.00 $ 1,032,941.64 $ 161,677.85 $ 281,011.43 $ 6,746,470.82
October 1997........ 0.00 0.00 0.00 525,711.09 82,285.23 143,019.53 6,492,855.54
November 1997....... 0.00 0.00 0.00 29,672.43 4,644.38 8,072.37 6,244,836.21
December 1997....... 0.00 0.00 0.00 0.00 0.00 0.00 6,002,342.38
January 1998........ 0.00 0.00 0.00 0.00 0.00 0.00 5,765,304.37
February 1998....... 0.00 0.00 0.00 0.00 0.00 0.00 5,533,653.27
March 1998.......... 0.00 0.00 0.00 0.00 0.00 0.00 5,307,320.91
April 1998.......... 0.00 0.00 0.00 0.00 0.00 0.00 5,086,239.85
May 1998............ 0.00 0.00 0.00 0.00 0.00 0.00 4,870,343.39
June 1998........... 0.00 0.00 0.00 0.00 0.00 0.00 4,659,565.56
July 1998........... 0.00 0.00 0.00 0.00 0.00 0.00 4,453,841.09
August 1998......... 0.00 0.00 0.00 0.00 0.00 0.00 4,253,105.44
September 1998...... 0.00 0.00 0.00 0.00 0.00 0.00 4,057,294.75
October 1998........ 0.00 0.00 0.00 0.00 0.00 0.00 3,866,345.88
November 1998....... 0.00 0.00 0.00 0.00 0.00 0.00 3,680,196.37
December 1998....... 0.00 0.00 0.00 0.00 0.00 0.00 3,498,784.42
January 1999........ 0.00 0.00 0.00 0.00 0.00 0.00 3,322,048.94
February 1999....... 0.00 0.00 0.00 0.00 0.00 0.00 3,149,929.48
March 1999.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,982,366.27
April 1999.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,819,300.18
May 1999............ 0.00 0.00 0.00 0.00 0.00 0.00 2,660,672.73
June 1999........... 0.00 0.00 0.00 0.00 0.00 0.00 2,506,426.08
July 1999........... 0.00 0.00 0.00 0.00 0.00 0.00 2,356,503.04
August 1999......... 0.00 0.00 0.00 0.00 0.00 0.00 2,210,847.03
September 1999...... 0.00 0.00 0.00 0.00 0.00 0.00 2,069,402.10
October 1999........ 0.00 0.00 0.00 0.00 0.00 0.00 1,932,112.91
November 1999....... 0.00 0.00 0.00 0.00 0.00 0.00 1,798,924.73
December 1999....... 0.00 0.00 0.00 0.00 0.00 0.00 1,669,783.43
January 2000........ 0.00 0.00 0.00 0.00 0.00 0.00 1,544,635.50
February 2000....... 0.00 0.00 0.00 0.00 0.00 0.00 1,423,427.98
March 2000.......... 0.00 0.00 0.00 0.00 0.00 0.00 1,306,108.52
April 2000.......... 0.00 0.00 0.00 0.00 0.00 0.00 1,192,625.36
May 2000............ 0.00 0.00 0.00 0.00 0.00 0.00 1,082,927.28
June 2000........... 0.00 0.00 0.00 0.00 0.00 0.00 976,963.65
July 2000........... 0.00 0.00 0.00 0.00 0.00 0.00 874,684.38
August 2000......... 0.00 0.00 0.00 0.00 0.00 0.00 776,039.97
September 2000...... 0.00 0.00 0.00 0.00 0.00 0.00 680,981.43
October 2000........ 0.00 0.00 0.00 0.00 0.00 0.00 589,460.35
November 2000....... 0.00 0.00 0.00 0.00 0.00 0.00 501,428.84
December 2000....... 0.00 0.00 0.00 0.00 0.00 0.00 416,839.53
January 2001........ 0.00 0.00 0.00 0.00 0.00 0.00 335,645.59
February 2001....... 0.00 0.00 0.00 0.00 0.00 0.00 257,800.72
March 2001.......... 0.00 0.00 0.00 0.00 0.00 0.00 183,259.14
April 2001.......... 0.00 0.00 0.00 0.00 0.00 0.00 111,975.56
May 2001............ 0.00 0.00 0.00 0.00 0.00 0.00 43,905.20
June 2001 and
thereafter......... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
<CAPTION>
SK Class SL Class
Distribution Scheduled Scheduled
Date Balance Balance
- -------------------- -------------- --------------
<S> <C>
September 1997...... $ 2,094,034.33 $ 797,310.31
October 1997........ 2,015,314.79 767,337.59
November 1997....... 1,938,332.17 738,026.21
December 1997....... 1,863,064.61 709,367.84
January 1998........ 1,789,490.48 681,354.25
February 1998....... 1,717,588.39 653,977.30
March 1998.......... 1,647,337.18 627,228.93
April 1998.......... 1,578,715.92 601,101.16
May 1998............ 1,511,703.90 575,586.12
June 1998........... 1,446,280.66 550,676.01
July 1998........... 1,382,425.92 526,363.12
August 1998......... 1,320,119.67 502,639.81
September 1998...... 1,259,342.07 479,498.54
October 1998........ 1,200,073.52 456,931.85
November 1998....... 1,142,294.65 434,932.36
December 1998....... 1,085,986.27 413,492.77
January 1999........ 1,031,129.42 392,605.84
February 1999....... 977,705.33 372,264.45
March 1999.......... 925,695.45 352,461.52
April 1999.......... 875,081.43 333,190.07
May 1999............ 825,845.12 314,443.19
June 1999........... 777,968.57 296,214.04
July 1999........... 731,434.02 278,495.86
August 1999......... 686,223.91 261,281.96
September 1999...... 642,320.87 244,565.74
October 1999........ 599,707.74 228,340.65
November 1999....... 558,367.51 212,600.23
December 1999....... 518,283.40 197,338.07
January 2000........ 479,438.78 182,547.86
February 2000....... 441,817.23 168,223.33
March 2000.......... 405,402.49 154,358.30
April 2000.......... 370,178.50 140,946.65
May 2000............ 336,129.36 127,982.33
June 2000........... 303,239.35 115,459.36
July 2000........... 271,492.93 103,371.81
August 2000......... 240,874.73 91,713.83
September 2000...... 211,369.55 80,479.64
October 2000........ 182,962.36 69,663.51
November 2000....... 155,638.29 59,259.78
December 2000....... 129,382.65 49,262.86
January 2001........ 104,180.90 39,667.21
February 2001....... 80,018.66 30,467.36
March 2001.......... 56,881.73 21,657.90
April 2001.......... 34,756.05 13,233.48
May 2001............ 13,627.72 5,188.80
June 2001 and
thereafter......... 0.00 0.00
S-26
<PAGE>
Characteristics of the R and RL Classes
The R and RL Certificates will not have principal balances and will not
bear interest. The Holder of the R Certificate will be entitled to receive the
proceeds of the remaining assets of the Trust, if any, after the principal
balances of all Classes have been reduced to zero, and the Holder of the RL
Certificate will be entitled to receive the proceeds of the remaining assets of
the Lower Tier REMIC, if any, after the principal balances of the Lower Tier
Interests have been reduced to zero. It is not anticipated that there will be
any material assets remaining in either such circumstance.
The R Class and the RL Class will be subject to certain transfer
restrictions. No transfer of record or beneficial ownership of an R or RL
Certificate will be allowed to a "disqualified organization." In addition, no
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to any person that is not a "U.S. Person" without the written consent of
Fannie Mae. Under regulations issued by the Treasury Department on December 23,
1992 (the "Regulations"), a transfer of a "noneconomic residual interest" to a
U.S. Person will be disregarded for all federal tax purposes unless no
significant purpose of the transfer is to impede the assessment or collection of
tax. The R and RL Certificates will constitute noneconomic residual interests
under the Regulations. Any transferee of an R or RL Certificate must execute and
deliver an affidavit and an Internal Revenue Service Form W-9 on which the
transferee provides its taxpayer identification number. See "Description of the
Certificates--Additional Characteristics of Residual Certificates" and "Certain
Federal Income Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates" in the REMIC Prospectus. Transferors of an R or RL Certificate
should consult with their own tax advisors for further information regarding
such transfers.
The Holder of the R Certificate will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Certificate will be considered to be the holder of the "residual interest" in
the REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, Fannie
Mae will be obligated to provide to such Holders (i) such information as is
necessary to enable them to prepare their federal income tax returns and (ii)
any reports regarding the Certificates that may be required under the Code.
Yield Considerations
General. There can be no assurance that the Mortgage Loans will have the
characteristics assumed herein or will prepay at any of the rates assumed herein
or at any other particular rate, that the pre-tax yields on the Certificates
will correspond to any of the pre-tax yields shown herein or that the aggregate
purchase prices of the Certificates will be as assumed. In addition, there can
be no assurance that the applicable Index will correspond to the levels shown
herein. Because the rate of principal distributions on the Certificates will be
related to the amortization of the Mortgage Loans in each Pool, which are likely
to include Mortgage Loans that have remaining terms to maturity shorter or
longer than those assumed and interest rates higher or lower than those assumed,
the principal distributions on the Certificates are likely to differ from those
assumed, even if all Mortgage Loans prepay at the indicated constant percentages
of PSA. In addition, it is not likely that the Mortgage Loans will prepay at a
constant PSA rate until maturity, that all of such Mortgage Loans will prepay at
the same rate or that the level of the applicable Index will remain constant.
The timing of changes in the rate of prepayments or the level of the
applicable Index may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments or the average
level of such Index is consistent with the expectations of investors. In
general, the earlier the payment of principal of the Mortgage Loans or change in
the level of an Index, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal
prepayments or the level of an Index occurring at a rate or level higher (or
lower) than the rate or level anticipated by the investor during the period
immediately following the issuance of the
S-27
<PAGE>
Certificates will not be offset by a subsequent like reduction (or increase) in
the rate of principal prepayments or level of such Index.
The effective yield on the Delay Classes will be reduced below the yield
otherwise produced because principal and interest payable on a Distribution Date
will not be distributed until the 25th day following the end of the related
Interest Accrual Period and will not bear interest during such delay. No
interest at all will be paid on any Class after its principal balance has been
reduced to zero. As a result of the foregoing, the market value of the Delay
Classes will be lower than would have been the case if there were no such delay.
Investors must make their own decisions as to the appropriate assumptions,
including prepayment assumptions, to be used in deciding whether to purchase the
Certificates.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of certain Classes to various constant percentages
of PSA and, where specified, to changes in an Index. The yields set forth in the
tables were calculated by determining the monthly discount rates that, when
applied to the assumed streams of cash flows to be paid on the applicable
Classes, would cause the discounted present value of such assumed streams of
cash flows to equal the assumed aggregate purchase prices of such Classes 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 Certificates and consequently do not purport to reflect the
return on any investment in the Certificates when such reinvestment rates are
considered.
The Interest Only Classes. As indicated in the table below, the yields to
investors in the JA, JB, JC, JD and JE Classes will be sensitive in varying
degrees to the rate of principal payments (including prepayments) of the
Mortgage Loans, which generally can be prepaid at any time. On the basis of the
assumptions described below, the yield to maturity on the JA, JB, JC, JD and JE
Classes would be 0% if prepayments were to occur at constant rates of
approximately 2,428% PSA, 402% PSA, 313% PSA, 372% PSA and 2,620% PSA,
respectively. If the actual prepayment rate of the Mortgage Loans were to exceed
any of the foregoing levels for as little as one month while equaling such level
for the remaining months, the investors in the JA, JB, JC, JD and JE Classes, as
applicable, would not fully recoup their initial investments.
The information set forth in the following table was prepared on the basis
of the Pricing Assumptions and the assumption that the aggregate purchase prices
of the JA, JB, JC, JD and JE Classes (expressed as percentages of original
principal balance) are as follows:
Class Price*
--------------------------- ---------
JA......................... 3.49748%
JB......................... 24.81472%
JC......................... 20.48314%
JD......................... 39.71761%
JE......................... 6.06287%
-------------------------------
* The prices do not include accrued interest. Accrued interest has been
added to such prices in calculating the yields set forth in the table
below.
S-28
<PAGE>
Sensitivity of the JA, JB, JC, JD and JE Classes to Prepayments
(Pre-Tax Yields to Maturity)
</TABLE>
<TABLE>
<CAPTION>
PSA Prepayment Assumption
------------------------------------------------
Class 50% 95% 200% 250% 500%
- ----------------------------------- ------ ------ ------ ------ --------
<S> <C>
JA................................. 63.9% 6.5% 6.5% 6.5% 6.5%
JB................................. 16.5% 8.0% 8.0% 8.0% (6.9)%
JC................................. 35.8% 35.2% 9.0% 8.6% (27.0)%
JD................................. 14.3% 8.7% 8.7% 8.7% (10.3)%
JE................................. 6.9% 5.5% 5.5% 5.5% 5.5%
</TABLE>
The Inverse Floating Rate Classes. The yields to investors in the Inverse
Floating Rate Classes will be sensitive in varying degrees to the level of the
applicable Index and to the rate of principal payments (including prepayments)
of the Mortgage Loans, which generally can be prepaid at any time. As indicated
in the tables below, a high level of the applicable Index will have a negative
effect on the yields to investors in the Inverse Floating Rate Classes. It is
possible that, under certain high Index or high prepayment scenarios, investors
in the SJ, S and SM Classes would not fully recoup their initial investments.
Changes in an Index may not correlate with changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur
concurrently with an increased level of such Index.
The information set forth in the following tables was prepared on the basis
of the Pricing Assumptions and the assumptions that (i) the interest rates
applicable to the Inverse Floating Rate Classes for each Interest Accrual Period
subsequent to their initial Interest Accrual Period (or, in the case of the SJ
Class, subsequent to its initial twelve Interest Accrual Periods) will be based
on the indicated level of the applicable Index and (ii) the aggregate purchase
prices of the Inverse Floating Rate Classes (expressed as percentages of
original principal balance) are as follows:
<TABLE>
<CAPTION>
Class Price*
-------------------------------------------------------------- -----------
<S> <C>
SJ ........................................................... 14.21800%
SG ........................................................... 99.10316%
SH ........................................................... 100.45203%
SE ........................................................... 94.10642%
SD ........................................................... 100.23014%
SK ........................................................... 99.10017%
SL ........................................................... 100.66799%
SC ........................................................... 98.04956%
S ........................................................... 101.06748%
SP ........................................................... 99.21667%
SO ........................................................... 100.20087%
SB ........................................................... 88.46796%
SA ........................................................... 100.08223%
SN ........................................................... 88.30420%
SM............................................................ 100.21357%
</TABLE>
-------------------------------
* The prices do not include accrued interest. Accrued interest has been
added to such prices in calculating the yields set forth in the tables
below.
S-29
<PAGE>
Sensitivity of the SJ Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------------
LIBOR 50% 95% 200% 250% 500%
-------- ------ ------- ------- ------- --------
<S> <C>
1.1875%............................ 41.6% 34.7% 34.7% 34.7% 24.6%
3.1875%............................ 31.1% 24.0% 24.0% 24.0% 12.3%
5.1875%............................ 18.8% 11.2% 11.2% 11.2% (3.0)%
7.1875%............................ 2.7% (5.8)% (5.8)% (5.8)% (24.6)%
9.0500%............................ * * * * *
</TABLE>
- ---------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SG Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 175% 200% 250% 500%
------ ------ ------ ------ ------ ------ ------
<S> <C>
1.25%.............................. 21.8% 21.8% 22.0% 22.0% 22.0% 22.1%
3.25%.............................. 15.7% 15.7% 16.0% 16.0% 16.0% 16.1%
5.25%.............................. 9.6% 9.7% 10.1% 10.1% 10.1% 10.3%
7.25%.............................. 3.7% 3.7% 4.3% 4.3% 4.3% 4.5%
8.50% and above.................... 0.1% 0.1% 0.8% 0.8% 0.8% 1.0%
</TABLE>
Sensitivity of the SH Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 175% 200% 250% 500%
- ----------------------------------- ------ ------ ------ ------ ------ ------
<S> <C>
8.50% and below.................... 10.2% 10.2% 10.0% 10.0% 10.0% 9.9%
8.75%.............................. 7.0% 7.0% 6.9% 6.9% 6.9% 6.8%
9.00%.............................. 3.8% 3.8% 3.8% 3.8% 3.8% 3.8%
9.30%.............................. 0.0% 0.0% 0.1% 0.1% 0.1% 0.1%
</TABLE>
Sensitivity of the SE Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 175% 200% 250% 500%
--------- ------ ------ ------ ------ ------ ------
<S> <C>
1.25%.............................. 23.4% 23.4% 24.5% 24.5% 24.5% 25.7%
3.25%.............................. 15.1% 15.2% 16.4% 16.4% 16.4% 17.7%
5.25%.............................. 7.1% 7.1% 8.6% 8.6% 8.6% 9.9%
7.00% and above.................... 0.3% 0.3% 1.9% 1.9% 1.9% 3.3%
</TABLE>
Sensitivity of the SD Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 175% 200% 250% 500%
--------- ------ ------ ------ ------ ------ ------
<S> <C>
7.00% and below.................... 11.7% 11.7% 11.7% 11.7% 11.7% 11.7%
7.25%.............................. 10.1% 10.1% 10.1% 10.1% 10.1% 10.0%
8.25%.............................. 3.6% 3.6% 3.6% 3.6% 3.6% 3.7%
8.80%.............................. 0.0% 0.0% 0.2% 0.2% 0.2% 0.3%
</TABLE>
S-30
<PAGE>
Sensitivity of the SK Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 175% 200% 250% 500%
-------- ------ ------ ------ ------ ------ ------
<S> <C>
1.1875%............................ 23.1% 23.1% 23.2% 23.2% 23.2% 23.3%
3.1875%............................ 16.2% 16.2% 16.4% 16.4% 16.4% 16.7%
5.1875%............................ 9.4% 9.4% 9.7% 9.7% 9.7% 10.1%
7.1875%............................ 2.7% 2.8% 3.2% 3.2% 3.2% 3.7%
8.0000% and above.................. 0.1% 0.1% 0.6% 0.6% 0.6% 1.1%
</TABLE>
Sensitivity of the SL Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------
LIBOR 50% 95% 175% 200% 250% 500%
--------- ------ ------ ------ ------ ------ ------
<S> <C>
8.0000% and below.................. 11.2% 11.2% 11.0% 11.0% 11.0% 10.8%
8.1875%............................ 9.5% 9.5% 9.4% 9.4% 9.4% 9.2%
9.1875%............................ 1.0% 1.0% 1.0% 1.0% 1.0% 1.0%
9.3000%............................ 0.0% 0.0% 0.0% 0.0% 0.0% 0.1%
</TABLE>
Sensitivity of the SC Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 95% 200% 250% 500%
-------- ------ ------ ------ ------ ------
<S> <C>
1.25%.............................. 23.6% 23.6% 24.0% 24.6% 26.2%
3.25%.............................. 16.4% 16.4% 17.0% 17.8% 19.8%
5.25%.............................. 9.4% 9.5% 10.2% 11.1% 13.5%
7.25%.............................. 2.6% 2.6% 3.5% 4.5% 7.4%
8.00% and above.................... 0.1% 0.1% 1.0% 2.1% 5.1%
</TABLE>
Sensitivity of the S Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------
LIBOR 50% 95% 200% 250% 500%
---------- ------ ------ ------- ------- -------
<S> <C>
8.00% and below.................... 10.6% 10.6% 10.3% 9.9% 8.9%
8.25%.............................. 8.5% 8.5% 8.3% 7.9% 7.0%
8.75%.............................. 4.4% 4.4% 4.3% 4.0% 3.4%
9.30%.............................. 0.0% 0.0% (0.1)% (0.2)% (0.6)%
</TABLE>
Sensitivity of the SP Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 95% 200% 250% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
1.1875%............................ 23.6% 23.6% 23.7% 23.8% 24.2%
3.1875%............................ 16.0% 16.0% 16.2% 16.5% 17.4%
5.1875%............................ 8.5% 8.5% 8.8% 9.4% 10.7%
7.1875%............................ 1.2% 1.2% 1.7% 2.4% 4.2%
7.5000% and above.................. 0.1% 0.1% 0.5% 1.3% 3.2%
</TABLE>
S-31
<PAGE>
Sensitivity of the SO Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 95% 200% 250% 500%
--------- ------ ------ ------ ------ ------
<S> <C>
7.5000% and below.................. 11.8% 11.8% 11.7% 11.6% 11.4%
8.1875%............................ 7.0% 7.0% 7.0% 7.0% 7.2%
8.5000%............................ 4.8% 4.8% 4.9% 5.0% 5.2%
9.2000%............................ 0.0% 0.0% 0.2% 0.4% 1.0%
</TABLE>
Sensitivity of the SB Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 95% 200% 250% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
2.17%.............................. 20.4% 20.4% 20.8% 22.4% 27.8%
4.17%.............................. 12.7% 12.7% 13.1% 14.9% 20.5%
6.17%.............................. 5.2% 5.2% 5.7% 7.7% 13.4%
7.50% and above.................... 0.4% 0.5% 0.9% 3.0% 8.7%
</TABLE>
Sensitivity of the SA Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------
COFI 50% 95% 200% 250% 500%
- ----------------------------------- ------ ------ ------ ------ ----
<S> <C>
7.50% and below.................... 10.1% 10.1% 10.1% 10.0% 9.6%
8.00%.............................. 6.0% 6.0% 6.0% 5.9% 5.7%
8.25%.............................. 4.0% 4.0% 4.0% 3.9% 3.8%
8.75%.............................. 0.0% 0.0% 0.0% 0.0% 0.0%
</TABLE>
Sensitivity of the SN Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 95% 200% 250% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
2.17%.............................. 20.4% 20.4% 20.5% 22.9% 29.0%
4.17%.............................. 12.6% 12.6% 12.8% 15.5% 21.7%
6.17%.............................. 5.2% 5.2% 5.4% 8.3% 14.6%
7.50% and above.................... 0.4% 0.4% 0.7% 3.7% 10.0%
</TABLE>
Sensitivity of the SM Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
------------------------------------------------
COFI 50% 95% 200% 250% 500%
- ----------------------------------- ------ ------ ------ ------- -------
<S> <C>
7.50% and below.................... 10.1% 10.1% 10.1% 9.9% 9.4%
8.17%.............................. 6.6% 6.6% 6.6% 6.4% 6.1%
9.17%.............................. 1.4% 1.4% 1.4% 1.4% 1.2%
9.45%.............................. 0.0% 0.0% 0.0% (0.1)% (0.1)%
</TABLE>
S-32
<PAGE>
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a) multiplying
the amount of the reduction, if any, of the principal balance of such
Certificate from one Distribution Date to the next Distribution Date by the
number of years from the date of issuance to the second such Distribution Date,
(b) summing the results and (c) dividing the sum by the aggregate amount of the
reductions in principal balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average life
of a Certificate, see "Description of the Certificates-- Weighted Average Life
and Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including the timing of changes in such rate of principal
payments, the priority sequence of distributions of principal of the Classes and
the distribution of principal of certain Classes in accordance with the
Principal Balance Schedules herein. In particular, if the amount distributable
as principal of the Certificates on any Distribution Date exceeds the amount
required to reduce the principal balances of certain Classes with higher
principal payment priorities to their respective scheduled amounts as set forth
in the Principal Balance Schedules, such excess principal will be distributed on
the remaining Classes on such Distribution Date. Conversely, if the principal
distributable on any Distribution Date is less than the amount so required to
reduce certain Classes to their respective scheduled amounts, no principal will
be distributed on the remaining Classes on such Distribution Date. Accordingly,
the rate of principal payments on the Mortgage Loans is expected to have a
greater effect on the weighted average lives of the Support Classes and, under
certain prepayment scenarios, the Scheduled Classes and the PAC II Classes, than
on the weighted average lives of the PAC I Classes. See "Distributions of
Principal" herein.
The interaction of the foregoing factors may have different effects on
various Classes and the effects on any Class may vary at different times during
the life of such Class. Accordingly, no assurance can be given as to the
weighted average life of any Class. Further, to the extent the prices of the
Certificates represent discounts or premiums to their respective original
principal balances, variability in the weighted average lives of such Classes of
Certificates could result in variability in the related yields to maturity. For
an example of how the weighted average lives of the Classes may be affected at
various constant prepayment rates, see the Decrement Tables below.
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of the
Pricing Assumptions, except that with respect to the information set forth for
each such Class under 0% PSA it has been assumed that each underlying Mortgage
Loan bears an interest rate of 9.50% per annum and has an original and remaining
term to maturity of 360 months. It is not likely that (i) all of the underlying
Mortgage Loans will have the interest rates, CAGEs or remaining terms to
maturity assumed or (ii) the underlying Mortgage Loans will prepay at a constant
PSA level. In addition, the diverse remaining terms to maturity of the Mortgage
Loans (which will include recently originated Mortgage Loans) could produce
slower or faster principal distributions than indicated in the tables at the
specified constant PSA levels, even if the weighted average remaining term to
maturity and the weighted average CAGE of the Mortgage Loans are identical to
the remaining term to maturity and CAGE specified in the Pricing Assumptions.
S-33
<PAGE>
Percent of Original Principal Balances Outstanding
A and AB Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 92 66 66 66 66
July 1995........... 82 1 1 1 1
July 1996........... 72 0 0 0 0
July 1997........... 61 0 0 0 0
July 1998........... 49 0 0 0 0
July 1999........... 35 0 0 0 0
July 2000........... 20 0 0 0 0
July 2001........... 4 0 0 0 0
July 2002........... 0 0 0 0 0
July 2003........... 0 0 0 0 0
July 2004........... 0 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 4.7 1.2 1.2 1.2 1.2
B Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 0 0 0 0
July 1997........... 100 0 0 0 0
July 1998........... 100 0 0 0 0
July 1999........... 100 0 0 0 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 79 0 0 0 0
July 2003........... 49 0 0 0 0
July 2004........... 17 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 10.0 2.4 2.4 2.4 2.4
C Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 83 83 83 4
July 1997........... 100 2 2 2 0
July 1998........... 100 0 0 0 0
July 1999........... 100 0 0 0 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 87 0 0 0 0
July 2006........... 61 0 0 0 0
July 2007........... 32 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 13.4 3.4 3.4 3.4 2.9
D Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 0
July 1998........... 100 0 0 0 0
July 1999........... 100 0 0 0 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 100 0 0 0 0
July 2006........... 100 0 0 0 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 41 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 15.9 4.4 4.4 4.4 3.2
E Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 *
July 1998........... 100 90 90 90 0
July 1999........... 100 40 40 40 0
July 2000........... 100 0 0 0 0
July 2001........... 100 0 0 0 0
July 2002........... 100 0 0 0 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 100 0 0 0 0
July 2006........... 100 0 0 0 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 90 0 0 0 0
July 2011........... 62 0 0 0 0
July 2012........... 30 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.4 5.8 5.8 5.8 3.6
G, GA and JD+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 0
July 1999........... 100 100 100 100 0
July 2000........... 100 93 93 93 0
July 2001........... 100 45 45 45 0
July 2002........... 100 * * * 0
July 2003........... 100 0 0 0 0
July 2004........... 100 0 0 0 0
July 2005........... 100 0 0 0 0
July 2006........... 100 0 0 0 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 95 0 0 0 0
July 2014........... 53 0 0 0 0
July 2015........... 8 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 21.1 7.9 7.9 7.9 4.5
H Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 95
July 1999........... 100 100 100 100 41
July 2000........... 100 100 100 100 3
July 2001........... 100 100 100 100 0
July 2002........... 100 100 100 100 0
July 2003........... 100 70 70 70 0
July 2004........... 100 45 45 45 0
July 2005........... 100 23 23 23 0
July 2006........... 100 6 6 6 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 100 0 0 0 0
July 2015........... 100 0 0 0 0
July 2016........... 69 0 0 0 0
July 2017........... 30 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.5 10.9 10.9 10.9 5.9
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-34
<PAGE>
HA Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 92
July 1999........... 100 100 100 100 7
July 2000........... 100 100 100 100 0
July 2001........... 100 100 100 100 0
July 2002........... 100 100 100 100 0
July 2003........... 100 53 53 53 0
July 2004........... 100 13 13 13 0
July 2005........... 100 0 0 0 0
July 2006........... 100 0 0 0 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 100 0 0 0 0
July 2015........... 100 0 0 0 0
July 2016........... 52 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.1 10.1 10.1 10.1 5.5
HB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 100
July 1999........... 100 100 100 100 100
July 2000........... 100 100 100 100 10
July 2001........... 100 100 100 100 0
July 2002........... 100 100 100 100 0
July 2003........... 100 100 100 100 0
July 2004........... 100 100 100 100 0
July 2005........... 100 65 65 65 0
July 2006........... 100 16 16 16 0
July 2007........... 100 0 0 0 0
July 2008........... 100 0 0 0 0
July 2009........... 100 0 0 0 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 100 0 0 0 0
July 2015........... 100 0 0 0 0
July 2016........... 100 0 0 0 0
July 2017........... 82 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 24.3 12.3 12.3 12.3 6.6
K Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 100
July 1999........... 100 100 100 100 100
July 2000........... 100 100 100 100 100
July 2001........... 100 100 100 100 44
July 2002........... 100 100 100 100 0
July 2003........... 100 100 100 100 0
July 2004........... 100 100 100 100 0
July 2005........... 100 100 100 100 0
July 2006........... 100 100 100 100 0
July 2007........... 100 76 76 76 0
July 2008........... 100 45 45 45 0
July 2009........... 100 18 18 18 0
July 2010........... 100 0 0 0 0
July 2011........... 100 0 0 0 0
July 2012........... 100 0 0 0 0
July 2013........... 100 0 0 0 0
July 2014........... 100 0 0 0 0
July 2015........... 100 0 0 0 0
July 2016........... 100 0 0 0 0
July 2017........... 100 0 0 0 0
July 2018........... 64 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.1 14.9 14.9 14.9 8.0
L Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 100
July 1995........... 100 100 100 100 100
July 1996........... 100 100 100 100 100
July 1997........... 100 100 100 100 100
July 1998........... 100 100 100 100 100
July 1999........... 100 100 100 100 100
July 2000........... 100 100 100 100 100
July 2001........... 100 100 100 100 100
July 2002........... 100 100 100 100 98
July 2003........... 100 100 100 100 68
July 2004........... 100 100 100 100 46
July 2005........... 100 100 100 100 32
July 2006........... 100 100 100 100 21
July 2007........... 100 100 100 100 15
July 2008........... 100 100 100 100 10
July 2009........... 100 100 100 100 7
July 2010........... 100 96 96 96 4
July 2011........... 100 78 78 78 3
July 2012........... 100 62 62 62 2
July 2013........... 100 50 50 50 1
July 2014........... 100 39 39 39 1
July 2015........... 100 31 31 31 1
July 2016........... 100 23 23 23 *
July 2017........... 100 18 18 18 *
July 2018........... 100 13 13 13 *
July 2019........... 43 9 9 9 *
July 2020........... 6 6 6 6 *
July 2021........... 3 3 3 3 *
July 2022........... 1 1 1 1 *
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 26.1 20.8 20.8 20.8 11.6
JA+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 74 0 0 0 0
July 1995........... 46 0 0 0 0
July 1996........... 14 0 0 0 0
July 1997........... 0 0 0 0 0
July 1998........... 0 0 0 0 0
July 1999........... 0 0 0 0 0
July 2000........... 0 0 0 0 0
July 2001........... 0 0 0 0 0
July 2002........... 0 0 0 0 0
July 2003........... 0 0 0 0 0
July 2004........... 0 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 1.8 0.6 0.6 0.6 0.6
JB+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 99 99 99 99
July 1995........... 100 82 82 82 82
July 1996........... 100 62 62 62 46
July 1997........... 98 45 45 45 18
July 1998........... 95 33 33 33 10
July 1999........... 91 25 25 25 4
July 2000........... 87 18 18 18 *
July 2001........... 83 14 14 14 0
July 2002........... 78 11 11 11 0
July 2003........... 73 7 7 7 0
July 2004........... 68 5 5 5 0
July 2005........... 62 2 2 2 0
July 2006........... 57 1 1 1 0
July 2007........... 51 0 0 0 0
July 2008........... 45 0 0 0 0
July 2009........... 39 0 0 0 0
July 2010........... 33 0 0 0 0
July 2011........... 29 0 0 0 0
July 2012........... 23 0 0 0 0
July 2013........... 18 0 0 0 0
July 2014........... 15 0 0 0 0
July 2015........... 11 0 0 0 0
July 2016........... 7 0 0 0 0
July 2017........... 3 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.2 4.6 4.6 4.6 3.2
JE+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 0 0 0 0 0
July 1995........... 0 0 0 0 0
July 1996........... 0 0 0 0 0
July 1997........... 0 0 0 0 0
July 1998........... 0 0 0 0 0
July 1999........... 0 0 0 0 0
July 2000........... 0 0 0 0 0
July 2001........... 0 0 0 0 0
July 2002........... 0 0 0 0 0
July 2003........... 0 0 0 0 0
July 2004........... 0 0 0 0 0
July 2005........... 0 0 0 0 0
July 2006........... 0 0 0 0 0
July 2007........... 0 0 0 0 0
July 2008........... 0 0 0 0 0
July 2009........... 0 0 0 0 0
July 2010........... 0 0 0 0 0
July 2011........... 0 0 0 0 0
July 2012........... 0 0 0 0 0
July 2013........... 0 0 0 0 0
July 2014........... 0 0 0 0 0
July 2015........... 0 0 0 0 0
July 2016........... 0 0 0 0 0
July 2017........... 0 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 1.0 1.0 1.0 1.0 1.0
FJ and SJ+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 98 93 93 93 93
July 1995........... 96 80 80 80 80
July 1996........... 94 64 64 64 50
July 1997........... 92 50 50 50 23
July 1998........... 90 38 38 38 12
July 1999........... 87 30 30 30 5
July 2000........... 84 22 22 22 *
July 2001........... 81 17 17 17 0
July 2002........... 77 13 13 13 0
July 2003........... 73 9 9 9 0
July 2004........... 69 6 6 6 0
July 2005........... 65 3 3 3 0
July 2006........... 60 1 1 1 0
July 2007........... 55 0 0 0 0
July 2008........... 50 0 0 0 0
July 2009........... 44 0 0 0 0
July 2010........... 38 0 0 0 0
July 2011........... 33 0 0 0 0
July 2012........... 28 0 0 0 0
July 2013........... 22 0 0 0 0
July 2014........... 18 0 0 0 0
July 2015........... 14 0 0 0 0
July 2016........... 9 0 0 0 0
July 2017........... 4 0 0 0 0
July 2018........... 0 0 0 0 0
July 2019........... 0 0 0 0 0
July 2020........... 0 0 0 0 0
July 2021........... 0 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.4 4.8 4.8 4.8 3.2
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-35
<PAGE>
M Class
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 95% 120% 200% 230% 250% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100 100
July 1994........... 100 100 93 93 93 93 93
July 1995........... 100 100 76 76 76 76 76
July 1996........... 100 100 55 55 55 55 0
July 1997........... 100 100 37 37 37 37 0
July 1998........... 100 100 21 21 21 21 0
July 1999........... 100 100 9 9 9 9 0
July 2000........... 100 100 0 0 0 0 0
July 2001........... 100 100 0 0 0 0 0
July 2002........... 100 100 0 0 0 0 0
July 2003........... 100 97 0 0 0 0 0
July 2004........... 100 87 0 0 0 0 0
July 2005........... 100 72 0 0 0 0 0
July 2006........... 100 52 0 0 0 0 0
July 2007........... 100 28 0 0 0 0 0
July 2008........... 100 1 0 0 0 0 0
July 2009........... 100 0 0 0 0 0 0
July 2010........... 100 0 0 0 0 0 0
July 2011........... 100 0 0 0 0 0 0
July 2012........... 100 0 0 0 0 0 0
July 2013........... 100 0 0 0 0 0 0
July 2014........... 100 0 0 0 0 0 0
July 2015........... 100 0 0 0 0 0 0
July 2016........... 100 0 0 0 0 0 0
July 2017........... 100 0 0 0 0 0 0
July 2018........... 100 0 0 0 0 0 0
July 2019........... 100 0 0 0 0 0 0
July 2020........... 10 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 26.7 12.9 3.4 3.4 3.4 3.4 2.1
MA Class
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 95% 120% 200% 230% 250% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100 100
July 1994........... 100 100 93 93 93 93 93
July 1995........... 100 100 78 78 78 78 78
July 1996........... 100 100 59 59 59 59 0
July 1997........... 100 100 42 42 42 42 0
July 1998........... 100 100 28 28 28 28 0
July 1999........... 100 100 16 16 16 16 0
July 2000........... 100 100 7 7 7 0 0
July 2001........... 100 100 0 0 0 0 0
July 2002........... 100 100 0 0 0 0 0
July 2003........... 100 98 0 0 0 0 0
July 2004........... 100 89 0 0 0 0 0
July 2005........... 100 74 0 0 0 0 0
July 2006........... 100 56 0 0 0 0 0
July 2007........... 100 34 0 0 0 0 0
July 2008........... 100 9 0 0 0 0 0
July 2009........... 100 0 0 0 0 0 0
July 2010........... 100 0 0 0 0 0 0
July 2011........... 100 0 0 0 0 0 0
July 2012........... 100 0 0 0 0 0 0
July 2013........... 100 0 0 0 0 0 0
July 2014........... 100 0 0 0 0 0 0
July 2015........... 100 0 0 0 0 0 0
July 2016........... 100 0 0 0 0 0 0
July 2017........... 100 0 0 0 0 0 0
July 2018........... 100 0 0 0 0 0 0
July 2019........... 100 0 0 0 0 0 0
July 2020........... 18 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 26.7 13.1 3.7 3.7 3.7 3.7 2.1
JC+ Class
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 95% 120% 200% 230% 250% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100 100
July 1994........... 100 100 93 93 93 93 93
July 1995........... 100 100 77 77 77 77 77
July 1996........... 100 100 57 57 57 57 0
July 1997........... 100 100 40 40 40 40 0
July 1998........... 100 100 26 26 26 26 0
July 1999........... 100 100 14 14 14 14 0
July 2000........... 100 100 4 4 4 0 0
July 2001........... 100 100 0 0 0 0 0
July 2002........... 100 100 0 0 0 0 0
July 2003........... 100 97 0 0 0 0 0
July 2004........... 100 88 0 0 0 0 0
July 2005........... 100 73 0 0 0 0 0
July 2006........... 100 54 0 0 0 0 0
July 2007........... 100 32 0 0 0 0 0
July 2008........... 100 7 0 0 0 0 0
July 2009........... 100 0 0 0 0 0 0
July 2010........... 100 0 0 0 0 0 0
July 2011........... 100 0 0 0 0 0 0
July 2012........... 100 0 0 0 0 0 0
July 2013........... 100 0 0 0 0 0 0
July 2014........... 100 0 0 0 0 0 0
July 2015........... 100 0 0 0 0 0 0
July 2016........... 100 0 0 0 0 0 0
July 2017........... 100 0 0 0 0 0 0
July 2018........... 100 0 0 0 0 0 0
July 2019........... 100 0 0 0 0 0 0
July 2020........... 15 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 26.7 13.0 3.6 3.6 3.6 3.6 2.1
N Class
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 95% 120% 200% 230% 250% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100 100
July 1994........... 100 100 100 100 100 100 100
July 1995........... 100 100 100 100 100 100 100
July 1996........... 100 100 100 100 100 100 0
July 1997........... 100 100 100 100 100 100 0
July 1998........... 100 100 100 100 100 100 0
July 1999........... 100 100 100 100 100 100 0
July 2000........... 100 100 100 100 100 75 0
July 2001........... 100 100 89 89 89 21 0
July 2002........... 100 100 72 72 72 1 0
July 2003........... 100 100 64 64 64 1 0
July 2004........... 100 100 54 54 54 1 0
July 2005........... 100 100 44 44 44 1 0
July 2006........... 100 100 33 33 33 1 0
July 2007........... 100 100 22 22 22 1 0
July 2008........... 100 100 11 11 11 1 0
July 2009........... 100 33 1 1 1 1 0
July 2010........... 100 0 0 0 0 1 0
July 2011........... 100 0 0 0 0 1 0
July 2012........... 100 0 0 0 0 1 0
July 2013........... 100 0 0 0 0 1 0
July 2014........... 100 0 0 0 0 1 0
July 2015........... 100 0 0 0 0 1 0
July 2016........... 100 0 0 0 0 1 0
July 2017........... 100 0 0 0 0 1 0
July 2018........... 100 0 0 0 0 1 0
July 2019........... 100 0 0 0 0 1 0
July 2020........... 100 0 0 0 0 1 0
July 2021........... 0 0 0 0 0 1 0
July 2022........... 0 0 0 0 0 1 0
July 2023........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 27.3 15.8 11.5 11.5 11.5 7.7 2.5
P Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 95% 175% 200% 250% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
July 1994........... 100 100 64 64 64 64
July 1995........... 100 100 0 0 0 0
July 1996........... 100 100 0 0 0 0
July 1997........... 100 100 0 0 0 0
July 1998........... 100 100 0 0 0 0
July 1999........... 100 100 0 0 0 0
July 2000........... 100 100 0 0 0 0
July 2001........... 100 100 0 0 0 0
July 2002........... 100 100 0 0 0 0
July 2003........... 100 100 0 0 0 0
July 2004........... 100 100 0 0 0 0
July 2005........... 100 100 0 0 0 0
July 2006........... 100 100 0 0 0 0
July 2007........... 100 100 0 0 0 0
July 2008........... 100 100 0 0 0 0
July 2009........... 100 100 0 0 0 0
July 2010........... 100 58 0 0 0 0
July 2011........... 100 0 0 0 0 0
July 2012........... 100 0 0 0 0 0
July 2013........... 100 0 0 0 0 0
July 2014........... 100 0 0 0 0 0
July 2015........... 100 0 0 0 0 0
July 2016........... 100 0 0 0 0 0
July 2017........... 100 0 0 0 0 0
July 2018........... 100 0 0 0 0 0
July 2019........... 100 0 0 0 0 0
July 2020........... 100 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 27.6 17.1 1.2 1.2 1.2 1.2
FG, SG and SH Classes
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 95% 175% 200% 250% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
July 1994........... 100 100 100 100 100 100
July 1995........... 100 100 88 88 88 24
July 1996........... 100 100 15 15 15 0
July 1997........... 100 100 0 0 0 0
July 1998........... 100 100 0 0 0 0
July 1999........... 100 100 0 0 0 0
July 2000........... 100 100 0 0 0 0
July 2001........... 100 100 0 0 0 0
July 2002........... 100 100 0 0 0 0
July 2003........... 100 100 0 0 0 0
July 2004........... 100 100 0 0 0 0
July 2005........... 100 100 0 0 0 0
July 2006........... 100 100 0 0 0 0
July 2007........... 100 100 0 0 0 0
July 2008........... 100 100 0 0 0 0
July 2009........... 100 100 0 0 0 0
July 2010........... 100 100 0 0 0 0
July 2011........... 100 92 0 0 0 0
July 2012........... 100 41 0 0 0 0
July 2013........... 100 0 0 0 0 0
July 2014........... 100 0 0 0 0 0
July 2015........... 100 0 0 0 0 0
July 2016........... 100 0 0 0 0 0
July 2017........... 100 0 0 0 0 0
July 2018........... 100 0 0 0 0 0
July 2019........... 100 0 0 0 0 0
July 2020........... 100 0 0 0 0 0
July 2021........... 33 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.0 18.9 2.5 2.5 2.5 2.0
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-36
<PAGE>
FD, SD and SE Classes
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 95% 175% 200% 250% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
July 1994........... 100 100 100 100 100 100
July 1995........... 100 100 100 100 100 100
July 1996........... 100 100 100 100 100 0
July 1997........... 100 100 28 28 28 0
July 1998........... 100 100 0 0 0 0
July 1999........... 100 100 0 0 0 0
July 2000........... 100 100 0 0 0 0
July 2001........... 100 100 0 0 0 0
July 2002........... 100 100 0 0 0 0
July 2003........... 100 100 0 0 0 0
July 2004........... 100 100 0 0 0 0
July 2005........... 100 100 0 0 0 0
July 2006........... 100 100 0 0 0 0
July 2007........... 100 100 0 0 0 0
July 2008........... 100 100 0 0 0 0
July 2009........... 100 100 0 0 0 0
July 2010........... 100 100 0 0 0 0
July 2011........... 100 100 0 0 0 0
July 2012........... 100 100 0 0 0 0
July 2013........... 100 83 0 0 0 0
July 2014........... 100 0 0 0 0 0
July 2015........... 100 0 0 0 0 0
July 2016........... 100 0 0 0 0 0
July 2017........... 100 0 0 0 0 0
July 2018........... 100 0 0 0 0 0
July 2019........... 100 0 0 0 0 0
July 2020........... 100 0 0 0 0 0
July 2021........... 100 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.3 20.4 3.8 3.8 3.8 2.1
FK, SK and SL Classes
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 95% 175% 200% 250% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
July 1994........... 100 100 92 92 92 92
July 1995........... 100 100 74 74 74 25
July 1996........... 100 100 53 53 53 0
July 1997........... 100 100 35 35 35 0
July 1998........... 100 100 21 21 21 0
July 1999........... 100 100 11 11 5 0
July 2000........... 100 100 4 4 0 0
July 2001........... 100 100 0 0 0 0
July 2002........... 100 100 0 0 0 0
July 2003........... 100 100 0 0 0 0
July 2004........... 100 100 0 0 0 0
July 2005........... 100 100 0 0 0 0
July 2006........... 100 100 0 0 0 0
July 2007........... 100 100 0 0 0 0
July 2008........... 100 100 0 0 0 0
July 2009........... 100 100 0 0 0 0
July 2010........... 100 91 0 0 0 0
July 2011........... 100 76 0 0 0 0
July 2012........... 100 60 0 0 0 0
July 2013........... 100 45 0 0 0 0
July 2014........... 100 30 0 0 0 0
July 2015........... 100 14 0 0 0 0
July 2016........... 100 0 0 0 0 0
July 2017........... 100 0 0 0 0 0
July 2018........... 100 0 0 0 0 0
July 2019........... 100 0 0 0 0 0
July 2020........... 100 0 0 0 0 0
July 2021........... 58 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.1 19.7 3.4 3.4 3.3 1.8
F, S and SC Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 92 75 0
July 1995........... 100 100 73 20 0
July 1996........... 100 100 51 0 0
July 1997........... 100 100 35 0 0
July 1998........... 100 100 4 0 0
July 1999........... 100 100 0 0 0
July 2000........... 100 100 0 0 0
July 2001........... 100 100 0 0 0
July 2002........... 100 100 0 0 0
July 2003........... 100 100 0 0 0
July 2004........... 100 100 0 0 0
July 2005........... 100 100 0 0 0
July 2006........... 100 100 0 0 0
July 2007........... 100 100 0 0 0
July 2008........... 100 100 0 0 0
July 2009........... 100 100 0 0 0
July 2010........... 100 100 0 0 0
July 2011........... 100 100 0 0 0
July 2012........... 100 100 0 0 0
July 2013........... 100 100 0 0 0
July 2014........... 100 99 0 0 0
July 2015........... 100 64 0 0 0
July 2016........... 100 29 0 0 0
July 2017........... 100 0 0 0 0
July 2018........... 100 0 0 0 0
July 2019........... 100 0 0 0 0
July 2020........... 100 0 0 0 0
July 2021........... 100 0 0 0 0
July 2022........... 0 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.7 22.4 3.1 1.5 0.6
FA, SA and SB Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 96
July 1995........... 100 100 100 100 0
July 1996........... 100 100 100 77 0
July 1997........... 100 100 100 54 0
July 1998........... 100 100 100 27 0
July 1999........... 100 100 86 6 0
July 2000........... 100 100 75 0 0
July 2001........... 100 100 68 0 0
July 2002........... 100 100 65 0 0
July 2003........... 100 100 63 0 0
July 2004........... 100 100 61 0 0
July 2005........... 100 100 58 0 0
July 2006........... 100 100 54 0 0
July 2007........... 100 100 51 0 0
July 2008........... 100 100 48 0 0
July 2009........... 100 100 45 0 0
July 2010........... 100 100 40 0 0
July 2011........... 100 100 35 0 0
July 2012........... 100 100 30 0 0
July 2013........... 100 100 26 0 0
July 2014........... 100 100 22 0 0
July 2015........... 100 100 18 0 0
July 2016........... 100 100 15 0 0
July 2017........... 100 97 12 0 0
July 2018........... 100 79 9 0 0
July 2019........... 100 62 7 0 0
July 2020........... 100 45 5 0 0
July 2021........... 100 29 3 0 0
July 2022........... 98 13 1 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.5 26.8 14.5 4.2 1.4
FO, SO and SP Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 91 74 0
July 1995........... 100 100 72 17 0
July 1996........... 100 100 49 0 0
July 1997........... 100 100 32 0 0
July 1998........... 100 100 20 0 0
July 1999........... 100 100 12 0 0
July 2000........... 100 100 8 0 0
July 2001........... 100 100 5 0 0
July 2002........... 100 100 0 0 0
July 2003........... 100 100 0 0 0
July 2004........... 100 100 0 0 0
July 2005........... 100 100 0 0 0
July 2006........... 100 100 0 0 0
July 2007........... 100 100 0 0 0
July 2008........... 100 100 0 0 0
July 2009........... 100 100 0 0 0
July 2010........... 100 100 0 0 0
July 2011........... 100 100 0 0 0
July 2012........... 100 100 0 0 0
July 2013........... 100 100 0 0 0
July 2014........... 100 100 0 0 0
July 2015........... 100 100 0 0 0
July 2016........... 100 98 0 0 0
July 2017........... 100 63 0 0 0
July 2018........... 100 28 0 0 0
July 2019........... 100 0 0 0 0
July 2020........... 100 0 0 0 0
July 2021........... 100 0 0 0 0
July 2022........... 65 0 0 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.1 24.4 3.4 1.4 0.6
FM, SM and SN Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 95% 200% 250% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
July 1994........... 100 100 100 100 90
July 1995........... 100 100 100 100 0
July 1996........... 100 100 100 62 0
July 1997........... 100 100 100 26 0
July 1998........... 100 100 100 2 0
July 1999........... 100 100 100 0 0
July 2000........... 100 100 100 0 0
July 2001........... 100 100 100 0 0
July 2002........... 100 100 99 0 0
July 2003........... 100 100 96 0 0
July 2004........... 100 100 93 0 0
July 2005........... 100 100 88 0 0
July 2006........... 100 100 83 0 0
July 2007........... 100 100 78 0 0
July 2008........... 100 100 73 0 0
July 2009........... 100 100 68 0 0
July 2010........... 100 100 61 0 0
July 2011........... 100 100 53 0 0
July 2012........... 100 100 46 0 0
July 2013........... 100 100 40 0 0
July 2014........... 100 100 34 0 0
July 2015........... 100 100 28 0 0
July 2016........... 100 100 23 0 0
July 2017........... 100 100 19 0 0
July 2018........... 100 100 14 0 0
July 2019........... 100 95 11 0 0
July 2020........... 100 69 8 0 0
July 2021........... 100 44 5 0 0
July 2022........... 100 20 2 0 0
July 2023........... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.7 27.8 18.7 3.4 1.3
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-37
<PAGE>
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion
of "Certain Federal Income Tax Consequences" in the REMIC Prospectus, describes
the current federal income tax treatment of investors in the Certificates. These
two tax discussions do not purport to deal with all federal tax consequences
applicable to all categories of investors, some of which may be subject to
special rules. Investors should consult their own tax advisors in determining
the federal, state, local and any other tax consequences to them of the
purchase, ownership and disposition of the Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. The Certificates, other than the R and
RL Classes, will be designated as the "regular interests," and the R Class will
be designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests,"
and the RL Class will be designated as the "residual interest," in the Lower
Tier REMIC.
As a consequence of the qualification of the Trust and the Lower Tier REMIC
as REMICs, the Certificates generally will be treated as "qualifying real
property loans" for mutual savings banks and domestic building and loan
associations, "regular or residual interests in a REMIC" for domestic building
and loan associations, "real estate assets" for real estate investment trusts,
and, except for the R and RL Classes, as "qualified mortgages" for other REMICs.
See "Certain Federal Income Tax Consequences--Special Tax Attributes" in the
REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The Notional Classes and the G, GA, SB and SN Classes will be, and certain
other Classes of Certificates may be, issued with original issue discount for
federal income tax purposes, which generally will result in recognition of some
taxable income in advance of the receipt of the cash attributable to such
income. The Prepayment Assumption that will be used in determining the rate of
accrual of original issue discount will be 200% PSA. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Regular
Certificates--Original Issue Discount" in the REMIC Prospectus. No
representation is made as to whether the Mortgage Loans underlying the MBS will
prepay at that or any other rate. See "Description of the Certificates--Weighted
Average Lives of the Certificates" herein and "Description of the
Certificates--Weighted Average Life and Final Distribution Dates" in the REMIC
Prospectus. In addition, certain Classes of Certificates may be treated as
having been issued at a premium for federal income tax purposes. See "Certain
Federal Income Tax Consequences--Taxation of Beneficial Owners of Regular
Certificates--Certificates Purchased at a Premium" in the REMIC Prospectus.
The FJ Class will bear interest during its first twelve Interest Accrual
Periods at a fixed rate. During all subsequent Interest Accrual Periods, the FJ
Class will bear interest at a variable rate that is determined by reference to
LIBOR as described in "Description of the Certificates--Calculation of LIBOR"
herein. Fannie Mae intends to treat all interest payments on the FJ Class as
included in its stated redemption price at maturity. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Regular
Certificates--Original Issue Discount" in the REMIC Prospectus. Investors should
be aware, however, of two sets of proposed Internal Revenue Service regulations:
proposed regulations governing contingent payments that were published in the
Federal Register on April 8, 1986 (the "1986 Proposed Contingent Payment
Regulations"), and proposed original issue discount regulations that contain
rules applicable to variable rate debt instruments and that were published in
the Federal Register on December 22, 1992 (the "1992 Proposed OID Regulations").
Although neither set of proposed regulations is directly applicable to the FJ
Class and all proposed regulations are subject to change before their adoption
in final form, the variable rate or contingent payment principles contained in
those proposed regulations may be applied to such Class. Investors
S-38
<PAGE>
are urged to consult their own tax advisors with respect to the possible
application of the variable rate or contingent payment principles in those
proposed regulations to the FJ Class.
The initial interest rates on the SH, SD, SL, S, SA, SO and SM Classes are
the maximum stated interest rates for those Classes. The 1992 Proposed OID
Regulations provide, in effect, that a debt instrument bearing interest at a
variable rate with a restriction on its minimum or maximum stated interest rate
will be treated as a contingent debt instrument if the restriction is very
likely to cause the interest rate during one or more accrual periods to be
significantly greater or less, respectively, than the instrument's overall
expected return. The 1992 Proposed OID Regulations are proposed to be effective
for debt instruments issued on or after the date that is 60 days after the
regulations are issued in final form. Although it is possible that the
principles contained in the 1992 Proposed OID Regulations would be applied to
debt instruments issued prior to that date, it is not clear whether those
principles would apply to the SH, SD, SL, S, SA, SO and SM Classes. Fannie Mae,
therefore, intends to treat the SH, SD, SL, S, SA, SO and SM Classes as variable
rate debt instruments and not as contingent debt instruments. Investors are
urged to consult with their own tax advisors regarding the possible treatment of
the SH, SD, SL, S, SA, SO and SM Classes as variable rate or contingent debt
instruments and the consequences of either such treatment.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R nor the RL Certificate will have
significant value. As a result, an organization to which section 593 of the Code
applies and which is the beneficial owner of the R or RL Certificate may not use
its allowable deductions to offset any "excess inclusions" with respect to such
Certificate. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Residual Certificates--Excess Inclusions" in the REMIC
Prospectus.
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about June 20, 1993. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual Certificates--Excess
Inclusions" and "--Foreign Investors--Residual Certificates" in the REMIC
Prospectus. The federal income tax consequences of any consideration paid to a
transferee on the transfer of the R or RL Certificate are unclear; any
transferee receiving such consideration should consult its own tax advisors.
Under the proposed IRS regulations relating to original issue discount, the
Lower Tier Regular Interests would be treated as a single debt instrument for
original issue discount purposes because they were issued to the Trust in a
single transaction. Although there can be no assurance that final regulations
will apply this aggregation rule to the Lower Tier Regular Interests, Fannie Mae
intends to calculate the taxable income (or net loss) of the Trust and of the
Lower Tier REMIC (and to report to the R and RL Certificateholders) by treating
the Lower Tier Regular Interests as a single debt instrument. A failure of the
Lower Tier Regular Interests to qualify as a single debt instrument for original
issue discount purposes could result in material adverse tax consequences to the
beneficial owners of the RL Class.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the MBS
pursuant to a Fannie Mae commitment. The Dealer proposes to offer the
Certificates directly to the public from time to time in negotiated transactions
at varying prices to be determined at the time of sale. The Dealer may effect
such transactions to or through dealers.
S-39
<PAGE>
Increase in Certificates. Fannie Mae and the Dealer may agree to offer
hereby Certificates in addition to those contemplated as of the date hereof. In
such event, the MBS will be increased in principal balance, but it is expected
that all additional MBS will have the same characteristics as described herein
under "Description of the Certificates--The MBS." The proportion that the
original principal balance of each Class (and any Component) bears to the
aggregate original principal balance of all the Certificates will remain the
same. The dollar amounts reflected in the Principal Balance Schedules will be
increased in pro rata amounts that correspond to the increase of the principal
balance of the Certificates.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Cleary,
Gottlieb, Steen & Hamilton.
S-40
<PAGE>
No dealer, salesman or other person has been authorized to give any information
or to make any representations in connection with this offering other than those
contained in this Prospectus Supplement, the REMIC Prospectus, the MBS
Prospectus and the Information Statement and, if given or made, such information
or representations must not be relied upon as having been authorized. This
Prospectus Supplement and the aforementioned documents do not constitute an
offer to sell or a solicitation of an offer to buy any of the Certificates
offered hereby in any state to any person to whom it is unlawful to make such
offer or solicitation in such state. The delivery of this Prospectus Supplement
and the aforementioned documents at any time does not imply that the information
contained herein or therein is correct as of any time subsequent to the date
hereof or thereof.
--------------
Table of Contents
Page
-----
Prospectus Supplement
Table of Contents....................... S- 3
Description of the Certificates......... S- 4
Certain Additional Federal Income Tax
Consequences.......................... S-38
Plan of Distribution.................... S-39
Legal Matters........................... S-40
REMIC Prospectus
Prospectus Supplement................... 2
Summary of Prospectus................... 3
Description of the Certificates......... 7
The Trust Agreement..................... 20
Certain Federal Income Tax
Consequences.......................... 22
Legal Investment Considerations......... 32
Legal Opinion........................... 33
ERISA Considerations.................... 33
Glossary................................ 34
$750,000,000
Federal National
Mortgage Association
[FANNIE MAE LOGO]
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1993-120
----------------------------------------
Salomon Brothers Inc
-------------------------------------------------------
Prospectus Supplement
Dated June 10, 1993
<PAGE>
Annex 2(f)
Prospectus Supplement
dated August 10, 1993
to
Prospectus dated December 29, 1992
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1993-179
<PAGE>
Prospectus Supplement
(To Prospectus dated December 29, 1992)
$1,602,735,416
Federal National Mortgage Association
(FANNIE MAE LOGO)
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1993-179
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1993-179 (the "Trust").
The assets of the Trust will consist of the "regular interests" in a separate
trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier REMIC will
consist of Fannie Mae Guaranteed Mortgage Pass-Through Certificates (the "MBS"),
each of which will represent a beneficial interest in a pool (the "Pool") of
first lien, single-family, fixed-rate residential mortgage loans (the "Mortgage
Loans") having the characteristics described herein. The Certificates will be
issued and guaranteed as to timely distribution of principal and interest by
Fannie Mae and offered by Fannie Mae pursuant to its Prospectus for Guaranteed
Mortgage Pass-Through Certificates (the "MBS Prospectus"), available as
described herein, and its Prospectus for Guaranteed REMIC Pass-Through
Certificates (the "REMIC Prospectus"), accompanying this Prospectus Supplement.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates--Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates--Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
(Cover continued on next page)
------------------------
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY
THE UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE
AN OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY
THEREOF OTHER THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE
REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES
EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
<S> <C>
FA .......... $185,815,421 TAC (2) FLT October 2023
- -------------------------------------------------------------------------------------
SA .......... 65,000,000 TAC (2) INV October 2023
- -------------------------------------------------------------------------------------
SG .......... 13,506,131 TAC (2) INV October 2023
- -------------------------------------------------------------------------------------
FD .......... 15,000,000 TAC (2) FLT October 2023
- -------------------------------------------------------------------------------------
SD .......... 5,000,000 TAC (2) INV October 2023
- -------------------------------------------------------------------------------------
F ........... 359,095,355 TAC (2) FLT October 2023
- -------------------------------------------------------------------------------------
S ........... (3) NTL (2) INV/IO October 2023
- -------------------------------------------------------------------------------------
A ........... 340,896,741 TAC 5.75% FIX October 2023
- -------------------------------------------------------------------------------------
AB .......... 1,000,000 TAC 5.75 FIX October 2023
- -------------------------------------------------------------------------------------
FE .......... 67,006,689 SUP (2) FLT October 2021
- -------------------------------------------------------------------------------------
SI .......... 6,375,000 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SO .......... 11,013,865 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SP .......... 6,000,000 SUP (2) INV April 2021
- -------------------------------------------------------------------------------------
SH .......... 1,657,908 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SE .......... 26,100,000 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SV .......... 10,969,330 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SW........... 1,256,104 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SX .......... 5,221,783 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SY .......... 597,949 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
FT .......... 41,265,531 SUP (2) FLT October 2021
- -------------------------------------------------------------------------------------
ST .......... 11,790,152 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
FC .......... $ 40,000,000 SUP (2) FLT October 2021
- -------------------------------------------------------------------------------------
VC .......... 3,300,000 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SU .......... 24,734,210 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
B ........... 13,638,638 SUP (4) PO October 2021
- -------------------------------------------------------------------------------------
FM........... 50,000,000 SUP (2) FLT October 2023
- -------------------------------------------------------------------------------------
SM........... 10,861,781 SUP (2) INV October 2021
- -------------------------------------------------------------------------------------
SN .......... 3,423,934 SUP (2) INV October 2023
- -------------------------------------------------------------------------------------
FB .......... 99,476,106 SUP (2) FLT October 2023
- -------------------------------------------------------------------------------------
SB .......... 22,737,395 SUP (2) INV October 2023
- -------------------------------------------------------------------------------------
SC .......... 12,789,787 SUP (2) INV October 2023
- -------------------------------------------------------------------------------------
FK .......... 40,413,020 SUP (2) FLT October 2023
- -------------------------------------------------------------------------------------
SK .......... 8,659,933 SUP (2) INV October 2023
- -------------------------------------------------------------------------------------
SL .......... 2,886,645 SUP (2) INV October 2023
- -------------------------------------------------------------------------------------
FO .......... 16,302,455 SUP (2) FLT October 2023
- -------------------------------------------------------------------------------------
FP .......... 5,000,000 SUP (2) FLT October 2023
- -------------------------------------------------------------------------------------
VP .......... 6,086,416 SUP (2) INV October 2023
- -------------------------------------------------------------------------------------
FJ .......... 50,000,000 SUP (2) FLT October 2023
- -------------------------------------------------------------------------------------
SJ .......... 17,857,137 SUP (2) INV October 2023
- -------------------------------------------------------------------------------------
R ........... 0 NPR 0 NPR October 2023
- -------------------------------------------------------------------------------------
RL .......... 0 NPR 0 NPR October 2023
=====================================================================================
</TABLE>
- ------------------------------------------------------------------------------
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the Certificates--Distributions
of Interest" and "--Distributions of Principal" herein.
(2) The FA, SA, SG, FD, SD, F, S, FE, SI, SO, SP, SH, SE, SV, SW, SX, SY, FT,
ST, FC, VC, SU, FJ and SJ Classes will bear interest based on "LIBOR," the
FM, SM, SN, FB, SB, SC, FK, SK and SL Classes will bear interest based on
"COFI" and the FO, FP and VP Classes will bear interest based on the
"3-Month Treasury Index" as described under "Description of the
Certificates--Distributions of Interest" herein and "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes" in the REMIC Prospectus.
(3) The S Class will be a Notional Class, will have no principal balance and
will bear interest on its notional principal balance (initially,
$359,095,355). The notional principal balance of the S Class will be
calculated based on the principal balance of a TAC Class. See "Description
of the Certificates--General--Notional Class" herein.
(4) The B Class will be a Principal Only Class and will bear no interest.
------------------------
The Certificates will be offered by Kidder, Peabody & Co. Incorporated (the
"Dealer") from time to time in negotiated transactions, at varying prices to be
determined at the time of sale.
The Certificates will be offered by the Dealer, subject to issuance by
Fannie Mae and to prior sale or to withdrawal or modification of the offer
without notice, when, as and if delivered to and accepted by the Dealer, and
subject to approval of certain legal matters by counsel. It is expected that the
Certificates, except for the R and RL Classes, will be available through the
book-entry system of the Federal Reserve Banks on or about October 29, 1993 (the
"Settlement Date"). It is expected that the R and RL Classes in registered,
certificated form will be available for delivery at the offices of the Dealer,
New York, New York, on or about the Settlement Date.
------------------------
Kidder, Peabody & Co.
Incorporated
August 10, 1993
<PAGE>
(Cover continued from previous page)
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH
SUCH CERTIFICATES.
The yield to investors in each Class will be sensitive in varying degrees
to the rate of principal payments of the Mortgage Loans, the characteristics of
the Mortgage Loans actually included in the Pool, the purchase price paid for
the related Class and, in the case of any Floating Rate and Inverse Floating
Rate Classes, the level of the applicable Index (as defined herein).
Accordingly, investors should consider the following risks:
- The Mortgage Loans generally may be prepaid at any time without
penalty, and, accordingly, the rate of principal payments thereon is
likely to vary considerably from time to time.
- Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the
Classes.
- In the case of any Certificates purchased at a discount to their
principal amounts, a slower than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Interest Only Class, a faster than anticipated rate
of principal payments is likely to result in a lower than anticipated
yield and, in certain cases, an actual loss on the investment.
- The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index, particularly if the
interest rate thereon fluctuates as a multiple of such Index.
See "Description of the Certificates--Yield Considerations" herein.
In addition, investors should purchase Certificates only after considering
the following:
- The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
- The rate of principal distributions of the Certificates is uncertain
and investors may be unable to reinvest the distributions thereon at
yields equaling the yields on the Certificates. See "Description of
the Certificates--Reinvestment Risk" in the REMIC Prospectus.
- Investors whose investment activities are subject to legal investment
laws and regulations or to review by regulatory authorities may be
subject to restrictions on investment in certain Classes of the
Certificates. Investors should consult their legal advisors to
determine whether and to what extent the Certificates constitute legal
investments or are subject to restrictions on investment. See "Legal
Investment Considerations" in the REMIC Prospectus.
The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary market will
develop or, if developed, that it will continue. Thus, investors may not be able
to sell their Certificates readily or at prices that will enable them to realize
their anticipated yield. No investor should purchase Certificates unless such
investor understands and is able to bear the risk that the value of the
Certificates will fluctuate over time and that the Certificates may not be
readily salable.
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, the REMIC
Prospectus or the MBS Prospectus. Any representation to the contrary is a
criminal offense.
This Prospectus Supplement does not contain complete information about the
Certificates. Investors should purchase Certificates only after reading this
Prospectus Supplement, the REMIC Prospectus, the MBS Prospectus dated May 1,
1993 and the Fannie Mae Information Statement dated February 16, 1993 and any
supplements thereto (the "Information Statement"). The MBS Prospectus and the
Information Statement are incorporated herein by reference and may be obtained
from Fannie Mae by writing or calling its MBS Helpline at 3900 Wisconsin Avenue,
N.W., Area 2H-2N, Washington, D.C. 20016 (telephone 1-800-BEST-MBS or
202-752-6547). Such documents may also be obtained from Kidder, Peabody & Co.
Incorporated by writing or calling its Prospectus Department at 60 Broad Street,
6th Floor, New York, New York 10004 (telephone 212-656-1584).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Description of the Certificates....... S- 4
General............................. S- 4
Structure........................ S- 4
MBS Distributions................ S- 4
Fannie Mae Guaranty.............. S- 4
Characteristics of
Certificates................... S- 4
Notional Class................... S- 5
Authorized Denominations......... S- 5
Distribution Dates............... S- 5
Calculation of Distributions..... S- 5
Record Date...................... S- 6
REMIC Trust Factors.............. S- 6
Optional Termination............. S- 6
The MBS............................. S- 6
Distributions of Interest........... S- 7
Categories of Classes............ S- 7
General.......................... S- 7
Interest Accrual Periods......... S- 7
Floating Rate and Inverse
Floating Rate Classes.......... S- 7
Calculation of LIBOR................ S- 9
COFI................................ S- 9
Calculation of 3-Month Treasury
Index............................ S- 9
Distributions of Principal.......... S-10
Categories of Classes............ S-10
Principal Distribution Amount.... S-10
Structuring Assumptions............. S-11
Pricing Assumptions.............. S-11
PSA Assumptions.................. S-11
Principal Balance Schedules......... S-12
Characteristics of the R and
RL Classes....................... S-14
Yield Considerations................ S-14
General.......................... S-14
The Principal Only Class......... S-15
The Inverse Floating Rate
Classes........................ S-15
Weighted Average Lives of the
Certificates..................... S-21
Decrement Tables.................... S-22
Certain Additional Federal Income Tax
Consequences........................ S-24
REMIC Elections and Special Tax
Attributes....................... S-24
Taxation of Beneficial Owners of
Regular Certificates............. S-24
Taxation of Beneficial Owners of
Residual Certificates............ S-25
Plan of Distribution.................. S-25
General.......................... S-25
Increase in Certificates......... S-25
Legal Matters......................... S-25
S-3
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the REMIC Prospectus, the MBS Prospectus and the
provisions of the Trust Agreement (defined below). Capitalized terms used and
not otherwise defined in this Prospectus Supplement have the respective meanings
assigned to such terms in the REMIC Prospectus (including the Glossary contained
therein), the MBS Prospectus or the Trust Agreement (as the context may
require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant to a
trust agreement dated as of October 1, 1993 (the "Trust Agreement"), executed by
the Federal National Mortgage Association ("Fannie Mae") in its corporate
capacity and in its capacity as Trustee, and the Certificates in the Classes and
aggregate original principal balances set forth on the cover hereof will be
issued by Fannie Mae pursuant thereto. A description of Fannie Mae and its
business, together with certain financial statements and other financial
information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests,
and the Certificates, other than the RL Class, will evidence the entire
beneficial ownership interest in the distributions of principal and interest on
the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of the MBS, and the Lower
Tier Regular Interests and the RL Class (collectively, the "Lower Tier
Interests") will in the aggregate evidence the entire beneficial ownership
interest in the distributions of principal and interest on the MBS.
MBS Distributions. The MBS will provide that principal and interest on the
underlying Mortgage Loans will be passed through monthly, commencing on the 25th
day of the month following the month of the initial issuance of the MBS (or, if
such 25th day is not a business day, on the first business day next succeeding
such 25th day).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. In addition, Fannie Mae will be obligated to distribute
on a timely basis to the Holders of Certificates required installments of
principal and interest and to distribute the principal balance of each Class of
Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the MBS Account. The guaranties
of Fannie Mae are not backed by the full faith and credit of the United States.
See "Description of the Certificates--Fannie Mae's Guaranty" in the REMIC
Prospectus and "Description of Certificates-- The Corporation's Guaranty" in the
MBS Prospectus.
Characteristics of Certificates. The Certificates, other than the R and RL
Certificates, will be issued and maintained and may be transferred by Holders
only on the book-entry system of the Federal Reserve Banks. Such entities whose
names appear on the book-entry records of a Federal Reserve Bank as the entities
for whose accounts such Certificates have been deposited are herein referred to
as "Holders" or "Certificateholders." A Holder is not necessarily the beneficial
owner of a book-entry Certificate. Beneficial owners will ordinarily hold
book-entry Certificates through one or more financial intermediaries, such as
banks, brokerage firms and securities clearing organizations. See "Description
of the Certificates--Denominations, Book-Entry Form" in the REMIC Prospectus.
S-4
<PAGE>
The R and RL Certificates will not be issued in book-entry form but will be
issued in fully registered, certificated form. As to the R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R
and RL Certificates will be transferable at the corporate trust office of the
Transfer Agent, or at the agency of the Transfer Agent in New York, New York.
The Transfer Agent initially will be State Street Bank and Trust Company in
Boston, Massachusetts ("State Street"). A service charge may be imposed for any
registration of transfer of the R or RL Certificate and Fannie Mae may require
payment of a sum sufficient to cover any tax or other governmental charge. See
also "Characteristics of the R and RL Classes" herein.
The distribution to the Holder of the R or RL Certificate of the proceeds
of any remaining assets of the Trust or the Lower Tier REMIC, as applicable,
will be made only upon presentation and surrender of such Certificates at the
office of the Paying Agent. The Paying Agent initially will be State Street.
Notional Class. The S Class will be a Notional Class. A Notional Class will
have no principal balance and will bear interest at the per annum interest rate
set forth on the cover or described herein during each Interest Accrual Period
on the related notional principal balance. The notional principal balance of the
Notional Class will be equal to the indicated percentage of the outstanding
principal balance of the following Class immediately prior to the related
Distribution Date:
<TABLE>
<CAPTION>
Percentage of
Principal Balance
of Specified
Class Class
------------------------------------------------------------------- -----------------
<S> <C>
S.................................................................. 100% of F Class
</TABLE>
The notional principal balance of a Notional Class is used for purposes of
the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the MBS or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to any such
Class that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally shall
be deemed to refer also to the notional principal balance of any Notional Class.
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. Each of the R and RL Classes will be issued
as a single certificate and will not have a principal balance.
Distribution Dates. Distributions on the Certificates will be made on the
25th day of each month (or, if such 25th day is not a business day, on the first
business day next succeeding such 25th day), commencing in the month following
the Settlement Date.
Calculation of Distributions. Interest on the interest-bearing Certificates
is calculated on the basis of a 360-day year consisting of twelve 30-day months
and is distributable monthly on each Distribution Date, commencing (except with
respect to the Accrual Classes, if any) in the month after the Settlement Date.
Interest to be distributed or, in the case of any Accrual Classes, added to
principal on each interest-bearing Certificate on a Distribution Date will
consist of one month's interest on the outstanding principal balance of such
Certificate immediately prior to such Distribution Date. Interest to be
distributed or, in the case of any Accrual Classes, added to principal on a
Distribution Date will accrue on the interest-bearing Certificates during the
one month periods set forth herein under "Distributions of Interest--Interest
Accrual Periods." Principal on the Certificates will be distributed on each
Distribution Date in an amount equal to the sum of the aggregate distributions
of principal concurrently made on the MBS and any interest accrued and added on
such Distribution Date to the principal balances of the Accrual Classes, if any.
See "Distributions of Principal" herein.
S-5
<PAGE>
Record Date. Each monthly distribution on the Certificates will be made
to Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh calendar
day of each month, Fannie Mae will publish or otherwise make available for each
Class of Certificates the factor (carried to eight decimal places) which, when
multiplied by the original principal balance of a Certificate of such Class,
will equal the remaining principal balance of such Certificate after giving
effect to the distribution of principal to be made on the following Distribution
Date and any interest to be added as principal to the principal balances of any
Accrual Classes on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Trust or the
Lower Tier REMIC through the exercise of its right to repurchase the Mortgage
Loans underlying any MBS unless only one Mortgage Loan remains in the related
Pool or the principal balance of such Pool at the time of repurchase is less
than one percent of the original principal balance thereof.
The MBS
The MBS underlying the Certificates will have the aggregate unpaid
principal balance and Pass-Through Rate set forth below and the general
characteristics described in the MBS Prospectus. The Mortgage Loans will be
conventional Level Payment Mortgage Loans secured by a first mortgage or deed of
trust on a one- to four-family ("single-family") residential property and having
an original maturity of up to 30 years, as described under "The Mortgage Pools"
and "Yield Considerations" in the MBS Prospectus. The characteristics of the MBS
and Mortgage Loans as of October 1, 1993 (the "Issue Date") are expected to be
as follows:
Aggregate Unpaid Principal Balance...................... $1,602,735,416
MBS Pass-Through Rate................................... 7.00%
Range of WACs (per annum percentages)................... 7.25% to 9.50%
241 months to 360
Range of WAMs........................................... months
Approximate Weighted Average WAM........................ 357 months
Approximate Weighted Average CAGE....................... 3 months
Following the issuance of the Certificates, Fannie Mae will prepare a Final
Data Statement setting forth the Pool number, the current WAC (or original WAC,
if the current WAC is not available) and the current WAM (or Adjusted WAM, if
the current WAM is not available) of the Mortgage Loans underlying each MBS,
along with the weighted average of all the current or original WACs and the
weighted average of all the current or Adjusted WAMs, based on the current
unpaid principal balances of the Mortgage Loans underlying the MBS as of the
Issue Date. The Final Data Statement will not accompany this Prospectus
Supplement but will be made available by Fannie Mae. To request the Final Data
Statement, telephone Fannie Mae at 1-800-BEST-MBS or 202-752-6547. The contents
of the Final Data Statement and other data specific to the Certificates are
available in electronic form by calling Fannie Mae at 1-800-752-6440 or
202-752-6000.
S-6
<PAGE>
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
<TABLE>
<CAPTION>
Interest Type* Classes
- -------------------- ------------------------------------------------------
<S> <C>
Fixed Rate A and AB
Floating Rate FA, FD, F, FE, FT, FC, FM, FB, FK, FO, FP and FJ
Inverse Floating SA, SG, SD, S, SI, SO, SP, SH, SE, SV, SW, SX, SY, ST,
Rate VC, SU, SM, SN, SB, SC, SK, SL, VP and SJ
Interest Only S
Principal Only B
No Payment Residual R and RL
</TABLE>
--------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
respective per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to any Accrual Classes)
in the month after the Settlement Date. Interest to be distributed or, in the
case of any Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date.
Interest Accrual Periods. Interest to be distributed or added to principal
on a Distribution Date will accrue on the interest-bearing Certificates during
the one-month periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Period
- ----------------------------------------- -----------------------------------------
<S> <C>
FA, SA, SG, FD, SD, F, S, FE, SI, SO, SP, One month period beginning on the
SH, SE, SV, SW, SX, SY, FT, ST, FC, VC, 25th day of the month preceding
SU, FJ and SJ (collectively, the the month of the Distribution Date
"No Delay Classes") and ending on the 24th day of the
month of the Distribution Date
All other interest-bearing Classes Calendar month preceding the month in
(collectively, the "Delay Classes") which the Distribution Date occurs
See "Yield Considerations" herein.
</TABLE>
Floating Rate and Inverse Floating Rate Classes. Each of the following
Classes will bear interest during its initial Interest Accrual Period at the
Initial Interest Rate set forth below, and will bear interest during each
Interest Accrual Period thereafter (or, in the case of the FJ and SJ Classes,
after
S-7
<PAGE>
their initial twenty-four Interest Accrual Periods), subject to the applicable
Maximum and Minimum Interest Rates, at the rate determined as described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
-------- --------- --------- ------- ------------------------------------------
<S> <C>
FA ..... 3.62500% 8.50000% 0.50% LIBOR + 50 basis points
SA ..... 11.70000% 19.20000% 0.00% 19.2% - (2.4 X LIBOR)
SG ..... 10.76179% 17.66037% 0.00% 17.66037% - (2.207548 X LIBOR)
FD ..... 3.78750% 8.00000% 0.60% LIBOR + 60 basis points
SD ..... 12.63750% 22.20000% 0.00% 22.2% - (3 X LIBOR)
F ..... 3.68750% 9.00000% 0.50% LIBOR + 50 basis points
S ..... 5.31250% 8.50000% 0.00% 8.5% - LIBOR
FE ..... 0.00000% 15.00000% 0.00% (4.4 X LIBOR) - 14.3%
SI ..... 10.50000% 10.50000% 0.00% 20.51% - (3.08 X LIBOR)
SO ..... 13.82186% 13.82186% 0.00% 26.9987% - (4.05441315 X LIBOR)
SP ..... 13.12500% 13.12500% 0.00% 25.6375% - (3.85 X LIBOR)
SH ..... 13.12500% 13.12500% 0.00% 25.6375% - (3.85 X LIBOR)
SE ..... 13.12500% 13.12500% 0.00% 25.6375% - (3.85 X LIBOR)
SV ..... 19.00000% 19.00000% 0.00% 39.1875% - (6.21153846 X LIBOR)
SW ..... 19.00000% 19.00000% 0.00% 361.21739% - (54.24425029 X LIBOR)
SX ..... 19.00000% 19.00000% 0.00% 39.1875% - (6.21153846 X LIBOR)
SY ..... 19.00000% 19.00000% 0.00% 361.21739% - (54.24425029 X LIBOR)
FT ..... 3.82500% 9.00000% 0.70% LIBOR + 70 basis points
ST ..... 18.11250% 29.05000% 0.00% 29.05% - (3.5 X LIBOR)
FC ..... 0.00000% 13.00000% 0.00% (4.25 X LIBOR) - 13.5625%
VC ..... 15.16667% 15.16667% 0.00% 30.98958% - (4.95833333 X LIBOR)
SU ..... 19.00000% 19.00000% 0.00% 38.82211% - (6.21153846 X LIBOR)
FM ..... 5.30000% 9.00000% 1.25% COFI + 125 basis points
SM ..... 12.95000% 27.12500% 0.00% 27.125% - (3.5 X COFI)
SN ..... 12.95000% 27.12500% 0.00% 27.125% - (3.5 X COFI)
FB ..... 5.40000% 9.50000% 1.35% COFI + 135 basis points
SB ..... 12.03125% 29.75000% 0.00% 29.75% - (4.375 X COFI)
SC ..... 10.50000% 10.50000% 0.00% 63.38888% - (7.77777778 X COFI)
FK ..... 5.50000% 9.00000% 1.45% COFI + 145 basis points
SK ..... 12.83333% 31.73333% 0.00% 31.73333% - (4.66666667 X COFI)
SL ..... 10.50000% 10.50000% 0.00% 105.7% - (14 X COFI)
FO ..... 4.00000% 9.00000% 4.00% 3-Month Treasury Index + 70 basis points
FP ..... 4.00000% 9.00000% 4.00% 3-Month Treasury Index + 70 basis points
VP ..... 17.50000% 17.50000% 0.00% 29.05% - (3.5 X 3-Month Treasury Index)
FJ*..... 4.45000% 9.50000% 1.15% LIBOR + 115 basis points
SJ*..... 14.14000% 23.38000% 0.00% 23.38% - (2.8 X LIBOR)
</TABLE>
-------------------------
* The FJ and SJ Classes will each bear interest during their initial
twenty-four Interest Accrual Periods at their respective Initial Interest
Rates set forth in the table above.
The yields with respect to such Classes will be affected by changes in the
applicable index, as set forth in the table above (each, an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with an
increase in the level of an Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of an Index.
Each Index value (except COFI) will be established as described herein by
Fannie Mae two business days prior to the commencement of the related Interest
Accrual Period. See "COFI" below for a description of how COFI is established.
The establishment of the Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for the applicable Classes for the related
Interest Accrual Period shall (in the absence of manifest error) be final and
binding. Each such rate of interest may be obtained by telephoning Fannie Mae at
1-800-BEST-MBS or 202-752-6547.
S-8
<PAGE>
Calculation of LIBOR
On each LIBOR Determination Date, until the principal balances of the FA,
SA, SG, FD, SD, F, S, FE, SI, SO, SP, SH, SE, SV, SW, SX, SY, FT, ST, FC, VC,
SU, FJ and SJ Classes (the "LIBOR Classes") have been reduced to zero, Fannie
Mae will establish LIBOR for the related Interest Accrual Period in the manner
described in the REMIC Prospectus under "Description of the Certificates--
Indices Applicable to Floating Rate and Inverse Floating Rate Classes--LIBOR."
If on the initial LIBOR Determination Date Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be 3.125%.
COFI
Except as otherwise specified below, the amount of interest which will
accrue in respect of the FM, SM, SN, FB, SB, SC, FK, SK and SL Classes (the
"COFI Classes") during each Interest Accrual Period following their Initial
Interest Accrual Period will be determined on the basis of the Eleventh District
Cost of Funds Index for the second month next preceding the month in which such
Interest Accrual Period commences if such Eleventh District Cost of Funds Index
for such second preceding month is published on or before the tenth day of the
month in which such Interest Accrual Period commences. For example, if the
Eleventh District Cost of Funds Index for May is announced on or before July 10,
interest accrued on the COFI Classes for the Interest Accrual Period commencing
in July and distributable in August will be based on the Eleventh District Cost
of Funds Index relating to May. If the Eleventh District Cost of Funds Index for
the applicable month is not published on or before the tenth day of the second
following month, interest will accrue on the COFI Classes at a rate determined
as provided in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--COFI." Under certain circumstances, an alternative index may be
applicable to the COFI Classes. A change of index from the Eleventh District
Cost of Funds Index to an alternative index will result in a change in the index
level, and, particularly if LIBOR is the alternative index, could increase its
volatility.
For information regarding historical values of the Eleventh District Cost
of Funds Index as reported by the Federal Home Loan Bank of San Francisco
("FHLBSF"), see "Description of the Certificates--Indices Applicable to Floating
Rate and Inverse Floating Rate Classes--COFI" in the REMIC Prospectus.
The values of the Eleventh District Cost of Funds Index as reported by the
FHLBSF for the following months were as follows:
Month COFI
------------------------------------------------------ -------
December 1992......................................... 4.432%
January 1993.......................................... 4.360%
February 1993......................................... 4.333%
March 1993............................................ 4.245%
April 1993............................................ 4.171%
May 1993.............................................. 4.103%
June 1993............................................. 4.050%
Calculation of 3-Month Treasury Index
On each Treasury Index Determination Date, until the principal balances of
the FO, FP and VP Classes (the "3-Month Treasury Index Classes") have been
reduced to zero, Fannie Mae will ascertain the average level of the 3-Month
Treasury Index in effect for the week ending on the last Friday immediately
preceding the related Treasury Index Determination Date. The 3-Month Treasury
Index for any period means the rate, expressed as a per annum rate and adjusted
to a coupon equivalent yield, determined at the weekly auction of U.S. Treasury
Bills with a maturity of three
S-9
<PAGE>
months as published by the Federal Reserve Board in its Statistical Release No.
H.15 (519) under the category "Auction average (investment)." See "Description
of the Certificates--Indices Applicable to Floating Rate and Inverse Floating
Rate Classes--Treasury Index" in the REMIC Prospectus.
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
Principal Type* Classes
- -------------------- -------------------------------------------------------
TAC FA, SA, SG, FD, SD, F, A and AB
Notional S
Support FE, SI, SO, SP, SH, SE, SV, SW, SX, SY, FT, ST, FC, VC,
SU, B, FM, SM, SN, FB, SB, SC, FK, SK, SL, FO, FP,
VP, FJ and SJ
No Payment Residual R and RL
---------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
Principal Distribution Amount
Principal will be distributed monthly on the Certificates in an amount (the
"Principal Distribution Amount") equal to the aggregate distributions of
principal concurrently made on the MBS.
- --------------------------------------------------------------------------------
(a) On each Distribution Date, the Principal Distribution
Amount will be distributed as principal of the TAC Classes as
follows, until the principal balances thereof are reduced to
their respective Targeted Balances for such Distribution Date:
TAC
(i) 65.3007200607% of such amount, concurrently, to the Classes
FA, SA, SG, FD, SD and F Classes, in the proportions of
28.8794744090%, 10.1023145791%, 2.0991259094%,
2.3313033644%, 0.7771011215% and 55.8106806166%,
respectively; and
(ii) 34.6992799393% of such amount, sequentially, to
the A and AB Classes, in that order.
- --------------------------------------------------------------------------------
(b) On each Distribution Date, the excess of the Principal
Distribution Amount over the amount applied pursuant to paragraph
(a) above will be distributed as principal of the Classes
specified below as follows, until the principal balances thereof
(other than the FM Class) are reduced to zero:
(i) 97.6054458556% of such amount, concurrently, to the
FE, SI, SO, SE, FT, ST, FC, VC, SU, FM, SM, SV, SW, SX, SY
and B Classes, in the proportions of 21.4663707576%,
2.0423052627%, 3.5284195219%, 8.3614380166%, 13.2198919418%,
3.7771120749%, 12.8144643933%, 1.0571933124%, 7.9238913335%,
12.1789412833%, 3.4796976468%, 3.5141522176%, 0.4024074996%, Support
1.6728588081%, 0.1915599043% and 4.3692960256%, Classes
respectively; and
(ii) 2.3945541444% of such amount, sequentially, to the
SP and SH Classes, in that order.
(c) On each Distribution Date, the excess of the Principal
Distribution Amount over the amounts applied pursuant to
paragraphs (a) and (b) above will be distributed, concurrently,
to the FB, SB, SC, FK, SK, SL, FM, SN, FO, FP, VP, FJ and SJ
Classes, in the proportions of 33.4242469462%, 7.6398276526%,
4.2974038316%, 13.5788865753%, 2.9097614570%, 0.9699207097%,
4.0265792167%, 1.1504513008%, 5.4776700020%, 1.6800138390%,
2.0450526220%, 16.8001383901% and 6.0000474570%, respectively,
until the principal balances thereof are reduced to zero.
- --------------------------------------------------------------------------------
S-10
<PAGE>
- --------------------------------------------------------------------------------
(d) On each Distribution Date, the excess of the Principal
Distribution Amount over the amounts applied pursuant to
paragraphs TAC (a) through (c) above will be distributed as TAC
principal of the TAC Classes Classes as set forth in paragraphs Classes
(a)(i) and (a)(ii) above, without regard to the Targeted Balances
and until the principal balances thereof are reduced to zero.
- --------------------------------------------------------------------------------
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
following assumptions (the "Pricing Assumptions"):
- each Mortgage Loan bears interest at a rate of 7.60% per annum and has
an original term to maturity of 360 months, and the following
principal amounts of the Mortgage Loans have the remaining terms to
maturity and CAGEs, respectively, as specified:
$416,711,208 360 months 0 months
$416,711,208 358 months 2 months
$416,711,208 357 months 3 months
$192,328,250 354 months 6 months
$160,273,542 350 months 10 months
- the Mortgage Loans prepay at the constant percentages of PSA
specified in the related table;
- the closing date for the sale of the Certificates is the Settlement
Date; and
- the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
PSA Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA (for example, 225% PSA) is to assume
a specified rate of prepayment each month of the then outstanding principal
balance of a pool of new mortgage loans computed as described under "Description
of the Certificates--Prepayment Considerations and Risks" in the REMIC
Prospectus. There is no assurance that prepayments will occur at any PSA rate or
at any other constant rate.
The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the Mortgage Loans prepay at the
approximate constant level set forth in the following table.
Principal Balance
Schedule References Related Classes PSA Level
- ------------------- ---------------- ----------
Targeted Balances TAC 225%
There is no assurance that the principal balances of the Classes listed
above will conform on any Distribution Date to the applicable balances specified
for such Distribution Date in the Principal Balance Schedules below, or that
distributions of principal on the related Classes will begin or end on the
respective Distribution Dates specified therein. Because any excess of the
principal available for distribution on any Distribution Date over the amount
necessary to reduce the principal balances of the applicable Classes to their
respective scheduled balances will be distributed, the ability to so reduce the
principal balances of such Classes will not be enhanced by the averaging of high
and low principal payments. Moreover, because of the diverse remaining terms to
maturity of the Mortgage Loans (which may include recently originated Mortgage
Loans), the Classes specified above may not be reduced to their respective
scheduled amounts, even if prepayments occur at the rate specified above.
S-11
<PAGE>
<TABLE>
<CAPTION>
Principal Balance Schedules
FA Class SA Class SG Class FD Class SD Class F Class
Distribution Targeted Targeted Targeted Targeted Targeted Targeted
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ --------------- --------------- --------------- -------------- ----------------
<S> <C>
Initial Balance..... $ 185,815,421.00 $ 65,000,000.00 $ 13,506,131.00 $ 15,000,000.00 $ 5,000,000.00 $ 359,095,355.00
November 1993....... 185,129,559.02 64,760,078.96 13,456,278.62 14,944,633.61 4,981,544.54 357,769,900.69
December 1993....... 184,328,892.77 64,479,998.30 13,398,081.60 14,879,999.61 4,959,999.87 356,222,582.76
January 1994........ 183,413,808.19 64,159,893.02 13,331,568.00 14,806,129.16 4,935,376.39 354,454,147.08
February 1994....... 182,384,822.99 63,799,944.22 13,256,775.45 14,723,064.05 4,907,688.02 352,465,594.11
March 1994.......... 181,242,586.62 63,400,379.08 13,173,751.16 14,630,856.71 4,876,952.24 350,258,178.96
April 1994.......... 179,987,880.07 62,961,470.80 13,082,551.89 14,529,570.19 4,843,190.06 347,833,410.91
May 1994............ 178,621,615.39 62,483,538.44 12,983,243.93 14,419,278.10 4,806,426.03 345,193,052.56
June 1994........... 177,144,834.97 61,966,946.61 12,875,903.06 14,300,064.60 4,766,688.20 342,339,118.34
July 1994........... 175,558,710.54 61,412,105.22 12,760,614.43 14,172,024.28 4,724,008.09 339,273,872.68
August 1994......... 173,864,541.96 60,819,468.95 12,637,472.54 14,035,262.06 4,678,420.69 335,999,827.57
September 1994...... 172,063,755.70 60,189,536.80 12,506,581.06 13,889,893.11 4,629,964.37 332,519,739.76
October 1994........ 170,157,903.13 59,522,851.46 12,368,052.76 13,736,042.64 4,578,680.88 328,836,607.32
November 1994....... 168,148,658.53 58,819,998.61 12,222,009.33 13,573,845.83 4,524,615.28 324,953,665.86
December 1994....... 166,037,816.86 58,081,606.13 12,068,581.25 13,403,447.57 4,467,815.86 320,874,384.20
January 1995........ 163,827,291.26 57,308,343.27 11,907,907.56 13,225,002.29 4,408,334.10 316,602,459.57
February 1995....... 161,519,110.38 56,500,919.67 11,740,135.73 13,038,673.77 4,346,224.59 312,141,812.38
March 1995.......... 159,115,415.36 55,660,084.31 11,565,421.39 12,844,634.84 4,281,544.95 307,496,580.53
April 1995.......... 156,618,456.76 54,786,624.46 11,383,928.11 12,643,067.18 4,214,355.73 302,671,113.24
May 1995............ 154,030,591.03 53,881,364.44 11,195,827.18 12,434,161.02 4,144,720.34 297,669,964.47
June 1995........... 151,354,276.99 52,945,164.35 11,001,297.32 12,218,114.85 4,072,704.95 292,497,885.99
July 1995........... 148,602,915.33 51,982,711.90 10,801,312.56 11,996,010.44 3,998,670.15 287,180,775.13
August 1995......... 145,778,780.01 50,994,802.53 10,596,038.20 11,768,031.35 3,922,677.12 281,723,026.43
September 1995...... 142,884,230.08 49,982,261.46 10,385,645.71 11,534,368.03 3,844,789.34 276,129,198.79
October 1995........ 139,921,705.73 48,945,942.29 10,170,312.44 11,295,217.45 3,765,072.48 270,404,008.03
November 1995....... 136,906,528.95 47,891,204.80 9,951,152.09 11,051,816.49 3,683,938.83 264,577,064.44
December 1995....... 133,840,843.98 46,818,799.06 9,728,320.51 10,804,338.24 3,601,446.08 258,652,511.84
January 1996........ 130,726,857.58 45,729,497.03 9,501,978.11 10,552,960.85 3,517,653.62 252,634,614.91
February 1996....... 127,594,359.19 44,633,719.33 9,274,290.16 10,300,089.08 3,433,363.03 246,580,942.87
March 1996.......... 124,472,182.58 43,541,552.28 9,047,352.45 10,048,050.53 3,349,350.18 240,547,218.05
April 1996.......... 121,360,769.36 42,453,150.37 8,821,197.08 9,796,880.85 3,265,626.95 234,534,293.87
May 1996............ 118,287,984.20 41,378,260.92 8,597,849.42 9,548,829.44 3,182,943.15 228,596,019.91
June 1996........... 115,253,355.89 40,316,719.10 8,377,275.23 9,303,858.25 3,101,286.08 222,731,485.51
July 1996........... 112,256,418.90 39,268,362.06 8,159,440.65 9,061,929.71 3,020,643.24 216,939,791.01
August 1996......... 109,296,713.34 38,233,028.93 7,944,312.27 8,823,006.68 2,941,002.23 211,220,047.64
September 1996...... 106,373,784.86 37,210,560.77 7,731,857.05 8,587,052.49 2,862,350.83 205,571,377.40
October 1996........ 103,487,184.64 36,200,800.59 7,522,042.39 8,354,030.90 2,784,676.97 199,992,912.90
November 1996....... 100,636,469.28 35,203,593.26 7,314,836.04 8,123,906.14 2,707,968.71 194,483,797.24
December 1996....... 97,821,200.75 34,218,785.58 7,110,206.16 7,896,642.83 2,632,214.28 189,043,183.92
January 1997........ 95,040,946.30 33,246,226.15 6,908,121.32 7,672,206.04 2,557,402.01 183,670,236.67
February 1997....... 92,295,278.46 32,285,765.45 6,708,550.43 7,450,561.26 2,483,520.42 178,364,129.33
March 1997.......... 89,583,774.90 31,337,255.74 6,511,462.79 7,231,674.40 2,410,558.13 173,124,045.77
April 1997.......... 86,906,018.41 30,400,551.08 6,316,828.08 7,015,511.79 2,338,503.93 167,949,179.71
May 1997............ 84,261,596.86 29,475,507.29 6,124,616.35 6,802,040.14 2,267,346.71 162,838,734.65
June 1997........... 81,650,103.05 28,561,981.94 5,934,797.99 6,591,226.60 2,197,075.53 157,791,923.74
July 1997........... 79,071,134.77 27,659,834.32 5,747,343.78 6,383,038.69 2,127,679.56 152,807,969.63
August 1997......... 76,524,294.64 26,768,925.45 5,562,224.83 6,177,444.33 2,059,148.11 147,886,104.41
September 1997...... 74,009,190.13 25,889,117.99 5,379,412.60 5,974,411.84 1,991,470.61 143,025,569.45
October 1997........ 71,525,433.41 25,020,276.29 5,198,878.91 5,773,909.91 1,924,636.64 138,225,615.31
November 1997....... 69,072,641.40 24,162,266.33 5,020,595.91 5,575,907.62 1,858,635.87 133,485,501.64
December 1997....... 66,650,435.63 23,314,955.74 4,844,536.10 5,380,374.40 1,793,458.13 128,804,497.04
January 1998........ 64,258,442.22 22,478,213.71 4,670,672.29 5,187,280.09 1,729,093.36 124,181,878.97
</TABLE>
A Class AB Class
Distribution Targeted Targeted
Date Balance Balance
- --------------------- ---------------- --------------
Initial Balance..... $ 340,896,741.00 $ 1,000,000.00
November 1993....... 339,634,768.38 1,000,000.00
December 1993....... 338,161,558.13 1,000,000.00
January 1994........ 336,477,820.40 1,000,000.00
February 1994....... 334,584,507.75 1,000,000.00
March 1994.......... 332,482,815.15 1,000,000.00
April 1994.......... 330,174,179.63 1,000,000.00
May 1994............ 327,660,279.35 1,000,000.00
June 1994........... 324,943,032.26 1,000,000.00
July 1994........... 322,024,594.33 1,000,000.00
August 1994......... 318,907,357.27 1,000,000.00
September 1994...... 315,593,945.76 1,000,000.00
October 1994........ 312,087,214.30 1,000,000.00
November 1994....... 308,390,243.53 1,000,000.00
December 1994....... 304,506,336.13 1,000,000.00
January 1995........ 300,439,012.26 1,000,000.00
February 1995....... 296,192,004.57 1,000,000.00
March 1995.......... 291,769,252.76 1,000,000.00
April 1995.......... 287,174,897.75 1,000,000.00
May 1995............ 282,413,275.42 1,000,000.00
June 1995........... 277,488,909.91 1,000,000.00
July 1995........... 272,426,458.26 1,000,000.00
August 1995......... 267,230,104.51 1,000,000.00
September 1995...... 261,904,189.23 1,000,000.00
October 1995........ 256,453,202.36 1,000,000.00
November 1995....... 250,905,336.05 1,000,000.00
December 1995....... 245,264,535.64 1,000,000.00
January 1996........ 239,534,861.56 1,000,000.00
February 1996....... 233,771,125.79 1,000,000.00
March 1996.......... 228,026,381.89 1,000,000.00
April 1996.......... 222,301,442.39 1,000,000.00
May 1996............ 216,647,577.79 1,000,000.00
June 1996........... 211,063,921.05 1,000,000.00
July 1996........... 205,549,615.60 1,000,000.00
August 1996......... 200,103,815.23 1,000,000.00
September 1996...... 194,725,683.99 1,000,000.00
October 1996........ 189,414,396.04 1,000,000.00
November 1996....... 184,169,135.52 1,000,000.00
December 1996....... 178,989,096.46 1,000,000.00
January 1997........ 173,873,482.66 1,000,000.00
February 1997....... 168,821,507.52 1,000,000.00
March 1997.......... 163,832,393.99 1,000,000.00
April 1997.......... 158,905,374.43 1,000,000.00
May 1997............ 154,039,690.47 1,000,000.00
June 1997........... 149,234,592.93 1,000,000.00
July 1997........... 144,489,341.73 1,000,000.00
August 1997......... 139,803,205.70 1,000,000.00
September 1997...... 135,175,462.57 1,000,000.00
October 1997........ 130,605,398.79 1,000,000.00
November 1997....... 126,092,309.45 1,000,000.00
December 1997....... 121,635,498.21 1,000,000.00
January 1998........ 117,234,277.11 1,000,000.00
S-12
<PAGE>
<TABLE>
<CAPTION>
FA Class SA Class SG Class FD Class SD Class F Class
Distribution Targeted Targeted Targeted Targeted Targeted Targeted
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ --------------- --------------- --------------- -------------- ----------------
<S> <C>
February 1998....... $ 61,896,291.83 $ 21,651,911.06 $ 4,498,977.65 $ 4,996,594.86 $ 1,665,531.62 $ 119,616,933.65
March 1998.......... 59,563,619.56 20,835,920.13 4,329,425.64 4,808,289.26 1,602,763.09 115,108,955.95
April 1998.......... 57,260,064.97 20,030,114.85 4,161,990.08 4,622,334.20 1,540,778.07 110,657,249.25
May 1998............ 54,985,271.96 19,234,370.64 3,996,645.07 4,438,700.92 1,479,566.97 106,261,125.42
June 1998........... 52,738,888.77 18,448,564.45 3,833,365.05 4,257,361.03 1,419,120.34 101,919,904.61
July 1998........... 50,520,567.86 17,672,574.72 3,672,124.76 4,078,286.47 1,359,428.82 97,632,915.26
August 1998......... 48,329,965.95 16,906,281.35 3,512,899.24 3,901,449.54 1,300,483.18 93,399,493.90
September 1998...... 46,166,743.89 16,149,565.72 3,355,663.85 3,726,822.86 1,242,274.29 89,218,985.14
October 1998........ 44,030,566.63 15,402,310.61 3,200,394.23 3,554,379.37 1,184,793.12 85,090,741.49
November 1998....... 41,921,103.21 14,664,400.26 3,047,066.32 3,384,092.37 1,128,030.79 81,014,123.35
December 1998....... 39,838,026.65 13,935,720.29 2,895,656.37 3,215,935.45 1,071,978.48 76,988,498.84
January 1999........ 37,781,013.98 13,216,157.71 2,746,140.88 3,049,882.55 1,016,627.52 73,013,243.74
February 1999....... 35,749,746.07 12,505,600.89 2,598,496.68 2,885,907.90 961,969.30 69,087,741.42
March 1999.......... 33,743,907.74 11,803,939.58 2,452,700.84 2,723,986.06 907,995.35 65,211,382.69
April 1999.......... 31,763,187.57 11,111,064.85 2,308,730.73 2,564,091.89 854,697.30 61,383,565.78
May 1999............ 29,807,277.95 10,426,869.07 2,166,563.99 2,406,200.56 802,066.85 57,603,696.18
June 1999........... 27,875,874.97 9,751,245.96 2,026,178.54 2,250,287.53 750,095.84 53,871,186.60
July 1999........... 25,968,678.44 9,084,090.49 1,887,552.56 2,096,328.57 698,776.19 50,185,456.89
August 1999......... 24,085,391.76 8,425,298.91 1,750,664.47 1,944,299.75 648,099.92 46,545,933.91
September 1999...... 22,225,721.99 7,774,768.75 1,615,493.00 1,794,177.40 598,059.13 42,952,051.47
October 1999........ 20,389,379.69 7,132,398.77 1,482,017.11 1,645,938.18 548,646.06 39,403,250.26
November 1999....... 18,576,078.94 6,498,088.93 1,350,216.01 1,499,558.98 499,852.99 35,898,977.74
December 1999....... 16,785,537.31 5,871,740.46 1,220,069.17 1,355,017.03 451,672.34 32,438,688.07
January 2000........ 15,017,475.79 5,253,255.74 1,091,556.31 1,212,289.79 404,096.60 29,021,842.05
February 2000....... 13,271,618.73 4,642,538.34 964,657.40 1,071,355.00 357,118.33 25,647,907.00
March 2000.......... 11,547,693.83 4,039,493.03 839,352.65 932,190.70 310,730.23 22,316,356.70
April 2000.......... 9,845,432.12 3,444,025.71 715,622.50 794,775.16 264,925.05 19,026,671.32
May 2000............ 8,164,567.86 2,856,043.42 593,447.64 659,086.94 219,695.65 15,778,337.34
June 2000........... 6,504,838.56 2,275,454.34 472,808.99 525,104.85 175,034.95 12,570,847.45
July 2000........... 4,865,984.90 1,702,167.76 353,687.70 392,807.94 130,935.98 9,403,700.53
August 2000......... 3,247,750.70 1,136,094.06 236,065.16 262,175.55 87,391.85 6,276,401.52
September 2000...... 1,649,882.90 577,144.72 119,922.96 133,187.24 44,395.75 3,188,461.35
October 2000........ 72,131.52 25,232.29 5,242.93 5,822.84 1,940.95 139,396.91
November 2000 and
thereafter......... 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
A Class AB Class
Distribution Targeted Targeted
Date Balance Balance
- --------------------- ---------------- --------------
February 1998....... $ 112,887,966.57 $ 1,000,000.00
March 1998.......... 108,595,895.21 1,000,000.00
April 1998.......... 104,357,399.81 1,000,000.00
May 1998............ 100,171,825.17 1,000,000.00
June 1998........... 96,038,524.02 1,000,000.00
July 1998........... 91,956,856.94 1,000,000.00
August 1998......... 87,926,192.25 1,000,000.00
September 1998...... 83,945,905.95 1,000,000.00
October 1998........ 80,015,381.57 1,000,000.00
November 1998....... 76,134,010.13 1,000,000.00
December 1998....... 72,301,190.01 1,000,000.00
January 1999........ 68,516,326.90 1,000,000.00
February 1999....... 64,778,833.69 1,000,000.00
March 1999.......... 61,088,130.38 1,000,000.00
April 1999.......... 57,443,644.00 1,000,000.00
May 1999............ 53,844,808.54 1,000,000.00
June 1999........... 50,291,064.83 1,000,000.00
July 1999........... 46,781,860.49 1,000,000.00
August 1999......... 43,316,649.85 1,000,000.00
September 1999...... 39,894,893.83 1,000,000.00
October 1999........ 36,516,059.90 1,000,000.00
November 1999....... 33,179,621.99 1,000,000.00
December 1999....... 29,885,060.42 1,000,000.00
January 2000........ 26,631,861.78 1,000,000.00
February 2000....... 23,419,518.92 1,000,000.00
March 2000.......... 20,247,530.83 1,000,000.00
April 2000.......... 17,115,402.57 1,000,000.00
May 2000............ 14,022,645.21 1,000,000.00
June 2000........... 10,968,775.75 1,000,000.00
July 2000........... 7,953,317.05 1,000,000.00
August 2000......... 4,975,797.78 1,000,000.00
September 2000...... 2,035,752.28 1,000,000.00
October 2000........ 0.00 132,720.59
November 2000 and
thereafter......... 0.00 0.00
S-13
<PAGE>
Characteristics of the R and RL Classes
The R and RL Certificates will not have principal balances and will not
bear interest. The Holder of the R Certificate will be entitled to receive the
proceeds of the remaining assets of the Trust, if any, after the principal
balances of all Classes have been reduced to zero, and the Holder of the RL
Certificate will be entitled to receive the proceeds of the remaining assets of
the Lower Tier REMIC, if any, after the principal balances of the Lower Tier
Interests have been reduced to zero. It is not anticipated that there will be
any material assets remaining in either such circumstance.
The R Class and the RL Class will be subject to certain transfer
restrictions. No transfer of record or beneficial ownership of an R or RL
Certificate will be allowed to a "disqualified organization." In addition, no
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to any person that is not a "U.S. Person" without the written consent of
Fannie Mae. Under regulations issued by the Treasury Department on December 23,
1992 (the "Regulations"), a transfer of a "noneconomic residual interest" to a
U.S. Person will be disregarded for all federal tax purposes unless no
significant purpose of the transfer is to impede the assessment or collection of
tax. The R and RL Certificates will constitute noneconomic residual interests
under the Regulations. Any transferee of an R or RL Certificate must execute and
deliver an affidavit and an Internal Revenue Service Form W-9 on which the
transferee provides its taxpayer identification number. See "Description of the
Certificates--Additional Characteristics of Residual Certificates" and "Certain
Federal Income Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates" in the REMIC Prospectus. Transferors of an R or RL Certificate
should consult with their own tax advisors for further information regarding
such transfers.
The Holder of the R Certificate will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Certificate will be considered to be the holder of the "residual interest" in
the REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, Fannie
Mae will be obligated to provide to such Holders (i) such information as is
necessary to enable them to prepare their federal income tax returns and (ii)
any reports regarding the Certificates that may be required under the Code.
Yield Considerations
General. There can be no assurance that the Mortgage Loans will have the
characteristics assumed herein or will prepay at any of the rates assumed herein
or at any other particular rate, that the pre-tax yields on the Certificates
will correspond to any of the pre-tax yields shown herein or that the aggregate
purchase prices of the Certificates will be as assumed. In addition, there can
be no assurance that the applicable Index will correspond to the levels shown
herein. Because the rate of principal distributions on the Certificates will be
related to the amortization of the Mortgage Loans in each Pool, which are likely
to include Mortgage Loans that have remaining terms to maturity shorter or
longer than those assumed and interest rates higher or lower than those assumed,
the principal distributions on the Certificates are likely to differ from those
assumed, even if all Mortgage Loans prepay at the indicated constant percentages
of PSA. In addition, it is not likely that the Mortgage Loans will prepay at a
constant PSA rate until maturity, that all of such Mortgage Loans will prepay at
the same rate or that the level of the applicable Index will remain constant.
The timing of changes in the rate of prepayments or the level of the
applicable Index may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments or the average
level of such Index is consistent with the expectations of investors. In
general, the earlier the payment of principal of the Mortgage Loans or change in
the level of an Index, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal
prepayments or the level of an Index occurring at a rate or level higher (or
lower) than the rate or level anticipated by the investor during the period
immediately following the issuance of the
S-14
<PAGE>
Certificates will not be offset by a subsequent like reduction (or increase) in
the rate of principal prepayments or level of such Index.
The effective yield on the Delay Classes will be reduced below the yield
otherwise produced because principal and interest payable on a Distribution Date
will not be distributed until the 25th day following the end of the related
Interest Accrual Period and will not bear interest during such delay. No
interest at all will be paid on any Class after its principal balance has been
reduced to zero. As a result of the foregoing, the market value of the Delay
Classes will be lower than would have been the case if there were no such delay.
Investors must make their own decisions as to the appropriate assumptions,
including prepayment assumptions, to be used in deciding whether to purchase the
Certificates.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of certain Classes to various constant percentages
of PSA and, where specified, to changes in the applicable Index. The yields set
forth in the tables were calculated by determining the monthly discount rates
that, when applied to the assumed streams of cash flows to be paid on the
applicable Classes, would cause the discounted present value of such assumed
streams of cash flows to equal the assumed aggregate purchase prices of such
Classes 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 Certificates and consequently do not purport to reflect
the return on any investment in the Certificates when such reinvestment rates
are considered.
The Principal Only Class. The B Class will be a principal only class and
will not bear interest. As indicated in the table below, a low rate of principal
payments (including prepayments) will have a negative effect on the yield to
investors in the B Class.
The information set forth in the following table has been prepared on the
basis of the Pricing Assumptions and on the assumption that the aggregate
purchase price of the B Class (expressed as a percentage of original principal
balance) is as follows:
Class Price
- ------------------------------------------------------------------- ------
B.................................................................. 73.50%
Sensitivity of the B Class to Prepayments
PSA Prepayment Assumption
------------------------------------------
50% 100% 225% 300% 500%
----- ----- ----- ----- ------
Pre-Tax Yields to Maturity......... 1.5% 1.9% 3.5% 6.5% 22.6%
The Inverse Floating Rate Classes. The yields to investors in the Inverse
Floating Rate Classes will be sensitive in varying degrees to the level of the
applicable Index and to the rate of principal payments (including prepayments)
of the Mortgage Loans, which generally can be prepaid at any time. As indicated
in the tables below, a high level of the applicable Index will have a negative
effect on the yields to investors in the Inverse Floating Rate Classes. It is
possible that, under certain Index or prepayment scenarios, investors in the SA,
SD, S, SV and SU Classes would not fully recoup their initial investments.
Changes in the applicable Index may not correlate with changes in
prevailing mortgage interest rates. It is possible that lower prevailing
mortgage interest rates, which might be expected to result in faster
prepayments, could occur concurrently with an increased level of such Index.
S-15
<PAGE>
The information set forth in the following tables was prepared on the basis
of the Pricing Assumptions and the assumptions that (i) (a) the interest rates
applicable to the Inverse Floating Rate Classes (other than the SJ Class) for
each Interest Accrual Period subsequent to their initial Interest Accrual Period
will be based on the indicated level of the applicable Index and (b) the
interest rate applicable to the SJ Class for each Interest Accrual Period
subsequent to its initial twenty-four Interest Accrual Periods will be based on
the indicated level of LIBOR and (ii) the aggregate purchase prices of the
Inverse Floating Rate Classes (expressed as percentages of original principal
balances) are as follows:
Class Price*
- -------------------------------------------------------------- ----------
SA ........................................................... 101.80000%
SG ........................................................... 99.93000%
SD ........................................................... 102.25000%
S ........................................................... 11.22000%
SI ........................................................... 90.50000%
SO ........................................................... 93.58500%
SP ........................................................... 93.50000%
SH ........................................................... 90.90000%
SE ........................................................... 92.93750%
SV ........................................................... 102.00000%
SW............................................................ 92.00000%
SX ........................................................... 100.00000%
SY ........................................................... 92.00000%
ST ........................................................... 99.93771%
VC ........................................................... 95.68615%
SU ........................................................... 102.00000%
SM............................................................ 99.60000%
SN ........................................................... 92.25000%
SB ........................................................... 95.00000%
SC ........................................................... 99.00000%
SK ........................................................... 96.50000%
SL ........................................................... 99.00000%
VP ........................................................... 97.02500%
SJ ........................................................... 95.20000%
- -------------------------------
* The prices do not include accrued interest. Accrued interest has been
added to such prices in calculating the yields set forth in the tables
below.
Sensitivity of the SA Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------- ------- ------- ------- -------
<S> <C>
1.125%............................. 16.5% 16.4% 16.2% 16.2% 16.2%
3.125%............................. 11.6% 11.5% 11.3% 11.3% 11.3%
5.125%............................. 6.8% 6.7% 6.5% 6.5% 6.5%
7.125%............................. 2.0% 1.9% 1.8% 1.8% 1.8%
8.000%............................. (0.1)% (0.2)% (0.3)% (0.3)% (0.3)%
</TABLE>
S-16
<PAGE>
Sensitivity of the SG Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
1.125%............................. 15.6% 15.6% 15.6% 15.6% 15.6%
3.125%............................. 11.0% 11.0% 11.0% 11.0% 11.0%
5.125%............................. 6.5% 6.5% 6.6% 6.6% 6.6%
7.125%............................. 2.0% 2.1% 2.2% 2.2% 2.2%
8.000%............................. 0.1% 0.1% 0.2% 0.2% 0.2%
</TABLE>
Sensitivity of the SD Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------- ------- ------- ------- -------
<S> <C>
1.1875%............................ 18.7% 18.5% 18.2% 18.2% 18.2%
3.1875%............................ 12.5% 12.4% 12.1% 12.1% 12.1%
5.1875%............................ 6.4% 6.3% 6.1% 6.1% 6.1%
7.4000%............................ (0.1)% (0.2)% (0.4)% (0.4)% (0.4)%
</TABLE>
Sensitivity of the S Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-----------------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------- -------- -------- --------
<S> <C>
1.1875%............................ 67.5% 63.2% 51.3% 51.3% 51.4%
3.1875%............................ 45.8% 41.0% 27.4% 27.4% 27.6%
5.1875%............................ 24.5% 18.8% 2.0% 2.0% 2.4%
7.1875%............................ 1.7% (6.6)% (29.7)% (29.7)% (28.7)%
8.5000%............................ * * * * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SI Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.25%.............................. 12.0% 12.1% 12.6% 13.7% 18.7%
5.00%.............................. 6.0% 6.2% 6.7% 7.7% 12.9%
6.66%.............................. 0.5% 0.7% 1.2% 2.2% 7.5%
</TABLE>
Sensitivity of the SO Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.25%.............................. 15.3% 15.3% 15.6% 16.4% 19.7%
5.00%.............................. 7.5% 7.6% 7.9% 8.7% 12.2%
6.66%.............................. 0.4% 0.5% 0.9% 1.5% 5.3%
</TABLE>
S-17
<PAGE>
Sensitivity of the SP Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.25%.............................. 14.5% 14.6% 14.9% 16.0% 19.9%
5.00%.............................. 7.1% 7.2% 7.6% 8.7% 12.8%
6.66%.............................. 0.4% 0.5% 0.9% 1.9% 6.3%
</TABLE>
Sensitivity of the SH Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.25%.............................. 14.9% 15.0% 15.3% 15.5% 18.7%
5.00%.............................. 7.3% 7.4% 7.8% 8.1% 11.4%
6.66%.............................. 0.4% 0.6% 1.0% 1.3% 4.7%
</TABLE>
Sensitivity of the SE Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.25%.............................. 14.6% 14.7% 15.0% 15.8% 19.5%
5.00%.............................. 7.2% 7.3% 7.7% 8.5% 12.4%
6.66%.............................. 0.4% 0.5% 0.9% 1.7% 5.8%
</TABLE>
Sensitivity of the SV Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------- ------- -------
<S> <C>
3.25%.............................. 19.4% 19.3% 19.3% 19.0% 18.1%
5.00%.............................. 8.1% 8.1% 8.1% 7.9% 7.4%
6.31% and above.................... 0.0% 0.0% (0.1)% (0.1)% (0.4)%
</TABLE>
Sensitivity of the SW Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
6.31% and below.................... 21.5% 21.6% 21.9% 22.9% 27.1%
6.50%.............................. 9.8% 9.9% 10.3% 11.3% 15.9%
6.66%.............................. 0.5% 0.6% 1.1% 2.0% 6.8%
</TABLE>
Sensitivity of the SX Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.25%.............................. 19.8% 19.8% 19.8% 19.8% 19.8%
5.00%.............................. 8.3% 8.4% 8.4% 8.5% 8.9%
6.31% and above.................... 0.1% 0.1% 0.2% 0.3% 0.9%
</TABLE>
S-18
<PAGE>
Sensitivity of the SY Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
6.31% and below.................... 21.5% 21.6% 21.9% 22.9% 27.1%
6.50%.............................. 9.8% 9.9% 10.3% 11.3% 15.9%
6.66%.............................. 0.5% 0.6% 1.1% 2.0% 6.8%
</TABLE>
Sensitivity of the ST Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
1.125%............................. 26.3% 26.3% 26.3% 26.3% 26.1%
3.125%............................. 18.8% 18.8% 18.8% 18.8% 18.9%
5.125%............................. 11.4% 11.5% 11.5% 11.5% 11.8%
7.125%............................. 4.2% 4.2% 4.3% 4.4% 4.9%
8.300%............................. 0.1% 0.1% 0.2% 0.3% 0.9%
</TABLE>
Sensitivity of the VC Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.191%............................. 16.4% 16.5% 16.6% 17.1% 19.3%
5.125%............................. 6.1% 6.1% 6.4% 6.9% 9.4%
6.250%............................. 0.3% 0.3% 0.6% 1.1% 3.8%
</TABLE>
Sensitivity of the SU Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------- ------- -------
<S> <C>
3.191%............................. 19.4% 19.3% 19.3% 19.0% 18.1%
5.125%............................. 7.0% 7.0% 6.9% 6.8% 6.3%
6.250%............................. 0.0% 0.0% (0.1)% (0.1)% (0.4)%
</TABLE>
Sensitivity of the SM Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
2.05%.............................. 20.6% 20.6% 20.5% 20.4% 20.0%
4.05%.............................. 13.2% 13.2% 13.2% 13.2% 12.9%
6.05%.............................. 6.0% 6.0% 6.0% 6.0% 6.1%
7.75%.............................. 0.0% 0.0% 0.1% 0.1% 0.3%
</TABLE>
S-19
<PAGE>
Sensitivity of the SN Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
2.05%.............................. 22.3% 22.3% 22.3% 22.4% 23.0%
4.05%.............................. 14.3% 14.4% 14.5% 14.6% 15.2%
6.05%.............................. 6.6% 6.7% 6.8% 6.9% 7.6%
7.75%.............................. 0.3% 0.3% 0.5% 0.6% 1.3%
</TABLE>
Sensitivity of the SB Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
2.05%.............................. 22.5% 22.5% 22.6% 22.6% 23.0%
4.05%.............................. 12.9% 12.9% 13.0% 13.0% 13.4%
6.05%.............................. 3.6% 3.6% 3.7% 3.8% 4.2%
6.80% and above.................... 0.2% 0.2% 0.3% 0.4% 0.8%
</TABLE>
Sensitivity of the SC Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
6.80% and below.................... 10.8% 10.8% 10.8% 10.8% 10.8%
7.50%.............................. 5.2% 5.2% 5.2% 5.2% 5.2%
8.15%.............................. 0.0% 0.0% 0.1% 0.1% 0.2%
</TABLE>
Sensitivity of the SK Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
2.05%.............................. 23.7% 23.7% 23.7% 23.7% 23.9%
4.05%.............................. 13.6% 13.6% 13.6% 13.6% 13.9%
6.05%.............................. 3.7% 3.7% 3.8% 3.9% 4.1%
6.80% and above.................... 0.1% 0.1% 0.2% 0.3% 0.6%
</TABLE>
Sensitivity of the SL Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
COFI 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
6.80% and below.................... 10.8% 10.8% 10.8% 10.8% 10.8%
7.20%.............................. 5.0% 5.0% 5.0% 5.0% 5.1%
7.55%.............................. 0.0% 0.0% 0.1% 0.1% 0.2%
</TABLE>
S-20
<PAGE>
Sensitivity of the VP Class to Prepayments and 3-Month Treasury Index
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
3-Month Treasury Index 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
3.30%.............................. 18.5% 18.5% 18.5% 18.5% 18.7%
4.95%.............................. 12.3% 12.3% 12.3% 12.4% 12.6%
6.95%.............................. 5.0% 5.0% 5.0% 5.1% 5.3%
8.30%.............................. 0.1% 0.1% 0.2% 0.2% 0.5%
</TABLE>
Sensitivity of the SJ Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
LIBOR 50% 100% 225% 300% 500%
- ----------------------------------- ------ ------ ------ ------ ------
<S> <C>
1.30%.............................. 19.7% 19.7% 19.6% 19.6% 19.2%
3.30%.............................. 15.3% 15.3% 15.4% 15.5% 15.9%
5.30%.............................. 10.4% 10.4% 10.7% 10.9% 12.4%
7.30%.............................. 4.7% 4.8% 5.4% 5.9% 8.5%
8.35%.............................. 1.5% 1.6% 2.4% 3.0% 6.2%
</TABLE>
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a) multiplying
the amount of the reduction, if any, of the principal balance of such
Certificate from one Distribution Date to the next Distribution Date by the
number of years from the Settlement Date to the second such Distribution Date,
(b) summing the results and (c) dividing the sum by the aggregate amount of the
reductions in principal balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average life
of a Certificate, see "Description of the Certificates-- Weighted Average Life
and Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including the timing of changes in such rate of principal
payments, the priority sequence of distributions of principal of the Classes and
the distribution of principal of certain Classes in accordance with the
Principal Balance Schedules herein. In particular, if the amount distributable
as principal of the Certificates on any Distribution Date exceeds the amount
required to reduce the principal balances of certain Classes with higher
principal payment priorities to their respective scheduled amounts as set forth
in the Principal Balance Schedules, such excess principal will be distributed on
the remaining Classes on such Distribution Date. Conversely, if the principal
distributable on any Distribution Date is less than the amount so required to
reduce certain Classes to their respective scheduled amounts, no principal will
be distributed on the remaining Classes on such Distribution Date. Accordingly,
the rate of principal payments on the Mortgage Loans is expected to have a
greater effect on the weighted average lives of the Support Classes than on the
weighted average lives of the TAC Classes. See "Distributions of Principal"
herein.
The interaction of the foregoing factors may have different effects on
various Classes and the effects on any Class may vary at different times during
the life of such Class. Accordingly, no assurance can be given as to the
weighted average life of any Class. Further, to the extent the prices of the
Certificates represent discounts or premiums to their respective original
principal balances, variability in the weighted average lives of such Classes of
Certificates could result in variability in the related yields to maturity. For
an example of how the weighted average lives of the Classes may be affected at
various constant prepayment rates, see the Decrement Tables below.
S-21
<PAGE>
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of the
Pricing Assumptions, except that with respect to the information set forth for
each such Class under 0% PSA it has been assumed that each underlying Mortgage
Loan bears an interest rate of 9.5% per annum and has an original and remaining
term to maturity of 360 months. It is not likely that (i) all of the underlying
Mortgage Loans will have the interest rates, CAGEs or remaining terms to
maturity assumed or (ii) the underlying Mortgage Loans will prepay at a constant
PSA level. In addition, the diverse remaining terms to maturity of the Mortgage
Loans (which will include recently originated Mortgage Loans) could produce
slower or faster principal distributions than indicated in the tables at the
specified constant PSA levels, even if the distributions of the weighted average
remaining terms to maturity and the weighted average CAGEs of the Mortgage Loans
are identical to the distributions of the remaining terms to maturity and CAGEs
specified in the Pricing Assumptions.
S-22
<PAGE>
Percent of Original Principal Balances Outstanding
FA, SA, SG, FD, SD,
F and S+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 99 95 92 92 92
October 1995........ 98 87 75 75 75
October 1996........ 97 77 56 56 56
October 1997........ 95 67 38 38 38
October 1998........ 94 57 24 24 24
October 1999........ 92 49 11 11 12
October 2000........ 91 40 * * 4
October 2001........ 89 33 0 0 0
October 2002........ 86 25 0 0 0
October 2003........ 84 18 0 0 0
October 2004........ 81 12 0 0 0
October 2005........ 79 5 0 0 0
October 2006........ 76 0 0 0 0
October 2007........ 72 0 0 0 0
October 2008........ 68 0 0 0 0
October 2009........ 64 0 0 0 0
October 2010........ 60 0 0 0 0
October 2011........ 55 0 0 0 0
October 2012........ 49 0 0 0 0
October 2013........ 43 0 0 0 0
October 2014........ 36 0 0 0 0
October 2015........ 29 0 0 0 0
October 2016........ 21 0 0 0 0
October 2017........ 12 0 0 0 0
October 2018........ 2 0 0 0 0
October 2019........ 0 0 0 0 0
October 2020........ 0 0 0 0 0
October 2021........ 0 0 0 0 0
October 2022........ 0 0 0 0 0
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**.....17.3 6.2 3.5 3.5 3.5
A Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 99 95 92 92 92
October 1995........ 98 87 75 75 75
October 1996........ 97 77 56 56 56
October 1997........ 95 67 38 38 38
October 1998........ 94 57 23 23 23
October 1999........ 92 48 11 11 12
October 2000........ 90 40 0 0 4
October 2001........ 89 32 0 0 0
October 2002........ 86 25 0 0 0
October 2003........ 84 18 0 0 0
October 2004........ 81 11 0 0 0
October 2005........ 79 5 0 0 0
October 2006........ 75 0 0 0 0
October 2007........ 72 0 0 0 0
October 2008........ 68 0 0 0 0
October 2009........ 64 0 0 0 0
October 2010........ 59 0 0 0 0
October 2011........ 54 0 0 0 0
October 2012........ 49 0 0 0 0
October 2013........ 43 0 0 0 0
October 2014........ 36 0 0 0 0
October 2015........ 29 0 0 0 0
October 2016........ 21 0 0 0 0
October 2017........ 12 0 0 0 0
October 2018........ 2 0 0 0 0
October 2019........ 0 0 0 0 0
October 2020........ 0 0 0 0 0
October 2021........ 0 0 0 0 0
October 2022........ 0 0 0 0 0
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**..... 17.2 6.2 3.5 3.5 3.5
AB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 100 100 100 100 100
October 1995........ 100 100 100 100 100
October 1996........ 100 100 100 100 100
October 1997........ 100 100 100 100 100
October 1998........ 100 100 100 100 100
October 1999........ 100 100 100 100 100
October 2000........ 100 100 13 45 100
October 2001........ 100 100 0 0 0
October 2002........ 100 100 0 0 0
October 2003........ 100 100 0 0 0
October 2004........ 100 100 0 0 0
October 2005........ 100 100 0 0 0
October 2006........ 100 0 0 0 0
October 2007........ 100 0 0 0 0
October 2008........ 100 0 0 0 0
October 2009........ 100 0 0 0 0
October 2010........ 100 0 0 0 0
October 2011........ 100 0 0 0 0
October 2012........ 100 0 0 0 0
October 2013........ 100 0 0 0 0
October 2014........ 100 0 0 0 0
October 2015........ 100 0 0 0 0
October 2016........ 100 0 0 0 0
October 2017........ 100 0 0 0 0
October 2018........ 100 0 0 0 0
October 2019........ 0 0 0 0 0
October 2020........ 0 0 0 0 0
October 2021........ 0 0 0 0 0
October 2022........ 0 0 0 0 0
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**..... 25.2 12.9 7.0 7.0 7.7
FE, SI, SO, SE, SV,
SW, SX, SY, FT, ST, FC,
VC, SU, B and SM Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 100 100 100 93 74
October 1995........ 100 100 100 79 24
October 1996........ 100 100 100 64 0
October 1997........ 100 100 100 55 0
October 1998........ 100 100 100 50 0
October 1999........ 100 100 100 47 0
October 2000........ 100 100 100 47 0
October 2001........ 100 100 71 20 0
October 2002........ 100 100 46 0 0
October 2003........ 100 100 25 0 0
October 2004........ 100 100 7 0 0
October 2005........ 100 100 0 0 0
October 2006........ 100 98 0 0 0
October 2007........ 100 81 0 0 0
October 2008........ 100 65 0 0 0
October 2009........ 100 50 0 0 0
October 2010........ 100 36 0 0 0
October 2011........ 100 22 0 0 0
October 2012........ 100 9 0 0 0
October 2013........ 100 0 0 0 0
October 2014........ 100 0 0 0 0
October 2015........ 100 0 0 0 0
October 2016........ 100 0 0 0 0
October 2017........ 100 0 0 0 0
October 2018........ 100 0 0 0 0
October 2019........ 75 0 0 0 0
October 2020........ 38 0 0 0 0
October 2021........ 0 0 0 0 0
October 2022........ 0 0 0 0 0
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**..... 26.7 16.2 9.0 5.1 1.5
SP Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 100 100 100 91 66
October 1995........ 100 100 100 73 3
October 1996........ 100 100 100 54 0
October 1997........ 100 100 100 42 0
October 1998........ 100 100 100 36 0
October 1999........ 100 100 100 33 0
October 2000........ 100 100 100 33 0
October 2001........ 100 100 63 0 0
October 2002........ 100 100 32 0 0
October 2003........ 100 100 4 0 0
October 2004........ 100 100 0 0 0
October 2005........ 100 100 0 0 0
October 2006........ 100 98 0 0 0
October 2007........ 100 76 0 0 0
October 2008........ 100 56 0 0 0
October 2009........ 100 36 0 0 0
October 2010........ 100 18 0 0 0
October 2011........ 100 1 0 0 0
October 2012........ 100 0 0 0 0
October 2013........ 100 0 0 0 0
October 2014........ 100 0 0 0 0
October 2015........ 100 0 0 0 0
October 2016........ 100 0 0 0 0
October 2017........ 100 0 0 0 0
October 2018........ 100 0 0 0 0
October 2019........ 68 0 0 0 0
October 2020........ 21 0 0 0 0
October 2021........ 0 0 0 0 0
October 2022........ 0 0 0 0 0
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**..... 26.4 15.4 8.5 4.1 1.3
SH Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 100 100 100 100 100
October 1995........ 100 100 100 100 100
October 1996........ 100 100 100 100 0
October 1997........ 100 100 100 100 0
October 1998........ 100 100 100 100 0
October 1999........ 100 100 100 100 0
October 2000........ 100 100 100 100 0
October 2001........ 100 100 100 94 0
October 2002........ 100 100 100 0 0
October 2003........ 100 100 100 0 0
October 2004........ 100 100 31 0 0
October 2005........ 100 100 0 0 0
October 2006........ 100 100 0 0 0
October 2007........ 100 100 0 0 0
October 2008........ 100 100 0 0 0
October 2009........ 100 100 0 0 0
October 2010........ 100 100 0 0 0
October 2011........ 100 100 0 0 0
October 2012........ 100 43 0 0 0
October 2013........ 100 0 0 0 0
October 2014........ 100 0 0 0 0
October 2015........ 100 0 0 0 0
October 2016........ 100 0 0 0 0
October 2017........ 100 0 0 0 0
October 2018........ 100 0 0 0 0
October 2019........ 100 0 0 0 0
October 2020........ 100 0 0 0 0
October 2021........ 0 0 0 0 0
October 2022........ 0 0 0 0 0
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**..... 27.7 18.9 10.8 8.4 2.3
FM Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 100 100 100 95 80
October 1995........ 100 100 100 84 42
October 1996........ 100 100 100 73 19
October 1997........ 100 100 100 66 13
October 1998........ 100 100 100 62 11
October 1999........ 100 100 100 60 11
October 2000........ 100 100 100 60 11
October 2001........ 100 100 78 39 10
October 2002........ 100 100 59 23 7
October 2003........ 100 100 43 19 5
October 2004........ 100 100 29 15 3
October 2005........ 100 100 22 12 2
October 2006........ 100 99 18 10 1
October 2007........ 100 86 15 8 1
October 2008........ 100 74 13 6 1
October 2009........ 100 62 11 5 *
October 2010........ 100 51 9 4 *
October 2011........ 100 41 7 3 *
October 2012........ 100 31 6 2 *
October 2013........ 100 23 5 2 *
October 2014........ 100 20 4 1 *
October 2015........ 100 17 3 1 *
October 2016........ 100 15 2 1 *
October 2017........ 100 12 2 1 *
October 2018........ 100 10 1 * *
October 2019........ 81 8 1 * *
October 2020........ 53 5 1 * *
October 2021........ 24 3 * * *
October 2022........ 12 1 * * *
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**..... 27.3 18.1 10.8 7.0 2.7
SN, FB, SB, SC, FK, SK,
SL, FO, FP, VP,
FJ and SJ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 225% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
October 1994........ 100 100 100 100 100
October 1995........ 100 100 100 100 100
October 1996........ 100 100 100 100 77
October 1997........ 100 100 100 100 54
October 1998........ 100 100 100 100 47
October 1999........ 100 100 100 100 47
October 2000........ 100 100 100 100 47
October 2001........ 100 100 100 100 41
October 2002........ 100 100 100 98 28
October 2003........ 100 100 100 79 19
October 2004........ 100 100 100 63 13
October 2005........ 100 100 90 50 9
October 2006........ 100 100 76 40 6
October 2007........ 100 100 64 32 4
October 2008........ 100 100 53 25 3
October 2009........ 100 100 44 20 2
October 2010........ 100 100 37 16 1
October 2011........ 100 100 30 12 1
October 2012........ 100 100 25 9 1
October 2013........ 100 97 20 7 *
October 2014........ 100 85 16 6 *
October 2015........ 100 73 13 4 *
October 2016........ 100 62 10 3 *
October 2017........ 100 51 8 2 *
October 2018........ 100 41 6 2 *
October 2019........ 100 32 4 1 *
October 2020........ 100 23 3 1 *
October 2021........ 99 14 1 * *
October 2022........ 52 6 1 * *
October 2023........ 0 0 0 0 0
Weighted Average
Life (years)**..... 29.0 24.4 16.5 13.2 6.6
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-23
<PAGE>
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion
of "Certain Federal Income Tax Consequences" in the REMIC Prospectus, describes
the current federal income tax treatment of investors in the Certificates. These
two tax discussions do not purport to deal with all federal tax consequences
applicable to all categories of investors, some of which may be subject to
special rules. Investors should consult their own tax advisors in determining
the federal, state, local and any other tax consequences to them of the
purchase, ownership and disposition of the Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. The Certificates, other than the R and
RL Classes, will be designated as the "regular interests," and the R Class will
be designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests,"
and the RL Class will be designated as the "residual interest," in the Lower
Tier REMIC.
As a consequence of the qualification of the Trust and the Lower Tier REMIC
as REMICs, the Certificates generally will be treated as "qualifying real
property loans" for mutual savings banks and domestic building and loan
associations, "regular or residual interests in a REMIC" for domestic building
and loan associations, "real estate assets" for real estate investment trusts,
and, except for the R and RL Classes, as "qualified mortgages" for other REMICs.
See "Certain Federal Income Tax Consequences--Special Tax Attributes" in the
REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The Notional Class and the Principal Only Class will be, and certain other
Classes of Certificates may be, issued with original issue discount for federal
income tax purposes, which generally will result in recognition of some taxable
income in advance of the receipt of the cash attributable to such income. The
Prepayment Assumption that will be used in determining the rate of accrual of
original issue discount will be 225% PSA. See "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates--Original
Issue Discount" in the REMIC Prospectus. No representation is made as to whether
the Mortgage Loans underlying the MBS will prepay at that or any other rate. See
"Description of the Certificates--Weighted Average Lives of the Certificates"
herein and "Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus. In addition, certain Classes of
Certificates may be treated as having been issued at a premium for federal
income tax purposes. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Certificates Purchased at a Premium"
in the REMIC Prospectus.
The FJ and SJ Classes will bear interest during their first twenty-four
Interest Accrual Periods at fixed rates. During all subsequent Interest Accrual
Periods, each of the FJ and SJ Classes will bear interest at a variable rate
that is determined by reference to LIBOR as described in "Description of the
Certificates--Calculation of LIBOR" herein. Pursuant to the proposed original
issue discount regulations that were published on December 22, 1992 (the "1992
Proposed OID Regulations"), Fannie Mae intends to treat all interest
distributions on the FJ and SJ Classes as "qualified stated interest" because
the respective values of the FJ and SJ Classes are approximately the same as
they would be if the variable rates were in effect for the entire term of such
Classes.
The initial interest rate on each of the FE, FC, FO and FP Classes is the
minimum stated interest rate for such Class and the initial interest rate on
each of the SI, SO, SP, SH, SE, SV, SW, SX, SY, VC, SU, SC, SL and VP Classes is
the maximum stated interest rate for such Class. The 1992 Proposed OID
Regulations provide, in effect, that a debt instrument bearing interest at a
variable rate with a restriction on its minimum or maximum stated interest rate
will be treated as a contingent debt instrument if the restriction is very
likely to cause the interest rate during one or more accrual periods to be
significantly greater or less, respectively, than the instrument's overall
expected return. The
S-24
<PAGE>
1992 Proposed OID Regulations are proposed to be effective for debt instruments
issued on or after the date that is 60 days after the regulations are issued in
final form. Although it is possible that the principles contained in the 1992
Proposed OID Regulations would be applied to debt instruments issued prior to
that date, it is not clear whether those principles would apply to the FE, FC,
FO, FP, SI, SO, SP, SH, SE, SV, SW, SX, SY, VC, SU, SC, SL and VP Classes.
Fannie Mae, therefore, intends to treat the FE, FC, FO, FP, SI, SO, SP, SH, SE,
SV, SW, SX, SY, VC, SU, SC, SL and VP Classes as variable rate debt instruments
and not as contingent debt instruments. Investors are urged to consult their own
tax advisors regarding the possible treatment of the FE, FC, FO, FP, SI, SO, SP,
SH, SE, SV, SW, SX, SY, VC, SU, SC, SL and VP Classes as variable rate or
contingent debt instruments and the consequences of either such treatment.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R nor the RL Certificate will have
significant value. As a result, an organization to which section 593 of the Code
applies and which is the beneficial owner of the R or RL Certificate may not use
its allowable deductions to offset any "excess inclusions" with respect to such
Certificate. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Residual Certificates--Excess Inclusions" in the REMIC
Prospectus.
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about September 20, 1993. See "Certain Federal
Income Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates--Excess Inclusions" and "--Foreign Investors--Residual
Certificates" in the REMIC Prospectus. The federal income tax consequences of
any consideration paid to a transferee on the transfer of the R or RL
Certificate are unclear; any transferee receiving such consideration should
consult its own tax advisors.
Under the proposed IRS regulations relating to original issue discount, the
Lower Tier Regular Interests would be treated as a single debt instrument for
original issue discount purposes because they were issued to the Trust in a
single transaction. Although there can be no assurance that final regulations
will apply this aggregation rule to the Lower Tier Regular Interests, Fannie Mae
intends to calculate the taxable income (or net loss) of the Trust and of the
Lower Tier REMIC (and to report to the R and RL Certificateholders) by treating
the Lower Tier Regular Interests as a single debt instrument. A failure of the
Lower Tier Regular Interests to qualify as a single debt instrument for original
issue discount purposes could result in material adverse tax consequences to the
beneficial owners of the RL Class.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the MBS
pursuant to a Fannie Mae commitment. The Dealer proposes to offer the
Certificates directly to the public from time to time in negotiated transactions
at varying prices to be determined at the time of sale. The Dealer may effect
such transactions to or through dealers.
Increase in Certificates. Fannie Mae and the Dealer may agree to offer
hereby Certificates in addition to those contemplated as of the date hereof. In
such event, the MBS will be increased in principal balance, but it is expected
that all additional MBS will have the same characteristics as described herein
under "Description of the Certificates--The MBS." The proportion that the
original principal balance of each Class bears to the aggregate original
principal balance of all the Certificates will remain the same. The dollar
amounts reflected in the Principal Balance Schedules will be increased in pro
rata amounts that correspond to the increase of the principal balance of the
Certificates.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Cleary,
Gottlieb, Steen & Hamilton.
S-25
<PAGE>
- ------------------------------------------------------
- ------------------------------------------------------
No dealer, salesman or other person has been authorized to give any information
or to make any representations in connection with this offering other than those
contained in this Prospectus Supplement, the REMIC Prospectus, the MBS
Prospectus and the Information Statement and, if given or made, such information
or representations must not be relied upon as having been authorized. This
Prospectus Supplement and the aforementioned documents do not constitute an
offer to sell or a solicitation of an offer to buy any of the Certificates
offered hereby in any state to any person to whom it is unlawful to make such
offer or solicitation in such state. The delivery of this Prospectus Supplement
and the aforementioned documents at any time does not imply that the information
contained herein or therein is correct as of any time subsequent to the date
hereof or thereof.
------------------------
TABLE OF CONTENTS
Page
-----
Prospectus Supplement
Table of Contents.................... S- 3
Description of the Certificates...... S- 4
Certain Additional Federal Income Tax
Consequences....................... S-24
Plan of Distribution................. S-25
Legal Matters........................ S-25
REMIC Prospectus
Prospectus Supplement................ 2
Summary of Prospectus................ 3
Description of the Certificates...... 7
The Trust Agreement.................. 20
Certain Federal Income Tax
Consequences....................... 22
Legal Investment Considerations...... 32
Legal Opinion........................ 33
ERISA Considerations................. 33
Glossary............................. 34
- ------------------------------------------------------
- ------------------------------------------------------
$1,602,735,416
Federal National
Mortgage Association
(FANNIE MAE LOGO)
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1993-179
------------------------
PROSPECTUS SUPPLEMENT
------------------------
Kidder, Peabody & Co.
August 10, 1993
- ------------------------------------------------------
- ------------------------------------------------------
<PAGE>
Annex 2(g)
Prospectus Supplement
dated January 4, 1994
to
Prospectus dated December 29, 1992
relating to
Federal National Mortgage Association
Guaranteed Remic Pass Through Certificated
Fannie Mae REMIC Trust 1994-17
<PAGE>
Prospectus Supplement
(To Prospectus dated December 29, 1992)
$500,000,000
Federal National Mortgage Association
(FANNIEMAE LOGO)
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1994-17
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1994-17 (the "Trust").
The assets of the Trust will consist of the "regular interests" in a separate
trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier REMIC will
consist of Fannie Mae Guaranteed Mortgage Pass-Through Certificates (the "MBS"),
each of which will represent a beneficial interest in a pool (the "Pool") of
first lien, single-family, fixed-rate residential mortgage loans with original
maturities of up to 15 years (the "Mortgage Loans") having the characteristics
described herein. The Certificates will be issued and guaranteed as to timely
distribution of principal and interest by Fannie Mae and offered by Fannie Mae
pursuant to its Prospectus for Guaranteed Mortgage Pass-Through Certificates
(the "MBS Prospectus"), available as described herein, and its Prospectus for
Guaranteed REMIC Pass-Through Certificates (the "REMIC Prospectus"),
accompanying this Prospectus Supplement.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates--Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates--Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
(Cover continued on next page)
------------------------
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY THE
UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF OTHER
THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE REGISTRATION REQUIREMENTS
OF THE SECURITIES ACT OF 1933 AND ARE "EXEMPTED SECURITIES" WITHIN THE MEANING
OF THE SECURITIES EXCHANGE ACT OF 1934.
- ------------------------------------------------------------------------------
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
- ----- --------- -------- ------- -------- --------------
A ............. $ 83,100,000 PAC 4.75% FIX August 1999
B ............. 18,300,000 PAC 4.75 FIX July 2000
C ............. 71,100,000 PAC 5.25 FIX July 2003
D ............. 14,200,000 PAC 5.50 FIX January 2004
E ............. 100,300,000 PAC 6.00 FIX February 2007
G ............. 21,300,000 PAC 6.25 FIX September 2007
H ............. 62,500,000 PAC 6.00 FIX February 2009
JA ............ (2) NTL 6.50 FIX/IO December 1998
JB ............ (2) NTL 6.50 FIX/IO February 2009
Original Final
Principal Principal Interest Interest Distribution
Class Balance Type(1) Rate Type(1) Date
- ----- --------- - --------- -------- ------- ---------------
FA ............ $ 25,235,294 SCH (3) FLT January 2009
SA............. 7,764,706 SCH (3) INV January 2009
L ............. 7,400,000 SCH 6.50% FIX February 2009
F ............. 64,133,333 SUP (3) FLT February 2009
S ............. 24,666,667 SUP (3) INV February 2009
M ............. (2) NTL 0.13 FIX/IO February 1996
R ............. 0 NPR 0 NPR February 2009
RL ............ 0 NPR 0 NPR February 2009
- ------------------------------------------------------------------------------
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the Certificates--Distributions
of Interest" and "--Distributions of Principal" herein.
(2) The JA, JB and M Classes will be Notional Classes, will have no principal
balances and will bear interest on their notional principal balances
(initially, $19,000,000, $37,500,000 and $24,666,667, respectively). The
notional principal balances of the JA and JB Classes will be calculated
based on the principal balances of certain PAC Classes and the notional
principal balance of the M Class will be calculated based on the principal
balance of a Support Class. See "Description of the
Certificates--General--Notional Classes" herein.
(3) The FA and SA Classes will bear interest based on "COFI" and the F and S
Classes will bear interest based on "LIBOR", as described under "Description
of the Certificates--Distributions of Interest" herein and "Description of
the Certificates--Indices Applicable to Floating Rate and Inverse Floating
Rate Classes" in the REMIC Prospectus.
The Certificates will be offered by Salomon Brothers Inc (the "Dealer") from
time to time in negotiated transactions, at varying prices to be determined at
the time of sale.
The Certificates will be offered by the Dealer, subject to issuance by Fannie
Mae and to prior sale or to withdrawal or modification of the offer without
notice, when, as and if delivered to and accepted by the Dealer, subject to the
right by the Dealer to reject any order in whole or in part and subject to
approval of certain legal matters by counsel. It is expected that the
Certificates, except for the R and RL Classes, will be available through the
book-entry system of the Federal Reserve Banks on or about February 28, 1994
(the "Settlement Date"). It is expected that the R and RL Classes in registered,
certificated form will be available for delivery at the offices of the Dealer,
Seven World Trade Center, New York, New York 10048, on or about the Settlement
Date.
- --------------------------------------------------
Salomon Brothers Inc
---------------------------------------------------------------------------
The date of this Prospectus Supplement is January 4, 1994.
<PAGE>
(Cover continued from previous page)
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH
SUCH CERTIFICATES.
The yield to investors in each Class will be sensitive in varying degrees
to the rate of principal payments of the Mortgage Loans, the characteristics of
the Mortgage Loans actually included in the Pool, the purchase price paid for
the related Class and, in the case of any Floating Rate and Inverse Floating
Rate Classes, the level of the applicable Index (as defined herein).
Accordingly, investors should consider the following risks:
- The Mortgage Loans generally may be prepaid at any time without
penalty, and, accordingly, the rate of principal payments thereon is
likely to vary considerably from time to time.
- Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the
Classes.
- In the case of any Certificates purchased at a discount to their
principal amounts, a slower than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Interest Only Class, a faster than anticipated rate
of principal payments is likely to result in a lower than anticipated
yield and, in certain cases, an actual loss on the investment.
- The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index, particularly if the
interest rate thereon fluctuates as a multiple of such Index.
See "Description of the Certificates--Yield Considerations" herein.
In addition, investors should purchase Certificates only after considering
the following:
- The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
- The rate of principal distributions of the Certificates is uncertain
and investors may be unable to reinvest the distributions thereon at
yields equaling the yields on the Certificates. See "Description of
the Certificates--Reinvestment Risk" in the REMIC Prospectus.
- Investors whose investment activities are subject to legal investment
laws and regulations or to review by regulatory authorities may be
subject to restrictions on investment in certain Classes of the
Certificates. Investors should consult their legal advisors to
determine whether and to what extent the Certificates constitute legal
investments or are subject to restrictions on investment. See "Legal
Investment Considerations" in the REMIC Prospectus.
The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary market will
develop or, if developed, that it will continue. Thus, investors may not be able
to sell their Certificates readily or at prices that will enable them to realize
their anticipated yield. No investor should purchase Certificates unless such
investor understands and is able to bear the risk that the value of the
Certificates will fluctuate over time and that the Certificates may not be
readily salable.
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, the REMIC
Prospectus or the MBS Prospectus. Any representation to the contrary is a
criminal offense.
This Prospectus Supplement does not contain complete information about the
Certificates. Investors should purchase Certificates only after reading this
Prospectus Supplement, the REMIC Prospectus, the MBS Prospectus dated January 1,
1994 and the Fannie Mae Information Statement dated February 16, 1993 and any
supplements thereto (the "Information Statement"). The MBS Prospectus and the
Information Statement are incorporated herein by reference and may be obtained
from Fannie Mae by writing or calling its MBS Helpline at 3900 Wisconsin Avenue,
N.W., Area 2H-3S, Washington, D.C. 20016 (telephone 1-800-BEST-MBS or
202-752-6547). Such documents may also be obtained from Salomon Brothers Inc by
writing or calling its Prospectus Department at Brooklyn Army Terminal, 140 58th
Street, Brooklyn, New York 11220 (telephone 718-567-2005).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Description of the Certificates....... S- 4
General............................. S- 4
Structure........................ S- 4
MBS Distributions................ S- 4
Fannie Mae Guaranty.............. S- 4
Characteristics of
Certificates................... S- 4
Notional Classes................. S- 5
Authorized Denominations......... S- 5
Distribution Dates............... S- 5
Calculation of Distributions..... S- 5
Record Date...................... S- 6
REMIC Trust Factors.............. S- 6
Optional Termination............. S- 6
The MBS............................. S- 6
Distributions of Interest........... S- 7
Categories of Classes............ S- 7
General.......................... S- 7
Interest Accrual Periods......... S- 7
Floating Rate and Inverse
Floating Rate Classes.......... S- 7
Calculation of LIBOR................ S- 8
COFI................................ S- 8
Distributions of Principal.......... S- 9
Categories of Classes............ S- 9
Principal Distribution Amount.... S- 9
Page
----
Structuring Assumptions............. S-10
Pricing Assumptions.............. S-10
PSA Assumptions.................. S-10
Principal Balance Schedules......... S-12
Characteristics of the R and
RL Classes....................... S-18
Yield Considerations................ S-18
General.......................... S-18
The Interest Only Classes........ S-19
The Inverse Floating Rate
Classes........................ S-19
Weighted Average Lives of the
Certificates..................... S-20
Decrement Tables.................... S-22
Certain Additional Federal Income Tax
Consequences........................ S-24
REMIC Elections and Special Tax
Attributes....................... S-24
Taxation of Beneficial Owners of
Regular Certificates............. S-24
Taxation of Beneficial Owners of
Residual Certificates............ S-25
Plan of Distribution.................. S-25
General.......................... S-25
Increase in Certificates......... S-25
Legal Matters......................... S-25
S-3
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the REMIC Prospectus, the MBS Prospectus and the
provisions of the Trust Agreement (defined below). Capitalized terms used and
not otherwise defined in this Prospectus Supplement have the respective meanings
assigned to such terms in the REMIC Prospectus (including the Glossary contained
therein), the MBS Prospectus or the Trust Agreement (as the context may
require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant to a
trust agreement dated as of February 1, 1994 (the "Trust Agreement"), executed
by the Federal National Mortgage Association ("Fannie Mae") in its corporate
capacity and in its capacity as Trustee, and the Certificates in the Classes and
aggregate original principal balances set forth on the cover hereof will be
issued by Fannie Mae pursuant thereto. A description of Fannie Mae and its
business, together with certain financial statements and other financial
information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests,
and the Certificates, other than the RL Class, will evidence the entire
beneficial ownership interest in the distributions of principal and interest on
the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of the MBS, and the Lower
Tier Regular Interests and the RL Class (collectively, the "Lower Tier
Interests") will in the aggregate evidence the entire beneficial ownership
interest in the distributions of principal and interest on the MBS.
MBS Distributions. The MBS will provide that principal and interest on the
underlying Mortgage Loans will be passed through monthly, commencing on the 25th
day of the month following the month of the initial issuance of the MBS (or, if
such 25th day is not a business day, on the first business day next succeeding
such 25th day).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. In addition, Fannie Mae will be obligated to distribute
on a timely basis to the Holders of Certificates required installments of
principal and interest and to distribute the principal balance of each Class of
Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the MBS Account. The guaranties
of Fannie Mae are not backed by the full faith and credit of the United States.
See "Description of the Certificates--Fannie Mae's Guaranty" in the REMIC
Prospectus and "Description of Certificates-- The Corporation's Guaranty" in the
MBS Prospectus.
Characteristics of Certificates. The Certificates, other than the R and RL
Certificates, will be issued and maintained and may be transferred by Holders
only on the book-entry system of the Federal Reserve Banks. Such entities whose
names appear on the book-entry records of a Federal Reserve Bank as the entities
for whose accounts such Certificates have been deposited are herein referred to
as "Holders" or "Certificateholders." A Holder is not necessarily the beneficial
owner of a book-entry Certificate. Beneficial owners will ordinarily hold
book-entry Certificates through one or more financial intermediaries, such as
banks, brokerage firms and securities clearing organizations. See "Description
of the Certificates--Denominations, Book-Entry Form" in the REMIC Prospectus.
S-4
The R and RL Certificates will not be issued in book-entry form but will be
issued in fully registered, certificated form. As to the R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R
and RL Certificates will be transferable and, if applicable, exchangeable at the
corporate trust office of the Transfer Agent, or at the agency of the Transfer
Agent in New York, New York. The Transfer Agent initially will be State Street
Bank and Trust Company in Boston, Massachusetts ("State Street"). A service
charge may be imposed for any registration of transfer or, if applicable,
exchange of the R or RL Certificate and Fannie Mae may require payment of a sum
sufficient to cover any tax or other governmental charge. See also
"Characteristics of the R and RL Classes" herein.
The distribution to the Holder of the R or RL Certificate of the proceeds
of any remaining assets of the Trust or the Lower Tier REMIC, as applicable,
will be made only upon presentation and surrender of the related Certificate at
the office of the Paying Agent. The Paying Agent initially will be State Street.
Notional Classes. The JA, JB and M Classes will be Notional Classes. A
Notional Class will have no principal balance and will bear interest at the per
annum interest rate set forth on the cover or described herein during each
Interest Accrual Period on the related notional principal balance. The notional
principal balance of each Notional Class will be equal to the indicated
percentages of the outstanding principal balances of the following Classes
immediately prior to the related Distribution Date:
Percentage of
Principal Balance
Class of Specified Class
-------- ---------------
JA and JB*.................................. 26.9230769231% of the A Class
26.9230769231% of the B Class
19.2307692308% of the C Class
15.3846153846% of the D Class
7.6923076923% of the E Class
3.8461538462% of the G Class
7.6923076923% of the H Class
M**.......................................... 100% of the S Class
-------------------------
* Reductions of the principal balances of the A, B, C, D, E, G and H
Classes will be applied sequentially to the notional principal balances
of the JA and JB Classes, in that order, until the respective notional
principal balances thereof are reduced to zero.
** Through February 1996, the M Class will have a notional principal
balance equal to 100% of the outstanding principal balance of the S
Class. Thereafter, the M Class will have no notional principal balance
and will not be entitled to any distributions of interest.
The notional principal balance of a Notional Class is used for purposes of
the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the MBS or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to any such
Class that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally shall
be deemed to refer also to the notional principal balance of any Notional Class.
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. Each of the R and RL Classes will be issued
as a single certificate and will not have a principal balance.
Distribution Dates. Distributions on the Certificates will be made on the
25th day of each month (or, if such 25th day is not a business day, on the first
business day next succeeding such 25th day), commencing in the month following
the Settlement Date.
Calculation of Distributions. Interest on the interest-bearing
Certificates is calculated on the basis of a 360-day year consisting of twelve
30-day months and is distributable monthly on each
S-5
<PAGE>
Distribution Date, commencing (except with respect to the Accrual Classes, if
any) in the month after the Settlement Date. Interest to be distributed or, in
the case of any Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date. Interest to be distributed or, in the case of any Accrual
Classes, added to principal on a Distribution Date will accrue on the
interest-bearing Certificates during the one month periods set forth herein
under "Distributions of Interest--Interest Accrual Periods." Principal on the
Certificates will be distributed on each Distribution Date in an amount equal to
the sum of the aggregate distributions of principal concurrently made on the MBS
and any interest accrued and added on such Distribution Date to the principal
balances of the Accrual Classes, if any. See "Distributions of Principal"
herein.
Record Date. Each monthly distribution on the Certificates will be made to
Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh calendar
day of each month, Fannie Mae will publish or otherwise make available for each
Class of Certificates the factor (carried to eight decimal places) which, when
multiplied by the original principal balance of a Certificate of such Class,
will equal the remaining principal balance of such Certificate after giving
effect to the distribution of principal to be made on the following Distribution
Date and any interest to be added as principal to the principal balances of any
Accrual Classes on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Trust or the
Lower Tier REMIC through the exercise of its right to repurchase the Mortgage
Loans underlying any MBS unless only one Mortgage Loan remains in the related
Pool or the principal balance of such Pool at the time of repurchase is less
than one percent of the original principal balance thereof.
The MBS
The MBS underlying the Certificates will have the aggregate unpaid
principal balance and Pass-Through Rate set forth below and the general
characteristics described in the MBS Prospectus. The Mortgage Loans will be
conventional Level Payment Mortgage Loans secured by a first mortgage or deed of
trust on a one- to four-family ("single-family") residential property and having
an original maturity of up to 15 years, as described under "The Mortgage Pools"
and "Yield Considerations" in the MBS Prospectus. The characteristics of the MBS
and Mortgage Loans as of February 1, 1994 (the "Issue Date") are expected to be
as follows:
Aggregate Unpaid Principal Balance............. $500,000,000
MBS Pass-Through Rate.......................... 6.50%
Range of WACs (per annum percentages).......... 6.75% to 9.00%
Range of WAMs.................................. 100 months to 180 months
Approximate Weighted Average WAM............... 176 months
Approximate Weighted Average CAGE.............. 4 months
Following the issuance of the Certificates, Fannie Mae will prepare a Final
Data Statement setting forth the Pool number, the current WAC (or original WAC,
if the current WAC is not available) and the current WAM (or Adjusted WAM, if
the current WAM is not available) of the Mortgage Loans underlying each MBS,
along with the weighted average of all the current or original WACs and the
weighted average of all the current or Adjusted WAMs, based on the current
unpaid principal balances of the Mortgage Loans underlying the MBS as of the
Issue Date. The Final Data Statement will not accompany this Prospectus
Supplement but will be made available by Fannie Mae. To request the Final Data
Statement, telephone Fannie Mae at 1-800-BEST-MBS or 202-752-6547. The contents
of the Final Data Statement and other data specific to the Certificates are
available in electronic form by calling Fannie Mae at 1-800-752-6440 or
202-752-6000.
S-6
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
Interest Type* Classes
---------------- --------
Fixed Rate A, B, C, D, E, G, H, JA, JB, L and M
Floating Rate FA and F
Inverse Floating Rate SA and S
Interest Only JA, JB and M
No Payment Residual R and RL
--------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
respective per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to any Accrual Classes)
in the month after the Settlement Date. Interest to be distributed or, in the
case of any Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date.
Interest Accrual Periods. Interest to be distributed or added to principal
on a Distribution Date will accrue on the interest-bearing Certificates during
the one-month periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Period
------- ----------------------
<S> <C>
FA, SA, F and S (collectively, the One month period beginning on the 25th
"No Delay Classes") day of the month preceding the month of
the Distribution Date and ending on the
24th day of the month of the Distribution
Date
All other interest-bearing Classes Calendar month preceding the month in
(collectively, the "Delay Classes") which the Distribution Date occurs
</TABLE>
See "Yield Considerations" herein.
Floating Rate and Inverse Floating Rate Classes. Each of the following
Classes will bear interest during its initial Interest Accrual Period at the
Initial Interest Rate set forth below, and will bear interest during each
Interest Accrual Period thereafter, subject to the applicable Maximum and
Minimum Interest Rates, at the rate determined as described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
------ --------- --------- --------- ------------------
<S> <C>
FA................................. 4.8220% 8.500% 1.00% COFI + 100 basis points
SA................................. 11.9535% 24.375% 0.00% 24.375% - (COFI X 3.25)
F* ................................ 4.8500% 9.000% 0.60% LIBOR + 60 basis points
S* ................................ 10.6600% 21.840% 0.00% 21.840% - (LIBOR X 2.6)
</TABLE>
-----------------------
* The F and S Classes will bear interest during their initial twenty-four
Interest Accrual Periods ending February 24, 1996 at the Initial Interest
Rates set forth in the table.
The yields with respect to such Classes will be affected by changes in the
applicable index as set forth in the table above (each, an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with
S-7
<PAGE>
an increase in the level of an Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of an Index.
Each Index value (except COFI) will be established as described herein by
Fannie Mae two business days prior to the commencement of the related Interest
Accrual Period. See "COFI" below for a description of how COFI is established.
The establishment of each Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for the applicable Classes for the related
Interest Accrual Period shall (in the absence of manifest error) be final and
binding. Each such rate of interest may be obtained by telephoning Fannie Mae at
1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each LIBOR Determination Date, until the principal balances of the F and
S Classes (the "LIBOR Classes") have been reduced to zero, Fannie Mae will
establish LIBOR for the related Interest Accrual Period in the manner described
in the REMIC Prospectus under "Description of the Certificates--Indices
Applicable to Floating Rate and Inverse Floating Rate Classes--LIBOR."
If on the initial LIBOR Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be 3.25%.
COFI
Except as otherwise specified below, the amount of interest which will
accrue in respect of the FA and SA Classes (the "COFI Classes") during each
Interest Accrual Period following their Initial Interest Accrual Period will be
determined on the basis of the Eleventh District Cost of Funds Index for the
second month next preceding the month in which such Interest Accrual Period
commences if such Eleventh District Cost of Funds Index for such second
preceding month is published on or before the tenth day of the month in which
such Interest Accrual Period commences. For example, if the Eleventh District
Cost of Funds Index for May is announced on or before July 10, interest accrued
on the COFI Classes for the Interest Accrual Period commencing in July and
distributable in August will be based on the Eleventh District Cost of Funds
Index relating to May. If the Eleventh District Cost of Funds Index for the
applicable month is not published on or before the tenth day of the second
following month, interest will accrue on the COFI Classes at a rate determined
as provided in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--COFI." Under certain circumstances, an alternative index may be
applicable to the COFI Classes. A change of index from the Eleventh District
Cost of Funds Index to an alternative index will result in a change in the index
level, and, particularly if LIBOR is the alternative index, could increase its
volatility.
For information regarding historical values of the Eleventh District Cost
of Funds Index as reported by the Federal Home Loan Bank of San Francisco
("FHLBSF"), see "Description of the Certificates--Indices Applicable to Floating
Rate and Inverse Floating Rate Classes--COFI " in the REMIC Prospectus.
S-8
<PAGE>
The values of the Eleventh District Cost of Funds Index as reported by the
FHLBSF for the following months were as follows:
Months COFI
---------- -----
December 1992........................................ 4.432%
January 1993......................................... 4.360%
February 1993........................................ 4.333%
March 1993........................................... 4.245%
April 1993........................................... 4.171%
May 1993............................................. 4.103%
June 1993............................................ 4.050%
July 1993............................................ 3.998%
August 1993.......................................... 3.958%
September 1993....................................... 3.881%
October 1993......................................... 3.823%
November 1993........................................ 3.822%
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
Principal Type* Classes
- -------------------- -----------------------
PAC A, B, C, D, E, G and H
Scheduled FA, SA and L
Notional JA, JB and M
Support F and S
No Payment Residual R and RL
--------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
Principal Distribution Amount
Principal will be distributed monthly on the Certificates in an amount (the
"Principal Distribution Amount") equal to the aggregate distributions of
principal concurrently made on the MBS.
On each Distribution Date, the Principal Distribution Amount will be
distributed as principal of the Classes, in the following order of priority:
--
(i) sequentially, to the A, B, C, D, E, G and H Classes, | PAC
in that order, until the principal balances thereof are reduced | Classes
to their respective Planned Balances for such Distribution --
Date;
(ii) concurrently, to the FA and SA Classes, in proportion --
to their original principal balances (or 76.4705878788% and |
23.5294121212%, respectively), until the principal balances | Scheduled
thereof are reduced to their respective Scheduled Balances for | Classes
such Distribution Date; |
|
(iii) to the L Class, until the principal balance thereof |
is reduced to its Scheduled Balance for such Distribution Date; |
--
(iv) concurrently, to the F and S Classes, in proportion | Support
to their original principal balances (or 72.2222218468% and | Classes
27.7777781532%, respectively), until the principal balances |
thereof are reduced to zero; --
(v) concurrently, to the FA and SA Classes, in the
proportions set forth in clause (ii), without regard to their
Scheduled Balances and until the principal balances thereof are
reduced to zero;
(vi) to the L Class, without regard to its Scheduled
Balance and until the principal balance thereof is reduced to
zero; and
(vii) sequentially, to the A, B, C, D, E, G and H Classes,
in that order, without regard to their Planned Balances and
until the principal balances thereof are reduced to zero.
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
following assumptions (the "Pricing Assumptions"):
o each Mortgage Loan bears interest at a rate of 7.10% per annum and has
an original term to maturity of 180 months, a CAGE of 4 months and a
remaining term to maturity of 176 months;
o the Mortgage Loans prepay at the constant percentages of PSA
specified in the related table;
o the closing date for the sale of the Certificates is the Settlement
Date; and
o the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
PSA Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA (for example, 250% PSA) is to assume
a specified rate of prepayment each month of the then outstanding principal
balance of a pool of new mortgage loans computed as described under "Description
of the Certificates--Prepayment Considerations and Risks" in the REMIC
Prospectus. There is no assurance that prepayments will occur at any PSA rate or
at any other constant rate.
The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the Mortgage Loans prepay at the
approximate constant levels set forth in the following table.
Principal Balance
Schedule References Related Classes PSA Levels
- ------------------- --------------- ----------------------
Planned Balances PAC Between 100% and 300%
Scheduled Balances Scheduled Between 135% and 275%
There is no assurance that the principal balances of the Classes listed
above will conform on any Distribution Date to the applicable balances specified
for such Distribution Date in the Principal Balance Schedules below, or that
distributions of principal on the related Classes will begin or end on the
respective Distribution Dates specified therein. Because any excess of the
principal available for distribution on any Distribution Date over the amount
necessary to reduce the principal balances of the applicable Classes to their
respective scheduled balances will be distributed, the ability to so reduce the
principal balances of such Classes will not be enhanced by the averaging of high
and low principal payments. In addition, even if prepayments remain within the
ranges specified above, the principal available for distribution may be
insufficient to reduce the applicable Classes to such respective balances, if
prepayments do not occur at a constant PSA rate. Moreover, because of the
diverse remaining terms to maturity of the Mortgage Loans (which may include
recently originated Mortgage Loans), the Classes specified above may not be
reduced to their respective scheduled amounts, even if prepayments occur at a
constant level within the ranges specified above.
S-11
<TABLE>
<CAPTION>
Principal Balance Schedules
A Class B Class C Class D Class E Class
Distribution Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ----------------
<S> <C>
Initial Balance..... $ 83,100,000.00 $ 18,300,000.00 $ 71,100,000.00 $ 14,200,000.00 $ 100,300,000.00
March 1994.......... 81,061,153.07 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
April 1994.......... 78,932,226.05 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
May 1994............ 76,714,093.46 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
June 1994........... 74,407,679.92 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
July 1994........... 72,013,959.56 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
August 1994......... 69,533,955.42 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
September 1994...... 66,968,738.73 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
October 1994........ 64,319,428.22 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
November 1994....... 61,587,189.33 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
December 1994....... 58,773,233.40 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
January 1995........ 55,878,816.84 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
February 1995....... 52,905,240.19 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
March 1995.......... 49,853,847.20 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
April 1995.......... 46,726,023.84 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
May 1995............ 43,523,197.30 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
June 1995........... 40,246,834.88 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
July 1995........... 36,898,442.93 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
August 1995......... 33,479,565.70 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
September 1995...... 29,991,784.15 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
October 1995........ 26,436,714.75 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
November 1995....... 22,816,008.25 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
December 1995....... 19,131,348.39 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
January 1996........ 15,384,450.59 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
February 1996....... 11,577,060.64 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
March 1996.......... 7,710,953.29 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
April 1996.......... 3,787,930.91 18,300,000.00 71,100,000.00 14,200,000.00 100,300,000.00
May 1996............ 0.00 18,183,792.03 71,100,000.00 14,200,000.00 100,300,000.00
June 1996........... 0.00 14,298,438.58 71,100,000.00 14,200,000.00 100,300,000.00
July 1996........... 0.00 10,431,772.99 71,100,000.00 14,200,000.00 100,300,000.00
August 1996......... 0.00 6,583,698.17 71,100,000.00 14,200,000.00 100,300,000.00
September 1996...... 0.00 2,754,117.56 71,100,000.00 14,200,000.00 100,300,000.00
October 1996........ 0.00 0.00 70,042,935.07 14,200,000.00 100,300,000.00
November 1996....... 0.00 0.00 66,250,055.12 14,200,000.00 100,300,000.00
December 1996....... 0.00 0.00 62,475,382.61 14,200,000.00 100,300,000.00
January 1997........ 0.00 0.00 58,718,822.94 14,200,000.00 100,300,000.00
February 1997....... 0.00 0.00 54,980,281.98 14,200,000.00 100,300,000.00
March 1997.......... 0.00 0.00 51,259,666.10 14,200,000.00 100,300,000.00
April 1997.......... 0.00 0.00 47,556,882.14 14,200,000.00 100,300,000.00
May 1997............ 0.00 0.00 43,871,837.42 14,200,000.00 100,300,000.00
June 1997........... 0.00 0.00 40,204,439.74 14,200,000.00 100,300,000.00
July 1997........... 0.00 0.00 36,554,597.37 14,200,000.00 100,300,000.00
August 1997......... 0.00 0.00 32,922,219.05 14,200,000.00 100,300,000.00
September 1997...... 0.00 0.00 29,307,214.00 14,200,000.00 100,300,000.00
October 1997........ 0.00 0.00 25,709,491.89 14,200,000.00 100,300,000.00
November 1997....... 0.00 0.00 22,128,962.86 14,200,000.00 100,300,000.00
December 1997....... 0.00 0.00 18,565,537.51 14,200,000.00 100,300,000.00
January 1998........ 0.00 0.00 15,019,126.90 14,200,000.00 100,300,000.00
February 1998....... 0.00 0.00 11,489,642.56 14,200,000.00 100,300,000.00
March 1998.......... 0.00 0.00 7,976,996.45 14,200,000.00 100,300,000.00
April 1998.......... 0.00 0.00 4,481,101.00 14,200,000.00 100,300,000.00
May 1998............ 0.00 0.00 1,001,869.08 14,200,000.00 100,300,000.00
S-12
<PAGE>
<CAPTION>
A Class B Class C Class D Class E Class
Distribution Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ----------------
<S> <C>
June 1998........... $ 0.00 $ 0.00 $ 0.00 $ 11,739,214.01 $ 100,300,000.00
July 1998........... 0.00 0.00 0.00 8,293,049.56 100,300,000.00
August 1998......... 0.00 0.00 0.00 4,863,289.94 100,300,000.00
September 1998...... 0.00 0.00 0.00 1,449,849.80 100,300,000.00
October 1998........ 0.00 0.00 0.00 0.00 98,352,644.23
November 1998....... 0.00 0.00 0.00 0.00 94,971,588.75
December 1998....... 0.00 0.00 0.00 0.00 91,606,599.31
January 1999........ 0.00 0.00 0.00 0.00 88,257,592.31
February 1999....... 0.00 0.00 0.00 0.00 84,924,484.56
March 1999.......... 0.00 0.00 0.00 0.00 81,607,193.31
April 1999.......... 0.00 0.00 0.00 0.00 78,305,636.23
May 1999............ 0.00 0.00 0.00 0.00 75,019,731.42
June 1999........... 0.00 0.00 0.00 0.00 71,749,397.38
July 1999........... 0.00 0.00 0.00 0.00 68,494,553.05
August 1999......... 0.00 0.00 0.00 0.00 65,255,117.78
September 1999...... 0.00 0.00 0.00 0.00 62,031,011.33
October 1999........ 0.00 0.00 0.00 0.00 58,822,153.87
November 1999....... 0.00 0.00 0.00 0.00 55,628,465.98
December 1999....... 0.00 0.00 0.00 0.00 52,449,868.66
January 2000........ 0.00 0.00 0.00 0.00 49,300,909.51
February 2000....... 0.00 0.00 0.00 0.00 46,213,260.58
March 2000.......... 0.00 0.00 0.00 0.00 43,185,814.04
April 2000.......... 0.00 0.00 0.00 0.00 40,217,481.31
May 2000............ 0.00 0.00 0.00 0.00 37,307,192.74
June 2000........... 0.00 0.00 0.00 0.00 34,453,897.28
July 2000........... 0.00 0.00 0.00 0.00 31,656,562.16
August 2000......... 0.00 0.00 0.00 0.00 28,914,172.60
September 2000...... 0.00 0.00 0.00 0.00 26,225,731.47
October 2000........ 0.00 0.00 0.00 0.00 23,590,259.03
November 2000....... 0.00 0.00 0.00 0.00 21,006,792.61
December 2000....... 0.00 0.00 0.00 0.00 18,474,386.31
January 2001........ 0.00 0.00 0.00 0.00 15,992,110.74
February 2001....... 0.00 0.00 0.00 0.00 13,559,052.72
March 2001.......... 0.00 0.00 0.00 0.00 11,174,315.01
April 2001.......... 0.00 0.00 0.00 0.00 8,837,016.05
May 2001............ 0.00 0.00 0.00 0.00 6,546,289.66
June 2001........... 0.00 0.00 0.00 0.00 4,301,284.82
July 2001........... 0.00 0.00 0.00 0.00 2,101,165.37
August 2001 and
thereafter........ 0.00 0.00 0.00 0.00 0.00
S-13
<PAGE>
<CAPTION>
G Class H Class FA Class SA Class L Class
Distribution Planned Planned Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- -------------- --------------
<S> <C>
Initial Balance..... $ 21,300,000.00 $ 62,500,000.00 $ 25,235,294.00 $ 7,764,706.00 $ 7,400,000.00
March 1994.......... 21,300,000.00 62,500,000.00 25,122,925.07 7,730,130.95 7,400,000.00
April 1994.......... 21,300,000.00 62,500,000.00 24,988,862.90 7,688,881.05 7,400,000.00
May 1994............ 21,300,000.00 62,500,000.00 24,833,388.04 7,641,042.62 7,400,000.00
June 1994........... 21,300,000.00 62,500,000.00 24,656,809.40 7,586,710.73 7,400,000.00
July 1994........... 21,300,000.00 62,500,000.00 24,459,463.91 7,525,989.05 7,400,000.00
August 1994......... 21,300,000.00 62,500,000.00 24,241,716.05 7,458,989.70 7,400,000.00
September 1994...... 21,300,000.00 62,500,000.00 24,003,957.37 7,385,833.18 7,400,000.00
October 1994........ 21,300,000.00 62,500,000.00 23,746,605.97 7,306,648.13 7,400,000.00
November 1994....... 21,300,000.00 62,500,000.00 23,470,105.93 7,221,571.20 7,400,000.00
December 1994....... 21,300,000.00 62,500,000.00 23,174,926.73 7,130,746.83 7,400,000.00
January 1995........ 21,300,000.00 62,500,000.00 22,861,562.51 7,034,327.06 7,400,000.00
February 1995....... 21,300,000.00 62,500,000.00 22,530,531.42 6,932,471.35 7,400,000.00
March 1995.......... 21,300,000.00 62,500,000.00 22,182,374.90 6,825,346.26 7,400,000.00
April 1995.......... 21,300,000.00 62,500,000.00 21,817,656.84 6,713,125.32 7,400,000.00
May 1995............ 21,300,000.00 62,500,000.00 21,436,962.78 6,595,988.68 7,400,000.00
June 1995........... 21,300,000.00 62,500,000.00 21,040,899.06 6,474,122.91 7,400,000.00
July 1995........... 21,300,000.00 62,500,000.00 20,630,091.89 6,347,720.71 7,400,000.00
August 1995......... 21,300,000.00 62,500,000.00 20,205,186.47 6,216,980.57 7,400,000.00
September 1995...... 21,300,000.00 62,500,000.00 19,766,845.96 6,082,106.57 7,400,000.00
October 1995........ 21,300,000.00 62,500,000.00 19,315,750.55 5,943,307.98 7,400,000.00
November 1995....... 21,300,000.00 62,500,000.00 18,852,596.38 5,800,799.00 7,400,000.00
December 1995....... 21,300,000.00 62,500,000.00 18,378,094.49 5,654,798.42 7,400,000.00
January 1996........ 21,300,000.00 62,500,000.00 17,892,969.79 5,505,529.27 7,400,000.00
February 1996....... 21,300,000.00 62,500,000.00 17,397,959.85 5,353,218.52 7,400,000.00
March 1996.......... 21,300,000.00 62,500,000.00 16,893,813.90 5,198,096.69 7,400,000.00
April 1996.......... 21,300,000.00 62,500,000.00 16,381,291.59 5,040,397.51 7,400,000.00
May 1996............ 21,300,000.00 62,500,000.00 15,880,440.28 4,886,289.42 7,400,000.00
June 1996........... 21,300,000.00 62,500,000.00 15,391,150.16 4,735,738.60 7,400,000.00
July 1996........... 21,300,000.00 62,500,000.00 14,913,312.29 4,588,711.56 7,400,000.00
August 1996......... 21,300,000.00 62,500,000.00 14,446,818.67 4,445,175.06 7,400,000.00
September 1996...... 21,300,000.00 62,500,000.00 13,991,562.18 4,305,096.14 7,400,000.00
October 1996........ 21,300,000.00 62,500,000.00 13,547,436.61 4,168,442.11 7,400,000.00
November 1996....... 21,300,000.00 62,500,000.00 13,114,336.61 4,035,180.57 7,400,000.00
December 1996....... 21,300,000.00 62,500,000.00 12,692,157.72 3,905,279.38 7,400,000.00
January 1997........ 21,300,000.00 62,500,000.00 12,280,796.37 3,778,706.65 7,400,000.00
February 1997....... 21,300,000.00 62,500,000.00 11,880,149.82 3,655,430.79 7,400,000.00
March 1997.......... 21,300,000.00 62,500,000.00 11,490,116.22 3,535,420.44 7,400,000.00
April 1997.......... 21,300,000.00 62,500,000.00 11,110,594.54 3,418,644.54 7,400,000.00
May 1997............ 21,300,000.00 62,500,000.00 10,741,484.62 3,305,072.25 7,400,000.00
June 1997........... 21,300,000.00 62,500,000.00 10,382,687.12 3,194,673.02 7,400,000.00
July 1997........... 21,300,000.00 62,500,000.00 10,034,103.54 3,087,416.54 7,400,000.00
August 1997......... 21,300,000.00 62,500,000.00 9,695,636.22 2,983,272.74 7,400,000.00
September 1997...... 21,300,000.00 62,500,000.00 9,367,188.28 2,882,211.83 7,400,000.00
October 1997........ 21,300,000.00 62,500,000.00 9,048,663.68 2,784,204.26 7,400,000.00
November 1997....... 21,300,000.00 62,500,000.00 8,739,967.18 2,689,220.73 7,400,000.00
December 1997....... 21,300,000.00 62,500,000.00 8,441,004.35 2,597,232.16 7,400,000.00
January 1998........ 21,300,000.00 62,500,000.00 8,151,681.53 2,508,209.75 7,400,000.00
February 1998....... 21,300,000.00 62,500,000.00 7,871,905.85 2,422,124.92 7,400,000.00
March 1998.......... 21,300,000.00 62,500,000.00 7,601,585.23 2,338,949.35 7,400,000.00
April 1998.......... 21,300,000.00 62,500,000.00 7,340,628.38 2,258,654.93 7,400,000.00
May 1998............ 21,300,000.00 62,500,000.00 7,088,944.74 2,181,213.81 7,400,000.00
S-14
<PAGE>
<CAPTION>
G Class H Class FA Class SA Class L Class
Distribution Planned Planned Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- -------------- --------------
<S> <C>
June 1998........... $ 21,300,000.00 $ 62,500,000.00 $ 6,846,444.55 $ 2,106,598.36 $ 7,400,000.00
July 1998........... 21,300,000.00 62,500,000.00 6,613,038.77 2,034,781.20 7,400,000.00
August 1998......... 21,300,000.00 62,500,000.00 6,388,639.14 1,965,735.16 7,400,000.00
September 1998...... 21,300,000.00 62,500,000.00 6,173,158.13 1,899,433.31 7,400,000.00
October 1998........ 21,300,000.00 62,500,000.00 5,966,508.95 1,835,848.94 7,400,000.00
November 1998....... 21,300,000.00 62,500,000.00 5,768,605.54 1,774,955.59 7,400,000.00
December 1998....... 21,300,000.00 62,500,000.00 5,579,362.59 1,716,726.99 7,400,000.00
January 1999........ 21,300,000.00 62,500,000.00 5,398,695.48 1,661,137.11 7,400,000.00
February 1999....... 21,300,000.00 62,500,000.00 5,226,520.33 1,608,160.13 7,400,000.00
March 1999.......... 21,300,000.00 62,500,000.00 5,062,753.94 1,557,770.47 7,400,000.00
April 1999.......... 21,300,000.00 62,500,000.00 4,907,313.83 1,509,942.75 7,400,000.00
May 1999............ 21,300,000.00 62,500,000.00 4,760,118.24 1,464,651.79 7,400,000.00
June 1999........... 21,300,000.00 62,500,000.00 4,621,086.07 1,421,872.66 7,400,000.00
July 1999........... 21,300,000.00 62,500,000.00 4,490,136.92 1,381,580.62 7,400,000.00
August 1999......... 21,300,000.00 62,500,000.00 4,367,191.08 1,343,751.13 7,400,000.00
September 1999...... 21,300,000.00 62,500,000.00 4,252,169.51 1,308,359.88 7,400,000.00
October 1999........ 21,300,000.00 62,500,000.00 4,144,993.85 1,275,382.75 7,400,000.00
November 1999....... 21,300,000.00 62,500,000.00 4,045,586.40 1,244,795.84 7,400,000.00
December 1999....... 21,300,000.00 62,500,000.00 3,970,403.75 1,221,662.72 7,400,000.00
January 2000........ 21,300,000.00 62,500,000.00 3,916,933.13 1,205,210.22 7,400,000.00
February 2000....... 21,300,000.00 62,500,000.00 3,860,229.24 1,187,762.87 7,400,000.00
March 2000.......... 21,300,000.00 62,500,000.00 3,800,425.17 1,169,361.61 7,400,000.00
April 2000.......... 21,300,000.00 62,500,000.00 3,737,650.49 1,150,046.33 7,400,000.00
May 2000............ 21,300,000.00 62,500,000.00 3,672,031.37 1,129,855.83 7,400,000.00
June 2000........... 21,300,000.00 62,500,000.00 3,603,690.62 1,108,827.90 7,400,000.00
July 2000........... 21,300,000.00 62,500,000.00 3,532,747.77 1,086,999.34 7,400,000.00
August 2000......... 21,300,000.00 62,500,000.00 3,459,319.19 1,064,405.92 7,400,000.00
September 2000...... 21,300,000.00 62,500,000.00 3,383,518.07 1,041,082.51 7,400,000.00
October 2000........ 21,300,000.00 62,500,000.00 3,305,454.60 1,017,062.98 7,400,000.00
November 2000....... 21,300,000.00 62,500,000.00 3,225,235.94 992,380.31 7,400,000.00
December 2000....... 21,300,000.00 62,500,000.00 3,142,966.35 967,066.59 7,400,000.00
January 2001........ 21,300,000.00 62,500,000.00 3,058,747.23 941,153.01 7,400,000.00
February 2001....... 21,300,000.00 62,500,000.00 2,972,677.18 914,669.92 7,400,000.00
March 2001.......... 21,300,000.00 62,500,000.00 2,884,852.09 887,646.82 7,400,000.00
April 2001.......... 21,300,000.00 62,500,000.00 2,795,365.18 860,112.38 7,400,000.00
May 2001............ 21,300,000.00 62,500,000.00 2,704,307.06 832,094.49 7,400,000.00
June 2001........... 21,300,000.00 62,500,000.00 2,611,765.78 803,620.26 7,400,000.00
July 2001........... 21,300,000.00 62,500,000.00 2,517,826.96 774,716.00 7,400,000.00
August 2001......... 21,245,109.80 62,500,000.00 2,422,573.72 745,407.31 7,400,000.00
September 2001...... 19,132,310.96 62,500,000.00 2,326,086.84 715,719.04 7,400,000.00
October 2001........ 17,061,975.84 62,500,000.00 2,228,444.78 685,675.33 7,400,000.00
November 2001....... 15,033,325.31 62,500,000.00 2,129,723.74 655,299.62 7,400,000.00
December 2001....... 13,045,593.91 62,500,000.00 2,029,997.68 624,614.68 7,400,000.00
January 2002........ 11,098,029.59 62,500,000.00 1,929,338.42 593,642.60 7,400,000.00
February 2002....... 9,189,893.49 62,500,000.00 1,827,815.67 562,404.83 7,400,000.00
March 2002.......... 7,320,459.71 62,500,000.00 1,725,497.07 530,922.18 7,400,000.00
April 2002.......... 5,489,015.11 62,500,000.00 1,622,448.23 499,214.85 7,400,000.00
May 2002............ 3,694,859.07 62,500,000.00 1,518,732.82 467,302.41 7,400,000.00
June 2002........... 1,937,303.28 62,500,000.00 1,414,412.56 435,203.87 7,400,000.00
July 2002........... 215,671.53 62,500,000.00 1,309,547.32 402,937.64 7,400,000.00
August 2002......... 0.00 61,029,299.50 1,204,195.12 370,521.58 7,400,000.00
September 2002...... 0.00 59,377,534.57 1,098,412.19 337,972.99 7,400,000.00
S-15
<PAGE>
<CAPTION>
G Class H Class FA Class SA Class L Class
Distribution Planned Planned Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- -------------- --------------
<S> <C>
October 2002........ $ 0.00 $ 57,759,735.61 $ 992,253.03 $ 305,308.63 $ 7,400,000.00
November 2002....... 0.00 56,175,272.77 885,770.43 272,544.75 7,400,000.00
December 2002....... 0.00 54,623,527.32 779,015.49 239,697.08 7,400,000.00
January 2003........ 0.00 53,103,891.42 672,037.73 206,780.84 7,400,000.00
February 2003....... 0.00 51,615,767.97 564,885.04 173,810.79 7,400,000.00
March 2003.......... 0.00 50,158,570.40 457,603.80 140,801.17 7,400,000.00
April 2003.......... 0.00 48,731,722.50 350,238.85 107,765.80 7,400,000.00
May 2003............ 0.00 47,334,658.24 242,833.57 74,718.02 7,400,000.00
June 2003........... 0.00 45,966,821.60 135,429.90 41,670.74 7,400,000.00
July 2003........... 0.00 44,627,666.39 28,068.39 8,636.43 7,400,000.00
August 2003......... 0.00 43,316,656.08 0.00 0.00 7,296,415.34
September 2003...... 0.00 42,033,263.65 0.00 0.00 7,156,281.69
October 2003........ 0.00 40,776,971.41 0.00 0.00 7,016,351.63
November 2003....... 0.00 39,547,270.85 0.00 0.00 6,876,671.28
December 2003....... 0.00 38,343,662.48 0.00 0.00 6,737,285.12
January 2004........ 0.00 37,165,655.66 0.00 0.00 6,598,236.07
February 2004....... 0.00 36,012,768.48 0.00 0.00 6,459,565.49
March 2004.......... 0.00 34,884,527.57 0.00 0.00 6,321,313.26
April 2004.......... 0.00 33,780,467.98 0.00 0.00 6,183,517.79
May 2004............ 0.00 32,700,133.04 0.00 0.00 6,046,216.04
June 2004........... 0.00 31,643,074.19 0.00 0.00 5,909,443.61
July 2004........... 0.00 30,608,850.86 0.00 0.00 5,773,234.72
August 2004......... 0.00 29,597,030.34 0.00 0.00 5,637,622.28
September 2004...... 0.00 28,607,187.62 0.00 0.00 5,502,637.91
October 2004........ 0.00 27,638,905.27 0.00 0.00 5,368,311.97
November 2004....... 0.00 26,691,773.31 0.00 0.00 5,234,673.61
December 2004....... 0.00 25,765,389.09 0.00 0.00 5,101,750.77
January 2005........ 0.00 24,859,357.15 0.00 0.00 4,969,570.24
February 2005....... 0.00 23,973,289.09 0.00 0.00 4,838,157.69
March 2005.......... 0.00 23,106,803.47 0.00 0.00 4,707,537.67
April 2005.......... 0.00 22,259,525.67 0.00 0.00 4,577,733.67
May 2005............ 0.00 21,431,087.79 0.00 0.00 4,448,768.13
June 2005........... 0.00 20,621,128.51 0.00 0.00 4,320,662.48
July 2005........... 0.00 19,829,293.00 0.00 0.00 4,193,437.15
August 2005......... 0.00 19,055,232.79 0.00 0.00 4,067,111.63
September 2005...... 0.00 18,298,605.67 0.00 0.00 3,941,704.46
October 2005........ 0.00 17,559,075.58 0.00 0.00 3,817,233.26
November 2005....... 0.00 16,836,312.51 0.00 0.00 3,693,714.77
December 2005....... 0.00 16,129,992.37 0.00 0.00 3,571,164.88
January 2006........ 0.00 15,439,796.92 0.00 0.00 3,449,598.62
February 2006....... 0.00 14,765,413.65 0.00 0.00 3,329,030.22
March 2006.......... 0.00 14,106,535.68 0.00 0.00 3,209,473.11
April 2006.......... 0.00 13,462,861.67 0.00 0.00 3,090,939.94
May 2006............ 0.00 12,834,095.72 0.00 0.00 2,973,442.63
June 2006........... 0.00 12,219,947.27 0.00 0.00 2,856,992.36
July 2006........... 0.00 11,620,131.02 0.00 0.00 2,741,599.60
August 2006......... 0.00 11,034,366.83 0.00 0.00 2,627,274.13
September 2006...... 0.00 10,462,379.63 0.00 0.00 2,514,025.07
October 2006........ 0.00 9,903,899.33 0.00 0.00 2,401,860.89
November 2006....... 0.00 9,358,660.74 0.00 0.00 2,290,789.42
December 2006....... 0.00 8,826,403.49 0.00 0.00 2,180,817.88
January 2007........ 0.00 8,306,871.92 0.00 0.00 2,071,952.91
S-16
<PAGE>
<CAPTION>
G Class H Class FA Class SA Class L Class
Distribution Planned Planned Scheduled Scheduled Scheduled
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- -------------- --------------
<S> <C>
February 2007....... $ 0.00 $ 7,799,815.03 $ 0.00 $ 0.00 $ 1,964,200.56
March 2007.......... 0.00 7,304,986.38 0.00 0.00 1,857,566.32
April 2007.......... 0.00 6,822,144.01 0.00 0.00 1,752,055.15
May 2007............ 0.00 6,351,050.37 0.00 0.00 1,647,671.47
June 2007........... 0.00 5,891,472.25 0.00 0.00 1,544,419.18
July 2007........... 0.00 5,443,180.68 0.00 0.00 1,442,301.70
August 2007......... 0.00 5,005,950.87 0.00 0.00 1,341,321.97
September 2007...... 0.00 4,579,562.14 0.00 0.00 1,241,482.46
October 2007........ 0.00 4,163,797.85 0.00 0.00 1,142,785.19
November 2007....... 0.00 3,758,445.31 0.00 0.00 1,045,231.75
December 2007....... 0.00 3,363,295.74 0.00 0.00 948,823.30
January 2008........ 0.00 2,978,144.18 0.00 0.00 853,560.59
February 2008....... 0.00 2,602,789.44 0.00 0.00 759,443.97
March 2008.......... 0.00 2,237,034.00 0.00 0.00 666,473.42
April 2008.......... 0.00 1,880,683.99 0.00 0.00 574,648.53
May 2008............ 0.00 1,533,549.10 0.00 0.00 483,968.54
June 2008........... 0.00 1,195,442.53 0.00 0.00 394,432.34
July 2008........... 0.00 866,180.90 0.00 0.00 306,038.51
August 2008......... 0.00 545,584.23 0.00 0.00 218,785.27
September 2008...... 0.00 233,475.85 0.00 0.00 132,670.55
October 2008 and
thereafter........ 0.00 0.00 0.00 0.00 0.00
</TABLE>
S-17
Characteristics of the R and RL Classes
The R and RL Certificates will not have principal balances and will not
bear interest. The Holder of the R Certificate will be entitled to receive the
proceeds of the remaining assets of the Trust, if any, after the principal
balances of all Classes have been reduced to zero, and the Holder of the RL
Certificate will be entitled to receive the proceeds of the remaining assets of
the Lower Tier REMIC, if any, after the principal balances of the Lower Tier
Interests have been reduced to zero. It is not anticipated that there will be
any material assets remaining in either such circumstance.
The R Class and the RL Class will be subject to certain transfer
restrictions. No transfer of record or beneficial ownership of an R or RL
Certificate will be allowed to a "disqualified organization." In addition, no
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to any person that is not a "U.S. Person" without the written consent of
Fannie Mae. Under regulations issued by the Treasury Department on December 23,
1992 (the "Regulations"), a transfer of a "noneconomic residual interest" to a
U.S. Person will be disregarded for all federal tax purposes unless no
significant purpose of the transfer is to impede the assessment or collection of
tax. The R and RL Certificates will constitute noneconomic residual interests
under the Regulations. Any transferee of an R or RL Certificate must execute and
deliver an affidavit and an Internal Revenue Service Form W-9 on which the
transferee provides its taxpayer identification number. See "Description of the
Certificates--Additional Characteristics of Residual Certificates" and "Certain
Federal Income Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates" in the REMIC Prospectus. Transferors of an R or RL Certificate
should consult with their own tax advisors for further information regarding
such transfers.
The Holder of the R Certificate will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Certificate will be considered to be the holder of the "residual interest" in
the REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, Fannie
Mae will be obligated to provide to such Holders (i) such information as is
necessary to enable them to prepare their federal income tax returns and (ii)
any reports regarding the Certificates that may be required under the Code.
Yield Considerations
General. There can be no assurance that the Mortgage Loans will have the
characteristics assumed herein or will prepay at any of the rates assumed herein
or at any other particular rate, that the pre-tax yields on the Certificates
will correspond to any of the pre-tax yields shown herein or that the aggregate
purchase prices of the Certificates will be as assumed. In addition, there can
be no assurance that the applicable Index will correspond to the levels shown
herein. Because the rate of principal distributions on the Certificates will be
related to the amortization of the Mortgage Loans in each Pool, which are likely
to include Mortgage Loans that have remaining terms to maturity shorter or
longer than those assumed and interest rates higher or lower than those assumed,
the principal distributions on the Certificates are likely to differ from those
assumed, even if all Mortgage Loans prepay at the indicated constant percentages
of PSA. In addition, it is not likely that the Mortgage Loans will prepay at a
constant PSA rate until maturity, that all of such Mortgage Loans will prepay at
the same rate or that the level of the applicable Index will remain constant.
The timing of changes in the rate of prepayments or the level of the
applicable Index may significantly affect the actual yield to maturity to
investors, even if the average rate of principal prepayments or the average
level of such Index is consistent with the expectations of investors. In
general, the earlier the payment of principal of the Mortgage Loans or change in
the level of an Index, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal
prepayments or the level of an Index occurring at a rate or level higher (or
lower) than the rate or level anticipated by the investor during the period
immediately following the issuance of the
S-18
Certificates will not be offset by a subsequent like reduction (or increase) in
the rate of principal prepayments or level of such Index.
The effective yield on the Delay Classes will be reduced below the yield
otherwise produced because principal and interest payable on a Distribution Date
will not be distributed until the 25th day following the end of the related
Interest Accrual Period and will not bear interest during such delay. No
interest at all will be paid on any Class after its principal balance has been
reduced to zero. As a result of the foregoing, the market value of the Delay
Classes will be lower than would have been the case if there were no such delay.
Investors must make their own decisions as to the appropriate assumptions,
including prepayment assumptions, to be used in deciding whether to purchase the
Certificates.
The tables below indicate the sensitivity of the pre-tax corporate bond
equivalent yields to maturity of certain Classes to various constant percentages
of PSA and, where specified, to changes in an Index. The yields set forth in the
tables were calculated by determining the monthly discount rates that, when
applied to the assumed streams of cash flows to be paid on the applicable
Classes, would cause the discounted present value of such assumed streams of
cash flows to equal the assumed aggregate purchase prices of such Classes 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 Certificates and consequently do not purport to reflect the
return on any investment in the Certificates when such reinvestment rates are
considered.
The Interest Only Classes. As indicated in the table below, the yields to
investors in the JA, JB and M Classes will be sensitive, in varying degrees, to
the rate of principal payments (including prepayments) of the Mortgage Loans,
which generally can be prepaid at any time. On the basis of the assumptions
described below, the yield to maturity on the JA, JB and M Classes would be 0%
if prepayments were to occur at constant rates of approximately 810% PSA, 556%
PSA and 311% PSA, respectively. If the actual prepayment rate of the Mortgage
Loans were to exceed any of the foregoing levels for as little as one month
while equaling such level for the remaining months, the investors in the JA, JB
and M Classes, as applicable, would not fully recoup their initial investments.
The information set forth in the following table was prepared on the basis
of the Pricing Assumptions and the assumption that the aggregate purchase prices
of the JA, JB and M Classes (expressed as percentages of original principal
balances) are as follows:
Class Price*
------ ---------
JA ................................................... 6.54681%
JB ................................................... 22.03682%
M .................................................... 0.19382%
-------------------------------
* The prices do not include accrued interest. Accrued interest has been
added to such prices in calculating the yields set forth in the table
below.
Sensitivity of the JA, JB and M Classes to Prepayments
(Pre-Tax Yields to Maturity)
PSA Prepayment Assumption
------------------------------------------
Class 50% 100% 250% 300% 500%
------- ----- ----- ----- ----- ------
JA ........................... 27.3% 6.5% 6.5% 6.5% 6.5%
JB ........................... 16.9% 12.0% 12.0% 12.0% 3.1%
M ............................ 26.4% 26.4% 10.0% 2.0% (41.0%)
The Inverse Floating Rate Classes. The yields to investors in the
Inverse Floating Rate Classes will be sensitive, in varying degrees, to the
level of the applicable Index and to the
S-19
rate of principal payments (including prepayments) of the Mortgage Loans, which
generally can be prepaid at any time. As indicated in the tables below, a high
level of the applicable Index will have a negative effect on the yields to
investors in the Inverse Floating Rate Classes. It is possible that, under
certain high Index scenarios, investors in the SA Class would not fully recoup
their initial investments.
Changes in an Index may not correlate with changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur
concurrently with an increased level of such Index.
The information set forth in the following tables was prepared on the basis
of the Pricing Assumptions and the assumptions that (i) the interest rates
applicable to the Inverse Floating Rate Classes for each Interest Accrual Period
subsequent to their initial Interest Accrual Period (or, in the case of the S
Class, subsequent to its initial twenty-four Interest Accrual Periods) will be
based on the indicated level of the applicable Index and (ii) the aggregate
purchase prices of the Inverse Floating Rate Classes (expressed as percentages
of original principal balances) are as follows:
<TABLE>
<CAPTION>
Class Price*
------- -----------
<S> <C>
SA............................................................ 102.50355%
S ............................................................ 100.21574%
</TABLE>
-------------------------------
* The prices do not include accrued interest. Accrued interest has been
added to such prices in calculating the yields set forth in the tables
below.
Sensitivity of the SA Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------------------------------
COFI 50% 100% 135% 250% 275% 300% 500%
------ ------- ------- ------- ------- ------- ------- -------
<S> <C>
1.822%........................ 18.5% 18.5% 17.9% 17.9% 17.9% 17.7% 17.1%
3.822%........................ 11.8% 11.8% 11.3% 11.3% 11.3% 11.2% 10.7%
5.822%........................ 5.3% 5.2% 4.9% 4.9% 4.9% 4.7% 4.3%
6.822%........................ 2.0% 2.0% 1.7% 1.7% 1.7% 1.6% 1.2%
7.500%........................ (0.1)% (0.2)% (0.5)% (0.5)% (0.5)% (0.6)% (0.9)%
</TABLE>
Sensitivity of the S Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------
LIBOR 50% 100% 250% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C>
1.25%......................... 16.7% 16.6% 14.1% 12.1% 10.7%
3.25%......................... 13.0% 12.9% 12.0% 11.3% 10.7%
5.25%......................... 8.9% 8.9% 9.7% 10.4% 10.7%
7.25%......................... 4.5% 4.6% 7.3% 9.5% 10.7%
8.40%......................... 1.8% 1.9% 5.7% 9.0% 10.7%
</TABLE>
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a) multiplying
the amount of the reduction, if any, of the principal balance of such
Certificate from one Distribution Date to the next Distribution Date by the
number of years from the Settlement Date to the second such Distribution Date,
(b) summing the results and (c) dividing the sum by the aggregate amount of the
reductions in principal balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average life
of a Certificate, see "Description of the Certificates-- Weighted Average Life
and Final Distribution Dates" in the REMIC Prospectus.
S-20
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including the timing of changes in such rate of principal
payments, the priority sequence of distributions of principal of the Classes and
the distribution of principal of certain Classes in accordance with the
Principal Balance Schedules herein. In particular, if the amount distributable
as principal of the Certificates on any Distribution Date exceeds the amount
required to reduce the principal balances of certain Classes with higher
principal payment priorities to their respective scheduled amounts as set forth
in the Principal Balance Schedules, such excess principal will be distributed on
the remaining Classes on such Distribution Date. Conversely, if the principal
distributable on any Distribution Date is less than the amount so required to
reduce certain Classes to their respective scheduled amounts, no principal will
be distributed on the remaining Classes on such Distribution Date. Accordingly,
the rate of principal payments on the Mortgage Loans is expected to have a
greater effect on the weighted average lives of the Support Classes and, under
certain prepayment scenarios, the Scheduled Classes, than on the weighted
average lives of the PAC Classes. See "Distributions of Principal" herein.
The interaction of the foregoing factors may have different effects on
various Classes and the effects on any Class may vary at different times during
the life of such Class. Accordingly, no assurance can be given as to the
weighted average life of any Class. Further, to the extent the prices of the
Certificates represent discounts or premiums to their respective original
principal balances, variability in the weighted average lives of such Classes of
Certificates could result in variability in the related yields to maturity. For
an example of how the weighted average lives of the Classes may be affected at
various constant prepayment rates, see the Decrement Tables below.
S-21
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of the
Pricing Assumptions, except that with respect to the information set forth for
each such Class under 0% PSA it has been assumed that each underlying Mortgage
Loan bears an interest rate of 9.00% per annum and has an original and remaining
term to maturity of 180 months. It is not likely that (i) all of the underlying
Mortgage Loans will have the interest rates, CAGEs or remaining terms to
maturity assumed or (ii) the underlying Mortgage Loans will prepay at a constant
PSA level. In addition, the diverse remaining terms to maturity of the Mortgage
Loans (which will include recently originated Mortgage Loans) could produce
slower or faster principal distributions than indicated in the tables at the
specified constant PSA levels, even if the weighted average remaining term to
maturity and the weighted average CAGE of the Mortgage Loans are identical to
the remaining term to maturity and CAGE specified in the Pricing Assumptions.
Percent of Original Principal Balances Outstanding
A Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 80 64 64 64 64
February 1996....... 58 14 14 14 14
February 1997....... 35 0 0 0 0
February 1998....... 9 0 0 0 0
February 1999....... 0 0 0 0 0
February 2000....... 0 0 0 0 0
February 2001....... 0 0 0 0 0
February 2002....... 0 0 0 0 0
February 2003....... 0 0 0 0 0
February 2004....... 0 0 0 0 0
February 2005....... 0 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 2.3 1.3 1.3 1.3 1.3
B Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 100 100 100
February 1996....... 100 100 100 100 100
February 1997....... 100 0 0 0 0
February 1998....... 100 0 0 0 0
February 1999....... 10 0 0 0 0
February 2000....... 0 0 0 0 0
February 2001....... 0 0 0 0 0
February 2002....... 0 0 0 0 0
February 2003....... 0 0 0 0 0
February 2004....... 0 0 0 0 0
February 2005....... 0 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 4.7 2.5 2.5 2.5 2.4
C Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 100 100 100
February 1996....... 100 100 100 100 100
February 1997....... 100 77 77 77 18
February 1998....... 100 16 16 16 0
February 1999....... 100 0 0 0 0
February 2000....... 66 0 0 0 0
February 2001....... 26 0 0 0 0
February 2002....... 0 0 0 0 0
February 2003....... 0 0 0 0 0
February 2004....... 0 0 0 0 0
February 2005....... 0 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 6.4 3.5 3.5 3.5 2.8
D Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 100 100 100
February 1996....... 100 100 100 100 100
February 1997....... 100 100 100 100 100
February 1998....... 100 100 100 100 0
February 1999....... 100 0 0 0 0
February 2000....... 100 0 0 0 0
February 2001....... 100 0 0 0 0
February 2002....... 13 0 0 0 0
February 2003....... 0 0 0 0 0
February 2004....... 0 0 0 0 0
February 2005....... 0 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 7.9 4.5 4.5 4.5 3.3
E Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 100 100 100
February 1996....... 100 100 100 100 100
February 1997....... 100 100 100 100 100
February 1998....... 100 100 100 100 55
February 1999....... 100 85 85 85 7
February 2000....... 100 46 46 46 0
February 2001....... 100 14 14 14 0
February 2002....... 100 0 0 0 0
February 2003....... 68 0 0 0 0
February 2004....... 31 0 0 0 0
February 2005....... 0 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 9.5 6.0 6.0 6.0 4.2
G Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 100 100 100
February 1996....... 100 100 100 100 100
February 1997....... 100 100 100 100 100
February 1998....... 100 100 100 100 100
February 1999....... 100 100 100 100 100
February 2000....... 100 100 100 100 0
February 2001....... 100 100 100 100 0
February 2002....... 100 43 43 43 0
February 2003....... 100 0 0 0 0
February 2004....... 100 0 0 0 0
February 2005....... 57 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 11.1 8.0 8.0 8.0 5.5
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-22
H Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 100 100 100
February 1996....... 100 100 100 100 100
February 1997....... 100 100 100 100 100
February 1998....... 100 100 100 100 100
February 1999....... 100 100 100 100 100
February 2000....... 100 100 100 100 95
February 2001....... 100 100 100 100 60
February 2002....... 100 100 100 100 38
February 2003....... 100 83 83 83 23
February 2004....... 100 58 58 58 14
February 2005....... 100 38 38 38 8
February 2006....... 48 24 24 24 4
February 2007....... 12 12 12 12 2
February 2008....... 4 4 4 4 1
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 12.2 10.7 10.7 10.7 8.0
JA+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 77 57 57 57 57
February 1996....... 51 0 0 0 0
February 1997....... 23 0 0 0 0
February 1998....... 0 0 0 0 0
February 1999....... 0 0 0 0 0
February 2000....... 0 0 0 0 0
February 2001....... 0 0 0 0 0
February 2002....... 0 0 0 0 0
February 2003....... 0 0 0 0 0
February 2004....... 0 0 0 0 0
February 2005....... 0 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 2.0 1.1 1.1 1.1 1.1
JB+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 100 100 100
February 1996....... 100 99 99 99 99
February 1997....... 100 70 70 70 48
February 1998....... 96 47 47 47 26
February 1999....... 79 32 32 32 17
February 2000....... 65 24 24 24 12
February 2001....... 51 18 18 18 8
February 2002....... 36 14 14 14 5
February 2003....... 29 11 11 11 3
February 2004....... 21 7 7 7 2
February 2005....... 14 5 5 5 1
February 2006....... 6 3 3 3 1
February 2007....... 2 2 2 2 *
February 2008....... 1 1 1 1 *
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 7.5 4.8 4.8 4.8 3.7
FA and SA Classes
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 100% 135% 250% 275% 300% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100 100
February 1995....... 100 100 89 89 89 89 89
February 1996....... 100 100 69 69 69 69 32
February 1997....... 100 100 47 47 47 47 0
February 1998....... 100 100 31 31 31 19 0
February 1999....... 100 100 21 21 21 0 0
February 2000....... 100 100 15 15 15 0 0
February 2001....... 100 88 12 12 12 0 0
February 2002....... 100 60 7 7 7 0 0
February 2003....... 100 22 2 2 2 0 0
February 2004....... 100 0 0 0 0 0 0
February 2005....... 100 0 0 0 0 0 0
February 2006....... 100 0 0 0 0 0 0
February 2007....... 21 0 0 0 0 0 0
February 2008....... 0 0 0 0 0 0 0
February 2009....... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 12.8 8.2 3.5 3.5 3.5 2.8 1.8
L Class
------------------------------------------------
PSA Prepayment
Assumption
------------------------------------------------
Date 0% 100% 135% 250% 275% 300% 500%
- -------------------------- ------ ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100 100
February 1995....... 100 100 100 100 100 100 100
February 1996....... 100 100 100 100 100 100 100
February 1997....... 100 100 100 100 100 100 0
February 1998....... 100 100 100 100 100 100 0
February 1999....... 100 100 100 100 100 37 0
February 2000....... 100 100 100 100 100 1 0
February 2001....... 100 100 100 100 100 1 0
February 2002....... 100 100 100 100 100 1 0
February 2003....... 100 100 100 100 100 1 0
February 2004....... 100 87 87 87 87 1 0
February 2005....... 100 65 65 65 65 1 0
February 2006....... 100 45 45 45 45 1 0
February 2007....... 100 27 27 27 27 1 0
February 2008....... 10 10 10 10 10 1 0
February 2009....... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 13.4 11.9 11.9 11.9 11.9 5.0 2.2
F and S Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 87 81 58
February 1996....... 100 100 63 47 0
February 1997....... 100 100 39 15 0
February 1998....... 100 100 25 0 0
February 1999....... 100 100 17 0 0
February 2000....... 100 100 15 0 0
February 2001....... 100 100 14 0 0
February 2002....... 100 100 12 0 0
February 2003....... 100 100 10 0 0
February 2004....... 100 92 8 0 0
February 2005....... 100 74 6 0 0
February 2006....... 100 55 4 0 0
February 2007....... 100 35 3 0 0
February 2008....... 62 14 1 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.2 12.2 3.6 1.9 1.1
M+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
February 1995....... 100 100 87 81 58
February 1996....... 0 0 0 0 0
February 1997....... 0 0 0 0 0
February 1998....... 0 0 0 0 0
February 1999....... 0 0 0 0 0
February 2000....... 0 0 0 0 0
February 2001....... 0 0 0 0 0
February 2002....... 0 0 0 0 0
February 2003....... 0 0 0 0 0
February 2004....... 0 0 0 0 0
February 2005....... 0 0 0 0 0
February 2006....... 0 0 0 0 0
February 2007....... 0 0 0 0 0
February 2008....... 0 0 0 0 0
February 2009....... 0 0 0 0 0
Weighted Average
Life (years)**..... 2.0 2.0 1.7 1.6 1.1
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-23
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion
of "Certain Federal Income Tax Consequences" in the REMIC Prospectus, describes
the current federal income tax treatment of investors in the Certificates. These
two tax discussions do not purport to deal with all federal tax consequences
applicable to all categories of investors, some of which may be subject to
special rules. Investors should consult their own tax advisors in determining
the federal, state, local and any other tax consequences to them of the
purchase, ownership and disposition of the Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. The Certificates, other than the R and
RL Classes, will be designated as the "regular interests," and the R Class will
be designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests,"
and the RL Class will be designated as the "residual interest," in the Lower
Tier REMIC.
As a consequence of the qualification of the Trust and the Lower Tier REMIC
as REMICs, the Certificates generally will be treated as "qualifying real
property loans" for mutual savings banks and domestic building and loan
associations, "regular or residual interests in a REMIC" for domestic building
and loan associations, "real estate assets" for real estate investment trusts,
and, except for the R and RL Classes, as "qualified mortgages" for other REMICs.
See "Certain Federal Income Tax Consequences--Special Tax Attributes" in the
REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The Notional Classes will be, and certain other Classes of Certificates may
be, issued with original issue discount for federal income tax purposes, which
generally will result in recognition of some taxable income in advance of the
receipt of the cash attributable to such income. The Prepayment Assumption that
will be used in determining the rate of accrual of original issue discount will
be 250% PSA. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Original Issue Discount" in the REMIC
Prospectus. No representation is made as to whether the Mortgage Loans
underlying the MBS will prepay at that or any other rate. See "Description of
the Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final Distribution
Dates" in the REMIC Prospectus. In addition, certain Classes of Certificates may
be treated as having been issued at a premium for federal income tax purposes.
See "Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Regular Certificates--Certificates Purchased at a Premium" in the REMIC
Prospectus.
The Treasury Department has issued final regulations relating to the tax
treatment of debt instruments with original issue discount (the "OID
Regulations"). These regulations replace proposed OID regulations issued on
December 22, 1992 (the "1992 Proposed OID Regulations"). The OID Regulations
apply to debt instruments issued on or after April 4, 1994, and to sales or
exchanges that occur on or after that date. Further, investors may rely on the
OID Regulations for debt instruments issued after December 21, 1992, and for
sales or exchanges that occur after that date. The OID Regulations do not
provide guidance under section 1272(a)(6) of the Code, which contains special
original issue discount rules applicable to the Regular Certificates.
The OID Regulations provide that for purposes of measuring the accrual of
original issue discount on a debt instrument, Holders may use an interest
accrual period of any length as long as each distribution date falls on either
the final day or the first day of an accrual period. Fannie Mae intends to
report original issue discount based on accrual periods of one month, beginning
on a payment date and ending on the day before a payment date.
The F and S Classes will each bear interest during their first twenty-four
Interest Accrual Periods at a fixed rate. During all subsequent Interest Accrual
Periods, the F and S Classes will each bear interest at a variable rate
determined by reference to LIBOR as described in "Description of the
Certificates--Calculation of LIBOR" herein. Under the OID Regulations, the F
Class is considered to
S-24
be a variable rate debt instrument. Furthermore, all payments of interest on the
F Class will be treated as "qualified stated interest" because the fair market
value of such Class is approximately the same as it would be if the variable
rate were in effect during all Interest Accrual Periods. It would appear, under
the OID Regulations, that the S Class is considered to be a contingent debt
instrument. The OID Regulations do not contain rules for the tax treatment of
contingent debt instruments and no other definitive guidance has been issued
regarding such treatment. Proposed regulations governing contingent debt
instruments were published in the Federal Register on April 8, 1986 (the "1986
Proposed Contingent Payment Regulations"). The 1986 Proposed Contingent Payment
Regulations, however, are not binding on either taxpayers or the IRS and are
subject to change before publication in final form. Absent further guidance,
Fannie Mae intends to treat all interest payments on the S Class as "qualified
stated interest" because the S Class bears interest at a fixed rate followed by
a variable rate and the fair market value of such Class is approximately the
same as it would be if the variable rate were in effect during all Interest
Accrual Periods. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Original Issue Discount" in the REMIC
Prospectus. Investors are urged to consult their own tax advisors on the
possible application to the S Class of the 1986 Proposed Contingent Payment
Regulations.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R nor the RL Certificate will have
significant value. As a result, an organization to which section 593 of the Code
applies and which is the beneficial owner of the R or RL Certificate may not use
its allowable deductions to offset any "excess inclusions" with respect to such
Certificate. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Residual Certificates--Excess Inclusions" in the REMIC
Prospectus.
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about January 20, 1994. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual Certificates--Excess
Inclusions" and "--Foreign Investors--Residual Certificates" in the REMIC
Prospectus. The federal income tax consequences of any consideration paid to a
transferee on the transfer of the R or RL Certificate are unclear; any
transferee receiving such consideration should consult its own tax advisors.
Under the OID Regulations, the Lower Tier Regular Interests will be treated
as a single debt instrument for original issue discount purposes because they
were issued to the Trust in a single transaction. Consequently, Fannie Mae
intends to calculate the taxable income (or net loss) of the Trust and of the
Lower Tier REMIC (and to report to the R and RL Certificateholders) by treating
the Lower Tier Regular Interests as a single debt instrument.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the MBS
pursuant to a Fannie Mae commitment. The Dealer proposes to offer the
Certificates directly to the public from time to time in negotiated transactions
at varying prices to be determined at the time of sale. The Dealer may effect
such transactions to or through dealers.
Increase in Certificates. Fannie Mae and the Dealer may agree to offer
hereby Certificates in addition to those contemplated as of the date hereof. In
such event, the MBS will be increased in principal balance, but it is expected
that all additional MBS will have the same characteristics as described herein
under "Description of the Certificates--The MBS." The proportion that the
original principal balance of each Class bears to the aggregate original
principal balance of all the Certificates will remain the same. The dollar
amounts reflected in the Principal Balance Schedules will be increased in pro
rata amounts that correspond to the increase of the principal balance of the
Certificates.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Cleary,
Gottlieb, Steen & Hamilton.
S-25
<PAGE>
No dealer, salesman or other person has been authorized to give any information
or to make any representations in connection with this offering other than those
contained in this Prospectus Supplement, the REMIC Prospectus, the MBS
Prospectus and the Information Statement and, if given or made, such information
or representations must not be relied upon as having been authorized. This
Prospectus Supplement and the aforementioned documents do not constitute an
offer to sell or a solicitation of an offer to buy any of the Certificates
offered hereby in any state to any person to whom it is unlawful to make such
offer or solicitation in such state. The delivery of this Prospectus Supplement
and the aforementioned documents at any time does not imply that the information
contained herein or therein is correct as of any time subsequent to the date
hereof or thereof.
----------------------------
Table of Contents
Page
-----
Prospectus Supplement
Table of Contents....................... S- 3
Description of the Certificates......... S- 4
Certain Additional Federal Income Tax
Consequences.......................... S-24
Plan of Distribution.................... S-25
Legal Matters........................... S-25
REMIC Prospectus
Prospectus Supplement................... 2
Summary of Prospectus................... 3
Description of the Certificates......... 7
The Trust Agreement..................... 20
Certain Federal Income Tax
Consequences.......................... 22
Legal Investment Considerations......... 32
Legal Opinion........................... 33
ERISA Considerations.................... 33
Glossary................................ 34
$500,000,000
Federal National
Mortgage Association
(FANNIEMAE LOGO)
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1994-17
- ----------------------------------------------------
Salomon Brothers Inc
------------------------------------------------------------------
Prospectus Supplement
Dated January 4, 1994
<PAGE>
Prospectus Supplement
(To Prospectus dated June 14, 1996)
$383,906,733
[FANNIE MAE LOGO]
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1997-44
------------------------
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1997-44 (the "Trust").
The assets of the Trust will consist of the "regular interests" in a separate
trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier REMIC will
consist of (i) certain previously issued REMIC certificates specified herein
(the "Underlying REMIC Certificates") evidencing beneficial ownership interests
in the related REMIC Trusts (the "Underlying REMIC Trusts") as further described
in Exhibit A hereto and (ii) certain Fannie Mae Guaranteed Mortgage Pass-Through
Certificates (the "Trust MBS") described herein. The assets of the Underlying
REMIC Trusts evidence direct or indirect beneficial ownership interests in (i)
certain "fully modified pass-through" mortgage-backed securities (the "GNMA
Certificates") guaranteed as to timely payment of principal and interest by the
Government National Mortgage Association ("GNMA") and (ii) certain Fannie Mae
Guaranteed Mortgage Pass-Through Certificates (together with the Trust MBS, the
"MBS"). Each GNMA Certificate is based on and backed by a pool of mortgage loans
which are either insured or guaranteed by the Federal Housing Administration
("FHA"), the Department of Veterans Affairs ("VA") or the Rural Housing Service
("FmHA"). Each MBS represents a beneficial ownership interest in a pool of first
lien, single-family, fixed-rate residential mortgage loans (together with the
pools and mortgage loans underlying the GNMA Certificates, the "Pools" and
"Mortgage Loans", respectively) having the characteristics described herein. The
Certificates will be issued and guaranteed as to timely distribution of
principal and interest by Fannie Mae.
Investors should not purchase the Certificates before reading this
Prospectus Supplement and the additional Disclosure Documents listed at the
bottom of page S-2.
See "Additional Risk Factors" on page S-8 hereof and "Risk Factors"
beginning on page 8 of the REMIC Prospectus attached hereto for a discussion of
certain risks that should be considered in connection with an investment in the
Certificates.
(Cover continued on next page)
------------------------
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS
ASSOCIATED WITH SUCH CERTIFICATES.
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY
THE UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF OTHER
THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE REGISTRATION
REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE "EXEMPTED SECURITIES"
WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
------------------------
<TABLE>
<CAPTION>
Original Final
Principal Principal Interest Interest CUSIP Distribution
Class Group Balance Type(1) Rate Type(1) Number Date
- --------- ------ ----------- --------- -------- ------- ---------- ---------------
<S> <C>
A ....... 1 $ 9,110,735 SC/PT (2) PO 31359P 3 S 3 May 2020
SA ...... 1 (3) NTL (4) INV/IO 31359P 3 T 1 May 2020
B ....... 2 21,904,036 SC/PT (2) PO 31359P 3 U 8 June 2008
SB ...... 2 (3) NTL (4) INV/IO 31359P 3 V 6 June 2008
SC ...... 2 (3) NTL (4) INV/IO 31359P3W4 June 2008
SD ...... 2 (3) NTL (4) INV/IO 31359P 3 X 2 June 2008
E ....... 3 4,121,242 SC/PT (2) PO 31359P3 Y 0 February 2024
SE ...... 3 (3) NTL (4) INV/IO 31359P 3 Z 7 February 2024
PA ...... 4 17,670,000 PAC 6.5% FIX 31359P 4 A 1 April 2007
PB ...... 4 26,457,000 PAC 7.0 FIX 31359P 4 B 9 December 2013
PC ...... 4 11,044,000 PAC 7.0 FIX 31359P 4 C 7 November 2015
PD ...... 4 24,310,000 PAC 7.0 FIX 31359P 4 D 5 January 2019
PE ...... 4 25,084,000 PAC 7.0 FIX 31359P 4 E 3 June 2021
PG ...... 4 34,200,000 PAC 7.0 FIX 31359P 4 F 0 February 2024
PH ...... 4 16,475,000 PAC 7.0 FIX 31359P 4 G 8 March 2025
PJ ...... 4 25,005,000 PAC 7.0 FIX 31359P 4 H 6 July 2026
PK ...... 4 20,000,000 PAC 7.0 FIX 31359P 4 J 2 July 2027
F ....... 4 58,170,600 TAC (4) FLT 31359P 4 K 9 July 2027
<CAPTION>
Original Final
Principal Principal Interest Interest CUSIP Distribution
Class Group Balance Type(1) Rate Type(1) Number Date
- --------- ------ ----------- --------- -------- ------- ---------- ---------------
<S> <C>
SG ...... 4 (3) NTL (4) INV/IO 31359P 4 L 7 July 2027
SH ...... 4 (3) NTL (4) INV/IO 31359P 4 M 5 July 2027
P ....... 4 $10,265,400 TAC (2) PO 31359P 4 N 3 July 2027
PO ...... 4 11,735,883 SUP (2) PO 31359P 4 P 8 July 2027
PL ...... 4 (3) NTL 7.5% FIX/IO 31359P 4 R 4 July 2027
Z ....... 4 19,583,117 SUP 8.5 FIX/Z 31359P 4 S 2 July 2027
PI ...... 4 (3) NTL 7.5 FIX/IO 31359P 4 Q 6 July 2019
J ....... 5 8,500,000 SC/PT (2) PO 31359P 4 T 0 November 2021
SJ ...... 5 (3) NTL (4) INV/IO 31359P 4 U 7 November 2021
SK ...... 5 (3) NTL (4) INV/IO 31359P 4 V 5 November 2021
L ....... 6 20,883,679 SC/PT (2) PO 31359P4W3 February 2024
SL ...... 6 (3) NTL (4) INV/IO 31359P 4 X 1 February 2024
SM....... 6 (3) NTL (4) INV/IO 31359P 4 Y 9 February 2024
N ....... 7 19,387,041 SC/PT (2) PO 31359P 4 Z 6 June 2023
SN ...... 7 (3) NTL (4) INV/IO 31359P 5 A 0 June 2023
SO ...... 7 (3) NTL (4) INV/IO 31359P 5 B 8 June 2023
R ....... 0 NPR 0 NPR 31359P 5 C 6 July 2027
RL ...... 0 NPR 0 NPR 31359P 5 D 4 July 2027
</TABLE>
- ------------------
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the
Certificates--Distributions of Interest" and "--Distributions of
Principal" herein.
(2) These Classes will be Principal Only Classes and will bear no interest.
(3) The SA, SB, SC, SD, SE, SG, SH, PL, PI, SJ, SK, SL, SM, SN and SO Classes
will be Notional Classes, will not have principal balances and will bear
interest on their respective notional principal balances (initially,
$9,110,735, $41,398,499, $39,402,316, $1,996,183, $52,204,087, $58,170,600,
$58,170,600, $7,735,466, $6,792,200, $25,500,000, $25,500,000, $45,248,040,
$45,248,040, $54,283,714 and $54,283,714, respectively). The notional
principal balances of the Notional Classes will be calculated as specified
herein. See "Description of the Certificates--Distributions of
Interest--Notional Classes" herein.
(4) The SA, SE, F, SG, SH, SJ and SK Classes will bear interest based on
"LIBOR," the SB, SC and SD Classes will bear interest based on "COFI" and
the SL, SM, SN and SO Classes will bear interest based on the "10-Year
Treasury Index" as described under "Description of the
Certificates--Distributions of Interest" herein and "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating
Rate Classes" in the REMIC Prospectus.
------------------------
The Certificates will be offered by Nomura Securities International, Inc.
(the "Dealer") from time to time in negotiated transactions, at varying prices
to be determined at the time of sale.
The Certificates will be offered by the Dealer, subject to issuance by
Fannie Mae and to prior sale or to withdrawal or modification of the offer
without notice, when, as and if delivered to and accepted by the Dealer, and
subject to approval of certain legal matters by counsel. It is expected that the
Group 1 Classes will be available through the book-entry facilities of The
Depository Trust Company and that the Group 2, Group 3, Group 4, Group 5, Group
6 and Group 7 Classes will be available through the book-entry system of the
Federal Reserve Banks on or about June 30, 1997 (the "Settlement Date"). It is
expected that the R and RL Classes in registered, certificated form will be
available for delivery at the offices of the Dealer, New York, New York, on or
about the Settlement Date.
NOMURA SECURITIES INTERNATIONAL, INC.
May 16, 1997
<PAGE>
(Cover continued from previous page)
The yields to investors in the Group 1, Group 2, Group 3, Group 5, Group 6
and Group 7 Classes will be sensitive in varying degrees to, among other things,
the rate of principal distributions on the related Underlying REMIC
Certificates, which in turn will be sensitive in varying degrees to the rate of
principal payments of the related Mortgage Loans, the characteristics of the
Mortgage Loans included in the related Pools and the priority sequences
affecting principal distributions for the Underlying REMIC Trusts. The yields to
investors in the Group 4 Classes will be sensitive in varying degrees to, among
other things, the rate of principal distributions on the Trust MBS, which in
turn will be determined by the rate of principal payments of the related
Mortgage Loans and the characteristics of such Mortgage Loans. The yield to
investors in each Class will also be sensitive to the purchase price paid for
such Class and, in the case of any Floating Rate or Inverse Floating Rate Class,
fluctuations in the level of the applicable Index (as defined herein).
Accordingly, investors should consider the following risks:
- The Mortgage Loans generally may be prepaid at any time without penalty,
and, accordingly, the rate of principal payments thereon is likely to
vary considerably from time to time.
- Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the
Classes.
- In the case of any Certificates purchased at a discount to their
principal amounts (including any Principal Only Class), a slower than
anticipated rate of principal payments is likely to result in a lower
than anticipated yield.
- In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal payments
is likely to result in a lower than anticipated yield.
- In the case of any Interest Only Class, a faster than anticipated rate
of principal payments is likely to result in a lower than anticipated
yield and, in certain cases, an actual loss on the investment.
- The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index. See "Description of
the Certificates--Distributions of Interest--Floating Rate and Inverse
Floating Rate Classes" herein.
See "Risk Factors--Yield Considerations" in the REMIC Prospectus and
"Additional Risk Factors--Additional Yield and Prepayment Considerations" and
"Yield Tables" herein.
In addition, investors should purchase Certificates only after considering
the following:
- The Underlying REMIC Certificates are subordinate in priority of
principal distribution to certain other classes of certificates
evidencing beneficial ownership interests in the related Underlying
REMIC Trusts and, accordingly, there is no assurance that principal
distributions will be made on such Underlying REMIC Certificates on any
particular Distribution Date. In particular, certain of the Underlying
REMIC Certificates are Support classes that are entitled to receive
principal distributions on any Distribution Date only if scheduled
payments have been made on other specified classes of certificates
evidencing beneficial ownership interests in the related Underlying
REMIC Trusts. Accordingly, such Underlying REMIC Certificates may
receive no principal distributions for extended periods of time or may
receive principal payments that vary widely from period to period. In
addition, one of the Underlying REMIC Certificates has a Principal
Balance Schedule and, as a result, may receive principal distributions
at a rate faster or slower than would otherwise have been the case.
Moreover, prepayments on the related Mortgage Loans may have occurred at
a rate faster or slower than that initially assumed. This Prospectus
Supplement contains no information as to whether such Principal Balance
Schedule has been adhered to, whether any related Support classes remain
outstanding or whether such Underlying REMIC Certificate otherwise has
performed as originally anticipated. Additional information as to the
Underlying REMIC Certificates may be obtained by performing an analysis
of current Fannie Mae principal factors in the context of applicable
information contained in the related Underlying REMIC Disclosure
Documents (as defined below), which may be obtained from Fannie Mae as
described below.
- The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
- The rate of principal distributions of the Certificates is uncertain and
investors may be unable to reinvest the distributions thereon at yields
equaling the yields on the Certificates. See "Risk Factors--Suitability
and Reinvestment Considerations" in the REMIC Prospectus.
- Investors whose investment activities are subject to legal investment
laws and regulations or to review by regulatory authorities may be
subject to restrictions on investment in certain Classes of the
Certificates. Investors should consult their legal advisors to determine
whether and to what extent the Certificates constitute legal investments
or are subject to restrictions on investment. See "Legal Investment
Considerations" in the REMIC Prospectus.
- The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary
market will develop or, if developed, that it will continue. Thus,
investors may not be able to sell their Certificates readily or at
prices that will enable them to realize their anticipated yield. No
investor should purchase Certificates unless such investor understands
and is able to bear the risk that the value of the Certificates will
fluctuate over time and that the Certificates may not be readily
salable.
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, the REMIC Prospectus, the
Underlying REMIC Disclosure Documents, the MBS Prospectus or the GNMA Prospectus
(each as defined below). Any representation to the contrary is a criminal
offense.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates--Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates--Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
Investors should purchase the Certificates only if they have read and
understood this Prospectus Supplement and the following documents (collectively,
the "Disclosure Documents");
-Fannie Mae's Prospectus for Guaranteed REMIC Pass-Through Certificates
dated June 14, 1996 (the "REMIC Prospectus"), which is attached to this
Prospectus Supplement;
- Fannie Mae's Prospectus for Guaranteed Mortgage Pass-Through
Certificates dated January 1, 1997 (the "MBS Prospectus");
-Fannie Mae's Prospectus for Guaranteed REMIC Pass-Through Certificates
(backed by GNMA Certificates) dated June 14, 1996 (the "GNMA
Prospectus");
-Fannie Mae's Information Statement dated March 31, 1997 and any
supplements thereto (collectively, the "Information Statement"); and
- The Prospectus Supplements for the Underlying REMIC Trusts
(collectively, the "Underlying REMIC Disclosure Documents").
The MBS Prospectus, the GNMA Prospectus and the Information Statement are
incorporated herein by reference and, together with the Underlying REMIC
Disclosure Documents, may be obtained from Fannie Mae by writing or calling its
MBS Helpline at 3900 Wisconsin Avenue, N.W., Area 2H-3S, Washington, D.C. 20016
(telephone 1-800-BEST-MBS or 202-752-6547). Such documents, other than the
Underlying REMIC Disclosure Documents, may also be obtained from Nomura
Securities International, Inc. by writing or calling its Prospectus Department
at Two World Financial Center, Street Level Mail Room, New York, New York
10281-1198 (telephone 212-667-1303).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Reference Sheet....................... S- 4
Additional Risk Factors............... S- 8
Additional Yield and Prepayment
Considerations................... S- 8
Description of the Certificates....... S- 9
General............................. S- 9
Structure........................ S- 9
Fannie Mae Guaranty.............. S- 9
Characteristics of
Certificates................... S- 9
Authorized Denominations......... S-10
Distribution Dates............... S-10
Record Date...................... S-10
REMIC Trust Factors.............. S-10
Optional Termination............. S-10
Voting the Underlying REMIC
Certificates................... S-10
Book-Entry Procedures............... S-11
General.......................... S-11
Method of Distribution........... S-11
The Underlying REMIC
Certificates..................... S-12
The Trust MBS....................... S-12
Final Data Statement................ S-13
Distributions of Interest........... S-13
Categories of Classes............ S-13
General.......................... S-13
Interest Accrual Periods......... S-14
Accrual Class.................... S-14
Notional Classes................. S-14
Floating Rate and Inverse
Floating Rate Classes.......... S-15
Calculation of LIBOR................ S-16
Calculation of COFI................. S-16
Calculation of 10-Year Treasury
Index............................ S-16
Distributions of Principal.......... S-17
Categories of Classes............ S-17
Principal Distribution Amount.... S-17
Group 1 Principal Distribution
Amount......................... S-18
Group 2 Principal Distribution
Amount......................... S-18
Page
----
Group 3 Principal Distribution
Amount......................... S-18
Group 4 Principal Distribution
Amount......................... S-18
Group 4 Accrual Amount......... S-18
Group 4 Cash Flow Distribution
Amount...................... S-18
Group 5 Principal Distribution
Amount......................... S-19
Group 6 Principal Distribution
Amount......................... S-19
Group 7 Principal Distribution
Amount......................... S-19
Structuring Assumptions............. S-19
Pricing Assumptions.............. S-19
Prepayment Assumptions........... S-19
Structuring Range and Rate....... S-19
Initial Effective Ranges......... S-20
Principal Balance Schedules......... S-21
Yield Tables........................ S-32
General.......................... S-32
The Principal Only Classes....... S-32
The Interest Only Classes........ S-33
Weighted Average Lives of the
Certificates..................... S-37
Decrement Tables.................... S-38
Characteristics of the R and RL
Classes.......................... S-41
Certain Additional Federal Income Tax
Consequences........................ S-41
REMIC Elections and Special Tax
Attributes....................... S-41
Taxation of Beneficial Owners of
Regular Certificates............. S-42
Taxation of Beneficial Owners of
Residual Certificates............ S-42
Plan of Distribution.................. S-42
General............................. S-42
Increase in Certificates............ S-43
Legal Matters......................... S-43
Exhibit A............................. A- 1
S-3
<PAGE>
REFERENCE SHEET
This reference sheet is not a summary of the REMIC transaction and it does
not contain complete information about the Certificates. Investors should
purchase the Certificates only after reading this Prospectus Supplement and each
of the additional Disclosure Documents described herein in their entirety.
Characteristics of the Underlying REMIC Certificates
The table contained in Exhibit A hereto sets forth information with respect
to the Underlying REMIC Certificates, including certain information regarding
the underlying Mortgage Loans. Certain additional information as to the
Underlying REMIC Certificates may be obtained by performing an analysis of
current Fannie Mae principal factors in the context of applicable information
contained in the related Underlying REMIC Disclosure Documents, which may be
obtained from Fannie Mae as described herein.
See "Description of the Certificates--The Underlying REMIC Certificates"
herein.
Assumed Characteristics of the Mortgage Loans Underlying the Trust MBS
(as of June 1, 1997)
Approximate
Weighted Average Approximate
Approximate Remaining Term Calculated Approximate
Principal to Maturity Loan Age Weighted
Balance (in months) (in months) Average Coupon
- ------------ ---------------- ----------- --------------
$300,000,000 356 3 8.07%
The actual remaining terms to maturity, calculated loan ages and interest
rates of most of the related Mortgage Loans will differ from the weighted
averages shown above, perhaps significantly. See "Description of the
Certificates--Structuring Assumptions--Pricing Assumptions" herein.
S-4
<PAGE>
Interest Rates
The Fixed Rate Classes will bear interest at the applicable per annum
interest rates set forth on the cover.
The Floating Rate and Inverse Floating Rate Classes will bear interest
during the initial Interest Accrual Period at the initial interest rates
specified below, and will bear interest during each Interest Accrual Period
thereafter, subject to the applicable maximum and minimum interest rates, at
rates determined as described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
------------ --------- ---------- ------- -----------------------------------
<S> <C>
SA ......... 7.15000% 22.10000% 0.0% 22.1% - (2.6 X LIBOR)
SB ......... 2.17800% 7.00000% 0.0% 7% - COFI
SC ......... 2.15000% 2.15000% 0.0% 9.15% - COFI
SD ......... 0.50000% 0.50000% 0.0% 7.5% - COFI
SE ......... 0.79999%(1) 0.79999% 0.0% 7.8% - LIBOR
F ......... 6.08750% 10.00000% 0.4% LIBOR + 40 basis points
SG ......... 2.81250% 8.50000% 0.0% 8.5% - LIBOR
SH ......... 1.10000% 1.10000% 0.0% 9.6% - LIBOR
SJ ......... 3.28125%(1) 9.00000% 0.0% 9% - LIBOR
SK ......... 1.20000%(1) 1.20000% 0.0% 10.2% - LIBOR
SL ......... 1.27008% 7.50090% 0.0% 8.00008% - 10-Year Treasury Index
SM ......... 1.89990% 1.89990% 0.0% 9.89998% - 10-Year Treasury Index
SN ......... 1.27000% 7.35000% 0.0% 8% - 10-Year Treasury Index
SO ......... 2.14999% 2.14999% 0.0% 10.14999% - 10-Year Treasury Index
</TABLE>
-------------------------
(1) The initial interest rates for these Classes are assumed rates. The
actual initial interest rate for these Classes will be calculated on
the basis of the applicable formulas for the calculation of such
interest rates on the Index Determination Date occurring on June 23,
1997.
See "Description of the Certificates--Distributions of Interest--Floating
Rate and Inverse Floating Rate Classes" herein.
Notional Classes
The notional principal balance of the Notional Classes will be equal to the
indicated percentages of the outstanding balances specified below immediately
prior to the related Distribution Date:
<TABLE>
<CAPTION>
Class
--------------------
<S> <C>
SA ................. 100% of A Class
SB ................. 188.99940486% of B Class
SC ................. 179.88609388% of B Class
SD ................. 9.11331106% of B Class
SE ................. 1,266.707644% of E Class
SG ................. 100% of F Class
SH ................. 100% of F Class
PI and PL(1)........ 13.3333333333% of PA Class
6.6666666667% of PB, PC, PD, PE, PG, PH, PJ and PK Classes
SJ ................. 300% of J Class
SK ................. 300% of J Class
SL ................. 216.667% of L Class
SM ................. 216.667% of L Class
SN ................. 280% of N Class
SO ................. 280% of N Class
</TABLE>
-------------------------
(1) In the aggregate. On each Distribution Date, reductions in the
principal balances of the PA, PB, PC, PD, PE, PG, PH, PJ and PK Classes
will be allocated, sequentially, in reduction of the notional principal
balances of the PI Class and the PL Class, in that order, until the
respective notional principal balances thereof are reduced to zero.
See "Description of the Certificates--Distributions of Interest--Notional
Classes" and "--Yield Tables--The Interest Only Classes" herein.
S-5
<PAGE>
Distributions of Principal
The portion of the Principal Distribution Amount allocated to each
applicable Class of Certificates will be determined by distributions of
principal of the related Underlying REMIC Certificate or, in the case of the
Group 4 Classes, the Trust MBS and the Group 4 Accrual Amount. For such
purposes, the Principal Distribution Amount will be allocated among the Group 1,
Group 2, Group 3, Group 4, Group 5, Group 6 and Group 7 Principal Distribution
Amounts as described herein under "Description of the
Certificates--Distributions of Principal--Principal Distribution Amount".
Group 1 Principal Distribution Amount
To the A Class, to zero.
Group 2 Principal Distribution Amount
To the B Class, to zero.
Group 3 Principal Distribution Amount
To the E Class, to zero.
Group 4 Principal Distribution Amount
Group 4 Accrual Amount
To the P and F Classes, in proportion to their original principal balances,
to zero, and then to the Z Class.
Group 4 Cash Flow Distribution Amount
1. To the PA, PB, PC, PD, PE, PG, PH, PJ and PK Classes, in that order,
to their Planned Balances.
2. To the Classes specified below, as follows:
a. 11.7647065310% of the remaining amount to the PO Class, to zero,
and
b. 88.2352934690% of such remaining amount as follows:
(i) to the P and F Classes, in proportion to their original
principal balances, to their Targeted Balances;
(ii) to the Z Class, to zero; and
(iii) to the P and F Classes, in proportion to their original
principal balances, to zero.
3. To the PA, PB, PC, PD, PE, PG, PH, PJ and PK Classes, in that order,
to zero.
Group 5 Principal Distribution Amount
To the J Class, to zero.
Group 6 Principal Distribution Amount
To the L Class, to zero.
Group 7 Principal Distribution Amount
To the N Class, to zero.
S-6
<PAGE>
Weighted Average Lives (years)*
PSA Prepayment Assumption
----------------------------------
Group 1 Classes 0% 50% 100% 300% 500%
- ------------------------------------ ------ ------ ------ ------
A and SA...................... 22.0 15.0 2.1 0.3 0.1
PSA Prepayment Assumption
----------------------------------
Group 2 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
B, SB, SC and SD.............. 10.1 8.6 7.9 4.8 1.4
PSA Prepayment Assumption
----------------------------------
Group 3 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
E and SE...................... 25.1 19.0 15.6 6.2 1.3
PSA Prepayment Assumption
----------------------------------
Group 4 Classes 0% 100% 160% 275% 500%
- ------------------------------------ ------ ------ ------ ------
PA ........................... 4.2 1.0 1.0 1.0 1.0
PB ........................... 10.7 2.4 2.4 2.4 2.4
PC ........................... 14.2 3.4 3.4 3.4 2.9
PD ........................... 16.6 4.4 4.4 4.4 3.3
PE ........................... 19.2 5.9 5.9 5.9 3.8
PG ........................... 21.6 7.9 7.9 7.9 4.7
PH............................ 23.4 9.9 9.9 9.9 5.7
PJ ........................... 24.6 12.4 12.4 12.4 7.1
PK............................ 25.8 18.7 18.7 18.7 11.0
F, SG, SH and P............... 11.0 10.0 4.8 3.6 1.8
PO ........................... 28.2 20.0 11.8 3.1 1.6
PL ........................... 22.8 10.7 10.7 10.7 6.3
Z ........................... 28.2 22.0 18.7 1.6 0.7
PI ........................... 10.6 2.6 2.6 2.6 2.2
PSA Prepayment Assumption
----------------------------------
Group 5 Classes 0% 100% 250% 400% 600%
- ------------------------------------ ------ ------ ------ ------
J, SJ and SK.................. 17.6 9.2 5.3 3.5 2.2
PSA Prepayment Assumption
----------------------------------
Group 6 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
L, SL and SM.................. 25.4 20.1 17.1 8.2 1.7
PSA Prepayment Assumption
----------------------------------
Group 7 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
N, SN and SO.................. 25.0 20.6 18.1 7.1 3.9
-------------------------
* Determined as specified under "Weighted Average Lives of the
Certificates" herein.
S-7
<PAGE>
ADDITIONAL RISK FACTORS
Additional Yield and Prepayment Considerations
The rate of distributions of principal of the Group 1, Group 2, Group 3,
Group 5, Group 6 and Group 7 Classes will be directly related to the rate of
principal distributions on the related Underlying REMIC Certificates, which in
turn will be sensitive in varying degrees to the rate of payments of principal
(including prepayments) of the related Mortgage Loans and the priority sequences
affecting principal distributions for the related Underlying REMIC Trusts. As
described in the Underlying REMIC Disclosure Documents, the Underlying REMIC
Certificates are subordinate in priority of principal distributions to certain
other classes of certificates evidencing beneficial ownership interests in the
related Underlying REMIC Trusts and, accordingly, distributions of principal of
the related Mortgage Loans may for extended periods be applied to the
distribution of principal of those classes of certificates having priority over
such Underlying REMIC Certificates. In particular, certain of the Underlying
REMIC Certificates are Support classes that are entitled to receive principal
distributions on any Distribution Date only if scheduled payments have been made
on other specified classes of certificates evidencing beneficial ownership
interests in the related Underlying REMIC Trusts. Accordingly, such Underlying
REMIC Certificates may receive no principal distributions for extended periods
of time or may receive principal payments that vary widely from period to
period. In addition, one of the Underlying REMIC Certificates has a Principal
Balance Schedule and, as a result, may receive distributions of principal during
certain periods at a rate faster or slower than would otherwise have been the
case. Moreover, prepayments on the related Mortgage Loans may have occurred at a
rate faster or slower than that initially assumed. This Prospectus Supplement
contains no information as to whether such Principal Balance Schedule has been
adhered to, whether any related Support classes remain outstanding or whether
such Underlying REMIC Certificate otherwise has performed as originally
anticipated. Additional information as to the Underlying REMIC Certificates may
be obtained by performing an analysis of current Fannie Mae principal factors in
the context of applicable information contained in the related Underlying REMIC
Disclosure Documents, which may be obtained from Fannie Mae as described above.
The rate of distributions of principal of the Group 4 Classes will be
sensitive in varying degrees to the rate of principal distributions on the Trust
MBS, which in turn will reflect the rate of amortization (including prepayments)
of the related Mortgage Loans. There can be no assurance that the Mortgage Loans
underlying the Trust MBS will have the characteristics assumed herein. Because
the rate of principal distributions on the Group 4 Classes will be related to
the rate of amortization of the Mortgage Loans underlying the Trust MBS, which
are likely to include Mortgage Loans with remaining terms to maturity shorter or
longer than those assumed and interest rates higher or lower than those assumed,
the rate of principal distributions on the Group 4 Classes is likely to differ
from the rate anticipated by an investor, even if such Mortgage Loans prepay at
the indicated constant percentages of PSA.
It is highly unlikely that the Mortgage Loans underlying any of the
Underlying REMIC Certificates or the Trust MBS will prepay at any of the rates
assumed herein, will prepay at a constant PSA rate until maturity or that such
Mortgage Loans will prepay at the same rate. Investors must make their own
decisions as to the appropriate assumptions, including prepayment assumptions,
to be used in deciding whether to purchase the Certificates.
The effective yields on the Delay Classes (as defined herein) and the SA
Class will be reduced below the yields otherwise produced because principal and
interest payable on a Distribution Date will not be distributed until (i) the
18th or 25th day, as applicable, following the end of the related Interest
Accrual Period, in the case of the Delay Classes, and (ii) the 22nd day of each
calendar month, in the case of the SA Class, and will not bear interest during
such delay. No interest at all will be paid on any Class after its principal
balance has been reduced to zero. As a result of the foregoing, the market
values of the Delay Classes will be lower than would have been the case if there
were no such delay.
S-8
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the remaining provisions of this Prospectus
Supplement, the additional Disclosure Documents and the provisions of the Trust
Agreement (defined below). Capitalized terms used and not otherwise defined in
this Prospectus Supplement have the meanings assigned to such terms in the
applicable Disclosure Document or the Trust Agreement (as the context may
require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant to a
trust agreement dated as of June 1, 1997 (the "Trust Agreement"), executed by
the Federal National Mortgage Association ("Fannie Mae") in its corporate
capacity and in its capacity as trustee (the "Trustee"), and the Certificates in
the Classes and aggregate original principal balances set forth on the cover
hereof will be issued by Fannie Mae pursuant thereto. A description of Fannie
Mae and its business, together with certain financial statements and other
financial information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC. The assets of the Lower Tier
REMIC will consist of the Trust MBS and the Underlying REMIC Certificates (which
evidence beneficial ownership interests in the Underlying REMIC Trusts).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. The guaranty obligations of Fannie Mae with respect to
the Underlying REMIC Certificates (other than the Class 1996-6-S REMIC
Certificate, which is issued and guaranteed by GNMA) are described in the
related Underlying REMIC Disclosure Documents. In addition, Fannie Mae will be
obligated to distribute on a timely basis to the Holders of Certificates
required installments of principal and interest and to distribute the principal
balance of each Class of Certificates in full no later than the applicable Final
Distribution Date, whether or not sufficient funds are available in the Trust
Account. The guaranties of Fannie Mae are not backed by the full faith and
credit of the United States. See "Description of the Certificates--Fannie Mae's
Guaranty" in the REMIC Prospectus, "Description of Certificates--The
Corporation's Guaranty" in the MBS Prospectus, and "Description of the
Certificates--General--Fannie Mae Guaranty" in the related Underlying REMIC
Disclosure Documents.
Characteristics of Certificates. The Group 1 Classes each will be
represented by one or more certificates (the "DTC Certificates") to be
registered at all times in the name of the nominee of the Depository (as defined
herein), which Depository will maintain such Certificates through its book-entry
facilities. When used herein with respect to any DTC Certificate, the terms
"Holders" and "Certificateholders" refer to the nominee of the Depository. The
Group 2, Group 3, Group 4, Group 5, Group 6 and Group 7 Classes will be issued
and maintained and may be transferred by Holders only on the book-entry system
of the Federal Reserve Banks. Such entities whose names appear on the book-entry
records of a Federal Reserve Bank as the entities for whose accounts such
Certificates have been deposited are herein referred to as "Holders" or
"Certificateholders."
A Holder is not necessarily the beneficial owner of a book-entry
Certificate. Beneficial owners will ordinarily hold book-entry Certificates
through one or more financial intermediaries, such as banks, brokerage firms
and securities clearing organizations. See "Description of the
Certificates--Denomi-
S-9
<PAGE>
nations, Certificate Form" in the REMIC Prospectus and "Description of the
Certificates--Book-Entry Procedures" herein.
The R and RL Certificates will not be issued in book-entry form but will be
issued in fully registered, certificated form. As to the R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R or
RL Certificates will be transferable at the corporate trust office of the
Transfer Agent, or at the agency of the Transfer Agent in New York, New York.
The Transfer Agent initially will be State Street Bank and Trust Company in
Boston, Massachusetts ("State Street"). A service charge may be imposed for any
registration of transfer of the R or RL Certificate and Fannie Mae may require
payment of a sum sufficient to cover any tax or other governmental charge. See
also "Characteristics of the R and RL Classes" herein.
The distribution to the Holder of the R and RL Classes of the proceeds of
any remaining assets of the Trust and the Lower Tier REMIC, as applicable, will
be made only upon presentation and surrender of the related Certificate at the
office of the Paying Agent. The Paying Agent initially will be State Street.
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. The R and RL Classes will be issued as single
Certificates and will not have principal balances.
Distribution Dates. Distributions on the Group 1 Classes will be made on
the 22nd day of each month (or, if such 22nd day is not a business day, on the
first business day next succeeding such 22nd day), distributions on the Group 2,
Group 3, Group 5, Group 6 and Group 7 Classes will be made on the 25th day of
each month (or, if such 25th day is not a business day, on the first business
day next succeeding such 25th day) and distributions on the Group 4 Classes will
be made on the 18th day of each month (or, if such 18th day is not a business
day, on the first business day next succeeding such 18th day) (each, a
"Distribution Date"), commencing in the month following the Settlement Date. See
"Distributions of Interest--General" and "--Interest Accrual Periods" and
"Distributions of Principal--Principal Distribution Amount" herein.
Record Date. Each monthly distribution on the Certificates will be made
to Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh calendar
day of each month, Fannie Mae will publish or otherwise make available for each
Class of Certificates the factor (carried to eight decimal places) which, when
multiplied by the original principal balance of a Certificate of such Class,
will equal the remaining principal balance of such Certificate after giving
effect to the distribution of principal to be made on the following Distribution
Date and any interest to be added as principal to the principal balance of the
Accrual Class on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Lower Tier REMIC
or the Trust through the exercise of its right to repurchase the Mortgage Loans
underlying any MBS unless only one Mortgage Loan remains in the related Pool or
the principal balance of such Pool at the time of repurchase is less than one
percent of the original principal balance thereof.
Voting the Underlying REMIC Certificates. In the event any issue arises
under the trust agreement governing any of the Underlying REMIC Trusts that
requires the vote of holders of certificates outstanding thereunder, the Trustee
will vote the related Underlying REMIC Certificates in accordance with
instructions received from Holders of Certificates of the related Classes having
principal balances aggregating not less than 51% of the aggregate principal
balance of all such Classes outstanding. In the absence of such instructions,
the Trustee will vote in a manner consistent, in its sole judgment, with the
best interests of Certificateholders.
S-10
<PAGE>
Book-Entry Procedures
General. Each of the Group 1 Classes will be represented by one or more
certificates (the "DTC Certificates") to be registered at all times in the name
of the nominee of The Depository Trust Company, a New York-chartered limited
purpose trust company, or any successor depository selected or approved by
Fannie Mae (the "Depository"). In accordance with its normal procedures, the
Depository will record the positions held by each Depository participating firm
(each, a "Depository Participant") in the DTC Certificates, whether held for its
own account or as a nominee for another person. State Street will act as Paying
Agent for, and perform certain administrative functions with respect to, the DTC
Certificates.
No person acquiring a beneficial ownership interest in the DTC Certificates
(a "beneficial owner" or an "investor") will be entitled to receive a physical
certificate representing such ownership interest. An investor's interest in the
DTC Certificates will be recorded on the records of the brokerage firm, bank,
thrift institution or other financial intermediary (a "financial intermediary")
that maintains such investor's account for such purpose. In turn, the financial
intermediary's record ownership of such interest will be recorded on the records
of the Depository (or of a Depository Participant that acts as an agent for the
financial intermediary if such intermediary is not a Depository Participant).
Accordingly, an investor will not be recognized by the Trustee or the Depository
as a Certificateholder and must rely on the foregoing arrangements to evidence
its interest in the DTC Certificates. Beneficial ownership of an investor's
interest in the DTC Certificates may be transferred only by compliance with the
procedures of an investor's financial intermediary and of Depository
Participants. In general, beneficial ownership of an investor's interest in the
DTC Certificates will be subject to the rules, regulations and procedures
governing the Depository and Depository Participants as in effect from time to
time.
The Group 2, Group 3, Group 4, Group 5, Group 6 and Group 7 Classes will be
issued and maintained only on the book-entry system of the Federal Reserve
Banks. Such Certificates may be held of record only by entities eligible to
maintain book-entry accounts with the Federal Reserve Banks. Beneficial owners
ordinarily will hold such Certificates through one or more financial
intermediaries, such as banks, brokerage firms and securities clearing
organizations. A Holder that is not the beneficial owner of such a Certificate,
and each other financial intermediary in the chain to the beneficial owner, will
have the responsibility of establishing and maintaining accounts for their
respective customers. The rights of the beneficial owner of such a Certificate
with respect to Fannie Mae and the Federal Reserve Banks may be exercised only
through the Holder of such Certificate. Fannie Mae and the Federal Reserve Banks
will have no direct obligation to a beneficial owner of such a Certificate that
is not also the Holder of the Certificate. The Federal Reserve Banks will act
only upon the instructions of the Holder in recording transfers of such a
Certificate. See "Description of the Certificates--Denominations, Certificate
Form" in the REMIC Prospectus.
Method of Distribution. Each distribution on the DTC Certificates will be
distributed by the Paying Agent to the Depository in immediately available
funds. The Depository will be responsible for crediting the amount of such
distributions to the accounts of the Depository Participants entitled thereto,
in accordance with the Depository's normal procedures, which currently provide
for distributions in same-day funds settled through the New York Clearing House.
Each Depository Participant and each financial intermediary will be responsible
for disbursing such distributions to the beneficial owners of the DTC
Certificates that it represents. Accordingly, the beneficial owners may
experience some delay in their receipt of distributions.
Fannie Mae's fiscal agent for the Group 2, Group 3, Group 4, Group 5, Group
6 and Group 7 Classes is the Federal Reserve Bank of New York. The Federal
Reserve Banks will make distributions on such Certificates on behalf of Fannie
Mae on the applicable Distribution Dates by crediting Holders' accounts at the
Federal Reserve Banks.
S-11
<PAGE>
The Underlying REMIC Certificates
The Underlying REMIC Certificates to the Group 1, Group 2, Group 3, Group
5, Group 6 and Group 7 Classes represent beneficial ownership interests in the
related Underlying REMIC Trusts, the assets of which evidence direct or indirect
beneficial ownership interests in (i) certain GNMA Certificates having the
general characteristics set forth in the GNMA Prospectus and (ii) certain MBS
having the general characteristics described in the MBS Prospectus.
The general characteristics of the Underlying REMIC Certificates are
described in the related Underlying REMIC Disclosure Documents. Each GNMA
Certificate is based on and backed by a pool of mortgage loans that are either
insured or guaranteed by the FHA, the VA or the FmHA. Each MBS evidences
beneficial ownership interests in a Pool of conventional Level Payment Mortgage
Loans secured by first-mortgages or deeds of trust on one- to four-family
residential properties, as described under "The Mortgage Pools" and "Yield
Considerations" in the MBS Prospectus. The Underlying REMIC Certificates provide
that distributions thereon will be passed through monthly, commencing in the
month following the initial issuance thereof.
The table contained in Exhibit A hereto sets forth certain information with
respect to each of the Underlying REMIC Certificates, including the numerical
designations of the related Underlying REMIC Trust, the class designation, the
date of issue, the CUSIP number, the interest rate, the interest type, the final
distribution date, the principal type, the original principal balance of the
entire class, the current principal factor for such class and the principal
balance of such class contained in the Lower Tier REMIC as of June 1, 1997 (the
"Issue Date"). The table also sets forth the approximate weighted average WAC,
approximate weighted average WARM or WAM and approximate weighted average WALA
or CAGE of the Mortgage Loans underlying the related GNMA Certificates or MBS as
of the Issue Date, the underlying security type and the related Class Group.
To request further information regarding the Underlying REMIC Certificates
and the Trust MBS, telephone Fannie Mae at 1-800-BEST-MBS or 202-752-6547. Other
data specific to the Certificates is available in electronic form by calling
Fannie Mae at 1-800-752-6440 or 202-752-6000. It should be noted that there may
have been material changes in facts and circumstances since the dates the
Underlying REMIC Disclosure Documents were prepared, including, but not limited
to, changes in prepayment speeds and prevailing interest rates and other
economic factors, which may limit the usefulness of the information set forth in
such documents.
The Trust MBS
The Trust MBS underlying the Group 4 Classes will have the aggregate unpaid
principal balance and Pass-Through Rate set forth below and the general
characteristics described in the MBS Prospectus. The Trust MBS will provide that
principal and interest on the related Mortgage Loans will be passed through
monthly, commencing in the month following the month of the initial issuance of
the Trust MBS. The Mortgage Loans underlying the Trust MBS will be conventional
Level Payment Mortgage Loans secured by first mortgages or deeds of trust on
single family residential properties and having original maturities of up to 30
years, as described under "The Mortgage Pools" and "Yield Considerations" in the
MBS Prospectus. The characteristics of the Trust MBS and the related Mortgage
Loans as of the Issue Date are expected to be as follows:
<TABLE>
<S> <C>
Trust MBS
Aggregate Unpaid Principal Balance....................... $300,000,000
MBS Pass-Through Rate.................................... 7.50%
Mortgage Loans Underlying Trust MBS
Range of WACs (per annum percentages).................... 7.75% to 10.00%
Range of WAMs............................................ 241 months to 360 months
Approximate Weighted Average WAM......................... 356 months
Approximate Weighted Average CAGE........................ 3 months
</TABLE>
S-12
<PAGE>
Final Data Statement
Following the issuance of the Certificates, Fannie Mae will prepare a Final
Data Statement setting forth, among other information, the current principal
balance of the Underlying REMIC Certificates and the Trust MBS as of the Issue
Date and, with respect to the Trust MBS, the Pool number, the current WAC (or
original WAC, if the current WAC is not available) and the current WAM (or
Adjusted WAM, if the current WAM is not available) of the Mortgage Loans
underlying each Trust MBS, along with the weighted average of all the current or
original WACs and the weighted average of all the current or Adjusted WAMs,
based on the current unpaid principal balances of the Mortgage Loans underlying
the Trust MBS as of the Issue Date. The Final Data Statement will not accompany
this Prospectus Supplement but will be made available by Fannie Mae. To request
the Final Data Statement, telephone Fannie Mae at 1-800-BEST-MBS or
202-752-6547. The contents of the Final Data Statement and other data specific
to the Certificates are available in electronic form by calling Fannie Mae at
1-800-752-6440 or 202-752-6000.
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
<TABLE>
<CAPTION>
Interest Type* Classes
- ---------------------- ------------------------------------------------------
<S> <C>
Fixed Rate PA, PB, PC, PD, PE, PG, PH, PI, PJ, PK, PL and Z
Accrual Z
Floating Rate F
Inverse Floating Rate SA, SB, SC, SD, SE, SG, SH, SJ, SK, SL, SM, SN and SO
Interest Only SA, SB, SC, SD, SE, PI, SG, SH, PL, SJ, SK, SL, SM, SN
and SO
Principal Only A, B, E, P, PO, J, L and N
No Payment Residual R and RL
</TABLE>
-------------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
applicable per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to the Accrual Class) in
the month after the Settlement Date. Interest to be distributed or, in the case
of the Accrual Class, added to principal on each interest-bearing Certificate on
a Distribution Date will consist of one month's interest on the outstanding
principal balance of such Certificate immediately prior to such Distribution
Date.
S-13
<PAGE>
Interest Accrual Periods. Interest to be distributed on a Distribution Date
will accrue on the interest-bearing Certificates during the one-month periods
set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Periods
---------------------------------------- -----------------------------------------
<S> <C>
F, SG and SH Classes One month
period beginning on the 18th
day of the month preceding the
month of the Distribution Date
and ending on the 17th day of
the month of the Distribution
Date
SA Class One month period
beginning on the 16th day of
the month preceding the month
of the Distribution Date and
ending on the 15th day of the
month of the Distribution
Date*
SE, SJ and SK Classes One month
period beginning on the 25th
day of the month preceding the
month of the Distribution Date
and ending on the 24th day of
the month of the Distribution
Date
The Fixed Rate Classes and the SB, SC, Calendar month preceding the month in
SD, SL, SM, SN and SO Classes which the Distribution Date occurs
(collectively, the "Delay Classes")
</TABLE>
-------------------------
* Although the Interest Accrual Periods for the SA Class are as described
above, the Distribution Dates for such Class will occur on or about the
22nd day of each calendar month.
See "Additional Risk Factors--Additional Yield and Prepayment
Considerations" herein.
Accrual Class. The Z Class is an Accrual Class. Interest will accrue on the
Accrual Class at the per annum rate set forth on the cover hereof; however, such
interest will not be distributed thereon until the Distribution Date following
the Distribution Date on which the principal balances of the P Class and the F
Class are reduced to zero. Interest so accrued and unpaid on the Accrual Class
will be added as principal to the principal balance thereof on each Distribution
Date. Distributions of principal of the Accrual Class will be made as described
herein.
Notional Classes. The SA, SB, SC, SD, SE, SG, SH, PI, PL, SJ, SK, SL, SM,
SN and SO Classes will be Notional Classes. The Notional Classes will have no
principal balances and will bear interest at the applicable per annum interest
rates described herein during each Interest Accrual Period on their respective
notional principal balances. The notional principal balances of the Notional
S-14
<PAGE>
Classes will be equal to the indicated percentages of the outstanding balances
specified below immediately prior to the related Distribution Date:
<TABLE>
<CAPTION>
Class
--------------------
<S> <C>
SA ................. 100% of A Class
SB ................. 188.99940486% of B Class
SC ................. 179.88609388% of B Class
SD ................. 9.11331106% of B Class
SE ................. 1,266.707644% of E Class
SG ................. 100% of F Class
SH ................. 100% of F Class
PI and PL(1)........ 13.3333333333% of PA Class
6.6666666667% of PB, PC, PD, PE, PG, PH, PJ and PK Classes
SJ ................. 300% of J Class
SK ................. 300% of J Class
SL ................. 216.667% of L Class
SM ................. 216.667% of L Class
SN ................. 280% of N Class
SO ................. 280% of N Class
</TABLE>
-------------------------
(1) In the aggregate. On each Distribution Date, reductions in the
principal balances of the PA, PB, PC, PD, PE, PG, PH, PJ and PK Classes
will be allocated, sequentially, in reduction of the notional principal
balances of the PI Class and the PL Class, in that order, until the
respective notional principal balances thereof are reduced to zero.
The notional principal balance of a Notional Class is used for purposes of
the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the related Underlying REMIC
Certificates, the Trust MBS, the GNMA Certificates or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to such Class
that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally shall
be deemed to refer also to the notional principal balances of the Notional
Classes.
Floating Rate and Inverse Floating Rate Classes. The following Classes will
bear interest during their initial Interest Accrual Period at the initial
interest rates specified below, and will bear interest during each Interest
Accrual Period thereafter, subject to the applicable maximum and minimum
interest rates, at the rates determined as described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
------------ --------- ---------- ------- -----------------------------------
<S> <C>
SA ......... 7.15000% 22.10000% 0.0% 22.1% - (2.6 X LIBOR)
SB ......... 2.17800% 7.00000% 0.0% 7% - COFI
SC ......... 2.15000% 2.15000% 0.0% 9.15% - COFI
SD ......... 0.50000% 0.50000% 0.0% 7.5% - COFI
SE ......... 0.79999%(1) 0.79999% 0.0% 7.8% - LIBOR
F ......... 6.08750% 10.00000% 0.4% LIBOR + 40 basis points
SG ......... 2.81250% 8.50000% 0.0% 8.5% - LIBOR
SH ......... 1.10000% 1.10000% 0.0% 9.6% - LIBOR
SJ ......... 3.28125%(1) 9.00000% 0.0% 9% - LIBOR
SK ......... 1.20000%(1) 1.20000% 0.0% 10.2% - LIBOR
SL ......... 1.27008% 7.50090% 0.0% 8.00008% - 10-Year Treasury Index
SM ......... 1.89990% 1.89990% 0.0% 9.89998% - 10-Year Treasury Index
SN ......... 1.27000% 7.35000% 0.0% 8% - 10-Year Treasury Index
SO ......... 2.14999% 2.14999% 0.0% 10.14999% - 10-Year Treasury Index
</TABLE>
-------------------------
(1) The initial interest rates for these Classes are assumed rates. The
actual initial interest rate for these Classes will be calculated on
the basis of the applicable formulas for the calculation of such
interest rates on the Index Determination Date occurring on June 23,
1997.
The yields with respect to such Classes will be affected by changes in the
applicable index as set forth in the table above (each, an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with
S-15
<PAGE>
an increase in the level of an Index. Conversely, higher mortgage interest rates
could occur concurrently with a decrease in the level of such Index.
The establishment of each Index value by Fannie Mae and Fannie Mae's
determination of the rate or rates of interest for the applicable Class or
Classes for the related Interest Accrual Period shall (in the absence of
manifest error) be final and binding. Each such rate of interest may be obtained
by telephoning Fannie Mae at 1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each Index Determination Date, until the principal balances and notional
principal balances of the SA, SE, F, SG, SH, SJ and SK Classes have been reduced
to zero, Fannie Mae will establish LIBOR for the related Interest Accrual Period
in the manner described in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--LIBOR" (except that in the case of the SA Class, LIBOR will be
determined as described in the related Underlying REMIC Disclosure Document).
If on the initial Index Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be equal to 5.6875% in the case of
the F, SG and SH Classes and will be equal to LIBOR as determined for such
Interest Accrual Period for the related Underlying REMIC Certificates in the
case of the SA, SE, SJ and SK Classes.
Calculation of COFI
Except as otherwise specified below, the amount of interest which will
accrue in respect of the SB, SC and SD Classes (the "COFI" Classes) during each
Interest Accrual Period following its initial Interest Accrual Period will be
determined on the basis of the Eleventh District Cost of Funds Index for the
second month next preceding the month in which such Interest Accrual Period
commences if such Eleventh District Cost of Funds Index for such second
preceding month is published on or before the tenth day of the month in which
such Interest Accrual Period commences. For example, if the Eleventh District
Cost of Funds Index for May is announced on or before July 10, interest accrued
on the COFI Classes for the Interest Accrual Period commencing in July and
distributable in August will be based on the Eleventh District Cost of Funds
Index relating to May. If the Eleventh District Cost of Funds Index for the
applicable month is not published on or before the tenth day of the second
following month, interest will accrue on the COFI Classes at a rate determined
as provided in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--COFI." Under certain circumstances, an alternative index may be
applicable to the COFI Classes. A change of index from the Eleventh District
Cost of Funds Index to an alternative index will result in a change in the index
level, and, particularly if LIBOR is the alternative index, could increase the
degree of index volatility.
For information regarding historical values of the Eleventh District Cost
of Funds Index as reported by the Federal Home Loan Bank of San Francisco
("FHLBSF"), see "Description of the Certificates--Indices Applicable to Floating
Rate and Inverse Floating Rate Classes--COFI" in the REMIC Prospectus.
The value of the Eleventh District Cost of Funds Index as reported by the
FHLBSF for April 1997 was 4.822%.
Calculation of 10-Year Treasury Index
On each Index Determination Date, until the notional principal balances of
the SL, SM, SN and SO Classes have been reduced to zero, Fannie Mae will
ascertain the average yield on U.S. Treasury securities, adjusted to a constant
maturity of ten years, in effect for the week ending on the last Friday
immediately preceding the related Index Determination Date in the manner
described in the REMIC
S-16
<PAGE>
Prospectus under "Description of the Certificates--Indices Applicable to
Floating Rate and Inverse Floating Rate Classes--Treasury Index" with respect to
yields on U.S. Treasury securities at "constant maturity."
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
<TABLE>
<CAPTION>
Principal Type* Classes
- ------------------------------------ --------------------------------------
<S> <C>
Group 1 Classes
Structured Collateral/Pass-Through A
Notional SA
Group 2 Classes
Structured Collateral/Pass-Through B
Notional SB, SC and SD
Group 3 Classes
Structured Collateral/Pass-Through E
Notional SE
Group 4 Classes
PAC PA, PB, PC, PD, PE, PG, PH, PJ and PK
TAC F and P
Support PO and Z
Accretion Directed F and P
Notional PI, SG, SH and PL
Group 5 Classes
Structured Collateral/Pass-Through J
Notional SJ and SK
Group 6 Classes
Structured Collateral/Pass-Through L
Notional SL and SM
Group 7 Classes
Structured Collateral/Pass-Through N
Notional SN and SO
No Payment Residual R and RL
</TABLE>
-------------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
Principal Distribution Amount
On each Distribution Date, principal will be distributed on the
Certificates in an amount (the "Principal Distribution Amount") equal to the sum
of (i) the distribution of principal concurrently made on the Class 1996-6-S
REMIC Certificate (the "Group 1 Principal Distribution Amount"), (ii) the
aggregate distributions of principal concurrently made on the Class 1993-107-S
and Class 1993-107-SA REMIC Certificates (the "Group 2 Principal Distribution
Amount"), (iii) the distribution of principal concurrently made on the Class
1994-15-SG REMIC Certificate (the "Group 3 Principal Distribution Amount"), (iv)
the aggregate distributions to be made on the Trust MBS in the month of such
Distribution Date (the "Group 4 Cash Flow Distribution Amount") and any interest
accrued and added on such Distribution Date to the principal balance of the
Accrual Class (the "Group 4 Accrual Amount" and together with the Group 4 Cash
Flow Distribution Amount, the "Group 4 Principal Distribution Amount"), (v) the
distribution of principal concurrently made on the Class 1991-G40-S REMIC
Certificate (the "Group 5 Principal Distribution Amount"), (vi) the distribution
of principal concurrently made on the Class 1994-43-S REMIC Certificate (the
"Group 6 Principal Distribution Amount") and (vii) the distribution of principal
concurrently made on the Class 1993-102-SB REMIC Certificate (the "Group 7
Principal Distribu-
S-17
<PAGE>
tion Amount"). The portion of each class of Underlying REMIC Certificates held
by the Lower Tier REMIC will be as set forth in Exhibit A.
Group 1 Principal Distribution Amount
On each Distribution Date, the Group 1 Principal Distribution Amount will
be distributed as principal of the A Class, until the principal balance thereof
is reduced to zero.
Group 2 Principal Distribution Amount Structured
Collateral/
On each Distribution Date, the Group 2 Principal
Distribution Pass-Through Amount will be distributed as principal
of the B Class, until the Classes principal balance thereof is
reduced to zero.
Group 3 Principal Distribution Amount
On each Distribution Date, the Group 3 Principal Distribution Amount will
be distributed as principal of the E Class, until the principal balance thereof
is reduced to zero.
Group 4 Principal Distribution Amount
Group 4 Accrual Amount
On each Distribution Date, the Group 4 Accrual Amount, if any, Accretion
will be distributed, concurrently, to the P and F Classes, in Directed
proportion to their original principal balances (or 15% and 85%, Classes and
respectively), until the principal balances thereof are reduced to Accrual Class
zero, and then to the Z Class.
Group 4 Cash Flow Distribution Amount
On each Distribution Date, the Group 4 Cash Flow Distribution Amount will
be distributed as principal of the Group 4 Classes in the following order of
priority:
(i) sequentially, to the PA, PB, PC, PD, PE, PG, PH, PJ and
PK Classes, in that order, until the principal balances thereof PAC are
reduced to their respective Planned Balances for such Classes Distribution
Date;
(ii) to the Classes specified below, as follows:
11.7647065310% of the remaining amount to the PO Support
Class, until the principal balance thereof is reduced to Class
zero, and
88.2352934690% of such remaining amount in the
following order of priority:
first, concurrently, to the P and F Classes, in TAC
proportion to their original principal balances, until Classes
the principal balances thereof are reduced to their
respective Targeted Balances for such Distribution
Date; Support
Class
second, to the Z Class, until the principal
balance thereof is reduced to zero; and
TAC
third, concurrently, to the P and F Classes, in Classes
proportion to their original principal balances,
without regard to their Targeted Balances and until
the principal balances thereof are reduced to zero;
and
(iii) sequentially, to the PA, PB, PC, PD, PE, PG, PH,
PJ and PK Classes, in that order, without regard to their
Planned PAC Balances and until the respective principal
balances thereof are Classes reduced to zero.
S-18
<PAGE>
Group 5 Principal Distribution Amount
On each Distribution Date, the Group 5 Principal Distribution Amount will
be distributed as principal of the J Class, until the principal balance thereof
is reduced to zero.
Group 6 Principal Distribution Amount
On each Distribution Date, the Group 6 Principal Structured
Distribution Amount will be distributed as principal of the L Collateral/
Class, until the principal balance thereof is reduced to zero. Pass-Through
Classes
Group 7 Principal Distribution Amount
On each Distribution Date, the Group 7 Principal Distribution Amount will
be distributed as principal of the N Class, until the principal balance thereof
is reduced to zero.
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
actual characteristics of each Pool underlying the Underlying REMIC Trusts, the
priority sequences affecting the principal distributions for the Underlying
REMIC Certificates and the following assumptions (such characteristics and
assumptions, collectively, the "Pricing Assumptions"):
- the Mortgage Loans underlying the Trust MBS bear interest at a rate of
8.07% per annum and have an original term to maturity of 360 months, a
CAGE of 3 months and a remaining term to maturity of 356 months;
- all payments (including prepayments) on the Mortgage Loans underlying
the GNMA Certificates, are distributed on the Certificates in the
month in which such payments are received;
- the Mortgage Loans prepay at the constant percentages of PSA
specified in the related table;
- the closing date for the sale of the Certificates is the Settlement
Date; and
- the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
Prepayment Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA is to assume a specified rate of
prepayment each month of the then outstanding principal balance of a pool of new
mortgage loans computed as described under "Description of the
Certificates--Prepayment Models" in the REMIC Prospectus. It is highly unlikely
that prepayments will occur at any constant PSA rate or at any other constant
rate.
Structuring Range and Rate. The Principal Balance Schedules have been
prepared on the basis of the Pricing Assumptions and the assumption that the
Mortgage Loans underlying the Trust MBS prepay at a constant PSA rate within the
Structuring Range or at the rate specified below.
<TABLE>
<CAPTION>
Principal Balance Structuring Range
Schedule References Related Classes and Rate
- ------------------- -------------------------------------- ----------------------
<S> <C>
Planned Balances PA, PB, PC, PD, PE, PG, PH, PJ and PK Between 100% and 275%
Targeted Balances F and P 160%
</TABLE>
There is no assurance that the principal balance of any Class listed above
will conform on any Distribution Date to the balance specified for such
Distribution Date in the Principal Balance Schedules herein, or that
distributions of principal on such Class will
S-19
<PAGE>
begin or end on the respective Distribution Dates specified therein. Because any
excess of the principal distribution on any Distribution Date over the amount
necessary to reduce any such Class to its scheduled balance will be distributed,
the ability to reduce such Class will not be enhanced by the averaging of high
and low principal payments from month to month. In addition, even if prepayments
on the Mortgage Loans underlying the Trust MBS occur at rates falling within the
Structuring Range specified above, principal distributions may be insufficient
to reduce such Class to its scheduled balance if such prepayments do not occur
at a constant PSA rate. Moreover, because of the diverse remaining terms to
maturity of the Mortgage Loans underlying the Trust MBS (which may include
recently originated Mortgage Loans), the Classes specified above may not be
reduced to their scheduled balances, even if prepayments occur at a constant
rate within the Structuring Range or at the rate specified above.
Initial Effective Ranges. The Effective Range for a Class is the range of
prepayment rates (measured by constant PSA rates) that would reduce such Class
to its scheduled balance on each Distribution Date. The Initial Effective Ranges
set forth in the table below are based upon the assumed characteristics of the
related Mortgage Loans specified in the Pricing Assumptions.
Initial Effective
Related Classes Ranges
- --------------- ----------------------
PA Between 100% and 902%
PB Between 100% and 437%
PC Between 100% and 382%
PD Between 100% and 315%
PE Between 100% and 285%
PG Between 100% and 275%
PH Between 100% and 275%
PJ Between 97% and 275%
PK Between 79% and 275%
The actual Effective Ranges at any time will be based upon the actual
characteristics of the Mortgage Loans underlying the Trust MBS at such time,
which are likely to vary (and may vary considerably) from the Pricing
Assumptions. The actual Effective Ranges calculated on the basis of the actual
characteristics likely will differ from the Initial Effective Ranges. As a
result, the applicable Classes might not be reduced to their scheduled balances
even if prepayments on such Mortgage Loans were to occur at a constant PSA rate
within the Initial Effective Ranges (particularly if such rate were at the lower
or higher end of such ranges). In addition, even if prepayments occur at rates
falling within the actual Effective Ranges, principal distributions may be
insufficient to reduce the applicable Classes to their scheduled balances if
such prepayments do not occur at a constant PSA rate. It is highly unlikely that
the Mortgage Loans underlying the Trust MBS will prepay at any constant PSA
rate. In general, the actual Effective Ranges may narrow, widen or shift upward
or downward to reflect actual prepayment experience over time. The principal
payment stability of the PAC Classes will be supported in part by the Targeted
Classes and the Support Classes, and the stability of the Targeted Classes will
be supported in part by the Support Classes. When the Support Classes are
retired, the PAC Classes may no longer have Effective Ranges and will be more
sensitive to prepayments.
S-20
<PAGE>
Principal Balance Schedules
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class
Distribution Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 17,670,000.00 $ 26,457,000.00 $ 11,044,000.00 $ 24,310,000.00 $ 25,084,000.00 $ 34,200,000.00
July 1997........... 17,265,767.60 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 1997......... 16,809,499.25 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
September 1997...... 16,302,074.63 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
October 1997........ 15,743,642.43 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
November 1997....... 15,134,377.76 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
December 1997....... 14,474,482.10 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
January 1998........ 13,764,183.19 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
February 1998....... 13,003,734.99 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
March 1998.......... 12,193,417.50 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
April 1998.......... 11,333,536.67 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
May 1998............ 10,424,424.17 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
June 1998........... 9,466,437.26 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
July 1998........... 8,459,958.54 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 1998......... 7,405,395.74 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
September 1998...... 6,303,181.44 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
October 1998........ 5,153,772.81 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
November 1998....... 3,957,651.30 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
December 1998....... 2,715,322.33 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
January 1999........ 1,427,314.92 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
February 1999....... 94,181.37 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
March 1999.......... 0.00 25,173,496.84 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
April 1999.......... 0.00 23,751,858.96 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
May 1999............ 0.00 22,286,887.39 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
June 1999........... 0.00 20,779,223.42 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
July 1999........... 0.00 19,229,529.46 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 1999......... 0.00 17,638,488.57 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
September 1999...... 0.00 16,006,803.98 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
October 1999........ 0.00 14,383,162.97 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
November 1999....... 0.00 12,767,523.64 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
December 1999....... 0.00 11,159,844.31 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
January 2000........ 0.00 9,560,083.47 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
February 2000....... 0.00 7,968,199.88 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
March 2000.......... 0.00 6,384,152.48 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
April 2000.......... 0.00 4,807,900.42 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
May 2000............ 0.00 3,239,403.06 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
June 2000........... 0.00 1,678,619.98 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
July 2000........... 0.00 125,510.97 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 2000......... 0.00 0.00 9,624,036.00 24,310,000.00 25,084,000.00 34,200,000.00
September 2000...... 0.00 0.00 8,086,155.26 24,310,000.00 25,084,000.00 34,200,000.00
October 2000........ 0.00 0.00 6,555,829.15 24,310,000.00 25,084,000.00 34,200,000.00
November 2000....... 0.00 0.00 5,033,018.28 24,310,000.00 25,084,000.00 34,200,000.00
December 2000....... 0.00 0.00 3,517,683.43 24,310,000.00 25,084,000.00 34,200,000.00
January 2001........ 0.00 0.00 2,009,785.61 24,310,000.00 25,084,000.00 34,200,000.00
February 2001....... 0.00 0.00 509,286.01 24,310,000.00 25,084,000.00 34,200,000.00
March 2001.......... 0.00 0.00 0.00 23,326,146.05 25,084,000.00 34,200,000.00
April 2001.......... 0.00 0.00 0.00 21,840,327.30 25,084,000.00 34,200,000.00
May 2001............ 0.00 0.00 0.00 20,361,791.57 25,084,000.00 34,200,000.00
</TABLE>
S-21
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class
Distribution Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2001........... $ 0.00 $ 0.00 $ 0.00 $ 18,890,500.84 $ 25,084,000.00 $ 34,200,000.00
July 2001........... 0.00 0.00 0.00 17,426,417.30 25,084,000.00 34,200,000.00
August 2001......... 0.00 0.00 0.00 15,969,503.33 25,084,000.00 34,200,000.00
September 2001...... 0.00 0.00 0.00 14,519,721.48 25,084,000.00 34,200,000.00
October 2001........ 0.00 0.00 0.00 13,077,034.53 25,084,000.00 34,200,000.00
November 2001....... 0.00 0.00 0.00 11,641,405.43 25,084,000.00 34,200,000.00
December 2001....... 0.00 0.00 0.00 10,212,797.31 25,084,000.00 34,200,000.00
January 2002........ 0.00 0.00 0.00 8,791,173.52 25,084,000.00 34,200,000.00
February 2002....... 0.00 0.00 0.00 7,376,497.55 25,084,000.00 34,200,000.00
March 2002.......... 0.00 0.00 0.00 5,968,733.13 25,084,000.00 34,200,000.00
April 2002.......... 0.00 0.00 0.00 4,567,844.13 25,084,000.00 34,200,000.00
May 2002............ 0.00 0.00 0.00 3,173,794.64 25,084,000.00 34,200,000.00
June 2002........... 0.00 0.00 0.00 1,786,548.92 25,084,000.00 34,200,000.00
July 2002........... 0.00 0.00 0.00 406,071.40 25,084,000.00 34,200,000.00
August 2002......... 0.00 0.00 0.00 0.00 24,116,326.71 34,200,000.00
September 2002...... 0.00 0.00 0.00 0.00 22,749,279.66 34,200,000.00
October 2002........ 0.00 0.00 0.00 0.00 21,388,895.23 34,200,000.00
November 2002....... 0.00 0.00 0.00 0.00 20,035,138.58 34,200,000.00
December 2002....... 0.00 0.00 0.00 0.00 18,687,975.06 34,200,000.00
January 2003........ 0.00 0.00 0.00 0.00 17,347,370.19 34,200,000.00
February 2003....... 0.00 0.00 0.00 0.00 16,013,289.67 34,200,000.00
March 2003.......... 0.00 0.00 0.00 0.00 14,685,699.36 34,200,000.00
April 2003.......... 0.00 0.00 0.00 0.00 13,364,565.31 34,200,000.00
May 2003............ 0.00 0.00 0.00 0.00 12,049,853.75 34,200,000.00
June 2003........... 0.00 0.00 0.00 0.00 10,741,531.06 34,200,000.00
July 2003........... 0.00 0.00 0.00 0.00 9,439,563.81 34,200,000.00
August 2003......... 0.00 0.00 0.00 0.00 8,143,918.75 34,200,000.00
September 2003...... 0.00 0.00 0.00 0.00 6,854,562.77 34,200,000.00
October 2003........ 0.00 0.00 0.00 0.00 5,571,462.95 34,200,000.00
November 2003....... 0.00 0.00 0.00 0.00 4,294,586.53 34,200,000.00
December 2003....... 0.00 0.00 0.00 0.00 3,023,900.93 34,200,000.00
January 2004........ 0.00 0.00 0.00 0.00 1,759,373.72 34,200,000.00
February 2004....... 0.00 0.00 0.00 0.00 500,972.66 34,200,000.00
March 2004.......... 0.00 0.00 0.00 0.00 0.00 33,448,665.64
April 2004.......... 0.00 0.00 0.00 0.00 0.00 32,202,420.75
May 2004............ 0.00 0.00 0.00 0.00 0.00 30,962,206.21
June 2004........... 0.00 0.00 0.00 0.00 0.00 29,727,990.43
July 2004........... 0.00 0.00 0.00 0.00 0.00 28,499,741.97
August 2004......... 0.00 0.00 0.00 0.00 0.00 27,277,429.55
September 2004...... 0.00 0.00 0.00 0.00 0.00 26,061,022.05
October 2004........ 0.00 0.00 0.00 0.00 0.00 24,850,488.51
November 2004....... 0.00 0.00 0.00 0.00 0.00 23,645,798.14
December 2004....... 0.00 0.00 0.00 0.00 0.00 22,446,920.28
January 2005........ 0.00 0.00 0.00 0.00 0.00 21,253,824.46
February 2005....... 0.00 0.00 0.00 0.00 0.00 20,066,480.33
March 2005.......... 0.00 0.00 0.00 0.00 0.00 18,884,857.73
April 2005.......... 0.00 0.00 0.00 0.00 0.00 17,708,926.63
May 2005............ 0.00 0.00 0.00 0.00 0.00 16,538,657.17
</TABLE>
S-22
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class
Distribution Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2005........... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 15,374,019.62
July 2005........... 0.00 0.00 0.00 0.00 0.00 14,214,984.43
August 2005......... 0.00 0.00 0.00 0.00 0.00 13,061,522.18
September 2005...... 0.00 0.00 0.00 0.00 0.00 11,913,603.61
October 2005........ 0.00 0.00 0.00 0.00 0.00 10,771,199.61
November 2005....... 0.00 0.00 0.00 0.00 0.00 9,634,281.22
December 2005....... 0.00 0.00 0.00 0.00 0.00 8,502,819.61
January 2006........ 0.00 0.00 0.00 0.00 0.00 7,376,786.13
February 2006....... 0.00 0.00 0.00 0.00 0.00 6,256,152.24
March 2006.......... 0.00 0.00 0.00 0.00 0.00 5,144,237.02
April 2006.......... 0.00 0.00 0.00 0.00 0.00 4,049,748.31
May 2006............ 0.00 0.00 0.00 0.00 0.00 2,972,419.22
June 2006........... 0.00 0.00 0.00 0.00 0.00 1,911,986.89
July 2006........... 0.00 0.00 0.00 0.00 0.00 868,192.44
August 2006 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
S-23
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 16,475,000.00 $ 25,005,000.00 $ 20,000,000.00 $ 58,170,600.00 $ 10,265,400.00
July 1997........... 16,475,000.00 25,005,000.00 20,000,000.00 57,961,320.35 10,228,468.30
August 1997......... 16,475,000.00 25,005,000.00 20,000,000.00 57,729,136.60 10,187,494.69
September 1997...... 16,475,000.00 25,005,000.00 20,000,000.00 57,473,551.64 10,142,391.47
October 1997........ 16,475,000.00 25,005,000.00 20,000,000.00 57,194,666.65 10,093,176.47
November 1997....... 16,475,000.00 25,005,000.00 20,000,000.00 56,892,613.01 10,039,872.88
December 1997....... 16,475,000.00 25,005,000.00 20,000,000.00 56,567,552.30 9,982,509.23
January 1998........ 16,475,000.00 25,005,000.00 20,000,000.00 56,219,676.14 9,921,119.32
February 1998....... 16,475,000.00 25,005,000.00 20,000,000.00 55,849,206.09 9,855,742.25
March 1998.......... 16,475,000.00 25,005,000.00 20,000,000.00 55,456,393.40 9,786,422.36
April 1998.......... 16,475,000.00 25,005,000.00 20,000,000.00 55,041,518.81 9,713,209.20
May 1998............ 16,475,000.00 25,005,000.00 20,000,000.00 54,604,892.20 9,636,157.45
June 1998........... 16,475,000.00 25,005,000.00 20,000,000.00 54,146,852.26 9,555,326.87
July 1998........... 16,475,000.00 25,005,000.00 20,000,000.00 53,667,766.08 9,470,782.25
August 1998......... 16,475,000.00 25,005,000.00 20,000,000.00 53,168,028.67 9,382,593.29
September 1998...... 16,475,000.00 25,005,000.00 20,000,000.00 52,648,062.49 9,290,834.56
October 1998........ 16,475,000.00 25,005,000.00 20,000,000.00 52,108,316.88 9,195,585.33
November 1998....... 16,475,000.00 25,005,000.00 20,000,000.00 51,549,267.42 9,096,929.54
December 1998....... 16,475,000.00 25,005,000.00 20,000,000.00 50,971,415.34 8,994,955.65
January 1999........ 16,475,000.00 25,005,000.00 20,000,000.00 50,375,286.77 8,889,756.49
February 1999....... 16,475,000.00 25,005,000.00 20,000,000.00 49,761,432.02 8,781,429.18
March 1999.......... 16,475,000.00 25,005,000.00 20,000,000.00 49,130,424.80 8,670,074.97
April 1999.......... 16,475,000.00 25,005,000.00 20,000,000.00 48,482,861.37 8,555,799.07
May 1999............ 16,475,000.00 25,005,000.00 20,000,000.00 47,819,359.66 8,438,710.53
June 1999........... 16,475,000.00 25,005,000.00 20,000,000.00 47,140,558.38 8,318,922.07
July 1999........... 16,475,000.00 25,005,000.00 20,000,000.00 46,447,116.07 8,196,549.89
August 1999......... 16,475,000.00 25,005,000.00 20,000,000.00 45,739,710.10 8,071,713.55
September 1999...... 16,475,000.00 25,005,000.00 20,000,000.00 45,019,035.64 7,944,535.70
October 1999........ 16,475,000.00 25,005,000.00 20,000,000.00 44,306,698.13 7,818,829.08
November 1999....... 16,475,000.00 25,005,000.00 20,000,000.00 43,602,592.69 7,694,575.18
December 1999....... 16,475,000.00 25,005,000.00 20,000,000.00 42,906,615.27 7,571,755.64
January 2000........ 16,475,000.00 25,005,000.00 20,000,000.00 42,218,662.73 7,450,352.25
February 2000....... 16,475,000.00 25,005,000.00 20,000,000.00 41,538,632.74 7,330,346.95
March 2000.......... 16,475,000.00 25,005,000.00 20,000,000.00 40,866,423.86 7,211,721.86
April 2000.......... 16,475,000.00 25,005,000.00 20,000,000.00 40,201,935.44 7,094,459.20
May 2000............ 16,475,000.00 25,005,000.00 20,000,000.00 39,545,067.70 6,978,541.36
June 2000........... 16,475,000.00 25,005,000.00 20,000,000.00 38,895,721.66 6,863,950.88
July 2000........... 16,475,000.00 25,005,000.00 20,000,000.00 38,253,799.17 6,750,670.44
August 2000......... 16,475,000.00 25,005,000.00 20,000,000.00 37,619,202.85 6,638,682.86
September 2000...... 16,475,000.00 25,005,000.00 20,000,000.00 36,991,836.16 6,527,971.09
October 2000........ 16,475,000.00 25,005,000.00 20,000,000.00 36,371,603.33 6,418,518.23
November 2000....... 16,475,000.00 25,005,000.00 20,000,000.00 35,758,409.35 6,310,307.53
December 2000....... 16,475,000.00 25,005,000.00 20,000,000.00 35,152,160.02 6,203,322.36
January 2001........ 16,475,000.00 25,005,000.00 20,000,000.00 34,552,761.88 6,097,546.21
February 2001....... 16,475,000.00 25,005,000.00 20,000,000.00 33,960,122.24 5,992,962.75
March 2001.......... 16,475,000.00 25,005,000.00 20,000,000.00 33,374,149.14 5,889,555.73
April 2001.......... 16,475,000.00 25,005,000.00 20,000,000.00 32,794,751.40 5,787,309.07
May 2001............ 16,475,000.00 25,005,000.00 20,000,000.00 32,221,838.53 5,686,206.80
</TABLE>
S-24
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2001........... $ 16,475,000.00 $ 25,005,000.00 $ 20,000,000.00 $ 31,655,320.80 $ 5,586,233.08
July 2001........... 16,475,000.00 25,005,000.00 20,000,000.00 31,095,109.19 5,487,372.21
August 2001......... 16,475,000.00 25,005,000.00 20,000,000.00 30,541,115.38 5,389,608.60
September 2001...... 16,475,000.00 25,005,000.00 20,000,000.00 29,993,251.76 5,292,926.78
October 2001........ 16,475,000.00 25,005,000.00 20,000,000.00 29,451,431.44 5,197,311.43
November 2001....... 16,475,000.00 25,005,000.00 20,000,000.00 28,915,568.19 5,102,747.33
December 2001....... 16,475,000.00 25,005,000.00 20,000,000.00 28,385,576.48 5,009,219.38
January 2002........ 16,475,000.00 25,005,000.00 20,000,000.00 27,861,371.45 4,916,712.61
February 2002....... 16,475,000.00 25,005,000.00 20,000,000.00 27,342,868.91 4,825,212.16
March 2002.......... 16,475,000.00 25,005,000.00 20,000,000.00 26,829,985.33 4,734,703.29
April 2002.......... 16,475,000.00 25,005,000.00 20,000,000.00 26,322,637.85 4,645,171.38
May 2002............ 16,475,000.00 25,005,000.00 20,000,000.00 25,820,744.23 4,556,601.92
June 2002........... 16,475,000.00 25,005,000.00 20,000,000.00 25,324,222.90 4,468,980.51
July 2002........... 16,475,000.00 25,005,000.00 20,000,000.00 24,832,992.90 4,382,292.86
August 2002......... 16,475,000.00 25,005,000.00 20,000,000.00 24,346,973.92 4,296,524.81
September 2002...... 16,475,000.00 25,005,000.00 20,000,000.00 23,866,086.25 4,211,662.28
October 2002........ 16,475,000.00 25,005,000.00 20,000,000.00 23,390,250.82 4,127,691.32
November 2002....... 16,475,000.00 25,005,000.00 20,000,000.00 22,919,389.15 4,044,598.08
December 2002....... 16,475,000.00 25,005,000.00 20,000,000.00 22,453,423.35 3,962,368.83
January 2003........ 16,475,000.00 25,005,000.00 20,000,000.00 21,992,276.16 3,880,989.91
February 2003....... 16,475,000.00 25,005,000.00 20,000,000.00 21,535,870.87 3,800,447.80
March 2003.......... 16,475,000.00 25,005,000.00 20,000,000.00 21,084,131.39 3,720,729.07
April 2003.......... 16,475,000.00 25,005,000.00 20,000,000.00 20,636,982.17 3,641,820.38
May 2003............ 16,475,000.00 25,005,000.00 20,000,000.00 20,194,348.26 3,563,708.52
June 2003........... 16,475,000.00 25,005,000.00 20,000,000.00 19,756,155.24 3,486,380.34
July 2003........... 16,475,000.00 25,005,000.00 20,000,000.00 19,322,329.29 3,409,822.82
August 2003......... 16,475,000.00 25,005,000.00 20,000,000.00 18,892,797.10 3,334,023.02
September 2003...... 16,475,000.00 25,005,000.00 20,000,000.00 18,467,485.93 3,258,968.11
October 2003........ 16,475,000.00 25,005,000.00 20,000,000.00 18,046,323.58 3,184,645.34
November 2003....... 16,475,000.00 25,005,000.00 20,000,000.00 17,629,238.35 3,111,042.06
December 2003....... 16,475,000.00 25,005,000.00 20,000,000.00 17,216,159.12 3,038,145.73
January 2004........ 16,475,000.00 25,005,000.00 20,000,000.00 16,807,015.24 2,965,943.87
February 2004....... 16,475,000.00 25,005,000.00 20,000,000.00 16,401,736.60 2,894,424.11
March 2004.......... 16,475,000.00 25,005,000.00 20,000,000.00 16,000,253.62 2,823,574.17
April 2004.......... 16,475,000.00 25,005,000.00 20,000,000.00 15,602,497.17 2,753,381.85
May 2004............ 16,475,000.00 25,005,000.00 20,000,000.00 15,208,398.67 2,683,835.06
June 2004........... 16,475,000.00 25,005,000.00 20,000,000.00 14,817,889.99 2,614,921.76
July 2004........... 16,475,000.00 25,005,000.00 20,000,000.00 14,430,903.53 2,546,630.03
August 2004......... 16,475,000.00 25,005,000.00 20,000,000.00 14,047,372.13 2,478,948.02
September 2004...... 16,475,000.00 25,005,000.00 20,000,000.00 13,667,229.13 2,411,863.96
October 2004........ 16,475,000.00 25,005,000.00 20,000,000.00 13,290,408.34 2,345,366.18
November 2004....... 16,475,000.00 25,005,000.00 20,000,000.00 12,916,844.01 2,279,443.06
December 2004....... 16,475,000.00 25,005,000.00 20,000,000.00 12,546,470.88 2,214,083.10
January 2005........ 16,475,000.00 25,005,000.00 20,000,000.00 12,179,224.12 2,149,274.84
February 2005....... 16,475,000.00 25,005,000.00 20,000,000.00 11,815,039.36 2,085,006.95
March 2005.......... 16,475,000.00 25,005,000.00 20,000,000.00 11,453,852.67 2,021,268.12
April 2005.......... 16,475,000.00 25,005,000.00 20,000,000.00 11,095,600.55 1,958,047.16
May 2005............ 16,475,000.00 25,005,000.00 20,000,000.00 10,740,219.96 1,895,332.93
</TABLE>
S-25
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2005........... $ 16,475,000.00 $ 25,005,000.00 $ 20,000,000.00 $ 10,387,648.25 $ 1,833,114.40
July 2005........... 16,475,000.00 25,005,000.00 20,000,000.00 10,037,823.21 1,771,380.57
August 2005......... 16,475,000.00 25,005,000.00 20,000,000.00 9,690,683.04 1,710,120.54
September 2005...... 16,475,000.00 25,005,000.00 20,000,000.00 9,346,166.36 1,649,323.48
October 2005........ 16,475,000.00 25,005,000.00 20,000,000.00 9,004,212.20 1,588,978.62
November 2005....... 16,475,000.00 25,005,000.00 20,000,000.00 8,664,759.97 1,529,075.29
December 2005....... 16,475,000.00 25,005,000.00 20,000,000.00 8,327,749.50 1,469,602.85
January 2006........ 16,475,000.00 25,005,000.00 20,000,000.00 7,993,121.00 1,410,550.77
February 2006....... 16,475,000.00 25,005,000.00 20,000,000.00 7,660,815.07 1,351,908.54
March 2006.......... 16,475,000.00 25,005,000.00 20,000,000.00 7,328,262.10 1,293,222.72
April 2006.......... 16,475,000.00 25,005,000.00 20,000,000.00 6,988,851.38 1,233,326.71
May 2006............ 16,475,000.00 25,005,000.00 20,000,000.00 6,642,703.76 1,172,241.84
June 2006........... 16,475,000.00 25,005,000.00 20,000,000.00 6,289,937.51 1,109,988.97
July 2006........... 16,475,000.00 25,005,000.00 20,000,000.00 5,930,668.40 1,046,588.54
August 2006......... 16,315,780.92 25,005,000.00 20,000,000.00 5,565,009.71 982,060.54
September 2006...... 15,304,501.22 25,005,000.00 20,000,000.00 5,193,072.31 916,424.52
October 2006........ 14,309,106.04 25,005,000.00 20,000,000.00 4,814,964.65 849,699.64
November 2006....... 13,329,351.81 25,005,000.00 20,000,000.00 4,430,792.83 781,904.62
December 2006....... 12,364,998.68 25,005,000.00 20,000,000.00 4,040,660.63 713,057.76
January 2007........ 11,415,810.40 25,005,000.00 20,000,000.00 3,644,669.54 643,176.98
February 2007....... 10,481,554.32 25,005,000.00 20,000,000.00 3,242,918.80 572,279.79
March 2007.......... 9,562,001.29 25,005,000.00 20,000,000.00 2,835,505.43 500,383.31
April 2007.......... 8,656,925.66 25,005,000.00 20,000,000.00 2,422,524.29 427,504.29
May 2007............ 7,766,105.17 25,005,000.00 20,000,000.00 2,004,068.05 353,659.07
June 2007........... 6,889,320.94 25,005,000.00 20,000,000.00 1,580,227.33 278,863.65
July 2007........... 6,026,357.42 25,005,000.00 20,000,000.00 1,151,090.61 203,133.64
August 2007......... 5,177,002.31 25,005,000.00 20,000,000.00 716,744.37 126,484.30
September 2007...... 4,341,046.52 25,005,000.00 20,000,000.00 277,273.05 48,930.54
October 2007........ 3,518,284.16 25,005,000.00 20,000,000.00 0.00 0.00
November 2007....... 2,708,512.41 25,005,000.00 20,000,000.00 0.00 0.00
December 2007....... 1,911,531.59 25,005,000.00 20,000,000.00 0.00 0.00
January 2008........ 1,127,144.99 25,005,000.00 20,000,000.00 0.00 0.00
February 2008....... 355,158.91 25,005,000.00 20,000,000.00 0.00 0.00
March 2008.......... 0.00 24,600,382.59 20,000,000.00 0.00 0.00
April 2008.......... 0.00 23,852,628.16 20,000,000.00 0.00 0.00
May 2008............ 0.00 23,116,710.59 20,000,000.00 0.00 0.00
June 2008........... 0.00 22,392,447.66 20,000,000.00 0.00 0.00
July 2008........... 0.00 21,679,659.93 20,000,000.00 0.00 0.00
August 2008......... 0.00 20,978,170.67 20,000,000.00 0.00 0.00
September 2008...... 0.00 20,287,805.83 20,000,000.00 0.00 0.00
October 2008........ 0.00 19,608,394.01 20,000,000.00 0.00 0.00
November 2008....... 0.00 18,939,766.40 20,000,000.00 0.00 0.00
December 2008....... 0.00 18,281,756.76 20,000,000.00 0.00 0.00
January 2009........ 0.00 17,634,201.39 20,000,000.00 0.00 0.00
February 2009....... 0.00 16,996,939.04 20,000,000.00 0.00 0.00
March 2009.......... 0.00 16,369,810.95 20,000,000.00 0.00 0.00
April 2009.......... 0.00 15,752,660.74 20,000,000.00 0.00 0.00
May 2009............ 0.00 15,145,334.41 20,000,000.00 0.00 0.00
</TABLE>
S-26
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2009........... $ 0.00 $ 14,547,680.32 $ 20,000,000.00 $ 0.00 $ 0.00
July 2009........... 0.00 13,959,549.11 20,000,000.00 0.00 0.00
August 2009......... 0.00 13,380,793.70 20,000,000.00 0.00 0.00
September 2009...... 0.00 12,811,269.26 20,000,000.00 0.00 0.00
October 2009........ 0.00 12,250,833.14 20,000,000.00 0.00 0.00
November 2009....... 0.00 11,699,344.86 20,000,000.00 0.00 0.00
December 2009....... 0.00 11,156,666.08 20,000,000.00 0.00 0.00
January 2010........ 0.00 10,622,660.58 20,000,000.00 0.00 0.00
February 2010....... 0.00 10,097,194.20 20,000,000.00 0.00 0.00
March 2010.......... 0.00 9,580,134.80 20,000,000.00 0.00 0.00
April 2010.......... 0.00 9,071,352.28 20,000,000.00 0.00 0.00
May 2010............ 0.00 8,570,718.50 20,000,000.00 0.00 0.00
June 2010........... 0.00 8,078,107.30 20,000,000.00 0.00 0.00
July 2010........... 0.00 7,593,394.39 20,000,000.00 0.00 0.00
August 2010......... 0.00 7,116,457.42 20,000,000.00 0.00 0.00
September 2010...... 0.00 6,647,175.88 20,000,000.00 0.00 0.00
October 2010........ 0.00 6,185,431.10 20,000,000.00 0.00 0.00
November 2010....... 0.00 5,731,106.21 20,000,000.00 0.00 0.00
December 2010....... 0.00 5,284,086.13 20,000,000.00 0.00 0.00
January 2011........ 0.00 4,844,257.52 20,000,000.00 0.00 0.00
February 2011....... 0.00 4,411,508.78 20,000,000.00 0.00 0.00
March 2011.......... 0.00 3,985,730.02 20,000,000.00 0.00 0.00
April 2011.......... 0.00 3,566,812.98 20,000,000.00 0.00 0.00
May 2011............ 0.00 3,154,651.11 20,000,000.00 0.00 0.00
June 2011........... 0.00 2,749,139.44 20,000,000.00 0.00 0.00
July 2011........... 0.00 2,350,174.61 20,000,000.00 0.00 0.00
August 2011......... 0.00 1,957,654.86 20,000,000.00 0.00 0.00
September 2011...... 0.00 1,571,479.95 20,000,000.00 0.00 0.00
October 2011........ 0.00 1,191,551.18 20,000,000.00 0.00 0.00
November 2011....... 0.00 817,771.37 20,000,000.00 0.00 0.00
December 2011....... 0.00 450,044.80 20,000,000.00 0.00 0.00
January 2012........ 0.00 88,277.23 20,000,000.00 0.00 0.00
February 2012....... 0.00 0.00 19,732,375.84 0.00 0.00
March 2012.......... 0.00 0.00 19,382,249.25 0.00 0.00
April 2012.......... 0.00 0.00 19,037,807.45 0.00 0.00
May 2012............ 0.00 0.00 18,698,961.83 0.00 0.00
June 2012........... 0.00 0.00 18,365,625.10 0.00 0.00
July 2012........... 0.00 0.00 18,037,711.35 0.00 0.00
August 2012......... 0.00 0.00 17,715,135.94 0.00 0.00
September 2012...... 0.00 0.00 17,397,815.55 0.00 0.00
October 2012........ 0.00 0.00 17,085,668.11 0.00 0.00
November 2012....... 0.00 0.00 16,778,612.82 0.00 0.00
December 2012....... 0.00 0.00 16,476,570.13 0.00 0.00
January 2013........ 0.00 0.00 16,179,461.67 0.00 0.00
February 2013....... 0.00 0.00 15,887,210.30 0.00 0.00
March 2013.......... 0.00 0.00 15,599,740.04 0.00 0.00
April 2013.......... 0.00 0.00 15,316,976.08 0.00 0.00
May 2013............ 0.00 0.00 15,038,844.77 0.00 0.00
</TABLE>
S-27
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2013........... $ 0.00 $ 0.00 $ 14,765,273.56 $ 0.00 $ 0.00
July 2013........... 0.00 0.00 14,496,191.02 0.00 0.00
August 2013......... 0.00 0.00 14,231,526.83 0.00 0.00
September 2013...... 0.00 0.00 13,971,211.73 0.00 0.00
October 2013........ 0.00 0.00 13,715,177.52 0.00 0.00
November 2013....... 0.00 0.00 13,463,357.05 0.00 0.00
December 2013....... 0.00 0.00 13,215,684.20 0.00 0.00
January 2014........ 0.00 0.00 12,972,093.86 0.00 0.00
February 2014....... 0.00 0.00 12,732,521.93 0.00 0.00
March 2014.......... 0.00 0.00 12,496,905.26 0.00 0.00
April 2014.......... 0.00 0.00 12,265,181.72 0.00 0.00
May 2014............ 0.00 0.00 12,037,290.08 0.00 0.00
June 2014........... 0.00 0.00 11,813,170.08 0.00 0.00
July 2014........... 0.00 0.00 11,592,762.38 0.00 0.00
August 2014......... 0.00 0.00 11,376,008.55 0.00 0.00
September 2014...... 0.00 0.00 11,162,851.06 0.00 0.00
October 2014........ 0.00 0.00 10,953,233.24 0.00 0.00
November 2014....... 0.00 0.00 10,747,099.32 0.00 0.00
December 2014....... 0.00 0.00 10,544,394.38 0.00 0.00
January 2015........ 0.00 0.00 10,345,064.33 0.00 0.00
February 2015....... 0.00 0.00 10,149,055.92 0.00 0.00
March 2015.......... 0.00 0.00 9,956,316.72 0.00 0.00
April 2015.......... 0.00 0.00 9,766,795.11 0.00 0.00
May 2015............ 0.00 0.00 9,580,440.25 0.00 0.00
June 2015........... 0.00 0.00 9,397,202.09 0.00 0.00
July 2015........... 0.00 0.00 9,217,031.36 0.00 0.00
August 2015......... 0.00 0.00 9,039,879.53 0.00 0.00
September 2015...... 0.00 0.00 8,865,698.82 0.00 0.00
October 2015........ 0.00 0.00 8,694,442.19 0.00 0.00
November 2015....... 0.00 0.00 8,526,063.33 0.00 0.00
December 2015....... 0.00 0.00 8,360,516.64 0.00 0.00
January 2016........ 0.00 0.00 8,197,757.21 0.00 0.00
February 2016....... 0.00 0.00 8,037,740.83 0.00 0.00
March 2016.......... 0.00 0.00 7,880,423.98 0.00 0.00
April 2016.......... 0.00 0.00 7,725,763.81 0.00 0.00
May 2016............ 0.00 0.00 7,573,718.11 0.00 0.00
June 2016........... 0.00 0.00 7,424,245.33 0.00 0.00
July 2016........... 0.00 0.00 7,277,304.59 0.00 0.00
August 2016......... 0.00 0.00 7,132,855.59 0.00 0.00
September 2016...... 0.00 0.00 6,990,858.69 0.00 0.00
October 2016........ 0.00 0.00 6,851,274.86 0.00 0.00
November 2016....... 0.00 0.00 6,714,065.64 0.00 0.00
December 2016....... 0.00 0.00 6,579,193.21 0.00 0.00
January 2017........ 0.00 0.00 6,446,620.29 0.00 0.00
February 2017....... 0.00 0.00 6,316,310.21 0.00 0.00
March 2017.......... 0.00 0.00 6,188,226.85 0.00 0.00
April 2017.......... 0.00 0.00 6,062,334.64 0.00 0.00
May 2017............ 0.00 0.00 5,938,598.60 0.00 0.00
</TABLE>
S-28
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2017........... $ 0.00 $ 0.00 $ 5,816,984.23 $ 0.00 $ 0.00
July 2017........... 0.00 0.00 5,697,457.62 0.00 0.00
August 2017......... 0.00 0.00 5,579,985.35 0.00 0.00
September 2017...... 0.00 0.00 5,464,534.53 0.00 0.00
October 2017........ 0.00 0.00 5,351,072.78 0.00 0.00
November 2017....... 0.00 0.00 5,239,568.21 0.00 0.00
December 2017....... 0.00 0.00 5,129,989.45 0.00 0.00
January 2018........ 0.00 0.00 5,022,305.58 0.00 0.00
February 2018....... 0.00 0.00 4,916,486.20 0.00 0.00
March 2018.......... 0.00 0.00 4,812,501.34 0.00 0.00
April 2018.......... 0.00 0.00 4,710,321.52 0.00 0.00
May 2018............ 0.00 0.00 4,609,917.72 0.00 0.00
June 2018........... 0.00 0.00 4,511,261.35 0.00 0.00
July 2018........... 0.00 0.00 4,414,324.28 0.00 0.00
August 2018......... 0.00 0.00 4,319,078.82 0.00 0.00
September 2018...... 0.00 0.00 4,225,497.69 0.00 0.00
October 2018........ 0.00 0.00 4,133,554.05 0.00 0.00
November 2018....... 0.00 0.00 4,043,221.48 0.00 0.00
December 2018....... 0.00
</TABLE>
<PAGE>
Annex 2(h)
Prospectus Supplement
dated may 16, 1997
to Prospectus dated June 14, 1996
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1997-44
<PAGE>
Prospectus Supplement
(To Prospectus dated June 14, 1996)
$383,906,733
[FANNIE MAE LOGO]
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1997-44
------------------------
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1997-44 (the
"Trust"). The assets of the Trust will consist of the "regular interests" in a
separate trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier
REMIC will consist of (i) certain previously issued REMIC certificates
specified herein (the "Underlying REMIC Certificates") evidencing beneficial
ownership interests in the related REMIC Trusts (the "Underlying REMIC
Trusts") as further described in Exhibit A hereto and (ii) certain Fannie Mae
Guaranteed Mortgage Pass-Through Certificates (the "Trust MBS") described
herein. The assets of the Underlying REMIC Trusts evidence direct or indirect
beneficial ownership interests in (i) certain "fully modified pass-through"
mortgage-backed securities (the "GNMA Certificates") guaranteed as to timely
payment of principal and interest by the Government National Mortgage
Association ("GNMA") and (ii) certain Fannie Mae Guaranteed Mortgage
Pass-Through Certificates (together with the Trust MBS, the "MBS"). Each GNMA
Certificate is based on and backed by a pool of mortgage loans which are
either insured or guaranteed by the Federal Housing Administration ("FHA"),
the Department of Veterans Affairs ("VA") or the Rural Housing Service
("FmHA"). Each MBS represents a beneficial ownership interest in a pool of
first lien, single-family, fixed-rate residential mortgage loans (together
with the pools and mortgage loans underlying the GNMA Certificates, the
"Pools" and "Mortgage Loans", respectively) having the characteristics
described herein. The Certificates will be issued and guaranteed as to timely
distribution of principal and interest by Fannie Mae.
Investors should not purchase the Certificates before reading this
Prospectus Supplement and the additional Disclosure Documents listed at the
bottom of page S-2.
See "Additional Risk Factors" on page S-8 hereof and "Risk Factors"
beginning on page 8 of the REMIC Prospectus attached hereto for a discussion
of certain risks that should be considered in connection with an investment in
the Certificates.
(Cover continued on next page)
------------------------
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS
ASSOCIATED WITH SUCH CERTIFICATES.
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY
THE UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF OTHER
THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE REGISTRATION
REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE "EXEMPTED SECURITIES"
WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
------------------------
<TABLE>
<CAPTION>
Original Final
Principal Principal Interest Interest CUSIP Distribution
Class Group Balance Type(1) Rate Type(1) Number Date
- --------- ------ ----------- --------- -------- ------- ---------- ---------------
<S> <C>
A ....... 1 $ 9,110,735 SC/PT (2) PO 31359P 3 S 3 May 2020
SA ...... 1 (3) NTL (4) INV/IO 31359P 3 T 1 May 2020
B ....... 2 21,904,036 SC/PT (2) PO 31359P 3 U 8 June 2008
SB ...... 2 (3) NTL (4) INV/IO 31359P 3 V 6 June 2008
SC ...... 2 (3) NTL (4) INV/IO 31359P3W4 June 2008
SD ...... 2 (3) NTL (4) INV/IO 31359P 3 X 2 June 2008
E ....... 3 4,121,242 SC/PT (2) PO 31359P3 Y 0 February 2024
SE ...... 3 (3) NTL (4) INV/IO 31359P 3 Z 7 February 2024
PA ...... 4 17,670,000 PAC 6.5% FIX 31359P 4 A 1 April 2007
PB ...... 4 26,457,000 PAC 7.0 FIX 31359P 4 B 9 December 2013
PC ...... 4 11,044,000 PAC 7.0 FIX 31359P 4 C 7 November 2015
PD ...... 4 24,310,000 PAC 7.0 FIX 31359P 4 D 5 January 2019
PE ...... 4 25,084,000 PAC 7.0 FIX 31359P 4 E 3 June 2021
PG ...... 4 34,200,000 PAC 7.0 FIX 31359P 4 F 0 February 2024
PH ...... 4 16,475,000 PAC 7.0 FIX 31359P 4 G 8 March 2025
PJ ...... 4 25,005,000 PAC 7.0 FIX 31359P 4 H 6 July 2026
PK ...... 4 20,000,000 PAC 7.0 FIX 31359P 4 J 2 July 2027
F ....... 4 58,170,600 TAC (4) FLT 31359P 4 K 9 July 2027
<CAPTION>
Original Final
Principal Principal Interest Interest CUSIP Distribution
Class Group Balance Type(1) Rate Type(1) Number Date
- --------- ------ ----------- --------- -------- ------- ---------- ---------------
<S> <C>
SG ...... 4 (3) NTL (4) INV/IO 31359P 4 L 7 July 2027
SH ...... 4 (3) NTL (4) INV/IO 31359P 4 M 5 July 2027
P ....... 4 $10,265,400 TAC (2) PO 31359P 4 N 3 July 2027
PO ...... 4 11,735,883 SUP (2) PO 31359P 4 P 8 July 2027
PL ...... 4 (3) NTL 7.5% FIX/IO 31359P 4 R 4 July 2027
Z ....... 4 19,583,117 SUP 8.5 FIX/Z 31359P 4 S 2 July 2027
PI ...... 4 (3) NTL 7.5 FIX/IO 31359P 4 Q 6 July 2019
J ....... 5 8,500,000 SC/PT (2) PO 31359P 4 T 0 November 2021
SJ ...... 5 (3) NTL (4) INV/IO 31359P 4 U 7 November 2021
SK ...... 5 (3) NTL (4) INV/IO 31359P 4 V 5 November 2021
L ....... 6 20,883,679 SC/PT (2) PO 31359P4W3 February 2024
SL ...... 6 (3) NTL (4) INV/IO 31359P 4 X 1 February 2024
SM....... 6 (3) NTL (4) INV/IO 31359P 4 Y 9 February 2024
N ....... 7 19,387,041 SC/PT (2) PO 31359P 4 Z 6 June 2023
SN ...... 7 (3) NTL (4) INV/IO 31359P 5 A 0 June 2023
SO ...... 7 (3) NTL (4) INV/IO 31359P 5 B 8 June 2023
R ....... 0 NPR 0 NPR 31359P 5 C 6 July 2027
RL ...... 0 NPR 0 NPR 31359P 5 D 4 July 2027
</TABLE>
- ------------------
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the
Certificates--Distributions of Interest" and "--Distributions of
Principal" herein.
(2) These Classes will be Principal Only Classes and will bear no interest.
(3) The SA, SB, SC, SD, SE, SG, SH, PL, PI, SJ, SK, SL, SM, SN and SO Classes
will be Notional Classes, will not have principal balances and will bear
interest on their respective notional principal balances (initially,
$9,110,735, $41,398,499, $39,402,316, $1,996,183, $52,204,087,
$58,170,600, $58,170,600, $7,735,466, $6,792,200, $25,500,000,
$25,500,000, $45,248,040, $45,248,040, $54,283,714 and $54,283,714,
respectively). The notional principal balances of the Notional Classes
will be calculated as specified herein. See "Description of the
Certificates--Distributions of Interest--Notional Classes" herein.
(4) The SA, SE, F, SG, SH, SJ and SK Classes will bear interest based on
"LIBOR," the SB, SC and SD Classes will bear interest based on "COFI" and
the SL, SM, SN and SO Classes will bear interest based on the "10-Year
Treasury Index" as described under "Description of the
Certificates--Distributions of Interest" herein and "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating
Rate Classes" in the REMIC Prospectus.
------------------------
The Certificates will be offered by Nomura Securities International, Inc.
(the "Dealer") from time to time in negotiated transactions, at varying prices
to be determined at the time of sale.
The Certificates will be offered by the Dealer, subject to issuance by
Fannie Mae and to prior sale or to withdrawal or modification of the offer
without notice, when, as and if delivered to and accepted by the Dealer, and
subject to approval of certain legal matters by counsel. It is expected that
the Group 1 Classes will be available through the book-entry facilities of The
Depository Trust Company and that the Group 2, Group 3, Group 4, Group 5,
Group 6 and Group 7 Classes will be available through the book-entry system of
the Federal Reserve Banks on or about June 30, 1997 (the "Settlement Date").
It is expected that the R and RL Classes in registered, certificated form will
be available for delivery at the offices of the Dealer, New York, New York, on
or about the Settlement Date.
NOMURA SECURITIES INTERNATIONAL, INC.
May 16, 1997
<PAGE>
(Cover continued from previous page)
The yields to investors in the Group 1, Group 2, Group 3, Group 5, Group 6
and Group 7 Classes will be sensitive in varying degrees to, among other
things, the rate of principal distributions on the related Underlying REMIC
Certificates, which in turn will be sensitive in varying degrees to the rate
of principal payments of the related Mortgage Loans, the characteristics of
the Mortgage Loans included in the related Pools and the priority sequences
affecting principal distributions for the Underlying REMIC Trusts. The yields
to investors in the Group 4 Classes will be sensitive in varying degrees to,
among other things, the rate of principal distributions on the Trust MBS,
which in turn will be determined by the rate of principal payments of the
related Mortgage Loans and the characteristics of such Mortgage Loans. The
yield to investors in each Class will also be sensitive to the purchase price
paid for such Class and, in the case of any Floating Rate or Inverse Floating
Rate Class, fluctuations in the level of the applicable Index (as defined
herein). Accordingly, investors should consider the following risks:
- The Mortgage Loans generally may be prepaid at any time without
penalty, and, accordingly, the rate of principal payments thereon is
likely to vary considerably from time to time.
- Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the
Classes.
- In the case of any Certificates purchased at a discount to their
principal amounts (including any Principal Only Class), a slower than
anticipated rate of principal payments is likely to result in a lower
than anticipated yield.
- In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal
payments is likely to result in a lower than anticipated yield.
- In the case of any Interest Only Class, a faster than anticipated rate
of principal payments is likely to result in a lower than anticipated
yield and, in certain cases, an actual loss on the investment.
- The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the applicable Index. See "Description of
the Certificates--Distributions of Interest--Floating Rate and Inverse
Floating Rate Classes" herein.
See "Risk Factors--Yield Considerations" in the REMIC Prospectus and
"Additional Risk Factors--Additional Yield and Prepayment Considerations" and
"Yield Tables" herein.
In addition, investors should purchase Certificates only after considering
the following:
- The Underlying REMIC Certificates are subordinate in priority of
principal distribution to certain other classes of certificates
evidencing beneficial ownership interests in the related Underlying
REMIC Trusts and, accordingly, there is no assurance that principal
distributions will be made on such Underlying REMIC Certificates on
any particular Distribution Date. In particular, certain of the
Underlying REMIC Certificates are Support classes that are entitled to
receive principal distributions on any Distribution Date only if
scheduled payments have been made on other specified classes of
certificates evidencing beneficial ownership interests in the related
Underlying REMIC Trusts. Accordingly, such Underlying REMIC
Certificates may receive no principal distributions for extended
periods of time or may receive principal payments that vary widely
from period to period. In addition, one of the Underlying REMIC
Certificates has a Principal Balance Schedule and, as a result, may
receive principal distributions at a rate faster or slower than would
otherwise have been the case. Moreover, prepayments on the related
Mortgage Loans may have occurred at a rate faster or slower than that
initially assumed. This Prospectus Supplement contains no information
as to whether such Principal Balance Schedule has been adhered to,
whether any related Support classes remain outstanding or whether such
Underlying REMIC Certificate otherwise has performed as originally
anticipated. Additional information as to the Underlying REMIC
Certificates may be obtained by performing an analysis of current
Fannie Mae principal factors in the context of applicable information
contained in the related Underlying REMIC Disclosure Documents (as
defined below), which may be obtained from Fannie Mae as described
below.
- The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
- The rate of principal distributions of the Certificates is uncertain
and investors may be unable to reinvest the distributions thereon at
yields equaling the yields on the Certificates. See "Risk
Factors--Suitability and Reinvestment Considerations" in the REMIC
Prospectus.
- Investors whose investment activities are subject to legal investment
laws and regulations or to review by regulatory authorities may be
subject to restrictions on investment in certain Classes of the
Certificates. Investors should consult their legal advisors to
determine whether and to what extent the Certificates constitute legal
investments or are subject to restrictions on investment. See "Legal
Investment Considerations" in the REMIC Prospectus.
- The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary
market will develop or, if developed, that it will continue. Thus,
investors may not be able to sell their Certificates readily or at
prices that will enable them to realize their anticipated yield. No
investor should purchase Certificates unless such investor understands
and is able to bear the risk that the value of the Certificates will
fluctuate over time and that the Certificates may not be readily
salable.
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, the REMIC
Prospectus, the Underlying REMIC Disclosure Documents, the MBS Prospectus or
the GNMA Prospectus (each as defined below). Any representation to the
contrary is a criminal offense.
Elections will be made to treat the Lower Tier REMIC and the Trust as
"real estate mortgage investment conduits" ("REMICs") pursuant to the Internal
Revenue Code of 1986, as amended (the "Code"). The R and RL Classes will be
subject to transfer restrictions. See "Description of the
Certificates--Characteristics of the R and RL Classes" and "Certain Additional
Federal Income Tax Consequences" herein, and "Description of the
Certificates--Additional Characteristics of Residual Certificates" and
"Certain Federal Income Tax Consequences" in the REMIC Prospectus.
Investors should purchase the Certificates only if they have read and
understood this Prospectus Supplement and the following documents
(collectively, the "Disclosure Documents");
- Fannie Mae's Prospectus for Guaranteed REMIC Pass-Through
Certificates dated June 14, 1996 (the "REMIC Prospectus"), which is
attached to this Prospectus Supplement;
- Fannie Mae's Prospectus for Guaranteed Mortgage Pass-Through
Certificates dated January 1, 1997 (the "MBS Prospectus");
- Fannie Mae's Prospectus for Guaranteed REMIC Pass-Through
Certificates (backed by GNMA Certificates) dated June 14, 1996 (the
"GNMA Prospectus");
- Fannie Mae's Information Statement dated March 31, 1997 and any
supplements thereto (collectively, the "Information Statement"); and
- The Prospectus Supplements for the Underlying REMIC Trusts
(collectively, the "Underlying REMIC Disclosure Documents").
The MBS Prospectus, the GNMA Prospectus and the Information Statement are
incorporated herein by reference and, together with the Underlying REMIC
Disclosure Documents, may be obtained from Fannie Mae by writing or calling
its MBS Helpline at 3900 Wisconsin Avenue, N.W., Area 2H-3S, Washington, D.C.
20016 (telephone 1-800-BEST-MBS or 202-752-6547). Such documents, other than
the Underlying REMIC Disclosure Documents, may also be obtained from Nomura
Securities International, Inc. by writing or calling its Prospectus Department
at Two World Financial Center, Street Level Mail Room, New York, New York
10281-1198 (telephone 212-667-1303).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Reference Sheet....................... S- 4
Additional Risk Factors............... S- 8
Additional Yield and Prepayment
Considerations................... S- 8
Description of the Certificates....... S- 9
General............................. S- 9
Structure........................ S- 9
Fannie Mae Guaranty.............. S- 9
Characteristics of
Certificates................... S- 9
Authorized Denominations......... S-10
Distribution Dates............... S-10
Record Date...................... S-10
REMIC Trust Factors.............. S-10
Optional Termination............. S-10
Voting the Underlying REMIC
Certificates................... S-10
Book-Entry Procedures............... S-11
General.......................... S-11
Method of Distribution........... S-11
The Underlying REMIC
Certificates..................... S-12
The Trust MBS....................... S-12
Final Data Statement................ S-13
Distributions of Interest........... S-13
Categories of Classes............ S-13
General.......................... S-13
Interest Accrual Periods......... S-14
Accrual Class.................... S-14
Notional Classes................. S-14
Floating Rate and Inverse
Floating Rate Classes.......... S-15
Calculation of LIBOR................ S-16
Calculation of COFI................. S-16
Calculation of 10-Year Treasury
Index............................ S-16
Distributions of Principal.......... S-17
Categories of Classes............ S-17
Principal Distribution Amount.... S-17
Group 1 Principal Distribution
Amount......................... S-18
Group 2 Principal Distribution
Amount......................... S-18
Page
----
Group 3 Principal Distribution
Amount......................... S-18
Group 4 Principal Distribution
Amount......................... S-18
Group 4 Accrual Amount......... S-18
Group 4 Cash Flow Distribution
Amount...................... S-18
Group 5 Principal Distribution
Amount......................... S-19
Group 6 Principal Distribution
Amount......................... S-19
Group 7 Principal Distribution
Amount......................... S-19
Structuring Assumptions............. S-19
Pricing Assumptions.............. S-19
Prepayment Assumptions........... S-19
Structuring Range and Rate....... S-19
Initial Effective Ranges......... S-20
Principal Balance Schedules......... S-21
Yield Tables........................ S-32
General.......................... S-32
The Principal Only Classes....... S-32
The Interest Only Classes........ S-33
Weighted Average Lives of the
Certificates..................... S-37
Decrement Tables.................... S-38
Characteristics of the R and RL
Classes.......................... S-41
Certain Additional Federal Income Tax
Consequences........................ S-41
REMIC Elections and Special Tax
Attributes....................... S-41
Taxation of Beneficial Owners of
Regular Certificates............. S-42
Taxation of Beneficial Owners of
Residual Certificates............ S-42
Plan of Distribution.................. S-42
General............................. S-42
Increase in Certificates............ S-43
Legal Matters......................... S-43
Exhibit A............................. A- 1
S-3
<PAGE>
REFERENCE SHEET
This reference sheet is not a summary of the REMIC transaction and it
does not contain complete information about the Certificates. Investors should
purchase the Certificates only after reading this Prospectus Supplement and
each of the additional Disclosure Documents described herein in their
entirety.
Characteristics of the Underlying REMIC Certificates
The table contained in Exhibit A hereto sets forth information with
respect to the Underlying REMIC Certificates, including certain information
regarding the underlying Mortgage Loans. Certain additional information as to
the Underlying REMIC Certificates may be obtained by performing an analysis of
current Fannie Mae principal factors in the context of applicable information
contained in the related Underlying REMIC Disclosure Documents, which may be
obtained from Fannie Mae as described herein.
See "Description of the Certificates--The Underlying REMIC Certificates"
herein.
Assumed Characteristics of the Mortgage Loans Underlying the Trust MBS
(as of June 1, 1997)
Approximate
Weighted Average Approximate
Approximate Remaining Term Calculated Approximate
Principal to Maturity Loan Age Weighted
Balance (in months) (in months) Average Coupon
- ------------ ---------------- ----------- --------------
$300,000,000 356 3 8.07%
The actual remaining terms to maturity, calculated loan ages and interest
rates of most of the related Mortgage Loans will differ from the weighted
averages shown above, perhaps significantly. See "Description of the
Certificates--Structuring Assumptions--Pricing Assumptions" herein.
S-4
<PAGE>
Interest Rates
The Fixed Rate Classes will bear interest at the applicable per annum
interest rates set forth on the cover.
The Floating Rate and Inverse Floating Rate Classes will bear interest
during the initial Interest Accrual Period at the initial interest rates
specified below, and will bear interest during each Interest Accrual Period
thereafter, subject to the applicable maximum and minimum interest rates, at
rates determined as described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
------------ --------- ---------- ------- -----------------------------------
<S> <C>
SA ......... 7.15000% 22.10000% 0.0% 22.1% - (2.6 X LIBOR)
SB ......... 2.17800% 7.00000% 0.0% 7% - COFI
SC ......... 2.15000% 2.15000% 0.0% 9.15% - COFI
SD ......... 0.50000% 0.50000% 0.0% 7.5% - COFI
SE ......... 0.79999%(1) 0.79999% 0.0% 7.8% - LIBOR
F ......... 6.08750% 10.00000% 0.4% LIBOR + 40 basis points
SG ......... 2.81250% 8.50000% 0.0% 8.5% - LIBOR
SH ......... 1.10000% 1.10000% 0.0% 9.6% - LIBOR
SJ ......... 3.28125%(1) 9.00000% 0.0% 9% - LIBOR
SK ......... 1.20000%(1) 1.20000% 0.0% 10.2% - LIBOR
SL ......... 1.27008% 7.50090% 0.0% 8.00008% - 10-Year Treasury Index
SM ......... 1.89990% 1.89990% 0.0% 9.89998% - 10-Year Treasury Index
SN ......... 1.27000% 7.35000% 0.0% 8% - 10-Year Treasury Index
SO ......... 2.14999% 2.14999% 0.0% 10.14999% - 10-Year Treasury Index
</TABLE>
-------------------------
(1) The initial interest rates for these Classes are assumed rates.
The actual initial interest rate for these Classes will be
calculated on the basis of the applicable formulas for the
calculation of such interest rates on the Index Determination
Date occurring on June 23, 1997.
See "Description of the Certificates--Distributions of Interest--Floating
Rate and Inverse Floating Rate Classes" herein.
Notional Classes
The notional principal balance of the Notional Classes will be equal to
the indicated percentages of the outstanding balances specified below
immediately prior to the related Distribution Date:
<TABLE>
<CAPTION>
Class
--------------------
<S> <C>
SA ................. 100% of A Class
SB ................. 188.99940486% of B Class
SC ................. 179.88609388% of B Class
SD ................. 9.11331106% of B Class
SE ................. 1,266.707644% of E Class
SG ................. 100% of F Class
SH ................. 100% of F Class
PI and PL(1)........ 13.3333333333% of PA Class
6.6666666667% of PB, PC, PD, PE, PG, PH, PJ and PK Classes
SJ ................. 300% of J Class
SK ................. 300% of J Class
SL ................. 216.667% of L Class
SM ................. 216.667% of L Class
SN ................. 280% of N Class
SO ................. 280% of N Class
</TABLE>
-------------------------
(1) In the aggregate. On each Distribution Date, reductions in the
principal balances of the PA, PB, PC, PD, PE, PG, PH, PJ and PK
Classes will be allocated, sequentially, in reduction of the
notional principal balances of the PI Class and the PL Class, in
that order, until the respective notional principal balances
thereof are reduced to zero.
See "Description of the Certificates--Distributions of Interest--Notional
Classes" and "--Yield Tables--The Interest Only Classes" herein.
S-5
<PAGE>
Distributions of Principal
The portion of the Principal Distribution Amount allocated to each
applicable Class of Certificates will be determined by distributions of
principal of the related Underlying REMIC Certificate or, in the case of the
Group 4 Classes, the Trust MBS and the Group 4 Accrual Amount. For such
purposes, the Principal Distribution Amount will be allocated among the Group
1, Group 2, Group 3, Group 4, Group 5, Group 6 and Group 7 Principal
Distribution Amounts as described herein under "Description of the
Certificates--Distributions of Principal--Principal Distribution Amount".
Group 1 Principal Distribution Amount
To the A Class, to zero.
Group 2 Principal Distribution Amount
To the B Class, to zero.
Group 3 Principal Distribution Amount
To the E Class, to zero.
Group 4 Principal Distribution Amount
Group 4 Accrual Amount
To the P and F Classes, in proportion to their original principal
balances, to zero, and then to the Z Class.
Group 4 Cash Flow Distribution Amount
1. To the PA, PB, PC, PD, PE, PG, PH, PJ and PK Classes, in that
order, to their Planned Balances.
2. To the Classes specified below, as follows:
a. 11.7647065310% of the remaining amount to the PO Class, to zero,
and
b. 88.2352934690% of such remaining amount as follows:
(i) to the P and F Classes, in proportion to their original
principal balances, to their Targeted Balances;
(ii) to the Z Class, to zero; and
(iii) to the P and F Classes, in proportion to their original
principal balances, to zero.
3. To the PA, PB, PC, PD, PE, PG, PH, PJ and PK Classes, in that
order, to zero.
Group 5 Principal Distribution Amount
To the J Class, to zero.
Group 6 Principal Distribution Amount
To the L Class, to zero.
Group 7 Principal Distribution Amount
To the N Class, to zero.
S-6
<PAGE>
Weighted Average Lives (years)*
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------
<S> <C>
Group 1 Classes 0% 50% 100% 300% 500%
- ------------------------------------ ------ ------ ------ ------
A and SA...................... 22.0 15.0 2.1 0.3 0.1
PSA Prepayment Assumption
----------------------------------
Group 2 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
B, SB, SC and SD.............. 10.1 8.6 7.9 4.8 1.4
PSA Prepayment Assumption
----------------------------------
Group 3 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
E and SE...................... 25.1 19.0 15.6 6.2 1.3
PSA Prepayment Assumption
----------------------------------
Group 4 Classes 0% 100% 160% 275% 500%
- ------------------------------------ ------ ------ ------ ------
PA ........................... 4.2 1.0 1.0 1.0 1.0
PB ........................... 10.7 2.4 2.4 2.4 2.4
PC ........................... 14.2 3.4 3.4 3.4 2.9
PD ........................... 16.6 4.4 4.4 4.4 3.3
PE ........................... 19.2 5.9 5.9 5.9 3.8
PG ........................... 21.6 7.9 7.9 7.9 4.7
PH............................ 23.4 9.9 9.9 9.9 5.7
PJ ........................... 24.6 12.4 12.4 12.4 7.1
PK............................ 25.8 18.7 18.7 18.7 11.0
F, SG, SH and P............... 11.0 10.0 4.8 3.6 1.8
PO ........................... 28.2 20.0 11.8 3.1 1.6
PL ........................... 22.8 10.7 10.7 10.7 6.3
Z ........................... 28.2 22.0 18.7 1.6 0.7
PI ........................... 10.6 2.6 2.6 2.6 2.2
PSA Prepayment Assumption
----------------------------------
Group 5 Classes 0% 100% 250% 400% 600%
- ------------------------------------ ------ ------ ------ ------
J, SJ and SK.................. 17.6 9.2 5.3 3.5 2.2
PSA Prepayment Assumption
----------------------------------
Group 6 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
L, SL and SM.................. 25.4 20.1 17.1 8.2 1.7
PSA Prepayment Assumption
----------------------------------
Group 7 Classes 0% 100% 150% 300% 500%
- ------------------------------------ ------ ------ ------ ------
N, SN and SO.................. 25.0 20.6 18.1 7.1 3.9
</TABLE>
-------------------------
* Determined as specified under "Weighted Average Lives of the
Certificates" herein.
S-7
<PAGE>
ADDITIONAL RISK FACTORS
Additional Yield and Prepayment Considerations
The rate of distributions of principal of the Group 1, Group 2, Group 3,
Group 5, Group 6 and Group 7 Classes will be directly related to the rate of
principal distributions on the related Underlying REMIC Certificates, which in
turn will be sensitive in varying degrees to the rate of payments of principal
(including prepayments) of the related Mortgage Loans and the priority
sequences affecting principal distributions for the related Underlying REMIC
Trusts. As described in the Underlying REMIC Disclosure Documents, the
Underlying REMIC Certificates are subordinate in priority of principal
distributions to certain other classes of certificates evidencing beneficial
ownership interests in the related Underlying REMIC Trusts and, accordingly,
distributions of principal of the related Mortgage Loans may for extended
periods be applied to the distribution of principal of those classes of
certificates having priority over such Underlying REMIC Certificates. In
particular, certain of the Underlying REMIC Certificates are Support classes
that are entitled to receive principal distributions on any Distribution Date
only if scheduled payments have been made on other specified classes of
certificates evidencing beneficial ownership interests in the related
Underlying REMIC Trusts. Accordingly, such Underlying REMIC Certificates may
receive no principal distributions for extended periods of time or may receive
principal payments that vary widely from period to period. In addition, one of
the Underlying REMIC Certificates has a Principal Balance Schedule and, as a
result, may receive distributions of principal during certain periods at a
rate faster or slower than would otherwise have been the case. Moreover,
prepayments on the related Mortgage Loans may have occurred at a rate faster
or slower than that initially assumed. This Prospectus Supplement contains no
information as to whether such Principal Balance Schedule has been adhered to,
whether any related Support classes remain outstanding or whether such
Underlying REMIC Certificate otherwise has performed as originally
anticipated. Additional information as to the Underlying REMIC Certificates
may be obtained by performing an analysis of current Fannie Mae principal
factors in the context of applicable information contained in the related
Underlying REMIC Disclosure Documents, which may be obtained from Fannie Mae
as described above.
The rate of distributions of principal of the Group 4 Classes will be
sensitive in varying degrees to the rate of principal distributions on the
Trust MBS, which in turn will reflect the rate of amortization (including
prepayments) of the related Mortgage Loans. There can be no assurance that the
Mortgage Loans underlying the Trust MBS will have the characteristics assumed
herein. Because the rate of principal distributions on the Group 4 Classes
will be related to the rate of amortization of the Mortgage Loans underlying
the Trust MBS, which are likely to include Mortgage Loans with remaining terms
to maturity shorter or longer than those assumed and interest rates higher or
lower than those assumed, the rate of principal distributions on the Group 4
Classes is likely to differ from the rate anticipated by an investor, even if
such Mortgage Loans prepay at the indicated constant percentages of PSA.
It is highly unlikely that the Mortgage Loans underlying any of the
Underlying REMIC Certificates or the Trust MBS will prepay at any of the rates
assumed herein, will prepay at a constant PSA rate until maturity or that such
Mortgage Loans will prepay at the same rate. Investors must make their own
decisions as to the appropriate assumptions, including prepayment assumptions,
to be used in deciding whether to purchase the Certificates.
The effective yields on the Delay Classes (as defined herein) and the SA
Class will be reduced below the yields otherwise produced because principal
and interest payable on a Distribution Date will not be distributed until (i)
the 18th or 25th day, as applicable, following the end of the related Interest
Accrual Period, in the case of the Delay Classes, and (ii) the 22nd day of
each calendar month, in the case of the SA Class, and will not bear interest
during such delay. No interest at all will be paid on any Class after its
principal balance has been reduced to zero. As a result of the foregoing, the
market values of the Delay Classes will be lower than would have been the case
if there were no such delay.
S-8
<PAGE>
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the remaining provisions of this Prospectus
Supplement, the additional Disclosure Documents and the provisions of the
Trust Agreement (defined below). Capitalized terms used and not otherwise
defined in this Prospectus Supplement have the meanings assigned to such terms
in the applicable Disclosure Document or the Trust Agreement (as the context
may require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant
to a trust agreement dated as of June 1, 1997 (the "Trust Agreement"),
executed by the Federal National Mortgage Association ("Fannie Mae") in its
corporate capacity and in its capacity as trustee (the "Trustee"), and the
Certificates in the Classes and aggregate original principal balances set
forth on the cover hereof will be issued by Fannie Mae pursuant thereto. A
description of Fannie Mae and its business, together with certain financial
statements and other financial information, is contained in the Information
Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will
be designated as the "regular interests," and the RL Class will be designated
as the "residual interest," in the Lower Tier REMIC. The assets of the Lower
Tier REMIC will consist of the Trust MBS and the Underlying REMIC Certificates
(which evidence beneficial ownership interests in the Underlying REMIC
Trusts).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. The guaranty obligations of Fannie Mae with respect to
the Underlying REMIC Certificates (other than the Class 1996-6-S REMIC
Certificate, which is issued and guaranteed by GNMA) are described in the
related Underlying REMIC Disclosure Documents. In addition, Fannie Mae will be
obligated to distribute on a timely basis to the Holders of Certificates
required installments of principal and interest and to distribute the
principal balance of each Class of Certificates in full no later than the
applicable Final Distribution Date, whether or not sufficient funds are
available in the Trust Account. The guaranties of Fannie Mae are not backed by
the full faith and credit of the United States. See "Description of the
Certificates--Fannie Mae's Guaranty" in the REMIC Prospectus, "Description of
Certificates--The Corporation's Guaranty" in the MBS Prospectus, and
"Description of the Certificates--General--Fannie Mae Guaranty" in the related
Underlying REMIC Disclosure Documents.
Characteristics of Certificates. The Group 1 Classes each will be
represented by one or more certificates (the "DTC Certificates") to be
registered at all times in the name of the nominee of the Depository (as
defined herein), which Depository will maintain such Certificates through its
book-entry facilities. When used herein with respect to any DTC Certificate,
the terms "Holders" and "Certificateholders" refer to the nominee of the
Depository. The Group 2, Group 3, Group 4, Group 5, Group 6 and Group 7
Classes will be issued and maintained and may be transferred by Holders only
on the book-entry system of the Federal Reserve Banks. Such entities whose
names appear on the book-entry records of a Federal Reserve Bank as the
entities for whose accounts such Certificates have been deposited are herein
referred to as "Holders" or "Certificateholders."
A Holder is not necessarily the beneficial owner of a book-entry
Certificate. Beneficial owners will ordinarily hold book-entry Certificates
through one or more financial intermediaries, such as banks, brokerage firms
and securities clearing organizations. See "Description of the
Certificates--Denomi-
S-9
<PAGE>
nations, Certificate Form" in the REMIC Prospectus and "Description of the
Certificates--Book-Entry Procedures" herein.
The R and RL Certificates will not be issued in book-entry form but will
be issued in fully registered, certificated form. As to the R or RL
Certificate, "Holder" or "Certificateholder" refers to the registered owner
thereof. The R or RL Certificates will be transferable at the corporate trust
office of the Transfer Agent, or at the agency of the Transfer Agent in New
York, New York. The Transfer Agent initially will be State Street Bank and
Trust Company in Boston, Massachusetts ("State Street"). A service charge may
be imposed for any registration of transfer of the R or RL Certificate and
Fannie Mae may require payment of a sum sufficient to cover any tax or other
governmental charge. See also "Characteristics of the R and RL Classes"
herein.
The distribution to the Holder of the R and RL Classes of the proceeds of
any remaining assets of the Trust and the Lower Tier REMIC, as applicable,
will be made only upon presentation and surrender of the related Certificate
at the office of the Paying Agent. The Paying Agent initially will be State
Street.
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. The R and RL Classes will be issued as
single Certificates and will not have principal balances.
Distribution Dates. Distributions on the Group 1 Classes will be made on
the 22nd day of each month (or, if such 22nd day is not a business day, on the
first business day next succeeding such 22nd day), distributions on the Group
2, Group 3, Group 5, Group 6 and Group 7 Classes will be made on the 25th day
of each month (or, if such 25th day is not a business day, on the first
business day next succeeding such 25th day) and distributions on the Group 4
Classes will be made on the 18th day of each month (or, if such 18th day is
not a business day, on the first business day next succeeding such 18th day)
(each, a "Distribution Date"), commencing in the month following the
Settlement Date. See "Distributions of Interest--General" and "--Interest
Accrual Periods" and "Distributions of Principal--Principal Distribution
Amount" herein.
Record Date. Each monthly distribution on the Certificates will be made
to Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh
calendar day of each month, Fannie Mae will publish or otherwise make
available for each Class of Certificates the factor (carried to eight decimal
places) which, when multiplied by the original principal balance of a
Certificate of such Class, will equal the remaining principal balance of such
Certificate after giving effect to the distribution of principal to be made on
the following Distribution Date and any interest to be added as principal to
the principal balance of the Accrual Class on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Lower Tier
REMIC or the Trust through the exercise of its right to repurchase the
Mortgage Loans underlying any MBS unless only one Mortgage Loan remains in the
related Pool or the principal balance of such Pool at the time of repurchase
is less than one percent of the original principal balance thereof.
Voting the Underlying REMIC Certificates. In the event any issue arises
under the trust agreement governing any of the Underlying REMIC Trusts that
requires the vote of holders of certificates outstanding thereunder, the
Trustee will vote the related Underlying REMIC Certificates in accordance with
instructions received from Holders of Certificates of the related Classes
having principal balances aggregating not less than 51% of the aggregate
principal balance of all such Classes outstanding. In the absence of such
instructions, the Trustee will vote in a manner consistent, in its sole
judgment, with the best interests of Certificateholders.
S-10
<PAGE>
Book-Entry Procedures
General. Each of the Group 1 Classes will be represented by one or more
certificates (the "DTC Certificates") to be registered at all times in the
name of the nominee of The Depository Trust Company, a New York-chartered
limited purpose trust company, or any successor depository selected or
approved by Fannie Mae (the "Depository"). In accordance with its normal
procedures, the Depository will record the positions held by each Depository
participating firm (each, a "Depository Participant") in the DTC Certificates,
whether held for its own account or as a nominee for another person. State
Street will act as Paying Agent for, and perform certain administrative
functions with respect to, the DTC Certificates.
No person acquiring a beneficial ownership interest in the DTC
Certificates (a "beneficial owner" or an "investor") will be entitled to
receive a physical certificate representing such ownership interest. An
investor's interest in the DTC Certificates will be recorded on the records of
the brokerage firm, bank, thrift institution or other financial intermediary
(a "financial intermediary") that maintains such investor's account for such
purpose. In turn, the financial intermediary's record ownership of such
interest will be recorded on the records of the Depository (or of a Depository
Participant that acts as an agent for the financial intermediary if such
intermediary is not a Depository Participant). Accordingly, an investor will
not be recognized by the Trustee or the Depository as a Certificateholder and
must rely on the foregoing arrangements to evidence its interest in the DTC
Certificates. Beneficial ownership of an investor's interest in the DTC
Certificates may be transferred only by compliance with the procedures of an
investor's financial intermediary and of Depository Participants. In general,
beneficial ownership of an investor's interest in the DTC Certificates will be
subject to the rules, regulations and procedures governing the Depository and
Depository Participants as in effect from time to time.
The Group 2, Group 3, Group 4, Group 5, Group 6 and Group 7 Classes will
be issued and maintained only on the book-entry system of the Federal Reserve
Banks. Such Certificates may be held of record only by entities eligible to
maintain book-entry accounts with the Federal Reserve Banks. Beneficial owners
ordinarily will hold such Certificates through one or more financial
intermediaries, such as banks, brokerage firms and securities clearing
organizations. A Holder that is not the beneficial owner of such a
Certificate, and each other financial intermediary in the chain to the
beneficial owner, will have the responsibility of establishing and maintaining
accounts for their respective customers. The rights of the beneficial owner of
such a Certificate with respect to Fannie Mae and the Federal Reserve Banks
may be exercised only through the Holder of such Certificate. Fannie Mae and
the Federal Reserve Banks will have no direct obligation to a beneficial owner
of such a Certificate that is not also the Holder of the Certificate. The
Federal Reserve Banks will act only upon the instructions of the Holder in
recording transfers of such a Certificate. See "Description of the
Certificates--Denominations, Certificate Form" in the REMIC Prospectus.
Method of Distribution. Each distribution on the DTC Certificates will
be distributed by the Paying Agent to the Depository in immediately available
funds. The Depository will be responsible for crediting the amount of such
distributions to the accounts of the Depository Participants entitled thereto,
in accordance with the Depository's normal procedures, which currently provide
for distributions in same-day funds settled through the New York Clearing
House. Each Depository Participant and each financial intermediary will be
responsible for disbursing such distributions to the beneficial owners of the
DTC Certificates that it represents. Accordingly, the beneficial owners may
experience some delay in their receipt of distributions.
Fannie Mae's fiscal agent for the Group 2, Group 3, Group 4, Group 5,
Group 6 and Group 7 Classes is the Federal Reserve Bank of New York. The
Federal Reserve Banks will make distributions on such Certificates on behalf
of Fannie Mae on the applicable Distribution Dates by crediting Holders'
accounts at the Federal Reserve Banks.
S-11
<PAGE>
The Underlying REMIC Certificates
The Underlying REMIC Certificates to the Group 1, Group 2, Group 3, Group
5, Group 6 and Group 7 Classes represent beneficial ownership interests in the
related Underlying REMIC Trusts, the assets of which evidence direct or
indirect beneficial ownership interests in (i) certain GNMA Certificates
having the general characteristics set forth in the GNMA Prospectus and (ii)
certain MBS having the general characteristics described in the MBS
Prospectus.
The general characteristics of the Underlying REMIC Certificates are
described in the related Underlying REMIC Disclosure Documents. Each GNMA
Certificate is based on and backed by a pool of mortgage loans that are either
insured or guaranteed by the FHA, the VA or the FmHA. Each MBS evidences
beneficial ownership interests in a Pool of conventional Level Payment
Mortgage Loans secured by first-mortgages or deeds of trust on one- to
four-family residential properties, as described under "The Mortgage Pools"
and "Yield Considerations" in the MBS Prospectus. The Underlying REMIC
Certificates provide that distributions thereon will be passed through
monthly, commencing in the month following the initial issuance thereof.
The table contained in Exhibit A hereto sets forth certain information
with respect to each of the Underlying REMIC Certificates, including the
numerical designations of the related Underlying REMIC Trust, the class
designation, the date of issue, the CUSIP number, the interest rate, the
interest type, the final distribution date, the principal type, the original
principal balance of the entire class, the current principal factor for such
class and the principal balance of such class contained in the Lower Tier
REMIC as of June 1, 1997 (the "Issue Date"). The table also sets forth the
approximate weighted average WAC, approximate weighted average WARM or WAM and
approximate weighted average WALA or CAGE of the Mortgage Loans underlying the
related GNMA Certificates or MBS as of the Issue Date, the underlying security
type and the related Class Group.
To request further information regarding the Underlying REMIC
Certificates and the Trust MBS, telephone Fannie Mae at 1-800-BEST-MBS or
202-752-6547. Other data specific to the Certificates is available in
electronic form by calling Fannie Mae at 1-800-752-6440 or 202-752-6000. It
should be noted that there may have been material changes in facts and
circumstances since the dates the Underlying REMIC Disclosure Documents were
prepared, including, but not limited to, changes in prepayment speeds and
prevailing interest rates and other economic factors, which may limit the
usefulness of the information set forth in such documents.
The Trust MBS
The Trust MBS underlying the Group 4 Classes will have the aggregate
unpaid principal balance and Pass-Through Rate set forth below and the general
characteristics described in the MBS Prospectus. The Trust MBS will provide
that principal and interest on the related Mortgage Loans will be passed
through monthly, commencing in the month following the month of the initial
issuance of the Trust MBS. The Mortgage Loans underlying the Trust MBS will be
conventional Level Payment Mortgage Loans secured by first mortgages or deeds
of trust on single family residential properties and having original
maturities of up to 30 years, as described under "The Mortgage Pools" and
"Yield Considerations" in the MBS Prospectus. The characteristics of the Trust
MBS and the related Mortgage Loans as of the Issue Date are expected to be as
follows:
<TABLE>
<S><C>
Trust MBS
Aggregate Unpaid Principal Balance....................... $300,000,000
MBS Pass-Through Rate.................................... 7.50%
Mortgage Loans Underlying Trust MBS
Range of WACs (per annum percentages).................... 7.75% to 10.00%
Range of WAMs............................................ 241 months to 360 months
Approximate Weighted Average WAM......................... 356 months
Approximate Weighted Average CAGE........................ 3 months
</TABLE>
S-12
<PAGE>
Final Data Statement
Following the issuance of the Certificates, Fannie Mae will prepare a
Final Data Statement setting forth, among other information, the current
principal balance of the Underlying REMIC Certificates and the Trust MBS as of
the Issue Date and, with respect to the Trust MBS, the Pool number, the
current WAC (or original WAC, if the current WAC is not available) and the
current WAM (or Adjusted WAM, if the current WAM is not available) of the
Mortgage Loans underlying each Trust MBS, along with the weighted average of
all the current or original WACs and the weighted average of all the current
or Adjusted WAMs, based on the current unpaid principal balances of the
Mortgage Loans underlying the Trust MBS as of the Issue Date. The Final Data
Statement will not accompany this Prospectus Supplement but will be made
available by Fannie Mae. To request the Final Data Statement, telephone Fannie
Mae at 1-800-BEST-MBS or 202-752-6547. The contents of the Final Data
Statement and other data specific to the Certificates are available in
electronic form by calling Fannie Mae at 1-800-752-6440 or 202-752-6000.
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized
as follows:
<TABLE>
<CAPTION>
Interest Type* Classes
- ---------------------- ------------------------------------------------------
<S> <C>
Fixed Rate PA, PB, PC, PD, PE, PG, PH, PI, PJ, PK, PL and Z
Accrual Z
Floating Rate F
Inverse Floating Rate SA, SB, SC, SD, SE, SG, SH, SJ, SK, SL, SM, SN and SO
Interest Only SA, SB, SC, SD, SE, PI, SG, SH, PL, SJ, SK, SL, SM, SN
and SO
Principal Only A, B, E, P, PO, J, L and N
No Payment Residual R and RL
-------------------------
</TABLE>
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
applicable per annum interest rates set forth on the cover or described
herein. Interest on the interest-bearing Certificates is calculated on the
basis of a 360-day year consisting of twelve 30-day months and is
distributable monthly on each Distribution Date, commencing (except with
respect to the Accrual Class) in the month after the Settlement Date. Interest
to be distributed or, in the case of the Accrual Class, added to principal on
each interest-bearing Certificate on a Distribution Date will consist of one
month's interest on the outstanding principal balance of such Certificate
immediately prior to such Distribution Date.
S-13
<PAGE>
Interest Accrual Periods. Interest to be distributed on a Distribution
Date will accrue on the interest-bearing Certificates during the one-month
periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Periods
---------------------------------------- -----------------------------------------
<S> <C>
F, SG and SH Classes One month period beginning on the 18th
day of the month preceding the month of
the Distribution Date and ending on the
17th day of the month of the
Distribution Date
SA Class One month period beginning on the 16th
day of the month preceding the month of
the Distribution Date and ending on the
15th day of the month of the
Distribution Date*
SE, SJ and SK Classes One month period beginning on the 25th
day of the month preceding the month of
the Distribution Date and ending on the
24th day of the month of the
Distribution Date
The Fixed Rate Classes and the SB, SC, Calendar month preceding the month in
SD, SL, SM, SN and SO Classes which the Distribution Date occurs
(collectively, the "Delay Classes")
</TABLE>
-------------------------
* Although the Interest Accrual Periods for the SA Class are as
described above, the Distribution Dates for such Class will occur
on or about the 22nd day of each calendar month.
See "Additional Risk Factors--Additional Yield and Prepayment
Considerations" herein.
Accrual Class. The Z Class is an Accrual Class. Interest will accrue on
the Accrual Class at the per annum rate set forth on the cover hereof;
however, such interest will not be distributed thereon until the Distribution
Date following the Distribution Date on which the principal balances of the P
Class and the F Class are reduced to zero. Interest so accrued and unpaid on
the Accrual Class will be added as principal to the principal balance thereof
on each Distribution Date. Distributions of principal of the Accrual Class
will be made as described herein.
Notional Classes. The SA, SB, SC, SD, SE, SG, SH, PI, PL, SJ, SK, SL,
SM, SN and SO Classes will be Notional Classes. The Notional Classes will have
no principal balances and will bear interest at the applicable per annum
interest rates described herein during each Interest Accrual Period on their
respective notional principal balances. The notional principal balances of the
Notional
S-14
<PAGE>
Classes will be equal to the indicated percentages of the outstanding balances
specified below immediately prior to the related Distribution Date:
<TABLE>
<CAPTION>
Class
--------------------
<S> <C>
SA ................. 100% of A Class
SB ................. 188.99940486% of B Class
SC ................. 179.88609388% of B Class
SD ................. 9.11331106% of B Class
SE ................. 1,266.707644% of E Class
SG ................. 100% of F Class
SH ................. 100% of F Class
PI and PL(1)........ 13.3333333333% of PA Class
6.6666666667% of PB, PC, PD, PE, PG, PH, PJ and PK Classes
SJ ................. 300% of J Class
SK ................. 300% of J Class
SL ................. 216.667% of L Class
SM ................. 216.667% of L Class
SN ................. 280% of N Class
SO ................. 280% of N Class
</TABLE>
-------------------------
(1) In the aggregate. On each Distribution Date, reductions in the
principal balances of the PA, PB, PC, PD, PE, PG, PH, PJ and PK
Classes will be allocated, sequentially, in reduction of the
notional principal balances of the PI Class and the PL Class, in
that order, until the respective notional principal balances
thereof are reduced to zero.
The notional principal balance of a Notional Class is used for purposes
of the determination of interest distributions thereon and does not represent
an interest in the principal distributions of the related Underlying REMIC
Certificates, the Trust MBS, the GNMA Certificates or the underlying Mortgage
Loans. Although a Notional Class will not have a principal balance, a REMIC
Trust Factor (as described herein) will be published with respect to such
Class that will be applicable to the notional principal balance thereof, and
references herein to the principal balances of the Certificates generally
shall be deemed to refer also to the notional principal balances of the
Notional Classes.
Floating Rate and Inverse Floating Rate Classes. The following Classes
will bear interest during their initial Interest Accrual Period at the initial
interest rates specified below, and will bear interest during each Interest
Accrual Period thereafter, subject to the applicable maximum and minimum
interest rates, at the rates determined as described below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
------------ --------- ---------- ------- -----------------------------------
<S> <C>
SA ......... 7.15000% 22.10000% 0.0% 22.1% - (2.6 X LIBOR)
SB ......... 2.17800% 7.00000% 0.0% 7% - COFI
SC ......... 2.15000% 2.15000% 0.0% 9.15% - COFI
SD ......... 0.50000% 0.50000% 0.0% 7.5% - COFI
SE ......... 0.79999%(1) 0.79999% 0.0% 7.8% - LIBOR
F ......... 6.08750% 10.00000% 0.4% LIBOR + 40 basis points
SG ......... 2.81250% 8.50000% 0.0% 8.5% - LIBOR
SH ......... 1.10000% 1.10000% 0.0% 9.6% - LIBOR
SJ ......... 3.28125%(1) 9.00000% 0.0% 9% - LIBOR
SK ......... 1.20000%(1) 1.20000% 0.0% 10.2% - LIBOR
SL ......... 1.27008% 7.50090% 0.0% 8.00008% - 10-Year Treasury Index
SM ......... 1.89990% 1.89990% 0.0% 9.89998% - 10-Year Treasury Index
SN ......... 1.27000% 7.35000% 0.0% 8% - 10-Year Treasury Index
SO ......... 2.14999% 2.14999% 0.0% 10.14999% - 10-Year Treasury Index
</TABLE>
-------------------------
(1) The initial interest rates for these Classes are assumed rates.
The actual initial interest rate for these Classes will be
calculated on the basis of the applicable formulas for the
calculation of such interest rates on the Index Determination
Date occurring on June 23, 1997.
The yields with respect to such Classes will be affected by changes in
the applicable index as set forth in the table above (each, an "Index"), which
changes may not correlate with changes in mortgage interest rates. It is
possible that lower mortgage interest rates could occur concurrently with
S-15
<PAGE>
an increase in the level of an Index. Conversely, higher mortgage interest
rates could occur concurrently with a decrease in the level of such Index.
The establishment of each Index value by Fannie Mae and Fannie Mae's
determination of the rate or rates of interest for the applicable Class or
Classes for the related Interest Accrual Period shall (in the absence of
manifest error) be final and binding. Each such rate of interest may be
obtained by telephoning Fannie Mae at 1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each Index Determination Date, until the principal balances and
notional principal balances of the SA, SE, F, SG, SH, SJ and SK Classes have
been reduced to zero, Fannie Mae will establish LIBOR for the related Interest
Accrual Period in the manner described in the REMIC Prospectus under
"Description of the Certificates--Indices Applicable to Floating Rate and
Inverse Floating Rate Classes--LIBOR" (except that in the case of the SA
Class, LIBOR will be determined as described in the related Underlying REMIC
Disclosure Document).
If on the initial Index Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be equal to 5.6875% in the case
of the F, SG and SH Classes and will be equal to LIBOR as determined for such
Interest Accrual Period for the related Underlying REMIC Certificates in the
case of the SA, SE, SJ and SK Classes.
Calculation of COFI
Except as otherwise specified below, the amount of interest which will
accrue in respect of the SB, SC and SD Classes (the "COFI" Classes) during
each Interest Accrual Period following its initial Interest Accrual Period
will be determined on the basis of the Eleventh District Cost of Funds Index
for the second month next preceding the month in which such Interest Accrual
Period commences if such Eleventh District Cost of Funds Index for such second
preceding month is published on or before the tenth day of the month in which
such Interest Accrual Period commences. For example, if the Eleventh District
Cost of Funds Index for May is announced on or before July 10, interest
accrued on the COFI Classes for the Interest Accrual Period commencing in July
and distributable in August will be based on the Eleventh District Cost of
Funds Index relating to May. If the Eleventh District Cost of Funds Index for
the applicable month is not published on or before the tenth day of the second
following month, interest will accrue on the COFI Classes at a rate determined
as provided in the REMIC Prospectus under "Description of the
Certificates--Indices Applicable to Floating Rate and Inverse Floating Rate
Classes--COFI." Under certain circumstances, an alternative index may be
applicable to the COFI Classes. A change of index from the Eleventh District
Cost of Funds Index to an alternative index will result in a change in the
index level, and, particularly if LIBOR is the alternative index, could
increase the degree of index volatility.
For information regarding historical values of the Eleventh District Cost
of Funds Index as reported by the Federal Home Loan Bank of San Francisco
("FHLBSF"), see "Description of the Certificates--Indices Applicable to
Floating Rate and Inverse Floating Rate Classes--COFI" in the REMIC
Prospectus.
The value of the Eleventh District Cost of Funds Index as reported by the
FHLBSF for April 1997 was 4.822%.
Calculation of 10-Year Treasury Index
On each Index Determination Date, until the notional principal balances
of the SL, SM, SN and SO Classes have been reduced to zero, Fannie Mae will
ascertain the average yield on U.S. Treasury securities, adjusted to a
constant maturity of ten years, in effect for the week ending on the last
Friday immediately preceding the related Index Determination Date in the
manner described in the REMIC
S-16
<PAGE>
Prospectus under "Description of the Certificates--Indices Applicable to
Floating Rate and Inverse Floating Rate Classes--Treasury Index" with respect
to yields on U.S. Treasury securities at "constant maturity."
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
<TABLE>
<CAPTION>
Principal Type* Classes
- ------------------------------------ --------------------------------------
<S> <C>
Group 1 Classes
Structured Collateral/Pass-Through A
Notional SA
Group 2 Classes
Structured Collateral/Pass-Through B
Notional SB, SC and SD
Group 3 Classes
Structured Collateral/Pass-Through E
Notional SE
Group 4 Classes
PAC PA, PB, PC, PD, PE, PG, PH, PJ and PK
TAC F and P
Support PO and Z
Accretion Directed F and P
Notional PI, SG, SH and PL
Group 5 Classes
Structured Collateral/Pass-Through J
Notional SJ and SK
Group 6 Classes
Structured Collateral/Pass-Through L
Notional SL and SM
Group 7 Classes
Structured Collateral/Pass-Through N
Notional SN and SO
No Payment Residual R and RL
</TABLE>
-------------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
Principal Distribution Amount
On each Distribution Date, principal will be distributed on the
Certificates in an amount (the "Principal Distribution Amount") equal to the
sum of (i) the distribution of principal concurrently made on the Class
1996-6-S REMIC Certificate (the "Group 1 Principal Distribution Amount"), (ii)
the aggregate distributions of principal concurrently made on the Class
1993-107-S and Class 1993-107-SA REMIC Certificates (the "Group 2 Principal
Distribution Amount"), (iii) the distribution of principal concurrently made
on the Class 1994-15-SG REMIC Certificate (the "Group 3 Principal Distribution
Amount"), (iv) the aggregate distributions to be made on the Trust MBS in the
month of such Distribution Date (the "Group 4 Cash Flow Distribution Amount")
and any interest accrued and added on such Distribution Date to the principal
balance of the Accrual Class (the "Group 4 Accrual Amount" and together with
the Group 4 Cash Flow Distribution Amount, the "Group 4 Principal Distribution
Amount"), (v) the distribution of principal concurrently made on the Class
1991-G40-S REMIC Certificate (the "Group 5 Principal Distribution Amount"),
(vi) the distribution of principal concurrently made on the Class 1994-43-S
REMIC Certificate (the "Group 6 Principal Distribution Amount") and (vii) the
distribution of principal concurrently made on the Class 1993-102-SB REMIC
Certificate (the "Group 7 Principal Distribu-
S-17
<PAGE>
tion Amount"). The portion of each class of Underlying REMIC Certificates held
by the Lower Tier REMIC will be as set forth in Exhibit A.
Group 1 Principal Distribution Amount
On each Distribution Date, the Group 1 Principal Distribution
Amount will be distributed as principal of the A Class, until the
principal balance thereof is reduced to zero.
Group 2 Principal Distribution Amount Structured
Collateral/
On each Distribution Date, the Group 2 Principal Pass-Through
Distribution Amount will be distributed as principal of the B Classes
Class, until the principal balance thereof is reduced to zero.
Group 3 Principal Distribution Amount
On each Distribution Date, the Group 3 Principal Distribution
Amount will be distributed as principal of the E Class, until the
principal balance thereof is reduced to zero.
Group 4 Principal Distribution Amount
Group 4 Accrual Amount
On each Distribution Date, the Group 4 Accrual Amount, if Accretion
any, will be distributed, concurrently, to the P and F Classes, Directed
in proportion to their original principal balances (or 15% and Classes and
85%, respectively), until the principal balances thereof are Accrual Class
reduced to zero, and then to the Z Class.
Group 4 Cash Flow Distribution Amount
On each Distribution Date, the Group 4 Cash Flow Distribution Amount will
be distributed as principal of the Group 4 Classes in the following order of
priority:
(i) sequentially, to the PA, PB, PC, PD, PE, PG, PH, PJ PAC
and PK Classes, in that order, until the principal balances Classes
thereof are reduced to their respective Planned Balances for
such Distribution Date;
(ii) to the Classes specified below, as follows:
11.7647065310% of the remaining amount to the PO Support
Class, until the principal balance thereof is reduced to Class
zero, and
88.2352934690% of such remaining amount in the Support
following order of priority: Class
first, concurrently, to the P and F Classes, in TAC
proportion to their original principal balances, until Classes
the principal balances thereof are reduced to their
respective Targeted Balances for such Distribution
Date;
second, to the Z Class, until the principal balance
thereof is reduced to zero; and
third, concurrently, to the P and F Classes, in TAC
proportion to their original principal balances, Classes
without regard to their Targeted Balances and until
the principal balances thereof are reduced to zero;
and
(iii) sequentially, to the PA, PB, PC, PD, PE, PG, PH, PAC
PJ and PK Classes, in that order, without regard to their Classes
Planned Balances and until the respective principal balances
thereof are reduced to zero.
S-18
<PAGE>
Group 5 Principal Distribution Amount
On each Distribution Date, the Group 5 Principal Distribution
Amount will be distributed as principal of the J Class, until the
principal balance thereof is reduced to zero.
Group 6 Principal Distribution Amount
On each Distribution Date, the Group 6 Principal Structured
Distribution Amount will be distributed as principal of the L Collateral/
Class, until the principal balance thereof is reduced to zero. Pass-Through
Classes
Group 7 Principal Distribution Amount
On each Distribution Date, the Group 7 Principal Distribution
Amount will be distributed as principal of the N Class, until the
principal balance thereof is reduced to zero.
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
actual characteristics of each Pool underlying the Underlying REMIC Trusts,
the priority sequences affecting the principal distributions for the
Underlying REMIC Certificates and the following assumptions (such
characteristics and assumptions, collectively, the "Pricing Assumptions"):
- the Mortgage Loans underlying the Trust MBS bear interest at a rate
of 8.07% per annum and have an original term to maturity of 360
months, a CAGE of 3 months and a remaining term to maturity of 356
months;
- all payments (including prepayments) on the Mortgage Loans
underlying the GNMA Certificates, are distributed on the
Certificates in the month in which such payments are received;
- the Mortgage Loans prepay at the constant percentages of PSA
specified in the related table;
- the closing date for the sale of the Certificates is the Settlement
Date; and
- the first Distribution Date for the Certificates occurs in the month
following the Settlement Date.
Prepayment Assumptions. Prepayments of mortgage loans commonly are
measured relative to a prepayment standard or model. The model used in this
Prospectus Supplement is the Public Securities Association's standard
prepayment model ("PSA"). To assume a specified rate of PSA is to assume a
specified rate of prepayment each month of the then outstanding principal
balance of a pool of new mortgage loans computed as described under
"Description of the Certificates--Prepayment Models" in the REMIC Prospectus.
It is highly unlikely that prepayments will occur at any constant PSA rate or
at any other constant rate.
Structuring Range and Rate. The Principal Balance Schedules have been
prepared on the basis of the Pricing Assumptions and the assumption that the
Mortgage Loans underlying the Trust MBS prepay at a constant PSA rate within
the Structuring Range or at the rate specified below.
<TABLE>
<CAPTION>
Principal Balance Structuring Range
Schedule References Related Classes and Rate
- ------------------- -------------------------------------- ----------------------
<S> <C>
Planned Balances PA, PB, PC, PD, PE, PG, PH, PJ and PK Between 100% and 275%
Targeted Balances F and P 160%
</TABLE>
There is no assurance that the principal balance of any Class listed
above will conform on any Distribution Date to the balance specified for such
Distribution Date in the Principal Balance Schedules herein, or that
distributions of principal on such Class will
S-19
<PAGE>
begin or end on the respective Distribution Dates specified therein. Because
any excess of the principal distribution on any Distribution Date over the
amount necessary to reduce any such Class to its scheduled balance will be
distributed, the ability to reduce such Class will not be enhanced by the
averaging of high and low principal payments from month to month. In addition,
even if prepayments on the Mortgage Loans underlying the Trust MBS occur at
rates falling within the Structuring Range specified above, principal
distributions may be insufficient to reduce such Class to its scheduled
balance if such prepayments do not occur at a constant PSA rate. Moreover,
because of the diverse remaining terms to maturity of the Mortgage Loans
underlying the Trust MBS (which may include recently originated Mortgage
Loans), the Classes specified above may not be reduced to their scheduled
balances, even if prepayments occur at a constant rate within the Structuring
Range or at the rate specified above.
Initial Effective Ranges. The Effective Range for a Class is the range
of prepayment rates (measured by constant PSA rates) that would reduce such
Class to its scheduled balance on each Distribution Date. The Initial
Effective Ranges set forth in the table below are based upon the assumed
characteristics of the related Mortgage Loans specified in the Pricing
Assumptions.
Initial Effective
Related Classes Ranges
- --------------- ----------------------
PA Between 100% and 902%
PB Between 100% and 437%
PC Between 100% and 382%
PD Between 100% and 315%
PE Between 100% and 285%
PG Between 100% and 275%
PH Between 100% and 275%
PJ Between 97% and 275%
PK Between 79% and 275%
The actual Effective Ranges at any time will be based upon the actual
characteristics of the Mortgage Loans underlying the Trust MBS at such time,
which are likely to vary (and may vary considerably) from the Pricing
Assumptions. The actual Effective Ranges calculated on the basis of the actual
characteristics likely will differ from the Initial Effective Ranges. As a
result, the applicable Classes might not be reduced to their scheduled
balances even if prepayments on such Mortgage Loans were to occur at a
constant PSA rate within the Initial Effective Ranges (particularly if such
rate were at the lower or higher end of such ranges). In addition, even if
prepayments occur at rates falling within the actual Effective Ranges,
principal distributions may be insufficient to reduce the applicable Classes
to their scheduled balances if such prepayments do not occur at a constant PSA
rate. It is highly unlikely that the Mortgage Loans underlying the Trust MBS
will prepay at any constant PSA rate. In general, the actual Effective Ranges
may narrow, widen or shift upward or downward to reflect actual prepayment
experience over time. The principal payment stability of the PAC Classes will
be supported in part by the Targeted Classes and the Support Classes, and the
stability of the Targeted Classes will be supported in part by the Support
Classes. When the Support Classes are retired, the PAC Classes may no longer
have Effective Ranges and will be more sensitive to prepayments.
S-20
<PAGE>
<TABLE>
<CAPTION>
Principal Balance Schedules
PA Class PB Class PC Class PD Class PE Class PG Class
Distribution Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 17,670,000.00 $ 26,457,000.00 $ 11,044,000.00 $ 24,310,000.00 $ 25,084,000.00 $ 34,200,000.00
July 1997........... 17,265,767.60 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 1997......... 16,809,499.25 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
September 1997...... 16,302,074.63 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
October 1997........ 15,743,642.43 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
November 1997....... 15,134,377.76 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
December 1997....... 14,474,482.10 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
January 1998........ 13,764,183.19 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
February 1998....... 13,003,734.99 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
March 1998.......... 12,193,417.50 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
April 1998.......... 11,333,536.67 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
May 1998............ 10,424,424.17 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
June 1998........... 9,466,437.26 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
July 1998........... 8,459,958.54 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 1998......... 7,405,395.74 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
September 1998...... 6,303,181.44 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
October 1998........ 5,153,772.81 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
November 1998....... 3,957,651.30 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
December 1998....... 2,715,322.33 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
January 1999........ 1,427,314.92 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
February 1999....... 94,181.37 26,457,000.00 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
March 1999.......... 0.00 25,173,496.84 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
April 1999.......... 0.00 23,751,858.96 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
May 1999............ 0.00 22,286,887.39 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
June 1999........... 0.00 20,779,223.42 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
July 1999........... 0.00 19,229,529.46 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 1999......... 0.00 17,638,488.57 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
September 1999...... 0.00 16,006,803.98 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
October 1999........ 0.00 14,383,162.97 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
November 1999....... 0.00 12,767,523.64 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
December 1999....... 0.00 11,159,844.31 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
January 2000........ 0.00 9,560,083.47 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
February 2000....... 0.00 7,968,199.88 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
March 2000.......... 0.00 6,384,152.48 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
April 2000.......... 0.00 4,807,900.42 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
May 2000............ 0.00 3,239,403.06 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
June 2000........... 0.00 1,678,619.98 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
July 2000........... 0.00 125,510.97 11,044,000.00 24,310,000.00 25,084,000.00 34,200,000.00
August 2000......... 0.00 0.00 9,624,036.00 24,310,000.00 25,084,000.00 34,200,000.00
September 2000...... 0.00 0.00 8,086,155.26 24,310,000.00 25,084,000.00 34,200,000.00
October 2000........ 0.00 0.00 6,555,829.15 24,310,000.00 25,084,000.00 34,200,000.00
November 2000....... 0.00 0.00 5,033,018.28 24,310,000.00 25,084,000.00 34,200,000.00
December 2000....... 0.00 0.00 3,517,683.43 24,310,000.00 25,084,000.00 34,200,000.00
January 2001........ 0.00 0.00 2,009,785.61 24,310,000.00 25,084,000.00 34,200,000.00
February 2001....... 0.00 0.00 509,286.01 24,310,000.00 25,084,000.00 34,200,000.00
March 2001.......... 0.00 0.00 0.00 23,326,146.05 25,084,000.00 34,200,000.00
April 2001.......... 0.00 0.00 0.00 21,840,327.30 25,084,000.00 34,200,000.00
May 2001............ 0.00 0.00 0.00 20,361,791.57 25,084,000.00 34,200,000.00
</TABLE>
S-21
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class
Distribution Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2001........... $ 0.00 $ 0.00 $ 0.00 $ 18,890,500.84 $ 25,084,000.00 $ 34,200,000.00
July 2001........... 0.00 0.00 0.00 17,426,417.30 25,084,000.00 34,200,000.00
August 2001......... 0.00 0.00 0.00 15,969,503.33 25,084,000.00 34,200,000.00
September 2001...... 0.00 0.00 0.00 14,519,721.48 25,084,000.00 34,200,000.00
October 2001........ 0.00 0.00 0.00 13,077,034.53 25,084,000.00 34,200,000.00
November 2001....... 0.00 0.00 0.00 11,641,405.43 25,084,000.00 34,200,000.00
December 2001....... 0.00 0.00 0.00 10,212,797.31 25,084,000.00 34,200,000.00
January 2002........ 0.00 0.00 0.00 8,791,173.52 25,084,000.00 34,200,000.00
February 2002....... 0.00 0.00 0.00 7,376,497.55 25,084,000.00 34,200,000.00
March 2002.......... 0.00 0.00 0.00 5,968,733.13 25,084,000.00 34,200,000.00
April 2002.......... 0.00 0.00 0.00 4,567,844.13 25,084,000.00 34,200,000.00
May 2002............ 0.00 0.00 0.00 3,173,794.64 25,084,000.00 34,200,000.00
June 2002........... 0.00 0.00 0.00 1,786,548.92 25,084,000.00 34,200,000.00
July 2002........... 0.00 0.00 0.00 406,071.40 25,084,000.00 34,200,000.00
August 2002......... 0.00 0.00 0.00 0.00 24,116,326.71 34,200,000.00
September 2002...... 0.00 0.00 0.00 0.00 22,749,279.66 34,200,000.00
October 2002........ 0.00 0.00 0.00 0.00 21,388,895.23 34,200,000.00
November 2002....... 0.00 0.00 0.00 0.00 20,035,138.58 34,200,000.00
December 2002....... 0.00 0.00 0.00 0.00 18,687,975.06 34,200,000.00
January 2003........ 0.00 0.00 0.00 0.00 17,347,370.19 34,200,000.00
February 2003....... 0.00 0.00 0.00 0.00 16,013,289.67 34,200,000.00
March 2003.......... 0.00 0.00 0.00 0.00 14,685,699.36 34,200,000.00
April 2003.......... 0.00 0.00 0.00 0.00 13,364,565.31 34,200,000.00
May 2003............ 0.00 0.00 0.00 0.00 12,049,853.75 34,200,000.00
June 2003........... 0.00 0.00 0.00 0.00 10,741,531.06 34,200,000.00
July 2003........... 0.00 0.00 0.00 0.00 9,439,563.81 34,200,000.00
August 2003......... 0.00 0.00 0.00 0.00 8,143,918.75 34,200,000.00
September 2003...... 0.00 0.00 0.00 0.00 6,854,562.77 34,200,000.00
October 2003........ 0.00 0.00 0.00 0.00 5,571,462.95 34,200,000.00
November 2003....... 0.00 0.00 0.00 0.00 4,294,586.53 34,200,000.00
December 2003....... 0.00 0.00 0.00 0.00 3,023,900.93 34,200,000.00
January 2004........ 0.00 0.00 0.00 0.00 1,759,373.72 34,200,000.00
February 2004....... 0.00 0.00 0.00 0.00 500,972.66 34,200,000.00
March 2004.......... 0.00 0.00 0.00 0.00 0.00 33,448,665.64
April 2004.......... 0.00 0.00 0.00 0.00 0.00 32,202,420.75
May 2004............ 0.00 0.00 0.00 0.00 0.00 30,962,206.21
June 2004........... 0.00 0.00 0.00 0.00 0.00 29,727,990.43
July 2004........... 0.00 0.00 0.00 0.00 0.00 28,499,741.97
August 2004......... 0.00 0.00 0.00 0.00 0.00 27,277,429.55
September 2004...... 0.00 0.00 0.00 0.00 0.00 26,061,022.05
October 2004........ 0.00 0.00 0.00 0.00 0.00 24,850,488.51
November 2004....... 0.00 0.00 0.00 0.00 0.00 23,645,798.14
December 2004....... 0.00 0.00 0.00 0.00 0.00 22,446,920.28
January 2005........ 0.00 0.00 0.00 0.00 0.00 21,253,824.46
February 2005....... 0.00 0.00 0.00 0.00 0.00 20,066,480.33
March 2005.......... 0.00 0.00 0.00 0.00 0.00 18,884,857.73
April 2005.......... 0.00 0.00 0.00 0.00 0.00 17,708,926.63
May 2005............ 0.00 0.00 0.00 0.00 0.00 16,538,657.17
</TABLE>
S-22
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PE Class PG Class
Distribution Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2005........... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 15,374,019.62
July 2005........... 0.00 0.00 0.00 0.00 0.00 14,214,984.43
August 2005......... 0.00 0.00 0.00 0.00 0.00 13,061,522.18
September 2005...... 0.00 0.00 0.00 0.00 0.00 11,913,603.61
October 2005........ 0.00 0.00 0.00 0.00 0.00 10,771,199.61
November 2005....... 0.00 0.00 0.00 0.00 0.00 9,634,281.22
December 2005....... 0.00 0.00 0.00 0.00 0.00 8,502,819.61
January 2006........ 0.00 0.00 0.00 0.00 0.00 7,376,786.13
February 2006....... 0.00 0.00 0.00 0.00 0.00 6,256,152.24
March 2006.......... 0.00 0.00 0.00 0.00 0.00 5,144,237.02
April 2006.......... 0.00 0.00 0.00 0.00 0.00 4,049,748.31
May 2006............ 0.00 0.00 0.00 0.00 0.00 2,972,419.22
June 2006........... 0.00 0.00 0.00 0.00 0.00 1,911,986.89
July 2006........... 0.00 0.00 0.00 0.00 0.00 868,192.44
August 2006 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
S-23
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 16,475,000.00 $ 25,005,000.00 $ 20,000,000.00 $ 58,170,600.00 $ 10,265,400.00
July 1997........... 16,475,000.00 25,005,000.00 20,000,000.00 57,961,320.35 10,228,468.30
August 1997......... 16,475,000.00 25,005,000.00 20,000,000.00 57,729,136.60 10,187,494.69
September 1997...... 16,475,000.00 25,005,000.00 20,000,000.00 57,473,551.64 10,142,391.47
October 1997........ 16,475,000.00 25,005,000.00 20,000,000.00 57,194,666.65 10,093,176.47
November 1997....... 16,475,000.00 25,005,000.00 20,000,000.00 56,892,613.01 10,039,872.88
December 1997....... 16,475,000.00 25,005,000.00 20,000,000.00 56,567,552.30 9,982,509.23
January 1998........ 16,475,000.00 25,005,000.00 20,000,000.00 56,219,676.14 9,921,119.32
February 1998....... 16,475,000.00 25,005,000.00 20,000,000.00 55,849,206.09 9,855,742.25
March 1998.......... 16,475,000.00 25,005,000.00 20,000,000.00 55,456,393.40 9,786,422.36
April 1998.......... 16,475,000.00 25,005,000.00 20,000,000.00 55,041,518.81 9,713,209.20
May 1998............ 16,475,000.00 25,005,000.00 20,000,000.00 54,604,892.20 9,636,157.45
June 1998........... 16,475,000.00 25,005,000.00 20,000,000.00 54,146,852.26 9,555,326.87
July 1998........... 16,475,000.00 25,005,000.00 20,000,000.00 53,667,766.08 9,470,782.25
August 1998......... 16,475,000.00 25,005,000.00 20,000,000.00 53,168,028.67 9,382,593.29
September 1998...... 16,475,000.00 25,005,000.00 20,000,000.00 52,648,062.49 9,290,834.56
October 1998........ 16,475,000.00 25,005,000.00 20,000,000.00 52,108,316.88 9,195,585.33
November 1998....... 16,475,000.00 25,005,000.00 20,000,000.00 51,549,267.42 9,096,929.54
December 1998....... 16,475,000.00 25,005,000.00 20,000,000.00 50,971,415.34 8,994,955.65
January 1999........ 16,475,000.00 25,005,000.00 20,000,000.00 50,375,286.77 8,889,756.49
February 1999....... 16,475,000.00 25,005,000.00 20,000,000.00 49,761,432.02 8,781,429.18
March 1999.......... 16,475,000.00 25,005,000.00 20,000,000.00 49,130,424.80 8,670,074.97
April 1999.......... 16,475,000.00 25,005,000.00 20,000,000.00 48,482,861.37 8,555,799.07
May 1999............ 16,475,000.00 25,005,000.00 20,000,000.00 47,819,359.66 8,438,710.53
June 1999........... 16,475,000.00 25,005,000.00 20,000,000.00 47,140,558.38 8,318,922.07
July 1999........... 16,475,000.00 25,005,000.00 20,000,000.00 46,447,116.07 8,196,549.89
August 1999......... 16,475,000.00 25,005,000.00 20,000,000.00 45,739,710.10 8,071,713.55
September 1999...... 16,475,000.00 25,005,000.00 20,000,000.00 45,019,035.64 7,944,535.70
October 1999........ 16,475,000.00 25,005,000.00 20,000,000.00 44,306,698.13 7,818,829.08
November 1999....... 16,475,000.00 25,005,000.00 20,000,000.00 43,602,592.69 7,694,575.18
December 1999....... 16,475,000.00 25,005,000.00 20,000,000.00 42,906,615.27 7,571,755.64
January 2000........ 16,475,000.00 25,005,000.00 20,000,000.00 42,218,662.73 7,450,352.25
February 2000....... 16,475,000.00 25,005,000.00 20,000,000.00 41,538,632.74 7,330,346.95
March 2000.......... 16,475,000.00 25,005,000.00 20,000,000.00 40,866,423.86 7,211,721.86
April 2000.......... 16,475,000.00 25,005,000.00 20,000,000.00 40,201,935.44 7,094,459.20
May 2000............ 16,475,000.00 25,005,000.00 20,000,000.00 39,545,067.70 6,978,541.36
June 2000........... 16,475,000.00 25,005,000.00 20,000,000.00 38,895,721.66 6,863,950.88
July 2000........... 16,475,000.00 25,005,000.00 20,000,000.00 38,253,799.17 6,750,670.44
August 2000......... 16,475,000.00 25,005,000.00 20,000,000.00 37,619,202.85 6,638,682.86
September 2000...... 16,475,000.00 25,005,000.00 20,000,000.00 36,991,836.16 6,527,971.09
October 2000........ 16,475,000.00 25,005,000.00 20,000,000.00 36,371,603.33 6,418,518.23
November 2000....... 16,475,000.00 25,005,000.00 20,000,000.00 35,758,409.35 6,310,307.53
December 2000....... 16,475,000.00 25,005,000.00 20,000,000.00 35,152,160.02 6,203,322.36
January 2001........ 16,475,000.00 25,005,000.00 20,000,000.00 34,552,761.88 6,097,546.21
February 2001....... 16,475,000.00 25,005,000.00 20,000,000.00 33,960,122.24 5,992,962.75
March 2001.......... 16,475,000.00 25,005,000.00 20,000,000.00 33,374,149.14 5,889,555.73
April 2001.......... 16,475,000.00 25,005,000.00 20,000,000.00 32,794,751.40 5,787,309.07
May 2001............ 16,475,000.00 25,005,000.00 20,000,000.00 32,221,838.53 5,686,206.80
</TABLE>
S-24
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2001........... $ 16,475,000.00 $ 25,005,000.00 $ 20,000,000.00 $ 31,655,320.80 $ 5,586,233.08
July 2001........... 16,475,000.00 25,005,000.00 20,000,000.00 31,095,109.19 5,487,372.21
August 2001......... 16,475,000.00 25,005,000.00 20,000,000.00 30,541,115.38 5,389,608.60
September 2001...... 16,475,000.00 25,005,000.00 20,000,000.00 29,993,251.76 5,292,926.78
October 2001........ 16,475,000.00 25,005,000.00 20,000,000.00 29,451,431.44 5,197,311.43
November 2001....... 16,475,000.00 25,005,000.00 20,000,000.00 28,915,568.19 5,102,747.33
December 2001....... 16,475,000.00 25,005,000.00 20,000,000.00 28,385,576.48 5,009,219.38
January 2002........ 16,475,000.00 25,005,000.00 20,000,000.00 27,861,371.45 4,916,712.61
February 2002....... 16,475,000.00 25,005,000.00 20,000,000.00 27,342,868.91 4,825,212.16
March 2002.......... 16,475,000.00 25,005,000.00 20,000,000.00 26,829,985.33 4,734,703.29
April 2002.......... 16,475,000.00 25,005,000.00 20,000,000.00 26,322,637.85 4,645,171.38
May 2002............ 16,475,000.00 25,005,000.00 20,000,000.00 25,820,744.23 4,556,601.92
June 2002........... 16,475,000.00 25,005,000.00 20,000,000.00 25,324,222.90 4,468,980.51
July 2002........... 16,475,000.00 25,005,000.00 20,000,000.00 24,832,992.90 4,382,292.86
August 2002......... 16,475,000.00 25,005,000.00 20,000,000.00 24,346,973.92 4,296,524.81
September 2002...... 16,475,000.00 25,005,000.00 20,000,000.00 23,866,086.25 4,211,662.28
October 2002........ 16,475,000.00 25,005,000.00 20,000,000.00 23,390,250.82 4,127,691.32
November 2002....... 16,475,000.00 25,005,000.00 20,000,000.00 22,919,389.15 4,044,598.08
December 2002....... 16,475,000.00 25,005,000.00 20,000,000.00 22,453,423.35 3,962,368.83
January 2003........ 16,475,000.00 25,005,000.00 20,000,000.00 21,992,276.16 3,880,989.91
February 2003....... 16,475,000.00 25,005,000.00 20,000,000.00 21,535,870.87 3,800,447.80
March 2003.......... 16,475,000.00 25,005,000.00 20,000,000.00 21,084,131.39 3,720,729.07
April 2003.......... 16,475,000.00 25,005,000.00 20,000,000.00 20,636,982.17 3,641,820.38
May 2003............ 16,475,000.00 25,005,000.00 20,000,000.00 20,194,348.26 3,563,708.52
June 2003........... 16,475,000.00 25,005,000.00 20,000,000.00 19,756,155.24 3,486,380.34
July 2003........... 16,475,000.00 25,005,000.00 20,000,000.00 19,322,329.29 3,409,822.82
August 2003......... 16,475,000.00 25,005,000.00 20,000,000.00 18,892,797.10 3,334,023.02
September 2003...... 16,475,000.00 25,005,000.00 20,000,000.00 18,467,485.93 3,258,968.11
October 2003........ 16,475,000.00 25,005,000.00 20,000,000.00 18,046,323.58 3,184,645.34
November 2003....... 16,475,000.00 25,005,000.00 20,000,000.00 17,629,238.35 3,111,042.06
December 2003....... 16,475,000.00 25,005,000.00 20,000,000.00 17,216,159.12 3,038,145.73
January 2004........ 16,475,000.00 25,005,000.00 20,000,000.00 16,807,015.24 2,965,943.87
February 2004....... 16,475,000.00 25,005,000.00 20,000,000.00 16,401,736.60 2,894,424.11
March 2004.......... 16,475,000.00 25,005,000.00 20,000,000.00 16,000,253.62 2,823,574.17
April 2004.......... 16,475,000.00 25,005,000.00 20,000,000.00 15,602,497.17 2,753,381.85
May 2004............ 16,475,000.00 25,005,000.00 20,000,000.00 15,208,398.67 2,683,835.06
June 2004........... 16,475,000.00 25,005,000.00 20,000,000.00 14,817,889.99 2,614,921.76
July 2004........... 16,475,000.00 25,005,000.00 20,000,000.00 14,430,903.53 2,546,630.03
August 2004......... 16,475,000.00 25,005,000.00 20,000,000.00 14,047,372.13 2,478,948.02
September 2004...... 16,475,000.00 25,005,000.00 20,000,000.00 13,667,229.13 2,411,863.96
October 2004........ 16,475,000.00 25,005,000.00 20,000,000.00 13,290,408.34 2,345,366.18
November 2004....... 16,475,000.00 25,005,000.00 20,000,000.00 12,916,844.01 2,279,443.06
December 2004....... 16,475,000.00 25,005,000.00 20,000,000.00 12,546,470.88 2,214,083.10
January 2005........ 16,475,000.00 25,005,000.00 20,000,000.00 12,179,224.12 2,149,274.84
February 2005....... 16,475,000.00 25,005,000.00 20,000,000.00 11,815,039.36 2,085,006.95
March 2005.......... 16,475,000.00 25,005,000.00 20,000,000.00 11,453,852.67 2,021,268.12
April 2005.......... 16,475,000.00 25,005,000.00 20,000,000.00 11,095,600.55 1,958,047.16
May 2005............ 16,475,000.00 25,005,000.00 20,000,000.00 10,740,219.96 1,895,332.93
</TABLE>
S-25
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2005........... $ 16,475,000.00 $ 25,005,000.00 $ 20,000,000.00 $ 10,387,648.25 $ 1,833,114.40
July 2005........... 16,475,000.00 25,005,000.00 20,000,000.00 10,037,823.21 1,771,380.57
August 2005......... 16,475,000.00 25,005,000.00 20,000,000.00 9,690,683.04 1,710,120.54
September 2005...... 16,475,000.00 25,005,000.00 20,000,000.00 9,346,166.36 1,649,323.48
October 2005........ 16,475,000.00 25,005,000.00 20,000,000.00 9,004,212.20 1,588,978.62
November 2005....... 16,475,000.00 25,005,000.00 20,000,000.00 8,664,759.97 1,529,075.29
December 2005....... 16,475,000.00 25,005,000.00 20,000,000.00 8,327,749.50 1,469,602.85
January 2006........ 16,475,000.00 25,005,000.00 20,000,000.00 7,993,121.00 1,410,550.77
February 2006....... 16,475,000.00 25,005,000.00 20,000,000.00 7,660,815.07 1,351,908.54
March 2006.......... 16,475,000.00 25,005,000.00 20,000,000.00 7,328,262.10 1,293,222.72
April 2006.......... 16,475,000.00 25,005,000.00 20,000,000.00 6,988,851.38 1,233,326.71
May 2006............ 16,475,000.00 25,005,000.00 20,000,000.00 6,642,703.76 1,172,241.84
June 2006........... 16,475,000.00 25,005,000.00 20,000,000.00 6,289,937.51 1,109,988.97
July 2006........... 16,475,000.00 25,005,000.00 20,000,000.00 5,930,668.40 1,046,588.54
August 2006......... 16,315,780.92 25,005,000.00 20,000,000.00 5,565,009.71 982,060.54
September 2006...... 15,304,501.22 25,005,000.00 20,000,000.00 5,193,072.31 916,424.52
October 2006........ 14,309,106.04 25,005,000.00 20,000,000.00 4,814,964.65 849,699.64
November 2006....... 13,329,351.81 25,005,000.00 20,000,000.00 4,430,792.83 781,904.62
December 2006....... 12,364,998.68 25,005,000.00 20,000,000.00 4,040,660.63 713,057.76
January 2007........ 11,415,810.40 25,005,000.00 20,000,000.00 3,644,669.54 643,176.98
February 2007....... 10,481,554.32 25,005,000.00 20,000,000.00 3,242,918.80 572,279.79
March 2007.......... 9,562,001.29 25,005,000.00 20,000,000.00 2,835,505.43 500,383.31
April 2007.......... 8,656,925.66 25,005,000.00 20,000,000.00 2,422,524.29 427,504.29
May 2007............ 7,766,105.17 25,005,000.00 20,000,000.00 2,004,068.05 353,659.07
June 2007........... 6,889,320.94 25,005,000.00 20,000,000.00 1,580,227.33 278,863.65
July 2007........... 6,026,357.42 25,005,000.00 20,000,000.00 1,151,090.61 203,133.64
August 2007......... 5,177,002.31 25,005,000.00 20,000,000.00 716,744.37 126,484.30
September 2007...... 4,341,046.52 25,005,000.00 20,000,000.00 277,273.05 48,930.54
October 2007........ 3,518,284.16 25,005,000.00 20,000,000.00 0.00 0.00
November 2007....... 2,708,512.41 25,005,000.00 20,000,000.00 0.00 0.00
December 2007....... 1,911,531.59 25,005,000.00 20,000,000.00 0.00 0.00
January 2008........ 1,127,144.99 25,005,000.00 20,000,000.00 0.00 0.00
February 2008....... 355,158.91 25,005,000.00 20,000,000.00 0.00 0.00
March 2008.......... 0.00 24,600,382.59 20,000,000.00 0.00 0.00
April 2008.......... 0.00 23,852,628.16 20,000,000.00 0.00 0.00
May 2008............ 0.00 23,116,710.59 20,000,000.00 0.00 0.00
June 2008........... 0.00 22,392,447.66 20,000,000.00 0.00 0.00
July 2008........... 0.00 21,679,659.93 20,000,000.00 0.00 0.00
August 2008......... 0.00 20,978,170.67 20,000,000.00 0.00 0.00
September 2008...... 0.00 20,287,805.83 20,000,000.00 0.00 0.00
October 2008........ 0.00 19,608,394.01 20,000,000.00 0.00 0.00
November 2008....... 0.00 18,939,766.40 20,000,000.00 0.00 0.00
December 2008....... 0.00 18,281,756.76 20,000,000.00 0.00 0.00
January 2009........ 0.00 17,634,201.39 20,000,000.00 0.00 0.00
February 2009....... 0.00 16,996,939.04 20,000,000.00 0.00 0.00
March 2009.......... 0.00 16,369,810.95 20,000,000.00 0.00 0.00
April 2009.......... 0.00 15,752,660.74 20,000,000.00 0.00 0.00
May 2009............ 0.00 15,145,334.41 20,000,000.00 0.00 0.00
</TABLE>
S-26
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2009........... $ 0.00 $ 14,547,680.32 $ 20,000,000.00 $ 0.00 $ 0.00
July 2009........... 0.00 13,959,549.11 20,000,000.00 0.00 0.00
August 2009......... 0.00 13,380,793.70 20,000,000.00 0.00 0.00
September 2009...... 0.00 12,811,269.26 20,000,000.00 0.00 0.00
October 2009........ 0.00 12,250,833.14 20,000,000.00 0.00 0.00
November 2009....... 0.00 11,699,344.86 20,000,000.00 0.00 0.00
December 2009....... 0.00 11,156,666.08 20,000,000.00 0.00 0.00
January 2010........ 0.00 10,622,660.58 20,000,000.00 0.00 0.00
February 2010....... 0.00 10,097,194.20 20,000,000.00 0.00 0.00
March 2010.......... 0.00 9,580,134.80 20,000,000.00 0.00 0.00
April 2010.......... 0.00 9,071,352.28 20,000,000.00 0.00 0.00
May 2010............ 0.00 8,570,718.50 20,000,000.00 0.00 0.00
June 2010........... 0.00 8,078,107.30 20,000,000.00 0.00 0.00
July 2010........... 0.00 7,593,394.39 20,000,000.00 0.00 0.00
August 2010......... 0.00 7,116,457.42 20,000,000.00 0.00 0.00
September 2010...... 0.00 6,647,175.88 20,000,000.00 0.00 0.00
October 2010........ 0.00 6,185,431.10 20,000,000.00 0.00 0.00
November 2010....... 0.00 5,731,106.21 20,000,000.00 0.00 0.00
December 2010....... 0.00 5,284,086.13 20,000,000.00 0.00 0.00
January 2011........ 0.00 4,844,257.52 20,000,000.00 0.00 0.00
February 2011....... 0.00 4,411,508.78 20,000,000.00 0.00 0.00
March 2011.......... 0.00 3,985,730.02 20,000,000.00 0.00 0.00
April 2011.......... 0.00 3,566,812.98 20,000,000.00 0.00 0.00
May 2011............ 0.00 3,154,651.11 20,000,000.00 0.00 0.00
June 2011........... 0.00 2,749,139.44 20,000,000.00 0.00 0.00
July 2011........... 0.00 2,350,174.61 20,000,000.00 0.00 0.00
August 2011......... 0.00 1,957,654.86 20,000,000.00 0.00 0.00
September 2011...... 0.00 1,571,479.95 20,000,000.00 0.00 0.00
October 2011........ 0.00 1,191,551.18 20,000,000.00 0.00 0.00
November 2011....... 0.00 817,771.37 20,000,000.00 0.00 0.00
December 2011....... 0.00 450,044.80 20,000,000.00 0.00 0.00
January 2012........ 0.00 88,277.23 20,000,000.00 0.00 0.00
February 2012....... 0.00 0.00 19,732,375.84 0.00 0.00
March 2012.......... 0.00 0.00 19,382,249.25 0.00 0.00
April 2012.......... 0.00 0.00 19,037,807.45 0.00 0.00
May 2012............ 0.00 0.00 18,698,961.83 0.00 0.00
June 2012........... 0.00 0.00 18,365,625.10 0.00 0.00
July 2012........... 0.00 0.00 18,037,711.35 0.00 0.00
August 2012......... 0.00 0.00 17,715,135.94 0.00 0.00
September 2012...... 0.00 0.00 17,397,815.55 0.00 0.00
October 2012........ 0.00 0.00 17,085,668.11 0.00 0.00
November 2012....... 0.00 0.00 16,778,612.82 0.00 0.00
December 2012....... 0.00 0.00 16,476,570.13 0.00 0.00
January 2013........ 0.00 0.00 16,179,461.67 0.00 0.00
February 2013....... 0.00 0.00 15,887,210.30 0.00 0.00
March 2013.......... 0.00 0.00 15,599,740.04 0.00 0.00
April 2013.......... 0.00 0.00 15,316,976.08 0.00 0.00
May 2013............ 0.00 0.00 15,038,844.77 0.00 0.00
</TABLE>
S-27
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2013........... $ 0.00 $ 0.00 $ 14,765,273.56 $ 0.00 $ 0.00
July 2013........... 0.00 0.00 14,496,191.02 0.00 0.00
August 2013......... 0.00 0.00 14,231,526.83 0.00 0.00
September 2013...... 0.00 0.00 13,971,211.73 0.00 0.00
October 2013........ 0.00 0.00 13,715,177.52 0.00 0.00
November 2013....... 0.00 0.00 13,463,357.05 0.00 0.00
December 2013....... 0.00 0.00 13,215,684.20 0.00 0.00
January 2014........ 0.00 0.00 12,972,093.86 0.00 0.00
February 2014....... 0.00 0.00 12,732,521.93 0.00 0.00
March 2014.......... 0.00 0.00 12,496,905.26 0.00 0.00
April 2014.......... 0.00 0.00 12,265,181.72 0.00 0.00
May 2014............ 0.00 0.00 12,037,290.08 0.00 0.00
June 2014........... 0.00 0.00 11,813,170.08 0.00 0.00
July 2014........... 0.00 0.00 11,592,762.38 0.00 0.00
August 2014......... 0.00 0.00 11,376,008.55 0.00 0.00
September 2014...... 0.00 0.00 11,162,851.06 0.00 0.00
October 2014........ 0.00 0.00 10,953,233.24 0.00 0.00
November 2014....... 0.00 0.00 10,747,099.32 0.00 0.00
December 2014....... 0.00 0.00 10,544,394.38 0.00 0.00
January 2015........ 0.00 0.00 10,345,064.33 0.00 0.00
February 2015....... 0.00 0.00 10,149,055.92 0.00 0.00
March 2015.......... 0.00 0.00 9,956,316.72 0.00 0.00
April 2015.......... 0.00 0.00 9,766,795.11 0.00 0.00
May 2015............ 0.00 0.00 9,580,440.25 0.00 0.00
June 2015........... 0.00 0.00 9,397,202.09 0.00 0.00
July 2015........... 0.00 0.00 9,217,031.36 0.00 0.00
August 2015......... 0.00 0.00 9,039,879.53 0.00 0.00
September 2015...... 0.00 0.00 8,865,698.82 0.00 0.00
October 2015........ 0.00 0.00 8,694,442.19 0.00 0.00
November 2015....... 0.00 0.00 8,526,063.33 0.00 0.00
December 2015....... 0.00 0.00 8,360,516.64 0.00 0.00
January 2016........ 0.00 0.00 8,197,757.21 0.00 0.00
February 2016....... 0.00 0.00 8,037,740.83 0.00 0.00
March 2016.......... 0.00 0.00 7,880,423.98 0.00 0.00
April 2016.......... 0.00 0.00 7,725,763.81 0.00 0.00
May 2016............ 0.00 0.00 7,573,718.11 0.00 0.00
June 2016........... 0.00 0.00 7,424,245.33 0.00 0.00
July 2016........... 0.00 0.00 7,277,304.59 0.00 0.00
August 2016......... 0.00 0.00 7,132,855.59 0.00 0.00
September 2016...... 0.00 0.00 6,990,858.69 0.00 0.00
October 2016........ 0.00 0.00 6,851,274.86 0.00 0.00
November 2016....... 0.00 0.00 6,714,065.64 0.00 0.00
December 2016....... 0.00 0.00 6,579,193.21 0.00 0.00
January 2017........ 0.00 0.00 6,446,620.29 0.00 0.00
February 2017....... 0.00 0.00 6,316,310.21 0.00 0.00
March 2017.......... 0.00 0.00 6,188,226.85 0.00 0.00
April 2017.......... 0.00 0.00 6,062,334.64 0.00 0.00
May 2017............ 0.00 0.00 5,938,598.60 0.00 0.00
</TABLE>
S-28
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2017........... $ 0.00 $ 0.00 $ 5,816,984.23 $ 0.00 $ 0.00
July 2017........... 0.00 0.00 5,697,457.62 0.00 0.00
August 2017......... 0.00 0.00 5,579,985.35 0.00 0.00
September 2017...... 0.00 0.00 5,464,534.53 0.00 0.00
October 2017........ 0.00 0.00 5,351,072.78 0.00 0.00
November 2017....... 0.00 0.00 5,239,568.21 0.00 0.00
December 2017....... 0.00 0.00 5,129,989.45 0.00 0.00
January 2018........ 0.00 0.00 5,022,305.58 0.00 0.00
February 2018....... 0.00 0.00 4,916,486.20 0.00 0.00
March 2018.......... 0.00 0.00 4,812,501.34 0.00 0.00
April 2018.......... 0.00 0.00 4,710,321.52 0.00 0.00
May 2018............ 0.00 0.00 4,609,917.72 0.00 0.00
June 2018........... 0.00 0.00 4,511,261.35 0.00 0.00
July 2018........... 0.00 0.00 4,414,324.28 0.00 0.00
August 2018......... 0.00 0.00 4,319,078.82 0.00 0.00
September 2018...... 0.00 0.00 4,225,497.69 0.00 0.00
October 2018........ 0.00 0.00 4,133,554.05 0.00 0.00
November 2018....... 0.00 0.00 4,043,221.48 0.00 0.00
December 2018....... 0.00 0.00 3,954,473.96 0.00 0.00
January 2019........ 0.00 0.00 3,867,285.87 0.00 0.00
February 2019....... 0.00 0.00 3,781,632.01 0.00 0.00
March 2019.......... 0.00 0.00 3,697,487.55 0.00 0.00
April 2019.......... 0.00 0.00 3,614,828.07 0.00 0.00
May 2019............ 0.00 0.00 3,533,629.49 0.00 0.00
June 2019........... 0.00 0.00 3,453,868.15 0.00 0.00
July 2019........... 0.00 0.00 3,375,520.74 0.00 0.00
August 2019......... 0.00 0.00 3,298,564.30 0.00 0.00
September 2019...... 0.00 0.00 3,222,976.25 0.00 0.00
October 2019........ 0.00 0.00 3,148,734.34 0.00 0.00
November 2019....... 0.00 0.00 3,075,816.69 0.00 0.00
December 2019....... 0.00 0.00 3,004,201.75 0.00 0.00
January 2020........ 0.00 0.00 2,933,868.31 0.00 0.00
February 2020....... 0.00 0.00 2,864,795.48 0.00 0.00
March 2020.......... 0.00 0.00 2,796,962.70 0.00 0.00
April 2020.......... 0.00 0.00 2,730,349.75 0.00 0.00
May 2020............ 0.00 0.00 2,664,936.70 0.00 0.00
June 2020........... 0.00 0.00 2,600,703.95 0.00 0.00
July 2020........... 0.00 0.00 2,537,632.19 0.00 0.00
August 2020......... 0.00 0.00 2,475,702.44 0.00 0.00
September 2020...... 0.00 0.00 2,414,895.97 0.00 0.00
October 2020........ 0.00 0.00 2,355,194.40 0.00 0.00
November 2020....... 0.00 0.00 2,296,579.59 0.00 0.00
December 2020....... 0.00 0.00 2,239,033.72 0.00 0.00
January 2021........ 0.00 0.00 2,182,539.21 0.00 0.00
February 2021....... 0.00 0.00 2,127,078.81 0.00 0.00
March 2021.......... 0.00 0.00 2,072,635.48 0.00 0.00
April 2021.......... 0.00 0.00 2,019,192.49 0.00 0.00
May 2021............ 0.00 0.00 1,966,733.36 0.00 0.00
</TABLE>
S-29
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2021........... $ 0.00 $ 0.00 $ 1,915,241.86 $ 0.00 $ 0.00
July 2021........... 0.00 0.00 1,864,702.03 0.00 0.00
August 2021......... 0.00 0.00 1,815,098.16 0.00 0.00
September 2021...... 0.00 0.00 1,766,414.76 0.00 0.00
October 2021........ 0.00 0.00 1,718,636.62 0.00 0.00
November 2021....... 0.00 0.00 1,671,748.75 0.00 0.00
December 2021....... 0.00 0.00 1,625,736.40 0.00 0.00
January 2022........ 0.00 0.00 1,580,585.04 0.00 0.00
February 2022....... 0.00 0.00 1,536,280.39 0.00 0.00
March 2022.......... 0.00 0.00 1,492,808.39 0.00 0.00
April 2022.......... 0.00 0.00 1,450,155.19 0.00 0.00
May 2022............ 0.00 0.00 1,408,307.16 0.00 0.00
June 2022........... 0.00 0.00 1,367,250.90 0.00 0.00
July 2022........... 0.00 0.00 1,326,973.21 0.00 0.00
August 2022......... 0.00 0.00 1,287,461.09 0.00 0.00
September 2022...... 0.00 0.00 1,248,701.77 0.00 0.00
October 2022........ 0.00 0.00 1,210,682.66 0.00 0.00
November 2022....... 0.00 0.00 1,173,391.37 0.00 0.00
December 2022....... 0.00 0.00 1,136,815.71 0.00 0.00
January 2023........ 0.00 0.00 1,100,943.70 0.00 0.00
February 2023....... 0.00 0.00 1,065,763.53 0.00 0.00
March 2023.......... 0.00 0.00 1,031,263.58 0.00 0.00
April 2023.......... 0.00 0.00 997,432.40 0.00 0.00
May 2023............ 0.00 0.00 964,258.76 0.00 0.00
June 2023........... 0.00 0.00 931,731.58 0.00 0.00
July 2023........... 0.00 0.00 899,839.95 0.00 0.00
August 2023......... 0.00 0.00 868,573.15 0.00 0.00
September 2023...... 0.00 0.00 837,920.63 0.00 0.00
October 2023........ 0.00 0.00 807,871.99 0.00 0.00
November 2023....... 0.00 0.00 778,417.01 0.00 0.00
December 2023....... 0.00 0.00 749,545.64 0.00 0.00
January 2024........ 0.00 0.00 721,247.97 0.00 0.00
February 2024....... 0.00 0.00 693,514.27 0.00 0.00
March 2024.......... 0.00 0.00 666,334.93 0.00 0.00
April 2024.......... 0.00 0.00 639,700.53 0.00 0.00
May 2024............ 0.00 0.00 613,601.78 0.00 0.00
June 2024........... 0.00 0.00 588,029.56 0.00 0.00
July 2024........... 0.00 0.00 562,974.85 0.00 0.00
August 2024......... 0.00 0.00 538,428.82 0.00 0.00
September 2024...... 0.00 0.00 514,382.77 0.00 0.00
October 2024........ 0.00 0.00 490,828.12 0.00 0.00
November 2024....... 0.00 0.00 467,756.45 0.00 0.00
December 2024....... 0.00 0.00 445,159.46 0.00 0.00
January 2025........ 0.00 0.00 423,028.99 0.00 0.00
February 2025....... 0.00 0.00 401,357.01 0.00 0.00
March 2025.......... 0.00 0.00 380,135.61 0.00 0.00
April 2025.......... 0.00 0.00 359,357.02 0.00 0.00
May 2025............ 0.00 0.00 339,013.58 0.00 0.00
</TABLE>
S-30
<PAGE>
<TABLE>
<CAPTION>
PH Class PJ Class PK Class F Class P Class
Distribution Planned Planned Planned Targeted Targeted
Date Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- ---------------
<S> <C>
June 2025........... $ 0.00 $ 0.00 $ 319,097.78 $ 0.00 $ 0.00
July 2025........... 0.00 0.00 299,602.19 0.00 0.00
August 2025......... 0.00 0.00 280,519.54 0.00 0.00
September 2025...... 0.00 0.00 261,842.65 0.00 0.00
October 2025........ 0.00 0.00 243,564.47 0.00 0.00
November 2025....... 0.00 0.00 225,678.05 0.00 0.00
December 2025....... 0.00 0.00 208,176.56 0.00 0.00
January 2026........ 0.00 0.00 191,053.28 0.00 0.00
February 2026....... 0.00 0.00 174,301.60 0.00 0.00
March 2026.......... 0.00 0.00 157,915.01 0.00 0.00
April 2026.......... 0.00 0.00 141,887.11 0.00 0.00
May 2026............ 0.00 0.00 126,211.61 0.00 0.00
June 2026........... 0.00 0.00 110,882.31 0.00 0.00
July 2026........... 0.00 0.00 95,893.12 0.00 0.00
August 2026......... 0.00 0.00 81,238.03 0.00 0.00
September 2026...... 0.00 0.00 66,911.15 0.00 0.00
October 2026........ 0.00 0.00 52,906.67 0.00 0.00
November 2026....... 0.00 0.00 39,218.89 0.00 0.00
December 2026....... 0.00 0.00 25,842.19 0.00 0.00
January 2027........ 0.00 0.00 12,771.04 0.00 0.00
February 2027 and
thereafter........ 0.00 0.00 0.00 0.00 0.00
</TABLE>
S-31
<PAGE>
Yield Tables
General. The tables below indicate the sensitivity of the pre-tax
corporate bond equivalent yields to maturity of applicable Classes to various
constant percentages of PSA and, where specified, to changes in the applicable
Index. The yields set forth in the tables were calculated by determining the
monthly discount rates that, when applied to the assumed streams of cash flows
to be paid on the applicable Classes, would cause the discounted present value
of such assumed streams of cash flows to equal the assumed aggregate purchase
prices of such Classes 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 Certificates and consequently
do not purport to reflect the return on any investment in the Certificates
when such reinvestment rates are considered. There can be no assurance that
the pre-tax yields on the Certificates will correspond to any of the pre-tax
yields shown herein or that the aggregate purchase prices of the Certificates
will be as assumed. In addition, there can be no assurance that the applicable
Index will correspond to the levels shown herein. Furthermore, because some of
the Mortgage Loans will likely have remaining terms to maturity shorter or
longer than those assumed and interest rates higher or lower than those
assumed, the principal distributions on the Certificates are likely to differ
from those assumed, even if all Mortgage Loans prepay at the indicated
constant percentages of PSA. Moreover, it is not likely that the Mortgage
Loans will prepay at a constant PSA rate until maturity, that all of such
Mortgage Loans will prepay at the same rate or that the level of the
applicable Index will remain constant.
The Principal Only Classes. The Principal Only Classes will not bear
interest. As indicated in the tables below, a low rate of principal payments
(including prepayments) on the Mortgage Loans underlying the related
Underlying REMIC Certificates or the Trust MBS, as applicable, will have a
negative effect on the yields to investors in the Principal Only Classes.
The information set forth in the following tables was prepared on the
basis of the Pricing Assumptions and the assumption that the aggregate
purchase prices of the Principal Only Classes (expressed in each case as a
percentage of original principal balance) are as follows:
<TABLE>
<CAPTION>
Class Price
---------------------------------------------------------------- ---------
<S> <C>
A .............................................................. 86.56250%
B .............................................................. 59.81250%
E .............................................................. 41.50000%
P .............................................................. 69.62500%
PO.............................................................. 59.90625%
J ............................................................. 69.81250%
L .............................................................. 38.00000%
N .............................................................. 35.81250%
</TABLE>
S-32
<PAGE>
Sensitivity of the Principal Only Classes to Prepayments
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------
Class 50% 100% 300% 500%
- ---------------------------------------- ---- ---- ----- ------
<S> <C>
A ...................................... 1.0% 7.2% 65.8% 138.9%
PSA Prepayment Assumption
------------------------------------------
Class 50% 100% 150% 300% 500%
- ---------------------------------------- ---- ---- ---- ----- -----
B ...................................... 5.8% 6.1% 6.7% 11.8% 44.7%
E ...................................... 4.1% 4.8% 6.0% 20.0% 90.4%
PSA Prepayment Assumption
------------------------------------------
Class 50% 100% 160% 275% 500%
- ---------------------------------------- ---- ---- ---- ----- -----
P ...................................... 3.4% 3.8% 8.2% 10.9% 21.2%
PO...................................... 2.1% 2.6% 5.1% 18.8% 37.3%
PSA Prepayment Assumption
------------------------------------------
Class 50% 100% 250% 400% 600%
- ---------------------------------------- ---- ---- ---- ----- -----
J ..................................... 3.3% 4.2% 7.6% 11.9% 18.9%
PSA Prepayment Assumption
------------------------------------------
Class 50% 100% 150% 300% 500%
- ---------------------------------------- ---- ---- ---- ----- -----
L ...................................... 4.3% 4.9% 5.9% 14.5% 73.1%
N ...................................... 4.6% 5.1% 5.9% 25.5% 84.0%
</TABLE>
The Interest Only Classes. The yields to investors in the Interest Only
Classes will be very sensitive to the rate of principal payments (including
prepayments) of the Mortgage Loans underlying the related Underlying REMIC
Certificates or the Trust MBS, as applicable. The yields to investors in the
Inverse Floating Rate Classes will also be sensitive to the level of the
applicable Index. The Mortgage Loans generally can be prepaid at any time. In
addition, the rate of principal payments (including prepayments) of the
Mortgage Loans is likely to vary, and may vary considerably, from Pool to
Pool. As indicated in the tables below, it is possible that, under certain
Index and prepayment scenarios, investors in the Inverse Floating Rate Classes
would not fully recoup their initial investments. On the basis of the
assumptions described below, the yield to maturity on the PI and PL Classes
would be 0% if prepayments of the Mortgage Loans underlying the Trust MBS were
to occur at constant rates of approximately 461% PSA and 472% PSA,
respectively. If the actual prepayment rates of such Mortgage Loans were to
exceed either of the applicable levels for as little as one month while
equaling such level for the remaining months, the investors in the PI and PL
Classes, as applicable, would not fully recoup their initial investments.
Changes in an Index may not correlate with changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur
concurrently with an increased level of such Index.
The information set forth in the following tables was prepared on the
basis of the Pricing Assumptions and the assumptions that (i) the interest
rates applicable to the Inverse Floating Rate Classes for the initial Interest
Accrual Period are the actual and assumed rates appearing in the table under
"Distributions of Interest--Floating Rate and Inverse Floating Rate Classes"
herein and for each Interest Accrual Period subsequent to the initial Interest
Accrual Period will be based on the
S-33
<PAGE>
indicated level of the applicable Index and (ii) the aggregate purchase prices
of the Interest Only Classes (expressed in each case as a percentage of
original principal balance) are as follows:
<TABLE>
<CAPTION>
Class Price*
-------------------------------------------------------------- ----------
<S> <C>
SA ........................................................... 9.187500%
SB ........................................................... 7.937500%
SC ........................................................... 11.187500%
SD ........................................................... 2.125000%
SE ........................................................... 4.125000%
SG ........................................................... 6.828125%
SH ........................................................... 4.062500%
PL ........................................................... 49.625000%
PI ........................................................... 16.937500%
SJ ........................................................... 9.187500%
SK ........................................................... 4.718750%
SL ........................................................... 7.750000%
SM ........................................................... 13.437500%
SN ........................................................... 7.875000%
SO ........................................................... 15.187500%
</TABLE>
-----------------------
* The prices do not include accrued interest. Accrued interest
has been added to such prices in calculating the yields set
forth in the tables below.
<TABLE>
<CAPTION>
Sensitivity of the SA Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
-------------------------------------
LIBOR 50% 100% 300% 500%
- ----------------------------------- ------ ------- ----- -----
<S> <C>
3.75%.............................. 168.4% 113.7% * *
5.75%.............................. 90.2% 39.7% * *
7.75%.............................. 21.6% (39.2)% * *
8.50%.............................. * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SB Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------------
COFI 50% 100% 150% 300% 500%
- ----------------------------------- ------- ------- ------- ------- -------
<S> <C>
2.822%............................. 55.8% 55.4% 54.8% 42.6% (33.7)%
4.822%............................. 24.9% 24.1% 22.8% 9.3% (71.1)%
6.822%............................. (26.5)% (28.3)% (30.9)% (43.8)% *
7.000% and above................... * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SC Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------------
COFI 50% 100% 150% 300% 500%
- ----------------------------------- ------ ------ ------ ------- -------
<S> <C>
7.00% and below.................... 13.5% 12.5% 10.9% (2.9)% (85.3)%
8.00%.............................. (1.6)% (3.0)% (5.0)% (18.8)% *
9.15%.............................. * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
S-34
<PAGE>
Sensitivity of the SD Class to Prepayments and COFI
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------------
COFI 50% 100% 150% 300% 500%
- ----------------------------------- ----- ------ ------ ------- -------
<S> <C>
7.00% and below.................... 19.6% 18.8% 17.3% 3.6% (77.6)%
7.25%.............................. 1.3% (0.0)% (2.0)% (15.8)% *
7.50%.............................. * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SE Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
------------------------------------------------
LIBOR 50% 100% 150% 300% 500%
- ----------------------------------- ----- ----- ----- ------ -------
<S> <C>
7.0% and below..................... 19.8% 19.4% 18.4% 3.9% (88.7)%
7.4%............................... 8.2% 7.3% 5.5% (8.3)% *
7.8%............................... * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SG Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------------
LIBOR 50% 100% 160% 275% 500%
- ----------------------------------- ----- ----- ------- ------- -------
<S> <C>
3.6875%............................ 76.4% 76.4% 64.8% 60.6% 25.6%
5.6875%............................ 40.8% 40.7% 27.5% 19.9% (24.5)%
7.6875%............................ 4.7% 3.4% (14.1)% (28.8)% (89.1)%
8.5000%............................ * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SH Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------
LIBOR 50% 100% 160% 275% 500%
- ----------------------------------- ----- ----- ------ ------- -------
<S> <C>
8.5% and below..................... 23.9% 23.5% 8.8% (1.5)% (52.3)%
9.0%............................... 8.6% 7.5% (9.3)% (22.9)% (81.2)%
9.6%............................... * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the PL Class to Prepayments
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------
50% 100% 160% 275% 500%
----- ---- ---- ---- ------
Pre-Tax Yields to Maturity......... 12.4% 8.8% 8.8% 8.8% (1.4)%
Sensitivity of the PI Class to Prepayments
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------
50% 100% 160% 275% 500%
----- ---- ---- ---- ------
Pre-Tax Yields to Maturity......... 24.3% 7.9% 7.9% 7.9% (2.8)%
S-35
<PAGE>
Sensitivity of the SJ Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------
LIBOR 50% 100% 250% 400% 600%
- ----------------------------------- ----- ----- ------ ------- -------
<S> <C>
3.71875%........................... 61.5% 58.5% 47.1% 34.1% 14.6%
5.71875%........................... 35.1% 31.9% 20.9% 8.4% (10.5)%
7.71875%........................... 8.1% 4.8% (6.3)% (19.3)% (39.2)%
9.00000% and above................. * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SK Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------
LIBOR 50% 100% 250% 400% 600%
- ----------------------------------- ----- ----- ------ ------- -------
<S> <C>
9.0% and below.................... 22.5% 19.2% 8.3% (4.2)% (23.3)%
9.6%.............................. 6.2% 2.9% (8.2)% (21.3)% (41.4)%
10.2%.............................. * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SL Class to Prepayments and 10-Year Treasury Index
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
-----------------------------------------------
10-Year Treasury Index 50% 100% 150% 300% 500%
- ----------------------------------- ----- ----- ----- ----- -------
<S> <C>
4.73%.............................. 44.7% 44.7% 44.6% 38.3% (29.2)%
6.73%.............................. 16.2% 15.9% 15.1% 5.8% (76.2)%
8.10%.............................. * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SM Class to Prepayments and 10-Year Treasury Index
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
------------------------------------------------
10-Year Treasury Index 50% 100% 150% 300% 500%
- ----------------------------------- ----- ----- ----- ------ -------
<S> <C>
8.0% and below..................... 13.7% 13.2% 12.3% 2.7% (81.4)%
9.0%............................... 3.9% 3.0% 1.5% (8.8)% *
9.9%............................... * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SN Class to Prepayments and 10-Year Treasury Index
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
10-Year Treasury Index 50% 100% 150% 300% 500%
- ----------------------------------- ----- ----- ----- ----- ------
<S> <C>
4.73%.............................. 43.9% 43.9% 43.9% 28.5% 12.1%
6.73%.............................. 15.9% 15.7% 15.2% 2.0% (9.0)%
8.00%.............................. * * * * *
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
S-36
<PAGE>
Sensitivity of the SO Class to Prepayments and 10-Year Treasury Index
(Pre-Tax Yields to Maturity)
<CAPTION>
PSA Prepayment Assumption
------------------------------------------------
10-Year Treasury Index 50% 100% 150% 300% 500%
- ----------------------------------- ----- ----- ----- ------ -------
<S> <C>
8.00% and below.................... 13.7% 13.4% 12.7% (0.1)% (11.0)%
9.00%.............................. 5.2% 4.6% 3.5% (8.0)% (19.1)%
10.15%............................. * * * * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a)
multiplying the amount of the reduction, if any, of the principal balance of
such Certificate from one Distribution Date to the next Distribution Date by
the number of years from the Settlement Date to the second such Distribution
Date, (b) summing the results and (c) dividing the sum by the aggregate amount
of the reductions in principal balance of such Certificate referred to in
clause (a). For a description of the factors which may influence the weighted
average life of a Certificate, see "Description of the Certificates-- Weighted
Average Life and Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the related Mortgage
Loans increases. However, the weighted average lives will depend upon a
variety of other factors, including the timing of changes in such rate of
principal payments, the priority sequence of distributions of principal of the
Group 4 Classes and, in the case of all Classes other than the Group 4
Classes, the priority sequences of distributions of principal for the related
Underlying REMIC Trusts. The weighted average lives of the Group 4 Classes
will also depend on the distribution of principal of certain Classes in
accordance with the Principal Balance Schedules. In particular, if the amount
distributable as principal of the Group 4 Classes on any Distribution Date
exceeds the amount required to reduce certain Group 4 Classes to their
scheduled balances as set forth in the Principal Balance Schedules, such
excess principal will be distributed on certain remaining Group 4 Classes on
such Distribution Date. Conversely, if the principal distributable on any
Distribution Date is less than the amount so required to reduce such Classes
to their scheduled balances, no principal will be distributed on certain
remaining Group 4 Classes on such Distribution Date. Accordingly, the rate of
principal payments on the Mortgage Loans underlying the Trust MBS is expected
to have a greater effect on the weighted average lives of the Support Classes
and, under certain prepayment scenarios, the TAC Classes than on the weighted
average lives of the PAC Classes. See "Distributions of Principal" herein and
"Description of the Certificates--Distributions of Principal" in the
Underlying REMIC Disclosure Documents.
The effect of the foregoing factors may differ as to various Classes and
the effects on any Class may vary at different times during the life of such
Class. Accordingly, no assurance can be given as to the weighted average life
of any Class. Further, to the extent the prices of the Certificates represent
discounts or premiums to their respective original principal balances,
variability in the weighted average lives of such Classes of Certificates
could result in variability in the related yields to maturity. For an example
of how the weighted average lives of the Classes may be affected at various
constant prepayment rates, see the Decrement Tables below.
S-37
<PAGE>
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of
the Pricing Assumptions, except that with respect to the information set forth
for each such Class under 0% PSA it has been assumed that the underlying
Mortgage Loans have the original and remaining terms to maturity and bear
interest at the per annum rates specified below:
<TABLE>
<CAPTION>
Mortgage Loans relating to
Underlying REMIC Trusts Original Remaining
and Trust MBS Terms Terms Interest Related
specified below to Maturity to Maturity Rates Groups
- --------------------------- ----------- ----------- -------- --------
<S> <C>
1996-6 360 months 347 months 7.0% Group 1
1993-107 180 months 132 months 9.0% Group 2
1994-15 360 months 320 months 9.5% Group 3
Trust MBS 360 months 360 months 10.0% Group 4
1991-G40-S 360 months 293 months (1) Group 5
1994-43-S 360 months 320 months 9.5% Group 6
1993-102-SB 360 months 312 months 9.5% Group 7
</TABLE>
-------------------------
(1) It has been assumed that the Mortgage Loans underlying the
related GNMA Certificates issued under the GNMA I program and
GNMA II program bear interest at the per annum rates of 10.0%
and 11.0%, respectively.
It is not likely that (i) all of the underlying Mortgage Loans will have
the interest rates, WALAs or CAGEs or remaining terms to maturity assumed or
(ii) the underlying Mortgage Loans will prepay at a constant PSA level. In
addition, the diverse remaining terms to maturity of the Mortgage Loans could
produce slower or faster principal distributions than indicated in the tables
at the specified constant PSA levels, even if the distributions of the
weighted average remaining terms to maturity and the weighted average WALAs or
CAGEs of the Mortgage Loans are identical to the distributions of the
remaining terms to maturity and WALAs or CAGEs specified in the Pricing
Assumptions.
Percent of Original Principal Balances Outstanding
<TABLE>
<CAPTION>
A and SA+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 50% 100% 300% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 73 0 0
June 1999........... 100 100 49 0 0
June 2000........... 100 100 28 0 0
June 2001........... 100 100 11 0 0
June 2002........... 100 100 0 0 0
June 2003........... 100 100 0 0 0
June 2004........... 100 100 0 0 0
June 2005........... 100 100 0 0 0
June 2006........... 100 100 0 0 0
June 2007........... 100 100 0 0 0
June 2008........... 100 100 0 0 0
June 2009........... 100 100 0 0 0
June 2010........... 100 100 0 0 0
June 2011........... 100 94 0 0 0
June 2012........... 100 52 0 0 0
June 2013........... 100 6 0 0 0
June 2014........... 100 0 0 0 0
June 2015........... 100 0 0 0 0
June 2016........... 100 0 0 0 0
June 2017........... 100 0 0 0 0
June 2018........... 100 0 0 0 0
June 2019........... 45 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 22.0 15.0 2.1 0.3 0.1
<CAPTION>
B, SB+, SC+ and SD+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 150% 300% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 60
June 1999........... 100 100 100 83 18
June 2000........... 100 100 100 70 2
June 2001........... 100 100 100 59 0
June 2002........... 100 100 100 44 0
June 2003........... 100 100 88 31 0
June 2004........... 100 89 67 21 0
June 2005........... 100 64 46 13 0
June 2006........... 100 38 26 6 0
June 2007........... 54 11 8 1 0
June 2008........... 0 0 0 0 0
June 2009........... 0 0 0 0 0
June 2010........... 0 0 0 0 0
June 2011........... 0 0 0 0 0
June 2012........... 0 0 0 0 0
June 2013........... 0 0 0 0 0
June 2014........... 0 0 0 0 0
June 2015........... 0 0 0 0 0
June 2016........... 0 0 0 0 0
June 2017........... 0 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 10.1 8.6 7.9 4.8 1.4
<CAPTION>
E and SE+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 150% 300% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 99 59
June 1999........... 100 100 100 79 19
June 2000........... 100 100 100 66 0
June 2001........... 100 100 100 57 0
June 2002........... 100 100 100 48 0
June 2003........... 100 100 100 40 0
June 2004........... 100 100 100 34 0
June 2005........... 100 100 100 28 0
June 2006........... 100 100 97 23 0
June 2007........... 100 100 88 19 0
June 2008........... 100 100 80 16 0
June 2009........... 100 100 71 13 0
June 2010........... 100 100 63 10 0
June 2011........... 100 92 56 8 0
June 2012........... 100 82 49 7 0
June 2013........... 100 73 42 5 0
June 2014........... 100 64 36 4 0
June 2015........... 100 56 30 3 0
June 2016........... 100 47 25 2 0
June 2017........... 100 40 20 2 0
June 2018........... 100 32 16 1 0
June 2019........... 100 25 12 1 0
June 2020........... 100 18 8 1 0
June 2021........... 82 11 5 * 0
June 2022........... 54 5 2 * 0
June 2023........... 22 * * 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.1 19.0 15.6 6.2 1.3
<CAPTION>
PA Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 91 54 54 54 54
June 1999........... 80 0 0 0 0
June 2000........... 69 0 0 0 0
June 2001........... 56 0 0 0 0
June 2002........... 42 0 0 0 0
June 2003........... 26 0 0 0 0
June 2004........... 9 0 0 0 0
June 2005........... 0 0 0 0 0
June 2006........... 0 0 0 0 0
June 2007........... 0 0 0 0 0
June 2008........... 0 0 0 0 0
June 2009........... 0 0 0 0 0
June 2010........... 0 0 0 0 0
June 2011........... 0 0 0 0 0
June 2012........... 0 0 0 0 0
June 2013........... 0 0 0 0 0
June 2014........... 0 0 0 0 0
June 2015........... 0 0 0 0 0
June 2016........... 0 0 0 0 0
June 2017........... 0 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 4.2 1.0 1.0 1.0 1.0
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the
percentage of the original notional principal balance outstanding.
S-38
<PAGE>
<CAPTION>
PB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 79 79 79 79
June 2000........... 100 6 6 6 0
June 2001........... 100 0 0 0 0
June 2002........... 100 0 0 0 0
June 2003........... 100 0 0 0 0
June 2004........... 100 0 0 0 0
June 2005........... 93 0 0 0 0
June 2006........... 79 0 0 0 0
June 2007........... 64 0 0 0 0
June 2008........... 47 0 0 0 0
June 2009........... 28 0 0 0 0
June 2010........... 7 0 0 0 0
June 2011........... 0 0 0 0 0
June 2012........... 0 0 0 0 0
June 2013........... 0 0 0 0 0
June 2014........... 0 0 0 0 0
June 2015........... 0 0 0 0 0
June 2016........... 0 0 0 0 0
June 2017........... 0 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 10.7 2.4 2.4 2.4 2.4
<CAPTION>
PC Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 2
June 2001........... 100 0 0 0 0
June 2002........... 100 0 0 0 0
June 2003........... 100 0 0 0 0
June 2004........... 100 0 0 0 0
June 2005........... 100 0 0 0 0
June 2006........... 100 0 0 0 0
June 2007........... 100 0 0 0 0
June 2008........... 100 0 0 0 0
June 2009........... 100 0 0 0 0
June 2010........... 100 0 0 0 0
June 2011........... 62 0 0 0 0
June 2012........... 1 0 0 0 0
June 2013........... 0 0 0 0 0
June 2014........... 0 0 0 0 0
June 2015........... 0 0 0 0 0
June 2016........... 0 0 0 0 0
June 2017........... 0 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.2 3.4 3.4 3.4 2.9
<CAPTION>
PD Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 100
June 2001........... 100 78 78 78 0
June 2002........... 100 7 7 7 0
June 2003........... 100 0 0 0 0
June 2004........... 100 0 0 0 0
June 2005........... 100 0 0 0 0
June 2006........... 100 0 0 0 0
June 2007........... 100 0 0 0 0
June 2008........... 100 0 0 0 0
June 2009........... 100 0 0 0 0
June 2010........... 100 0 0 0 0
June 2011........... 100 0 0 0 0
June 2012........... 100 0 0 0 0
June 2013........... 70 0 0 0 0
June 2014........... 36 0 0 0 0
June 2015........... 0 0 0 0 0
June 2016........... 0 0 0 0 0
June 2017........... 0 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 16.6 4.4 4.4 4.4 3.3
<CAPTION>
PE Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 100
June 2001........... 100 100 100 100 20
June 2002........... 100 100 100 100 0
June 2003........... 100 43 43 43 0
June 2004........... 100 0 0 0 0
June 2005........... 100 0 0 0 0
June 2006........... 100 0 0 0 0
June 2007........... 100 0 0 0 0
June 2008........... 100 0 0 0 0
June 2009........... 100 0 0 0 0
June 2010........... 100 0 0 0 0
June 2011........... 100 0 0 0 0
June 2012........... 100 0 0 0 0
June 2013........... 100 0 0 0 0
June 2014........... 100 0 0 0 0
June 2015........... 99 0 0 0 0
June 2016........... 59 0 0 0 0
June 2017........... 15 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 19.2 5.9 5.9 5.9 3.8
<CAPTION>
PG Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 100
June 2001........... 100 100 100 100 100
June 2002........... 100 100 100 100 24
June 2003........... 100 100 100 100 0
June 2004........... 100 87 87 87 0
June 2005........... 100 45 45 45 0
June 2006........... 100 6 6 6 0
June 2007........... 100 0 0 0 0
June 2008........... 100 0 0 0 0
June 2009........... 100 0 0 0 0
June 2010........... 100 0 0 0 0
June 2011........... 100 0 0 0 0
June 2012........... 100 0 0 0 0
June 2013........... 100 0 0 0 0
June 2014........... 100 0 0 0 0
June 2015........... 100 0 0 0 0
June 2016........... 100 0 0 0 0
June 2017........... 100 0 0 0 0
June 2018........... 75 0 0 0 0
June 2019........... 36 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 21.6 7.9 7.9 7.9 4.7
<CAPTION>
PH Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 100
June 2001........... 100 100 100 100 100
June 2002........... 100 100 100 100 100
June 2003........... 100 100 100 100 18
June 2004........... 100 100 100 100 0
June 2005........... 100 100 100 100 0
June 2006........... 100 100 100 100 0
June 2007........... 100 42 42 42 0
June 2008........... 100 0 0 0 0
June 2009........... 100 0 0 0 0
June 2010........... 100 0 0 0 0
June 2011........... 100 0 0 0 0
June 2012........... 100 0 0 0 0
June 2013........... 100 0 0 0 0
June 2014........... 100 0 0 0 0
June 2015........... 100 0 0 0 0
June 2016........... 100 0 0 0 0
June 2017........... 100 0 0 0 0
June 2018........... 100 0 0 0 0
June 2019........... 100 0 0 0 0
June 2020........... 84 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.4 9.9 9.9 9.9 5.7
<CAPTION>
PJ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 100
June 2001........... 100 100 100 100 100
June 2002........... 100 100 100 100 100
June 2003........... 100 100 100 100 100
June 2004........... 100 100 100 100 53
June 2005........... 100 100 100 100 11
June 2006........... 100 100 100 100 0
June 2007........... 100 100 100 100 0
June 2008........... 100 90 90 90 0
June 2009........... 100 58 58 58 0
June 2010........... 100 32 32 32 0
June 2011........... 100 11 11 11 0
June 2012........... 100 0 0 0 0
June 2013........... 100 0 0 0 0
June 2014........... 100 0 0 0 0
June 2015........... 100 0 0 0 0
June 2016........... 100 0 0 0 0
June 2017........... 100 0 0 0 0
June 2018........... 100 0 0 0 0
June 2019........... 100 0 0 0 0
June 2020........... 100 0 0 0 0
June 2021........... 89 0 0 0 0
June 2022........... 17 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 24.6 12.4 12.4 12.4 7.1
<CAPTION>
PK Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 100
June 2001........... 100 100 100 100 100
June 2002........... 100 100 100 100 100
June 2003........... 100 100 100 100 100
June 2004........... 100 100 100 100 100
June 2005........... 100 100 100 100 100
June 2006........... 100 100 100 100 78
June 2007........... 100 100 100 100 54
June 2008........... 100 100 100 100 37
June 2009........... 100 100 100 100 25
June 2010........... 100 100 100 100 17
June 2011........... 100 100 100 100 12
June 2012........... 100 92 92 92 8
June 2013........... 100 74 74 74 5
June 2014........... 100 59 59 59 4
June 2015........... 100 47 47 47 2
June 2016........... 100 37 37 37 2
June 2017........... 100 29 29 29 1
June 2018........... 100 23 23 23 1
June 2019........... 100 17 17 17 *
June 2020........... 100 13 13 13 *
June 2021........... 100 10 10 10 *
June 2022........... 100 7 7 7 *
June 2023........... 20 5 5 5 *
June 2024........... 3 3 3 3 *
June 2025........... 2 2 2 2 *
June 2026........... 1 1 1 1 *
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.8 18.7 18.7 18.7 11.0
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-39
<PAGE>
<CAPTION>
F, SG+, SH+ and P Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 97 97 93 93 93
June 1999........... 95 95 81 81 41
June 2000........... 92 92 67 59 0
June 2001........... 88 88 54 37 0
June 2002........... 85 85 44 21 0
June 2003........... 81 81 34 10 0
June 2004........... 77 77 25 4 0
June 2005........... 72 72 18 1 0
June 2006........... 67 67 11 0 0
June 2007........... 62 60 3 0 0
June 2008........... 56 51 0 0 0
June 2009........... 50 40 0 0 0
June 2010........... 43 27 0 0 0
June 2011........... 35 13 0 0 0
June 2012........... 27 0 0 0 0
June 2013........... 18 0 0 0 0
June 2014........... 8 0 0 0 0
June 2015........... 0 0 0 0 0
June 2016........... 0 0 0 0 0
June 2017........... 0 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 11.0 10.0 4.8 3.6 1.8
<CAPTION>
PO Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 97 90 77
June 1999........... 100 100 89 69 32
June 2000........... 100 100 81 46 0
June 2001........... 100 100 74 29 0
June 2002........... 100 100 68 16 0
June 2003........... 100 100 63 8 0
June 2004........... 100 100 60 3 0
June 2005........... 100 100 58 * 0
June 2006........... 100 100 56 0 0
June 2007........... 100 99 54 0 0
June 2008........... 100 96 51 0 0
June 2009........... 100 92 48 0 0
June 2010........... 100 88 45 0 0
June 2011........... 100 83 41 0 0
June 2012........... 100 78 37 0 0
June 2013........... 100 72 34 0 0
June 2014........... 100 67 30 0 0
June 2015........... 100 61 27 0 0
June 2016........... 100 55 24 0 0
June 2017........... 100 49 20 0 0
June 2018........... 100 44 18 0 0
June 2019........... 100 38 15 0 0
June 2020........... 100 33 12 0 0
June 2021........... 100 27 10 0 0
June 2022........... 100 22 8 0 0
June 2023........... 100 17 6 0 0
June 2024........... 81 12 4 0 0
June 2025........... 57 7 2 0 0
June 2026........... 30 3 1 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.2 20.0 11.8 3.1 1.6
<CAPTION>
PL+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 100
June 1999........... 100 100 100 100 100
June 2000........... 100 100 100 100 100
June 2001........... 100 100 100 100 87
June 2002........... 100 100 100 100 60
June 2003........... 100 92 92 92 41
June 2004........... 100 79 79 79 29
June 2005........... 100 66 66 66 20
June 2006........... 100 55 55 55 14
June 2007........... 100 45 45 45 9
June 2008........... 100 37 37 37 6
June 2009........... 100 30 30 30 4
June 2010........... 100 24 24 24 3
June 2011........... 100 20 20 20 2
June 2012........... 100 16 16 16 1
June 2013........... 100 13 13 13 1
June 2014........... 100 10 10 10 1
June 2015........... 100 8 8 8 *
June 2016........... 95 6 6 6 *
June 2017........... 86 5 5 5 *
June 2018........... 75 4 4 4 *
June 2019........... 64 3 3 3 *
June 2020........... 51 2 2 2 *
June 2021........... 37 2 2 2 *
June 2022........... 21 1 1 1 *
June 2023........... 3 1 1 1 *
June 2024........... 1 1 1 1 *
June 2025........... * * * * *
June 2026........... * * * * *
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 22.8 10.7 10.7 10.7 6.3
<CAPTION>
Z Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 109 109 109 79 21
June 1999........... 118 118 118 29 0
June 2000........... 129 129 129 0 0
June 2001........... 140 140 140 0 0
June 2002........... 153 153 153 0 0
June 2003........... 166 166 166 0 0
June 2004........... 181 181 181 0 0
June 2005........... 197 197 197 0 0
June 2006........... 214 214 214 0 0
June 2007........... 233 233 233 0 0
June 2008........... 254 254 230 0 0
June 2009........... 276 276 216 0 0
June 2010........... 301 301 201 0 0
June 2011........... 327 327 185 0 0
June 2012........... 356 350 168 0 0
June 2013........... 388 326 152 0 0
June 2014........... 422 300 136 0 0
June 2015........... 449 274 121 0 0
June 2016........... 449 248 106 0 0
June 2017........... 449 222 92 0 0
June 2018........... 449 196 79 0 0
June 2019........... 449 171 67 0 0
June 2020........... 449 147 55 0 0
June 2021........... 449 123 45 0 0
June 2022........... 449 99 35 0 0
June 2023........... 449 77 26 0 0
June 2024........... 365 55 18 0 0
June 2025........... 256 34 11 0 0
June 2026........... 134 13 4 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.2 22.0 18.7 1.6 0.7
<CAPTION>
PI+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 160% 275% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 97 84 84 84 84
June 1999........... 93 60 60 60 60
June 2000........... 89 41 41 41 29
June 2001........... 85 23 23 23 0
June 2002........... 80 6 6 6 0
June 2003........... 74 0 0 0 0
June 2004........... 68 0 0 0 0
June 2005........... 64 0 0 0 0
June 2006........... 60 0 0 0 0
June 2007........... 56 0 0 0 0
June 2008........... 52 0 0 0 0
June 2009........... 47 0 0 0 0
June 2010........... 41 0 0 0 0
June 2011........... 35 0 0 0 0
June 2012........... 29 0 0 0 0
June 2013........... 21 0 0 0 0
June 2014........... 13 0 0 0 0
June 2015........... 4 0 0 0 0
June 2016........... 0 0 0 0 0
June 2017........... 0 0 0 0 0
June 2018........... 0 0 0 0 0
June 2019........... 0 0 0 0 0
June 2020........... 0 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 10.6 2.6 2.6 2.6 2.2
<CAPTION>
J, SJ+ and SK+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 250% 400% 600%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 92 82 69
June 1999........... 100 94 77 61 43
June 2000........... 100 86 64 45 26
June 2001........... 100 79 53 33 16
June 2002........... 100 72 43 24 9
June 2003........... 100 66 35 17 5
June 2004........... 99 60 29 12 2
June 2005........... 97 54 23 8 1
June 2006........... 94 48 18 5 0
June 2007........... 91 42 14 3 0
June 2008........... 88 37 11 2 0
June 2009........... 84 32 8 * 0
June 2010........... 80 27 5 0 0
June 2011........... 76 23 3 0 0
June 2012........... 71 18 2 0 0
June 2013........... 66 14 * 0 0
June 2014........... 60 10 0 0 0
June 2015........... 54 6 0 0 0
June 2016........... 47 2 0 0 0
June 2017........... 39 0 0 0 0
June 2018........... 30 0 0 0 0
June 2019........... 21 0 0 0 0
June 2020........... 10 0 0 0 0
June 2021........... 0 0 0 0 0
June 2022........... 0 0 0 0 0
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 17.6 9.2 5.3 3.5 2.2
<CAPTION>
L, SL+ and SM+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 150% 300% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 78
June 1999........... 100 100 100 100 32
June 2000........... 100 100 100 88 6
June 2001........... 100 100 100 77 0
June 2002........... 100 100 100 69 0
June 2003........... 100 100 100 59 0
June 2004........... 100 100 100 50 0
June 2005........... 100 100 100 42 0
June 2006........... 100 100 100 36 0
June 2007........... 100 100 100 31 0
June 2008........... 100 100 100 26 0
June 2009........... 100 100 93 21 0
June 2010........... 100 100 82 17 0
June 2011........... 100 100 71 14 0
June 2012........... 100 100 62 11 0
June 2013........... 100 91 53 8 0
June 2014........... 100 79 45 6 0
June 2015........... 100 69 38 5 0
June 2016........... 100 58 31 4 0
June 2017........... 100 48 25 3 0
June 2018........... 100 39 20 2 0
June 2019........... 100 30 15 1 0
June 2020........... 100 21 10 1 0
June 2021........... 100 13 6 * 0
June 2022........... 66 6 2 * 0
June 2023........... 27 * * 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.4 20.1 17.1 8.2 1.7
<CAPTION>
N, SN+ and SO+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 150% 300% 500%
- -------------------------- ------ ------ ------ ------
<S> <C>
Initial Percent..... 100 100 100 100 100
June 1998........... 100 100 100 100 52
June 1999........... 100 100 100 81 36
June 2000........... 100 100 100 59 33
June 2001........... 100 100 100 44 33
June 2002........... 100 100 100 35 33
June 2003........... 100 100 100 33 33
June 2004........... 100 100 100 33 33
June 2005........... 100 100 100 33 25
June 2006........... 100 100 100 33 17
June 2007........... 100 100 100 33 12
June 2008........... 100 100 100 33 8
June 2009........... 100 100 100 33 5
June 2010........... 100 100 100 28 4
June 2011........... 100 100 92 21 2
June 2012........... 100 100 78 16 2
June 2013........... 100 100 66 13 1
June 2014........... 100 96 55 9 1
June 2015........... 100 81 45 7 *
June 2016........... 100 68 37 5 *
June 2017........... 100 55 29 4 *
June 2018........... 100 42 21 2 *
June 2019........... 100 31 15 2 *
June 2020........... 100 20 9 1 *
June 2021........... 98 9 4 * *
June 2022........... 51 1 * * *
June 2023........... 0 0 0 0 0
June 2024........... 0 0 0 0 0
June 2025........... 0 0 0 0 0
June 2026........... 0 0 0 0 0
June 2027........... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.0 20.6 18.1 7.1 3.9
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the
percentage of the original notional principal balance outstanding.
S-40
<PAGE>
Characteristics of the R and RL Classes
The R and RL Classes will have no principal balances and will not bear
interest. The Holder of the R Class will be entitled to receive the proceeds
of the remaining assets of the Trust, if any, after the principal balances of
all Classes have been reduced to zero, and the Holder of the RL Class will be
entitled to receive the proceeds of the remaining assets of the Lower Tier
REMIC, if any, after the principal balances of the Lower Tier Regular
Interests have been reduced to zero. It is not anticipated that there will be
any material assets remaining in either such circumstance.
The R and RL Classes will be subject to certain transfer restrictions. No
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to a "disqualified organization." In addition, no transfer of record
or beneficial ownership of an R or RL Certificate will be allowed to any
person that is not a "U.S. Person" without the written consent of Fannie Mae.
Under regulations issued by the Treasury Department on December 23, 1992 (the
"Regulations"), a transfer of a "noneconomic residual interest" to a U.S.
Person will be disregarded for all federal tax purposes unless no significant
purpose of the transfer is to impede the assessment or collection of tax. The
R and RL Classes will constitute noneconomic residual interests under the
Regulations. Any transferee of an R or RL Certificate must execute and deliver
an affidavit and an Internal Revenue Service Form W-9 on which the transferee
provides its taxpayer identification number. See "Description of the
Certificates--Additional Characteristics of Residual Certificates" and
"Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Residual Certificates" in the REMIC Prospectus. Transferors of an R or RL
Certificate should consult with their own tax advisors for further information
regarding such transfers.
The Holder of the R Class will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of
the RL Class will be considered to be the holder of the "residual interest" in
the REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, Fannie
Mae will be obligated to provide to such Holders (i) such information as is
necessary to enable them to prepare their federal income tax returns and (ii)
any reports regarding the R Class or RL Class that may be required under the
Code.
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the
discussion of "Certain Federal Income Tax Consequences" in the REMIC
Prospectus, describes the current federal income tax treatment of investors in
the Certificates. These two tax discussions do not purport to deal with all
federal tax consequences applicable to all categories of investors, some of
which may be subject to special rules. Investors should consult their own tax
advisors in determining the federal, state, local and any other tax
consequences to them of the purchase, ownership and disposition of the
Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. Arnold & Porter, special tax counsel
to Fannie Mae, will deliver its opinion to Fannie Mae that, assuming
compliance with the Trust Agreement, the Lower Tier REMIC and the Trust will
qualify as REMICs for federal income tax purposes. The Certificates, other
than the R and RL Classes, will be designated as the "regular interests," and
the R Class will be designated as the "residual interest," in the REMIC
constituted by the Trust. The Lower Tier Regular Interests will be designated
as the "regular interests" and the RL Class will be designated as the
"residual interest" in the Lower Tier REMIC.
As a consequence of the qualification of the Lower Tier REMIC and the
Trust as REMICs, the Certificates generally will be treated as "regular or
residual interests in a REMIC" for domestic building and loan associations,
"real estate assets" for real estate investment trusts, and, except for
S-41
<PAGE>
the R and RL Classes, as "qualified mortgages" for other REMICs. The Small
Business Job Protection Act of 1996 repeals the bad debt reserve method of
accounting for mutual savings banks and domestic building and loan
associations for tax years beginning after December 31, 1995. As a result,
section 593(d) of the Code is no longer applicable to treat the Certificates
as "qualifying real property loans." See "Certain Federal Income Tax
Consequences--Special Tax Attributes" in the REMIC Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The Notional Classes, the Principal Only Classes and the Accrual Class
will be, and certain other Classes of Certificates may be, issued with
original issue discount ("OID") for federal income tax purposes, which
generally will result in recognition of some taxable income in advance of the
receipt of the cash attributable to such income. The Prepayment Assumption
that will be used in determining the rate of accrual of original issue
discount will be 100% PSA in the case of the Group 1 Classes, 150% PSA in the
case of the Group 2, Group 3, Group 6 and Group 7 Classes, 160% PSA in the
case of the Group 4 Classes and 250% PSA in the case of the Group 5 Classes.
See "Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Regular Certificates--Original Issue Discount" in the REMIC Prospectus. No
representation is made as to whether the Mortgage Loans underlying the MBS or
the GNMA Certificates will prepay at any of those rates or any other rate. See
"Description of the Certificates--Weighted Average Lives of the Certificates"
herein and "Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus. In addition, certain Classes of
Certificates may be treated as having been issued at a premium for federal
income tax purposes. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Certificates Purchased at a
Premium" in the REMIC Prospectus.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R Class nor the RL Class will have
significant value. Special rules regarding the treatment of "excess
inclusions" by certain thrift institutions no longer apply because of the
amendment of sections 593 and 860E of the Code by the Small Business Job
Protection Act of 1996. See "Certain Federal Income Tax Consequences--Taxation
of Beneficial Owners of Residual Certificates--Excess Inclusions" in the REMIC
Prospectus.
For purposes of determining the portion of the taxable income of the
Trust (or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about May 20, 1997. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates--Excess Inclusions" and "--Foreign Investors--Residual
Certificates" in the REMIC Prospectus. The federal income tax consequences of
any consideration paid to a transferee on the transfer of an R or RL
Certificate are unclear; any transferee receiving such consideration should
consult its own tax advisors.
Fannie Mae intends to determine the accruals of OID on the Underlying
REMIC Certificates using the same Prepayment Assumptions, as provided above,
that will be used to determine the accruals of OID on the related Regular
Certificates. The IRS, however, could take the position that the proper
Prepayment Assumptions to be used with respect to the Underlying REMIC
Certificates are the Prepayment Assumptions set forth in the related
Underlying REMIC Disclosure Documents. See also "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Residual Certificates--Taxable
Income or Net Loss of a REMIC Trust" in the REMIC Prospectus.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the
Underlying REMIC Certificates and the Trust MBS pursuant to a Fannie Mae
commitment. The Dealer proposes to offer
S-42
<PAGE>
the Certificates directly to the public from time to time in negotiated
transactions at varying prices to be determined at the time of sale. The
Dealer may effect such transactions to or through dealers.
Increase in Certificates. Before the Settlement Date, Fannie Mae and the
Dealer may agree to offer hereby Group 4 Certificates in addition to those
contemplated as of the date hereof. In such event, the Trust MBS will be
increased in principal balance, but it is expected that all such additional
Trust MBS will have the same characteristics as described herein under
"Description of the Certificates--The Trust MBS." The proportion that the
original principal balance of each Group 4 Class bears to the aggregate
original principal balance of all Group 4 Classes will remain the same. In
addition, the dollar amounts reflected in the Principal Balance Schedules will
be increased in pro rata amounts that correspond to the increase of the
principal balances of the Group 4 Classes.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Cleary,
Gottlieb, Steen and Hamilton.
S-43
<PAGE>
Exhibit A
Underlying REMIC Certificates
<TABLE>
<CAPTION>
Underlying Date Final
REMIC of CUSIP Interest Interest Distribution
Issuer Trust Class Issue Number Rate Type(1) Date
- --------------------- ----- -------------- --------- -------- -------- --------------
<S> <C>
GNMA 1996-6 S May 1996 3837HONV1 (2) INV May 2020
Fannie Mae 1993-107 S June 1993 31359AB81 (2) INV June 2008
Fannie Mae 1993-107 SA June 1993 31359AB99 (2) INV June 2008
Fannie Mae 1994-15 SG February 1994 31359GQA7 (2) INV February 2024
Fannie Mae 1991-G40 S November 1991 31358KLA4 (2) INV November 2021
Fannie Mae 1994-43 S March 1994 31359HBZ6 (2) INV February 2024
Fannie Mae 1993-102 SB June 1993 31359AR76 (2) INV June 2023
<CAPTION>
Principal
Balance in
Original June Lower Tier Approximate
Principal 1997 REMIC Weighted
Principal Balance Class as of Issue Average
Issuer Type(1) of Class Factor Date WAC
- ----------- --------- ------------ -------------- -------------- -----------
<S> <C>
GNMA SUP $ 12,029,445 0.75736955 $ 9,110,735 7.000%
Fannie Mae SUP 10,346,471 0.95608689 7,648,695 7.029
Fannie Mae SUP 18,353,529 0.95608689 14,255,341 7.029
Fannie Mae SUP 4,225,000 0.97544201 4,121,242 7.493
Fannie Mae SEQ 9,500,000 1.00000000 8,500,000 10.004
Fannie Mae SUP 21,000,000 0.99446095 20,883,679 7.465
Fannie Mae TAC/SUP 20,905,790 0.92735275 19,387,041 7.532
Approximate Approximate
Weighted Weighted
Average Average
WAM or CAGE or Underlying
WARM WALA Security Class
Issuer (in months) (in months) Type Group
- ----------- ----------- ----------- ---------- -----
<S> <C>
GNMA 314 41 GNMA 1
Fannie Mae 126 50 MBS 2
Fannie Mae 126 50 MBS 2
Fannie Mae 310 42 MBS 3
Fannie Mae 250 102 GNMA 5
Fannie Mae 309 43 MBS 6
Fannie Mae 299 50 MBS 7
</TABLE>
- ---------------
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus.
(2) These Classes bear interest during their respective interest accrual
periods, subject to the applicable maximum and minimum interest rates, as
further described in the related Underlying REMIC Disclosure Documents.
A-1
<PAGE>
- ------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------
No dealer, salesman or other person has been authorized to give any
information or to make any representations in connection with this offering
other than those contained in this Prospectus Supplement and the additional
Disclosure Documents and, if given or made, such information or
representations must not be relied upon as having been authorized. This
Prospectus Supplement and the aforementioned documents do not constitute an
offer to sell or a solicitation of an offer to buy any of the Certificates
offered hereby in any state to any person to whom it is unlawful to make such
offer or solicitation in such state. The delivery of this Prospectus
Supplement and the aforementioned documents at any time does not imply that
the information contained herein or therein is correct as of any time
subsequent to the date hereof or thereof.
------------------------
TABLE OF CONTENTS
Page
-----
Prospectus Supplement
Table of Contents..................... S- 3
Reference Sheet....................... S- 4
Additional Risk Factors............... S- 8
Description of the Certificates....... S- 9
Certain Additional Federal Income Tax
Consequences........................ S-41
Plan of Distribution.................. S-42
Legal Matters......................... S-43
Exhibit A............................. A- 1
REMIC Prospectus
Prospectus Supplement................. 2
Summary of Prospectus................. 3
Risk Factors.......................... 8
Description of the Certificates....... 10
The Trust Agreement................... 23
Certain Federal Income Tax
Consequences........................ 25
Legal Investment Considerations....... 37
Legal Opinion......................... 37
ERISA Considerations.................. 37
Glossary.............................. 39
- ------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------
- ------------------------------------------------------
$383,906,733
[FANNIE MAE LOGO]
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1997-44
------------------------
PROSPECTUS SUPPLEMENT
------------------------
NOMURA SECURITIES INTERNATIONAL, INC.
May 16, 1997
- ------------------------------------------------------
- ------------------------------------------------------
<PAGE>
Annex 2(i)
Prospectus Supplement
dated July 15, 1997
to
Prospectus dated June 14, 1996
relating to
Federal National Mortgage Association
Guaranteed Remic Pass-Through Certificates
Fannie Mae REMIC Trust 1997-57
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
Prospectus Supplement
(To Prospectus dated June 14, 1996)
$1,982,215,084
[FANNIE MAE LOGO]
Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1997-57
The Guaranteed REMIC Pass-Through Certificates offered hereby (the
"Certificates") will represent beneficial ownership interests in one of two
trust funds. The Certificates, other than the RL Class, will represent
beneficial ownership interests in Fannie Mae REMIC Trust 1997-57 (the "Trust").
The LL and MM Classes, having aggregate original principal balances of
$7,000,000 and $22,000,000, respectively, are being offered by means of a
separate Prospectus Supplement dated July 15, 1997 (the "Retail Class
Supplement"). The assets of the Trust will consist of the "regular interests" in
a separate trust fund (the "Lower Tier REMIC"). The assets of the Lower Tier
REMIC will consist of (i) three groups of Fannie Mae Guaranteed Mortgage
Pass-Through Certificates (the "Group 1 MBS," "Group 2 MBS" and "Group 3 MBS"
and, together, the "Trust MBS") and (ii) certain previously issued REMIC
certificates specified herein (the "Underlying REMIC Certificates") evidencing
beneficial ownership interests in the related Fannie Mae REMIC Trusts (the
"Underlying REMIC Trusts") as further described in Exhibit A hereto. The assets
of the Underlying REMIC Trusts evidence direct beneficial ownership interests in
certain Fannie Mae Guaranteed Mortgage Pass-Through Certificates (together with
the Trust MBS, the "MBS"). Each MBS represents a beneficial ownership interest
in a pool (each, a "Pool") of first lien, single-family, fixed-rate residential
mortgage loans (the "Mortgage Loans") having the characteristics described
herein. The Certificates will be issued and guaranteed as to timely distribution
of principal and interest by Fannie Mae.
Investors should not purchase the Certificates before reading this
Prospectus Supplement and the additional Disclosure Documents listed at the
bottom of page S-2.
------------------------
See "Additional Risk Factors" on page S-10 hereof and "Risk Factors"
beginning on page 8 of the REMIC Prospectus attached hereto for a discussion of
certain risks that should be considered in connection with an investment in the
Certificates.
(Cover continued on next page)
------------------------
THE CERTIFICATES MAY NOT BE SUITABLE INVESTMENTS FOR ALL INVESTORS. NO
INVESTOR SHOULD PURCHASE CERTIFICATES UNLESS SUCH INVESTOR UNDERSTANDS AND IS
ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND OTHER RISKS ASSOCIATED WITH
SUCH CERTIFICATES.
THE CERTIFICATES, TOGETHER WITH ANY INTEREST THEREON, ARE NOT GUARANTEED BY
THE UNITED STATES. THE OBLIGATIONS OF FANNIE MAE UNDER ITS GUARANTY OF THE
CERTIFICATES ARE OBLIGATIONS SOLELY OF FANNIE MAE AND DO NOT CONSTITUTE AN
OBLIGATION OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY THEREOF OTHER
THAN FANNIE MAE. THE CERTIFICATES ARE EXEMPT FROM THE REGISTRATION
REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE "EXEMPTED SECURITIES"
WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
===============================================================================================
Original Final
Class Principal Interest Interest CUSIP Distribution
Class Group Balance Type(1) Rate Type(1) Number Date
- -----------------------------------------------------------------------------------------------
<S> <C>
A ........ 1 $ 424,000 SEQ (5)% PO 31359 Q H L 1 October 2010
B ........ 1 50,000,000 SEQ 7.25% FIX 31359 Q H M 9 August 2025
C ........ 1 54,601,600 SEQ 9.00 FIX 31359 Q H N 7 August 2025
D ........ 1 16,701,800 SEQ 7.50 FIX 31359 Q H P 2 September 2027
G ........ 1 41,222,600 SEQ 6.50 FIX 31359 Q H Q 0 August 2025
H ........ 1 50,000,000 SEQ 7.00 FIX 31359 Q H R 8 August 2025
AJ ....... 1 14,250,000 SEQ 7.50 FIX 31359 Q H S 6 April 2026
AK ....... 1 2,120,000(3) NTL 7.50 FIX/IO 31359 Q H T 4 February 2027
LL ....... 1 (2) SEQ 6.80 FIX 31359 Q H J 6 February 2027
MM........ 1 (2) SEQ 7.00 FIX 31359 Q H K 3 February 2027
PA ....... 2 28,032,000 PAC 6.50 FIX 31359 Q H U 1 February 2011
PB ....... 2 19,031,000 PAC 6.50 FIX 31359 Q H V 9 October 2014
PC ....... 2 45,565,000 PAC 6.50 FIX 31359 Q H W 7 April 2020
PD ....... 2 33,500,000 PAC 6.50 FIX 31359 Q H X 5 December 2022
PK ....... 2 54,802,000 PAC 6.00 FIX 31359 Q H Y 3 April 2026
PG ....... 2 11,510,000 PAC 6.50 FIX 31359 Q H Z 0 October 2026
PL ....... 2 20,000,000 PAC 7.50 FIX 31359 Q J A 3 September 2027
PH ....... 2 3,737,600(3) NTL 7.50 FIX/IO 31359 Q J B 1 February 2011
PJ ....... 2 25,574,533(3) NTL 7.50 FIX/IO 31359 Q J C 9 October 2026
E ....... 2 81,000,000 SCH 7.00 FIX 31359 Q J D 7 September 2027
F ....... 2 27,000,000 SCH (4) FLT 31359 Q J E 5 September 2027
S ....... 2 27,000,000(3) NTL (4) INV/IO 31359 Q J F 2 September 2027
Z ....... 2 13,770,000 SUP 7.50 FIX/Z 31359 Q J G 0 September 2022
ZA ....... 2 5,004,000 SUP 7.50 FIX/Z 31359 Q J H 8 December 2023
ZB ....... 2 13,896,000 SUP 7.50 FIX/Z 31359 Q J J 4 September 2027
AD ....... 2 28,929,000 TAC 7.25 FIX 31359 Q J K 1 April 2025
FC ....... 2 4,821,000 TAC (4) FLT 31359 Q J L 9 April 2025
<CAPTION>
===============================================================================================
Original Final
Class Principal Interest Interest CUSIP Distribution
Class Group Balance Type(1) Rate Type(1) Number Date
- ------------------------------------------------------------------------------------------------
SC ....... 2 $ 4,821,000(3) NTL (4) INV/IO 31359 Q J M 7 April 2025
AE ....... 2 9,640,000 SUP 7.50% FIX 31359 Q J N 5 July 2025
AG ....... 2 1,000,000 SUP 7.50 FIX 31359 Q J P 0 August 2025
ZE ....... 2 2,500,000 SUP 7.50 FIX/Z 31359 Q J Q 8 September 2027
PM ....... 3 299,738,000 PAC 6.50 FIX 31359 Q J R 6 August 2020
PN ....... 3 371,179,000 PAC 5.00 FIX 31359 Q J S 4 September 2027
PT ....... 3 26,291,336(3) NTL 8.00 FIX/IO 31359 Q J T 2 March 2024
AB ....... 3 34,663,125(3) NTL 8.00 FIX/IO 31359 Q J U 9 October 2018
PV ....... 3 134,438,538(3) NTL 8.00 FIX/IO 31359 Q J V 7 September 2027
J ....... 3 197,167,000 TAC 7.00 FIX 31359 Q J W 5 September 2027
FA ....... 3 197,167,000 TAC (4) FLT 31359 Q J X 3 September 2027
SA ....... 3 197,167,000(3) NTL (4) INV/IO 31359 Q J Y 1 September 2027
FB ....... 3 131,632,000 SUP (4) FLT 31359 Q J Z 8 September 2027
SB ....... 3 16,454,000 SUP (4) INV 31359 Q K A 1 September 2027
ZC ....... 3 28,000,000 SUP 8.00 FIX/Z 31359 Q K B 9 September 2023
ZD ....... 3 5,000,000 SUP 8.00 FIX/Z 31359 Q K C 7 January 2024
ZG ....... 3 28,663,000 SUP 8.00 FIX/Z 31359 Q K D 5 December 2025
ZJ ....... 3 2,000,000 SUP 8.00 FIX/Z 31359 Q K E 3 October 2026
ZK ....... 3 2,000,000 SUP 8.00 FIX/Z 31359 Q K F 0 September 2027
ZH ....... 3 21,000,000 SUP 8.00 FIX/Z 31359 Q K G 8 September 2027
FD ....... 4 38,160,000 SC/PT (4) FLT 31359 Q K H 6 July 2027
SD ....... 4 3,816,000 SC/PT (4) INV 31359 Q K J 2 July 2027
SH ....... 4 3,816,000 SC/PT (4) INV 31359 Q K K 9 July 2027
PO ....... 5 9,223,084 SC/PT (5) PO 31359 Q K L 7 April 2024
SG ....... 5 22,838,114(3) NTL (4) INV/IO 31359 Q P G 3 April 2024
R ....... 0 NPR 0 NPR 31359 Q P H 1 September 2027
RL ....... 0 NPR 0 NPR 31359 Q P J 7 September 2027
=================================================================================================
</TABLE>
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the
Certificates--Distributions of Interest" and "--Distributions of
Principal" herein.
(2) The LL and MM Classes with aggregate original principal balances of
$7,000,000 and $22,000,000, respectively, are being offered by means of the
Retail Class Supplement and are not offered hereby.
(3) The AK, PH, PJ, S, SC, PT, AB, PV, SA and SG Classes will be Notional
Classes, will not have principal balances and will bear interest on their
respective notional principal balances. The notional principal balances of
the Notional Classes initially will be as set forth above and thereafter
will be calculated as specified herein. See "Description of the
Certificates--Distributions of Interest--Notional Classes" herein.
(4) These Classes will bear interest based on "LIBOR" as described under
"Description of the Certificates--Distributions of Interest" herein and
"Description of the Certificates--Indices Applicable to Floating Rate and
Inverse Floating Rate Classes" in the REMIC Prospectus.
(5) These Classes will be Principal Only Classes and will bear no interest.
The Certificates will be offered by Lehman Brothers Inc. (the "Dealer")
from time to time in negotiated transactions, at varying prices to be
determined at the time of sale.
The Certificates will be offered by the Dealer, subject to issuance by
Fannie Mae, to prior sale or to withdrawal or modification of the offer without
notice, when, as and if delivered to and accepted by the Dealer, and subject to
approval of certain legal matters by counsel. It is expected that the
Certificates (other than the R and RL Classes) will be available through the
book-entry system of the Federal Reserve Banks on or about August 29, 1997 (the
"Settlement Date"). It is expected that the R and RL Classes in registered,
certificated form will be available for delivery at the offices of the Dealer,
Three World Financial Center, New York, New York 10285, on or about the
Settlement Date.
------------------------
LEHMAN BROTHERS
July 15, 1997
<PAGE>
(Cover continued from previous page)
The yields to investors in the Group 1, Group 2 and Group 3 Classes will be
sensitive in varying degrees to, among other things, the rates of principal
distributions on the Group 1 MBS, the Group 2 MBS and the Group 3 MBS,
respectively, which in turn will be determined by the rates of principal
payments of the related Mortgage Loans and the characteristics of such Mortgage
Loans. The yield to investors in the Group 4 and Group 5 Classes will be
sensitive in varying degrees to, among other things, the rate of principal
distributions on the related Underlying REMIC Certificates, which in turn will
be sensitive in varying degrees to the rate of principal payments of the related
Mortgage Loans, the characteristics of the Mortgage Loans included in the
related Pools and the priority sequences affecting principal distributions for
the related Underlying REMIC Trusts. The yield to investors in each Class will
also be sensitive to the purchase price paid for such Class and, in the case of
any Floating Rate or Inverse Floating Rate Class, fluctuations in the level of
the Index (as defined herein). Accordingly, investors should consider the
following risks:
o The Mortgage Loans generally may be prepaid at any time without
penalty, and, accordingly, the rate of principal payments thereon is
likely to vary considerably from time to time.
o Slight variations in Mortgage Loan characteristics could substantially
affect the weighted average lives and yields of some or all of the
Classes.
o In the case of any Certificates purchased at a discount to their
principal amounts (including any Principal Only Class), a slower than
anticipated rate of principal payments is likely to result in a lower
than anticipated yield.
o In the case of any Certificates purchased at a premium to their
principal amounts, a faster than anticipated rate of principal payments
is likely to result in a lower than anticipated yield.
o In the case of any Interest Only Class, a faster than anticipated rate
of principal payments is likely to result in a lower than anticipated
yield and, in certain cases, an actual loss on the investment.
o The yield on any Floating Rate or Inverse Floating Rate Class will be
sensitive to the level of the Index. See "Description of the
Certificates--Distributions of Interest--Floating Rate and Inverse
Floating Rate Classes" herein.
See "Risk Factors--Yield Considerations" in the REMIC Prospectus and
"Additional Risk Factors--Additional Yield and Prepayment Considerations" and
"Yield Tables" herein.
In addition, investors should purchase Certificates only after considering
the following:
o The actual final payment of any Class will likely occur earlier, and
could occur much earlier, than the Final Distribution Date for such
Class specified on the cover page. See "Description of the
Certificates--Weighted Average Lives of the Certificates" herein and
"Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus.
o The rate of principal distributions of the Certificates is uncertain
and investors may be unable to reinvest the distributions thereon at
yields equaling the yields on the Certificates. See "Risk
Factors--Suitability and Reinvestment Considerations" in the REMIC
Prospectus.
o Investors whose investment activities are subject to legal investment
laws and regulations or to review by regulatory authorities may be
subject to restrictions on investment in certain Classes of the
Certificates. Investors should consult their legal advisors to
determine whether and to what extent the Certificates constitute legal
investments or are subject to restrictions on investment. See "Legal
Investment Considerations" in the REMIC Prospectus.
o The Dealer intends to make a market for the Certificates but is not
obligated to do so. There can be no assurance that such a secondary
market will develop or, if developed, that it will continue. Thus,
investors may not be able to sell their Certificates readily or at
prices that will enable them to realize their anticipated yield. No
investor should purchase Certificates unless such investor understands
and is able to bear the risk that the value of the Certificates will
fluctuate over time and that the Certificates may not be readily
salable.
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, the REMIC Prospectus, the
MBS Prospectus or the Underlying REMIC Disclosure Documents (each as defined
below). Any representation to the contrary is a criminal offense.
Elections will be made to treat the Lower Tier REMIC and the Trust as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code of 1986, as amended (the "Code"). The R and RL Classes will be subject to
transfer restrictions. See "Description of the Certificates--Characteristics of
the R and RL Classes" and "Certain Additional Federal Income Tax Consequences"
herein, and "Description of the Certificates--Additional Characteristics of
Residual Certificates" and "Certain Federal Income Tax Consequences" in the
REMIC Prospectus.
Investors should purchase the Certificates only if they have read and
understood this Prospectus Supplement and the following documents (collectively,
the "Disclosure Documents");
o Fannie Mae's Prospectus for Guaranteed REMIC Pass-Through Certificates
dated June 14, 1996 (the "REMIC Prospectus"), which is attached to this
Prospectus Supplement;
o Fannie Mae's Prospectus for Guaranteed Mortgage Pass-Through
Certificates dated January 1, 1997 (the "MBS Prospectus");
o The Prospectus Supplements for the Underlying REMIC Certificates (the
"Underlying REMIC Disclosure Documents"); and
o Fannie Mae's Information Statement dated March 31, 1997 and any
supplements thereto (collectively, the "Information Statement").
The MBS Prospectus and the Information Statement are incorporated herein by
reference and, together with the Underlying REMIC Disclosure Documents, may be
obtained from Fannie Mae by writing or calling its MBS Helpline at 3900
Wisconsin Avenue, N.W., Area 2H-3S, Washington, D.C. 20016 (telephone
1-800-BEST-MBS or 202-752-6547). Such documents, other than the Underlying REMIC
Disclosure Documents, may also be obtained from Lehman Brothers Inc. by writing
or calling its Registration Department at 536 Broadhollow Road, Melville, New
York 11747 (telephone 516-254-7106).
S-2
<PAGE>
TABLE OF CONTENTS
Page
----
Reference Sheet....................... S- 4
Additional Risk Factors............... S-10
Additional Yield and Prepayment
Considerations................... S-10
Description of the Certificates....... S-10
General............................. S-11
Structure........................ S-11
Fannie Mae Guaranty.............. S-11
Characteristics of
Certificates................... S-11
Authorized Denominations......... S-12
Distribution Dates............... S-12
Record Date...................... S-12
REMIC Trust Factors.............. S-12
Optional Termination............. S-12
Voting the Underlying REMIC
Certificates................... S-12
The Trust MBS....................... S-12
The Underlying REMIC Certificates... S-13
Final Data Statement................ S-14
Distributions of Interest........... S-14
Categories of Classes............ S-14
General.......................... S-14
Interest Accrual Periods......... S-15
Accrual Classes.................. S-15
Notional Classes................. S-15
Floating Rate and Inverse
Floating Rate Classes.......... S-15
Calculation of LIBOR................ S-15
Distributions of Principal.......... S-16
Categories of Classes............ S-16
Principal Distribution Amount.... S-16
Group 1 Principal Distribution
Amount......................... S-17
Group 2 Principal Distribution
Amount......................... S-17
Z, ZA and ZB Accrual Amount.... S-17
ZE Accrual Amount.............. S-18
Group 2 Cash Flow Distribution
Amount...................... S-18
Page
----
Group 3 Principal Distribution
Amount......................... S-19
Group 3 Accrual Amount......... S-19
Group 3 Cash Flow Distribution
Amount...................... S-19
Group 4 Principal Distribution
Amount......................... S-20
Group 5 Principal Distribution
Amount......................... S-20
Structuring Assumptions............. S-20
Pricing Assumptions.............. S-20
Prepayment Assumptions........... S-20
Structuring Ranges and Rates..... S-21
Initial Effective Ranges......... S-21
Yield Tables........................ S-22
General.......................... S-22
The Interest Only Classes and the
SB, SD and SH Classes.......... S-22
The Principal Only Classes....... S-24
Weighted Average Lives of the
Certificates..................... S-25
Decrement Tables.................... S-26
Characteristics of the R and RL
Classes.......................... S-32
Certain Additional Federal Income Tax
Consequences........................ S-32
REMIC Elections and Special Tax
Attributes....................... S-32
Taxation of Beneficial Owners of
Regular Certificates............. S-33
Taxation of Beneficial Owners of
Residual Certificates............ S-33
Plan of Distribution.................. S-33
General.......................... S-33
Increase in Certificates......... S-34
Legal Matters......................... S-34
Exhibit A............................. A- 1
Principal Balance Schedules........... B- 1
S-3
<PAGE>
REFERENCE SHEET
This reference sheet is not a summary of the REMIC transaction and it does
not contain complete information about the Certificates. Investors should
purchase the Certificates only after reading this Prospectus Supplement and each
of the additional Disclosure Documents described herein in their entirety.
Assumed Characteristics of the Mortgage Loans Underlying the Trust MBS (as of
August 1, 1997)
<TABLE>
<CAPTION>
Approximate
Weighted Average Approximate
Approximate Original Term Remaining Term Calculated Approximate
Principal to Maturity to Maturity Loan Age Weighted
Balance (in months) (in months) (in months) Average Coupon
-------------- ------------- ---------------- ----------- --------------
<S> <C>
Group 1 $ 256,200,000 360 357 3 8.05%
Group 2 $ 400,000,000 360 357 3 8.06%
Group 3 $1,300,000,000 360 358 2 8.50%
</TABLE>
The actual remaining terms to maturity, calculated loan ages and interest
rates of most of the related Mortgage Loans will differ from the weighted
averages shown above, perhaps significantly. The tables contained under
"Description of the Certificates--The Trust MBS" herein set forth certain
summary information regarding the assumed characteristics of the Mortgage Loans
underlying the Group 1, Group 2 and Group 3 MBS as of the Issue Date. Certain
additional information regarding the Trust MBS and the related Mortgage Loans
may be obtained from Fannie Mae as described under "Description of the
Certificates--Final Data Statement" herein. See "Description of the
Certificates--Structuring Assumptions--Pricing Assumptions" herein.
Characteristics of the Underlying REMIC Certificates (Group 4 and Group 5)
The table contained in Exhibit A hereto sets forth information with respect
to the Underlying REMIC Certificates, including certain information regarding
the underlying Mortgage Loans. Certain additional information as to the
Underlying REMIC Certificates may be obtained by performing an analysis of
current Fannie Mae principal factors in the context of applicable information
contained in the related Underlying REMIC Disclosure Documents, which may be
obtained from Fannie Mae as described herein.
See "Description of the Certificates--The Underlying REMIC Certificates"
herein.
Interest Rates
The Fixed Rate Classes will bear interest at the applicable per annum
interest rates set forth on the cover.
The Floating Rate and Inverse Floating Rate Classes will bear interest
during the initial Interest Accrual Period at initial interest rates specified
or determined as described below, and will bear
S-4
<PAGE>
interest during each Interest Accrual Period thereafter, subject to the
applicable maximum and minimum interest rates, at rates determined as described
below:
<TABLE>
<CAPTION>
Initial Maximum Minimum Formula for
Interest Interest Interest Calculation of
Class Rate Rate Rate Interest Rate
- --------------------- -------- --------- ------- ------------------------------
<S> <C>
F ................... 6.0875% 9.00000% 0.40% LIBOR + 40 basis points
S .................. 2.9125% 8.60000% 0.00% 8.6% - LIBOR
FC .................. 6.0875% 9.00000% 0.40% LIBOR + 40 basis points
SC .................. 2.9125% 8.60000% 0.00% 8.6% - LIBOR
FA .................. 6.0480% 9.00000% 0.40% LIBOR + 40 basis points
SA .................. 2.9520% 8.60000% 0.00% 8.6% - LIBOR
FB .................. 6.2980% 9.00000% 0.65% LIBOR + 65 basis points
SB .................. 21.6160% 66.80000% 0.00% 66.8% - (8 X LIBOR)
FD................... 6.6375% 9.00000% 0.95% LIBOR + 95 basis points
SD .................. 10.5000% 10.50000% 0.00% 80.50% - (10 X LIBOR)
SG .................. 1.3440%(1) 7.00000% 0.00% 7.0% - LIBOR
SH................... 13.1250% 70.00000% 0.00% 70.00% - (10 X LIBOR)
</TABLE>
- ---------------
(1) The initial interest rate for this Class is an assumed rate. The actual
initial interest rate for this Class will be calculated on the basis of the
applicable formula on the Index Determination Date occurring on August 21,
1997.
See "Description of the Certificates--Distributions of Interest--Floating Rate
and Inverse Floating Rate Classes" herein.
Notional Classes
The notional principal balances of the Notional Classes will be equal to
the indicated percentages of the outstanding balances specified below
immediately prior to the related Distribution Date:
<TABLE>
<CAPTION>
Class Percentage of Specified Balance
------------------------------------------- ------------------------------------------
<S> <C>
AK ........................................ 9.3333333333% of LL Class
6.6666666667% of MM Class
PH ........................................ 13.3333333333% of PA Class
PJ ........................................ 13.3333333333% of PB Class
13.3333333333% of PC Class
13.3333333333% of PD Class
13.3333333333% of PG Class
20.0% of PK Class
S ........................................ 100% of F Class
SC ........................................ 100% of FC Class
PT ........................................ 4.3269230769% of PM Class
8.6538461625% of the excess, if any, of
the PN Class over $217,237,000
PV......................................... 14.4230769231% of the lesser of
(x) the PM Class and
(y) $59,407,000
28.8461538375% of the excess, if any, of
the PN Class over $217,237,000
37.5% of the lesser of
(x) the PN Class and
(y) $217,237,000
AB ........................................ 14.4230769231% of the excess, if any, of
the PM Class over $59,407,000
SA ........................................ 100% of FA Class
SG ........................................ 247.6190610429% of PO Class
</TABLE>
See "Description of the Certificates--Distributions of Interest--Notional
Classes" and "--Yield Tables--The Interest Only Classes and the SB, SD and SH
Classes" herein.
S-5
<PAGE>
Distributions of Principal
The portion of the Principal Distribution Amount allocated to each Class of
Certificates will be determined as described herein under "Description of the
Certificates--Distributions of Principal-- Principal Distribution Amount."
Group 1 Principal Distribution Amount
A. Commencing in September 2000, on each Distribution Date to the LL and MM
Classes, in proportion to their original principal balances, an amount equal to
the lesser of $29,000 and the Group 1 Principal Distribution Amount.
B. Commencing in September 1997, on each Distribution Date (after giving
effect to any payment pursuant to A. above) in the following order:
1. To the A, C, G and H Classes, in the proportions of 1.2959029295%,
37.1532924798%, 30.4714458181% and 31.0793587726%, respectively, until the
A Class is reduced to zero.
2. To the B, C, G and H Classes, in proportion to their then current
principal balances, until the principal balances thereof are reduced to
zero.
3. To the AJ Class, to zero.
4. To the LL and MM Classes, in proportion to their original
principal balances, to zero.
5. To the D Class, to zero.
Group 2 Principal Distribution Amount
Z, ZA and ZB Accrual Amount
1. To the E and F Classes, in proportion to their original principal
balances, to their Maximum Scheduled Balances.
2. To the Z Class, to zero.
3. To the E and F Classes, in proportion to their original principal
balances, to their Minimum Scheduled Balances.
4. To the ZA Class, to zero, and then to the ZB Class.
ZE Accrual Amount
1. To the AD and FC Classes, in proportion to their original principal
balances, to their Targeted Balances.
2. To the AE Class, to zero.
3. To the AD and FC Classes, in proportion to their original principal
balances, to zero.
4. To the AG Class, to zero, and then to the ZE Class.
Group 2 Cash Flow Distribution Amount
1. To the PA, PB, PC, PD, PK, PG and PL Classes, in that order, to their
Planned Balances.
2. (a) 75% of the remaining amount as follows:
first, to the E and F Classes, in proportion to their original
principal balances, to their Maximum Scheduled Balances,
second, to the Z Class, to zero,
S-6
<PAGE>
third, to the E and F Classes, in proportion to their original
principal balances, to their Minimum Scheduled Balances,
fourth, to the ZA and ZB Classes, in that order, to zero, and
fifth, to the E and F Classes, in proportion to their original
principal balances, to zero, and
(b) 25% of such remaining amount as follows:
first, to the AD and FC Classes, in proportion to their original
principal balances, to their Targeted Balances,
second, to the AE Class, to zero,
third, to the AD and FC Classes, in proportion to their original
principal balances, to zero, and
fourth, to the AG and ZE Classes, in that order, to zero.
3. To the PA, PB, PC, PD, PK, PG and PL Classes, in that order, to zero.
Group 3 Principal Distribution Amount
Group 3 Accrual Amount
1. To the Aggregate Group (as described herein under "Description of the
Certificates-- Distributions of Principal"), to its Maximum Scheduled Balance.
2. To the ZC Class, to zero.
3. To the Aggregate Group, to its Minimum Scheduled Balance.
4. To the ZD and ZG Classes, in that order, to zero.
5. To the ZJ and ZH Classes, in the proportions of 16% and 84%,
respectively, until the ZJ Class is reduced to zero.
6. To the ZK and ZH Classes, in the proportions of 16% and 84%,
respectively.
Group 3 Cash Flow Distribution Amount
1. To the PM and PN Classes, in that order, to their Planned Balances.
2. To the Aggregate Group and the applicable Classes in the order and
amounts specified above in 1. through 5. under "Group 3 Accrual Amount."
3. To the ZK and ZH Classes, in the proportions of 16% and 84%,
respectively, to zero.
4. To the Aggregate Group, to zero.
5. To the PM and PN Classes, in that order, to zero.
Group 4 Principal Distribution Amount
To the FD, SD and SH Classes, in proportion to their original principal
balances, to zero.
Group 5 Principal Distribution Amount
To the PO Class, to zero.
S-7
<PAGE>
Weighted Average Lives (years)*
PSA Prepayment Assumption
----------------------------------
Group 1 Classes 0% 100% 200% 300% 500%
- ------------------------------------ ------ ------ ------ ------
A ........................... 7.9 1.7 1.2 0.9 0.7
B ........................... 22.3 9.6 5.7 4.1 2.8
C ........................... 19.1 7.8 4.7 3.4 2.3
D ............................ 29.7 27.7 22.9 17.6 11.1
G ............................ 18.8 7.7 4.6 3.4 2.3
H ............................ 19.4 8.0 4.8 3.5 2.4
AJ ........................... 28.2 20.1 12.4 8.7 5.4
AK, LL and MM................. 24.9 21.0 14.9 10.8 6.8
PSA Prepayment Assumption
----------------------------------
Group 2 Classes 0% 100% 180% 275% 500%
- ------------------------------------ ------ ------ ------ ------
PA and PH..................... 6.8 3.5 3.5 3.5 3.0
PB............................ 11.4 4.5 4.5 4.5 3.3
PC............................ 15.3 6.0 6.0 6.0 3.9
PD............................ 18.8 8.0 8.0 8.0 4.7
PK............................ 21.5 11.0 11.0 11.0 6.3
PG............................ 23.3 14.8 14.8 14.8 8.5
PL............................ 24.2 19.9 19.9 19.9 11.7
PJ ........................... 18.7 8.9 8.9 8.9 5.3
E, F and S.................... 11.2 5.9 3.8 3.1 1.9
Z ............................ 22.8 15.1 1.5 0.8 0.5
ZA............................ 25.6 17.9 11.5 1.5 0.9
ZB............................ 28.2 24.0 19.4 2.0 1.2
AD, FC and SC................. 20.5 8.6 5.7 2.7 1.8
AE............................ 27.3 19.8 2.1 1.2 0.7
AG............................ 27.8 21.8 15.7 5.4 2.6
ZE ........................... 29.0 25.7 21.6 6.5 2.7
PSA Prepayment Assumption
----------------------------------
Group 3 Classes 0% 100% 285% 350% 500%
- ------------------------------------ ------ ------ ------ ------
PM............................ 11.8 3.8 3.8 3.8 3.4
PN ........................... 21.3 10.0 10.0 10.0 7.2
PT ........................... 15.6 5.5 5.5 5.5 4.3
AB ........................... 10.6 3.4 3.4 3.4 3.2
PV ........................... 21.2 10.0 10.0 10.0 7.2
PSA Prepayment Assumption
-----------------------------------------
Group 3 Classes 0% 100% 110% 285% 350% 500%
- ------------------------------------ ------ ------ ------ ------ ------
J, FA and SA.................. 13.0 7.8 6.9 3.0 2.6 2.2
FB and SB..................... 22.9 15.5 14.8 1.4 1.4 1.3
ZC............................ 25.2 17.9 17.3 6.3 1.0 0.5
ZD............................ 26.1 19.3 18.6 7.2 4.7 0.8
ZG............................ 27.3 21.2 20.6 9.5 5.1 1.1
ZJ............................ 28.6 24.2 23.7 13.0 5.8 1.3
ZK............................ 29.6 27.6 27.3 19.2 6.7 1.5
ZH............................ 29.1 26.3 25.9 16.9 6.3 1.4
S-8
<PAGE>
PSA Prepayment Assumption
----------------------------------
Group 4 Classes 0% 100% 200% 300% 500%
- ------------------------------------ ------ ------ ------ ------
FD, SD and SH................. 27.0 17.2 17.1 0.7 0.4
PSA Prepayment Assumption
----------------------------------
Group 5 Classes 0% 100% 200% 300% 500%
- ------------------------------------ ------ ------ ------ ------
PO and SG..................... 23.5 12.1 2.3 1.7 0.8
-------------------------
* Determined as specified under "Weighted Average Lives of the
Certificates" herein.
S-9
<PAGE>
ADDITIONAL RISK FACTORS
Additional Yield and Prepayment Considerations
The rate of distributions of principal of the Group 1, Group 2 and Group 3
Classes will be sensitive in varying degrees to the rate of principal
distributions on the Group 1 MBS, Group 2 MBS and Group 3 MBS, respectively,
which in turn will reflect the rate of amortization (including prepayments) of
the related Mortgage Loans. There can be no assurance that the related Mortgage
Loans will have the characteristics assumed herein. Because the rate of
principal distributions on the Group 1, Group 2 and Group 3 Classes will be
related to the rate of amortization of the related Mortgage Loans, which are
likely to include Mortgage Loans with remaining terms to maturity shorter or
longer than those assumed and interest rates higher or lower than those assumed,
the rates of principal distributions on such Classes is likely to differ from
the rate anticipated by investors, even if such Mortgage Loans prepay at the
indicated constant percentages of PSA.
The rate of distributions of principal of the Group 4 and Group 5 Classes
will be directly related to the rate of principal distributions on the related
Underlying REMIC Certificates, which in turn will be sensitive in varying
degrees to the rate of payments of principal (including prepayments) of the
related Mortgage Loans and the priority sequences affecting principal
distributions for the related Underlying REMIC Trusts. As described in the
related Underlying REMIC Disclosure Documents, the Underlying REMIC Certificates
are subordinate in priority of principal distributions to certain other classes
of certificates evidencing beneficial ownership interests in the related
Underlying REMIC Trusts and, accordingly, distributions of principal of the
related Mortgage Loans may for extended periods be applied to the distribution
of principal of those classes of certificates having priority over such
Underlying REMIC Certificates. In addition, the Underlying REMIC Certificates
have Principal Balance Schedules and, as a result, may receive principal
distributions at a rate faster or slower than would otherwise have been the case
(and, in the case of one of the Underlying REMIC Certificates, may receive no
principal distributions for extended periods). Further, prepayments on the
related Mortgage Loans may have occurred at a rate faster or slower than that
initially assumed. This Prospectus Supplement contains no information as to
whether the Underlying REMIC Certificates have adhered to their Principal
Balance Schedules, whether any related Support classes remain outstanding or
whether such Underlying REMIC Certificates otherwise have performed as
originally anticipated. Additional information as to the Underlying REMIC
Certificates may be obtained by performing an analysis of current Fannie Mae
principal factors in the context of applicable information contained in the
related Underlying REMIC Disclosure Documents, which may be obtained from Fannie
Mae as described herein.
It is highly unlikely that the Mortgage Loans underlying the Group 1 MBS,
Group 2 MBS, Group 3 MBS or the Underlying REMIC Certificates will prepay at any
of the rates assumed herein, will prepay at a constant PSA rate until maturity
or that such Mortgage Loans will prepay at the same rate. Investors must make
their own decisions as to the appropriate assumptions, including prepayment
assumptions, to be used in deciding whether to purchase the Certificates.
The effective yields on the Delay Classes (as defined herein) will be
reduced below the yields otherwise produced because principal and interest
payable on a Distribution Date will be distributed on or about the 18th or 25th
day, as applicable, following the end of the related Interest Accrual Period and
will not bear interest during such delay. No interest at all will be paid on any
Class after its principal balance has been reduced to zero. As a result of the
foregoing, the market values of the Delay Classes will be lower than would have
been the case if there were no such delay.
DESCRIPTION OF THE CERTIFICATES
The following summaries describing certain provisions of the Certificates
do not purport to be complete and are subject to, and are qualified in their
entirety by reference to, the remaining provisions of this Prospectus
Supplement, the additional Disclosure Documents and the provisions of
S-10
<PAGE>
the Trust Agreement (defined below). Capitalized terms used and not otherwise
defined in this Prospectus Supplement have the meanings assigned to such terms
in the applicable Disclosure Document or the Trust Agreement (as the context may
require).
General
Structure. The Trust and the Lower Tier REMIC will be created pursuant to a
trust agreement dated as of August 1, 1997 (the "Trust Agreement"), executed by
the Federal National Mortgage Association ("Fannie Mae") in its corporate
capacity and in its capacity as trustee (the "Trustee"), and the Certificates in
the Classes and aggregate original principal balances set forth on the cover
hereof will be issued by Fannie Mae pursuant thereto. A description of Fannie
Mae and its business, together with certain financial statements and other
financial information, is contained in the Information Statement.
The Certificates (other than the R and RL Classes) will be designated as
the "regular interests," and the R Class will be designated as the "residual
interest," in the REMIC constituted by the Trust. The interests in the Lower
Tier REMIC other than the RL Class (the "Lower Tier Regular Interests") will be
designated as the "regular interests," and the RL Class will be designated as
the "residual interest," in the Lower Tier REMIC. The assets of the Lower Tier
REMIC will consist of the Trust MBS and the Underlying REMIC Certificates
(evidencing beneficial ownership interests in the Underlying REMIC Trusts).
Fannie Mae Guaranty. Fannie Mae guarantees to each holder of an MBS the
timely payment of scheduled installments of principal of and interest on the
underlying Mortgage Loans, whether or not received, together with the full
principal balance of any foreclosed Mortgage Loan, whether or not such balance
is actually recovered. The guaranty obligations of Fannie Mae with respect to
the Underlying REMIC Certificates are described in the Underlying REMIC
Disclosure Documents. In addition, Fannie Mae will be obligated to distribute on
a timely basis to the Holders of Certificates required installments of principal
and interest and to distribute the principal balance of each Class of
Certificates in full no later than the applicable Final Distribution Date,
whether or not sufficient funds are available in the Trust Account. The
guaranties of Fannie Mae are not backed by the full faith and credit of the
United States. See "Description of the Certificates--Fannie Mae's Guaranty" in
the REMIC Prospectus, "Description of Certificates--The Corporation's Guaranty"
in the MBS Prospectus, and "Description of the Certificates--General--Fannie Mae
Guaranty" in the Underlying REMIC Disclosure Documents.
Characteristics of Certificates. The Certificates (other than the R and RL
Classes) will be issued and maintained and may be transferred by Holders only on
the book-entry system of the Federal Reserve Banks. Such entities whose names
appear on the book-entry records of a Federal Reserve Bank as the entities for
whose accounts such Certificates have been deposited are herein referred to as
"Holders" or "Certificateholders."
A Holder is not necessarily the beneficial owner of a book-entry
Certificate. Beneficial owners will ordinarily hold book-entry Certificates
through one or more financial intermediaries, such as banks, brokerage firms and
securities clearing organizations. See "Description of the
Certificates--Denominations, Certificate Form" in the REMIC Prospectus.
The R and RL Certificates will not be issued in book-entry form but will be
issued in fully registered, certificated form. As to the R or RL Certificate,
"Holder" or "Certificateholder" refers to the registered owner thereof. The R or
RL Certificates will be transferable at the corporate trust office of the
Transfer Agent, or at the agency of the Transfer Agent in New York, New York.
The Transfer Agent initially will be State Street Bank and Trust Company in
Boston, Massachusetts ("State Street"). A service charge may be imposed for any
registration of transfer of the R or RL Certificate and Fannie Mae may require
payment of a sum sufficient to cover any tax or other governmental charge. See
also "Characteristics of the R and RL Classes" herein.
S-11
<PAGE>
The distribution to the Holder of the R and RL Classes of the proceeds of
any remaining assets of the Trust and the Lower Tier REMIC, as applicable, will
be made only upon presentation and surrender of the related Certificate at the
office of the Paying Agent. The Paying Agent initially will be State Street.
Authorized Denominations. The Certificates, other than the R and RL
Certificates, will be issued in minimum denominations of $1,000 and integral
multiples of $1 in excess thereof. The R and RL Classes will be issued as single
Certificates and will not have principal balances.
Distribution Dates. Distributions on the Group 1, Group 2, Group 3 and
Group 4 Classes will be made on the 18th day of each month (or, if such 18th day
is not a business day, on the first business day next succeeding such 18th day)
and distributions on the Group 5 Classes will be made on the 25th day of each
month (or, if such 25th day is not a business day, on the first business day
next succeeding such 25th day), commencing in the month following the Settlement
Date, and each such date is referred to herein as a "Distribution Date" when
used with respect to such Classes.
Record Date. Each monthly distribution on the Certificates will be made
to Holders of record on the last day of the preceding month.
REMIC Trust Factors. As soon as practicable following the eleventh calendar
day of each month, Fannie Mae will publish or otherwise make available for each
Class of Certificates the factor (carried to eight decimal places) which, when
multiplied by the original principal balance of a Certificate of such Class,
will equal the remaining principal balance of such Certificate after giving
effect to the distribution of principal to be made on the following Distribution
Date and any interest to be added as principal to the principal balances of the
Accrual Classes on such Distribution Date.
Optional Termination. Consistent with its policy described under
"Description of Certificates-- Termination" in the MBS Prospectus, Fannie Mae
will agree not to effect indirectly an early termination of the Lower Tier REMIC
or the Trust through the exercise of its right to repurchase the Mortgage Loans
underlying any MBS unless only one Mortgage Loan remains in the related Pool or
the principal balance of such Pool at the time of repurchase is less than one
percent of the original principal balance thereof.
Voting the Underlying REMIC Certificates. In the event any issue arises
under the trust agreement governing either of the Underlying REMIC Trusts that
requires the vote of holders of certificates outstanding thereunder, the Trustee
will vote the related Underlying REMIC Certificate in accordance with
instructions received from Holders of Certificates of the related Classes having
principal balances aggregating not less than 51% of the aggregate principal
balance of all such Classes outstanding. In the absence of such instructions,
the Trustee will vote in a manner consistent, in its sole judgment, with the
best interests of Certificateholders.
The Trust MBS
The Trust MBS underlying the Group 1, Group 2 and Group 3 Classes will have
the aggregate unpaid principal balances and Pass-Through Rates set forth below
and the general characteristics described in the MBS Prospectus. The Trust MBS
will provide that principal and interest on the related Mortgage Loans will be
passed through monthly, commencing in the month following the month of the
initial issuance of the Trust MBS. The Mortgage Loans underlying the Trust MBS
will be conventional Level Payment Mortgage Loans secured by first mortgages or
deeds of trust on one- to four-family ("single-family") residential properties
and having original maturities of up to 30 years, as described under "The
Mortgage Pools" and "Yield Considerations" in the MBS Prospectus. The
S-12
<PAGE>
characteristics of the Group 1, Group 2 and Group 3 MBS and the related Mortgage
Loans as of the Issue Date are expected to be as follows:
Group 1 MBS
Aggregate Unpaid Principal Balance.............. $256,200,000
MBS Pass-Through Rate........................... 7.50%
Related Mortgage Loans
Range of WACs (per annum percentages)........... 7.75% to 10.00%
Range of WAMs................................... 241 months to 360 months
Approximate Weighted Average WAM................ 357 months
Approximate Weighted Average CAGE............... 3 months
Group 2 MBS
Aggregate Unpaid Principal Balance.............. $400,000,000
MBS Pass-Through Rate........................... 7.50%
Related Mortgage Loans
Range of WACs (per annum percentages)........... 7.75% to 10.00%
Range of WAMs................................... 241 months to 360 months
Approximate Weighted Average WAM................ 357 months
Approximate Weighted Average CAGE............... 3 months
Group 3 MBS
Aggregate Unpaid Principal Balance.............. $1,300,000,000
MBS Pass-Through Rate........................... 8.00%
Related Mortgage Loans
Range of WACs (per annum percentages)........... 8.25% to 10.50%
Range of WAMs................................... 241 months to 360 months
Approximate Weighted Average WAM................ 358 months
Approximate Weighted Average CAGE............... 2 months
The Underlying REMIC Certificates
The Underlying REMIC Certificates represent beneficial ownership interests
in the related Underlying REMIC Trusts, the assets of which evidence beneficial
ownership interests in certain MBS.
The general characteristics of the Underlying REMIC Certificates are
described in the related Underlying REMIC Disclosure Documents. The general
characteristics of the MBS Certificates are described in the MBS Prospectus. The
Underlying REMIC Certificates provide that distributions thereon will be passed
through monthly, commencing in the month following the initial issuance thereof.
The table contained in Exhibit A hereto sets forth certain information with
respect to each of the Underlying REMIC Certificates, including the numerical
designation of the related Underlying REMIC Trust, the class designation, the
date of issue, the CUSIP number, the interest rate, the interest type, the final
distribution date, the principal type, the original principal balance of the
entire class, the current principal factor for such class and the principal
balance of such class contained in the Lower Tier REMIC as of the Issue Date.
The table also sets forth the approximate weighted average WAC, approximate
weighted average WAM and approximate weighted average CAGE of the Mortgage Loans
underlying the related MBS as of the Issue Date, the underlying security type
and the related Class Group.
To request further information regarding the Underlying REMIC Certificates,
telephone Fannie Mae at 1-800-BEST-MBS or 202-752-6547. Other data specific to
the Certificates is available in electronic form by calling Fannie Mae at
1-800-752-6440 or 202-752-6000. It should be noted that there may have been
material changes in facts and circumstances since the dates the Underlying REMIC
Disclosure Documents were prepared, including, but not limited to, changes in
prepayment speeds and prevailing interest rates and other economic factors,
which may limit the usefulness of the information set forth in such documents.
S-13
<PAGE>
Final Data Statement
Following the issuance of the Certificates, Fannie Mae will prepare a Final
Data Statement setting forth (a) with respect to each of the Group 1 MBS, Group
2 MBS and Group 3 MBS, the Pool number, the current WAC (or original WAC, if the
current WAC is not available) and the current WAM (or Adjusted WAM, if the
current WAM is not available) of the related Mortgage Loans, along with the
weighted average of all the current or original WACs and the weighted average of
all the current or Adjusted WAMs, based on the current unpaid principal balances
of the Mortgage Loans underlying the related MBS as of the Issue Date, and (b)
with respect to the Underlying REMIC Certificates, the current principal
balances thereof as of the Issue Date. The Final Data Statement will not
accompany this Prospectus Supplement but will be made available by Fannie Mae.
To request the Final Data Statement, telephone Fannie Mae at 1-800-BEST-MBS or
202-752-6547. The contents of the Final Data Statement and other data specific
to the Certificates are available in electronic form by calling Fannie Mae at
1-800-752-6440 or 202-752-6000.
Distributions of Interest
Categories of Classes
For the purpose of payments of interest, the Classes will be categorized as
follows:
Interest Type* Classes
- -------------------- ---------------------------------------------------------
Group 1 Classes
Fixed Rate B, C, D, G, H, AJ, AK, LL and MM
Interest Only AK
Principal Only A
Group 2 Classes
Fixed Rate PA, PB, PC, PD, PK, PG, PL, PH, PJ, E, Z, ZA, ZB, AD, AE,
AG and ZE
Accrual Z, ZA, ZB and ZE
Floating Rate F and FC
Inverse Floating
Rate S and SC
Interest Only PH, PJ, S and SC
Group 3 Classes
Fixed Rate PM, PN, PT, AB, PV, J, ZC, ZD, ZG, ZJ, ZK and ZH
Accrual ZC, ZD, ZG, ZJ, ZK and ZH
Floating Rate FA and FB
Inverse Floating
Rate SA and SB
Interest Only PT, AB, PV and SA
Group 4 Classes
Floating Rate FD
Inverse Floating
Rate SD and SH
Group 5 Classes
Inverse Floating
Rate SG
Principal Only PO
Interest Only SG
No Payment Residual R and RL
-------------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
General. The interest-bearing Certificates will bear interest at the
applicable per annum interest rates set forth on the cover or described herein.
Interest on the interest-bearing Certificates is calculated on the basis of a
360-day year consisting of twelve 30-day months and is distributable monthly on
each Distribution Date, commencing (except with respect to the Accrual Classes)
in the month after the Settlement Date. Interest to be distributed or, in the
case of the Accrual Classes, added to principal on each interest-bearing
Certificate on a Distribution Date will consist of one month's interest on the
outstanding principal balance of such Certificate immediately prior to such
Distribution Date.
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<PAGE>
Interest Accrual Periods. Interest to be distributed on a Distribution Date
will accrue on the interest-bearing Certificates during the one-month periods
set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
Classes Interest Accrual Periods
------------------------------------------ -------------------------------------
<S> <C>
The Floating Rate and Inverse Floating One month period ending on the day
Rate Classes (other than the FD, SD and preceding the Distribution Date
SH Classes)
The Fixed Rate Classes and the FD, SD and Calendar month preceding the month in
SH Classes (collectively, the "Delay which the Distribution Date occurs
Classes")
</TABLE>
See "Additional Risk Factors--Additional Yield and Prepayment Considerations"
herein.
Accrual Classes. The Z, ZA, ZB, ZE, ZC, ZD, ZG, ZJ, ZK and ZH Classes are
Accrual Classes. Interest will accrue on the Accrual Classes at the applicable
per annum rates set forth on the cover hereof; however, such interest will not
be distributed thereon for so long as the respective Classes remain outstanding.
Interest so accrued and unpaid on the Accrual Classes will be added as principal
to the principal balances thereof on each Distribution Date. Distributions of
principal of the Accrual Classes will be made as described herein.
Notional Classes. The AK, PH, PJ, S, SC, PT, AB, PV, SA and SG Classes will
be Notional Classes. The Notional Classes will have no principal balances and
will bear interest at the applicable per annum interest rates set forth on the
cover or described herein during each Interest Accrual Period on their
respective notional principal balances. The notional principal balances of the
Notional Classes will be calculated as specified herein under "Reference
Sheet--Notional Classes."
The notional principal balance of a Notional Class is used for purposes of
the determination of interest distributions thereon and does not represent an
interest in the principal distributions of the Trust MBS, Underlying REMIC
Certificates or the underlying Mortgage Loans. Although a Notional Class will
not have a principal balance, a REMIC Trust Factor (as described herein) will be
published with respect to such Class that will be applicable to the notional
principal balance thereof, and references herein to the principal balances of
the Certificates generally shall be deemed to refer also to the notional
principal balances of the Notional Classes.
Floating Rate and Inverse Floating Rate Classes. The Floating Rate and
Inverse Floating Rate Classes will bear interest during each Interest Accrual
Period, subject to the applicable maximum and minimum interest rates, at the
rates determined as described herein under "Reference Sheet--Interest Rates."
The yields with respect to such Classes will be affected by changes in the
index specified herein (the "Index"), which changes may not correlate with
changes in mortgage interest rates. It is possible that lower mortgage interest
rates could occur concurrently with an increase in the level of the Index.
Conversely, higher mortgage interest rates could occur concurrently with a
decrease in the level of the Index.
The establishment of the Index value by Fannie Mae and Fannie Mae's
determination of the rate of interest for each applicable Class for the related
Interest Accrual Period shall (in the absence of manifest error) be final and
binding. Each such rate of interest may be obtained by telephoning Fannie Mae at
1-800-BEST-MBS or 202-752-6547.
Calculation of LIBOR
On each Index Determination Date, until the principal balances and notional
principal balances of the Floating Rate and Inverse Floating Rate Classes have
been reduced to zero, Fannie Mae will establish LIBOR for the related Interest
Accrual Period in the manner described in the REMIC
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<PAGE>
Prospectus under "Description of the Certificates--Indices Applicable to
Floating Rate and Inverse Floating Rate Classes--LIBOR."
If on the initial Index Determination Date, Fannie Mae is unable to
determine LIBOR in the manner specified in the REMIC Prospectus, LIBOR for the
next succeeding Interest Accrual Period will be equal to 5.6875% in the case of
the F, S, FC, SC, FD, SD and SH Classes and 5.6480% in the case of the FA, SA,
FB and SB Classes, and will be equal to LIBOR as determined for such Interest
Accrual Period with respect to the related Underlying REMIC Certificate in the
case of the SG Class.
Distributions of Principal
Categories of Classes
For the purpose of payments of principal, the Classes will be categorized
as follows:
<TABLE>
<CAPTION>
Principal Type* Classes
--------------------------------------------- -------------------------------------
<S> <C>
Group 1 Classes
Sequential Pay A, B, C, G, H, AJ, LL, MM and D
Notional AK
Retail LL and MM
Group 2 Classes
PAC** PA, PB, PC, PD, PK, PG and PL
Scheduled** E and F
TAC** AD and FC
Support Z, ZA, ZB, AE, AG and ZE
Notional PH, PJ, S and SC
Accretion Directed E, F, Z, ZA, AD, FC, AE and AG
Group 3 Classes
PAC** PM and PN
TAC** J and FA
Support FB, SB, ZC, ZD, ZG, ZH, ZJ and ZK
Notional PT, AB, PV and SA
Accretion Directed J, FA, FB, SB, ZC, ZD, ZG, ZJ and ZH
Group 4 Classes
Structured Collateral/Pass-Through FD, SD and SH
Group 5 Classes
Structured Collateral/Pass-Through PO
Notional SG
No Payment Residual R and RL
</TABLE>
-------------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
** The Principal Balance Schedules are set forth herein beginning on page
B-1.
Principal Distribution Amount
On each Distribution Date, principal will be distributed on the
Certificates in an amount (the "Principal Distribution Amount") equal to the sum
of (i) the aggregate distributions of principal to be made on the Group 1 MBS in
the month of such Distribution Date (the "Group 1 Principal Distribution
Amount"), (ii) the aggregate distributions of principal to be made on the Group
2 MBS in the month of such Distribution Date (the "Group 2 Cash Flow
Distribution Amount") and any interest accrued and added on such Distribution
Date to the principal balances of the Z, ZA, ZB and ZE Classes (together with
the Group 2 Cash Flow Distribution Amount, the "Group 2 Principal Distribution
Amount"), (iii) the aggregate distributions of principal to be made on the Group
3 MBS in the month of such Distribution Date (the "Group 3 Cash Flow
Distribution Amount") and any interest accrued and added on such Distribution
Date to the principal balances of the ZC, ZD, ZG, ZJ, ZK and ZH Classes
(together with the Group 3 Cash Flow Distribution Amount, the "Group 3 Principal
Distribution Amount"), (iv) the distribution of principal made on the Class
1997-46-M REMIC Certificate (the "Group 4 Principal Distribution Amount") and
(v) the distribution of
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<PAGE>
principal concurrently made on the Class 1994-72-S REMIC Certificate (the "Group
5 Principal Distribution Amount"). The portion of each class of Underlying REMIC
Certificates held by the Lower Tier REMIC will be as set forth in Exhibit A.
Group 1 Principal Distribution Amount
On each Distribution Date, the Group 1 Principal Distribution Amount will
be distributed as principal of the Group 1 Classes in the following order of
priority:
A. commencing in September 2000, on each Distribution Date to the LL
and MM Classes, concurrently, in proportion to their original principal
balances (or 24.1379310345% and 75.8620689655%, respectively), an amount
equal to the lesser of $29,000 and the Group 1 Principal Distribution
Amount;
B. commencing in September 1997, on each Distribution Date
(after giving effect to any distribution pursuant to (A) above)
in the following order:
(a) concurrently, to the A, C, G and H Classes, in the proportions
of 1.2959029295%, 37.1532924798%, 30.4714458181% and
31.0793587726%, respectively, until the principal balance of the
A Class is reduced to zero;
Sequential
Pay
Classes
(b) concurrently, to the B, C, G and H Classes, in
proportion to their then current principal balances,
until the principal balances thereof are reduced to
zero;
(c) to the AJ Class, until the principal balance thereof
is reduced to zero;
(d) concurrently, to the LL and MM Classes, in proportion to their
original principal balances, until the principal balances
thereof are reduced to zero; and
(e) to the D Class, until the principal balance thereof
is reduced to zero.
Group 2 Principal Distribution Amount
Z, ZA and ZB Accrual Amount
On each Distribution Date, the accrued and unpaid interest on the Z, ZA and
ZB Classes (the "Z, ZA and ZB Accrual Amount"), if any, will be distributed as
principal of the Group 2 Classes specified below in the following order of
priority:
(i) concurrently, to the E and F Classes, in proportion to their
original principal balances (or 75% and 25%, respectively), until the
principal balances thereof are reduced to their respective Maximum
Scheduled Balances for such
Distribution Date; Accretion
Directed
Classes
(ii) to the Z Class, until the principal balance thereof
is reduced to zero;
(iii) concurrently, to the E and F Classes, in proportion to their
original principal balances, until the principal balances thereof are
reduced to their respective Minimum Scheduled Balances for such
Distribution Date; and
Accretion
Directed
Class and
Accrual
Class
(iv) to the ZA Class, until the principal balance thereof
is reduced to zero, and then to the ZB Class.
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<PAGE>
ZE Accrual Amount
On each Distribution Date, the accrual and unpaid interest on the ZE Class
(the "ZE Accrual Amount"), if any, will be distributed as principal of the Group
2 Classes specified below in the following order of priority:
(i) concurrently, to the AD and FC Classes, in proportion to their
original principal balances (or 85.7155555556% and 14.2844444444%,
respectively), until the principal balances thereof are reduced to their
respective Targeted Balances for such Distribution Date;
Accretion
Directed
Classes
and
Accrual
Class
(ii) to the AE Class, until the principal balance thereof
is reduced to zero;
(iii) concurrently, to the AD and FC Classes, in proportion and to
their original principal balances, without regard to their Accrual Targeted
Balances and until the principal balances thereof are Class reduced to
zero; and
(iv) to the AG Class, until the principal balance thereof is reduced
to zero, and then to the ZE Class.
Group 2 Cash Flow Distribution Amount
On each Distribution Date, the Group 2 Cash Flow Distribution Amount will
be distributed as principal of the Group 2 Classes in the following order of
priority:
(i) sequentially, to the PA, PB, PC, PD, PK, PG and PL
Classes, in that order, until the principal balances thereof are
reduced to their respective Planned Balances for such
Distribution Date;
PAC
Classes
(ii) (a) 75% of the remaining amount as follows:
Scheduled
Classes
first, concurrently, to the E and F Classes, in
proportion to their original principal balances, until the
principal balances thereof are reduced to their respective
Maximum Scheduled Balances for such Distribution Date;
Support
Class
second, to the Z Class, until the principal balance
thereof is reduced to zero;
Scheduled
Classes
third, concurrently to the E and F Classes, in
proportion to their original principal balances, until the
principal balances thereof are reduced to their respective
Minimum Scheduled Balances for such Distribution Date;
Support
Classes
fourth, sequentially, to the ZA and ZB Classes, in
that order, until the respective principal balances
thereof are reduced to zero; and
Scheduled
Classes
fifth, concurrently, to the E and F Classes, in
proportion to their original principal balances, without
regard to their Maximum and Minimum Scheduled Balances and
until the principal balances thereof are reduced to zero; and
(b) 25% of such remaining amount as follows:
TAC
Classes
first, concurrently, to the AD and FC Classes, in
proportion to their original principal balances, until the
principal balances thereof are reduced to their respective
Targeted Balances for such Distribution Date;
Support
Class
second, to the AE Class, until the principal balance
thereof is reduced to zero;
S-18
<PAGE>
TAC
Classes
third, concurrently, to the AD and FC Classes, in
proportion to their original principal balances, without
regard to their Targeted Balances and until the principal
balances thereof are reduced to zero;
Support
Classes
fourth, sequentially, to the AG and ZE Classes, in
that order, until the respective principal balances
thereof are reduced to zero; and
PAC
Classes
(iii) sequentially, to the PA, PB, PC, PD, PK, PG and PL
Classes, in that order, without regard to their Planned Balances and
until the respective principal balances thereof are reduced to zero.
Group 3 Principal Distribution Amount
Group 3 Accrual Amount
On each Distribution Date, the accrued and unpaid interest on the ZC, ZD,
ZG, ZJ, ZK and ZH Classes (the "Group 3 Accrual Amount"), if any, will be
distributed as principal as specified below in the following order of priority:
Accretion
Directed
Classes
and
Accrual
Classes
(i) to the Aggregate Group (as described below), until the Aggregate
Balance (as described below) is reduced to its Maximum Scheduled Balance
for such Distribution Date;
(ii) to the ZC Class, until the principal balance thereof
is reduced to zero;
(iii) to the Aggregate Group, until the Aggregate Balance
is reduced to its Minimum Scheduled Balance for such
Distribution Date;
(iv) sequentially, to the ZD and ZG Classes, in that order,
until the respective principal balances thereof are reduced to
zero;
(v) concurrently, to the ZJ and ZH Classes, in the proportions of 16%
and 84%, respectively, until the principal balances of the ZJ Class is
reduced to zero; and
(vi) concurrently, to the ZK and ZH Classes, in the
proportions of 16% and 84%.
Group 3 Cash Flow Distribution Amount
On each Distribution Date, the Group 3 Cash Flow Distribution Amount will
be distributed as principal of the Group 3 Classes in the following order of
priority:
PAC
Classes
(i) sequentially, to the PM and PN Classes, in that order,
until the principal balances thereof are reduced to their
respective Planned Balances for such Distribution Date;
Aggregate
Group
(ii) to the Aggregate Group and the ZC, ZD, ZG, ZJ and ZH
Classes, in the order and amounts specified above in clauses (i)
through (v) under "Group 3 Accrual Amount";
Support
Classes
(iii) concurrently, to the ZK and ZH Classes, in the
proportions of 16% and 84%, respectively, until the principal
balances thereof are reduced to zero;
Aggregate
Group
(iv) to the Aggregate Group, without regard to the Maximum
and Minimum Scheduled Balances and until the Aggregate Balance
is reduced to zero; and
PAC
Classes
(v) sequentially, to the PM and PN Classes, in that order,
without regard to their Planned Balances and until the
respective principal balances thereof are reduced to zero.
S-19
<PAGE>
The "Aggregate Group" consists of the J, FA, FB and SB Classes, and any
distribution of principal of the Aggregate Group will be made in the following
order of priority:
TAC
Classes
(i) concurrently, to the J and FA Classes, in proportion to
their original principal balances (or 50% and 50%,
respectively), until the principal balances thereof are reduced
to their respective Targeted Balances for such Distribution
Date;
Support
Classes
(ii) concurrently, to the FB and SB Classes, in proportion
to their original principal balances (or 88.8888888889% and
11.1111111111%, respectively), until the principal balances
thereof are reduced to zero; and
TAC
Classes
(iii) concurrently, to the J and FA Classes, in proportion
to their original principal balances, without regard to their Targeted
Balances and until the principal balances thereof are reduced to
zero.
The "Aggregate Balance" for any Distribution Date is equal to $542,420,000
minus the sum of all amounts previously applied under "The Group 3 Accrual
Amount" and "The Group 3 Cash Flow Distribution Amount" in respect
of the Aggregate Balance.
Group 4 Principal Distribution Amount
Structured
Collateral/
Pass-Through
Classes
On each Distribution Date, the Group 4 Principal Distribution
Amount will be distributed, concurrently, as principal of the FD, SD
and SH Classes, in proportion to their original principal balances
(or 83.3333333334%, 8.3333333333% and 8.3333333333%, respectively),
until the principal balances thereof are reduced to zero.
Group 5 Principal Distribution Amount
Structured
Collateral/
Pass-Through
Class
On each Distribution Date, the Group 5 Principal Distribution
Amount will be distributed as principal of the PO Class, until the
principal balance thereof is reduced to zero.
Structuring Assumptions
Pricing Assumptions. Unless otherwise specified, the information in the
tables in this Prospectus Supplement has been prepared on the basis of the
actual characteristics of each Pool underlying the Underlying REMIC
Certificates, the priority sequences affecting the principal distributions in
the Underlying REMIC Trusts and the following assumptions (such characteristics
and assumptions, collectively, the "Pricing Assumptions"):
o the Mortgage Loans underlying the Group 1 MBS, the Group 2 MBS and the
Group 3 MBS have the original terms to maturity, the remaining terms
to maturity, CAGEs and interest rates specified herein under
"Reference Sheet--Assumed Characteristics of the Mortgage Loans
Underlying the Trust MBS";
o the Mortgage Loans prepay at the constant percentages of PSA
specified in the related table; and
o the closing date for the sale of the Certificates is August 29,
1997.
Prepayment Assumptions. Prepayments of mortgage loans commonly are measured
relative to a prepayment standard or model. The model used in this Prospectus
Supplement is the Public Securities Association's standard prepayment model
("PSA"). To assume a specified rate of PSA is to assume a specified rate of
prepayment each month of the then outstanding principal balance of a pool of new
mortgage loans computed as described under "Description of the
Certificates--Prepayment Models" in the REMIC Prospectus. It is highly unlikely
that prepayments will occur at any PSA rate or at any other constant rate.
S-20
<PAGE>
Structuring Ranges and Rates. The Principal Balance Schedules have been
prepared on the basis of the Pricing Assumptions and the assumption that the
underlying Mortgage Loans prepay at a constant PSA rate within the applicable
Structuring Ranges or at the rates specified below. The Principal Balance
Schedules are set forth herein beginning on page B-1.
<TABLE>
<CAPTION>
Principal Balance
Schedule References Related Classes Structuring Ranges and Rates
- --------------------------- ---------------------------- -----------------------------
<S> <C>
Planned Balances PA, PB, PC, PD, PK, PG and Between 100% and 275%
PL
Maximum Scheduled Balances E and F 105%
Minimum Scheduled Balances E and F 180%
Targeted Balances AD and FC 105%
Planned Balances PM and PN Between 100% and 350%
Targeted Balances J and FA 110%
Maximum Scheduled Balance J, FA, FB and SB 285%
Minimum Scheduled Balance J, FA, FB and SB 350%
</TABLE>
There is no assurance that the principal balance or aggregate principal
balance of any Class or group of Classes listed above will conform on any
Distribution Date to the applicable balance specified for such Distribution Date
in the Principal Balance Schedules herein, or that distributions of principal on
such Class or group of Classes will begin or end on the respective Distribution
Dates specified therein. Because any excess of the principal distribution on any
Distribution Date over the amount necessary to reduce any such Class or group of
Classes to its scheduled balance will be distributed, the ability to reduce such
Class or group of Classes will not be enhanced by the averaging of high and low
principal payments from month to month. In addition, even if prepayments on the
related Mortgage Loans occur at rates falling within the Structuring Ranges
specified above, principal distributions may be insufficient to reduce such
Class or group of Classes to its scheduled balance if such prepayments do not
occur at a constant PSA rate. Moreover, because of the diverse remaining terms
to maturity of the underlying Mortgage Loans (which may include recently
originated Mortgage Loans), the Classes or group of Classes specified above may
not be reduced to their scheduled balances, even if prepayments occur at a
constant rate within the applicable Structuring Range or at the rate specified
above.
Initial Effective Ranges. The Effective Range for a Class is the range of
prepayment rates (measured by constant PSA rates) that would reduce such Class
to its scheduled balance on each Distribution Date. The Initial Effective Ranges
set forth in the table below are based upon the assumed characteristics of the
underlying Mortgage Loans, as applicable, specified in the Pricing Assumptions.
Initial Effective
Related Classes Ranges
- ---------------- ----------------------
PA Between 100% and 360%
PB Between 100% and 323%
PC Between 100% and 281%
PD Between 100% and 275%
PK Between 100% and 275%
PG Between 76% and 275%
PL Between 60% and 275%
PM Between 100% and 371%
PN Between 100% and 350%
The actual Effective Ranges at any time will be based upon the actual
characteristics of the underlying Mortgage Loans, as applicable, at such time,
which are likely to vary (and may vary considerably) from the Pricing
Assumptions. The actual Effective Ranges calculated on the basis of the actual
characteristics likely will differ from the Initial Effective Ranges. As a
result, the applicable Classes might not be reduced to their scheduled balances
even if prepayments on the related Mortgage Loans were to occur at a constant
PSA rate within the Initial Effective Ranges (particularly if such rate were at
the lower or higher end of such ranges). In addition, even if prepayments occur
at rates
S-21
<PAGE>
falling within the actual Effective Ranges, principal distributions may be
insufficient to reduce the applicable Classes to their scheduled balances if
such prepayments do not occur at a constant PSA rate. It is highly unlikely that
the Mortgage Loans will prepay at any constant PSA rate. In general, the actual
Effective Ranges may narrow, widen or shift upward or downward to reflect actual
prepayment experience over time. The principal payment stability of the PAC,
Scheduled and TAC Classes will be supported in part by the related Support
Classes. When the Support Classes are retired, any outstanding related PAC
Classes may no longer have Effective Ranges and will be more sensitive to
prepayments.
Yield Tables
General. The tables below indicate the sensitivity of the pre-tax corporate
bond equivalent yields to maturity of applicable Classes to various constant
percentages of PSA and, where specified, to changes in the Index. The yields set
forth in the tables were calculated by determining the monthly discount rates
that, when applied to the assumed streams of cash flows to be paid on the
applicable Classes, would cause the discounted present value of such assumed
streams of cash flows to equal the assumed aggregate purchase prices of such
Classes 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 Certificates and consequently do not purport to reflect
the return on any investment in the Certificates when such reinvestment rates
are considered. There can be no assurance that the pre-tax yields on the
Certificates will correspond to any of the pre-tax yields shown herein or that
the aggregate purchase prices of the Certificates will be as assumed. In
addition, there can be no assurance that the Index will correspond to the levels
shown herein. Furthermore, because some of the Mortgage Loans will likely have
remaining terms to maturity shorter or longer than those assumed and interest
rates higher or lower than those assumed, the principal distributions on the
Certificates are likely to differ from those assumed, even if all Mortgage Loans
prepay at the indicated constant percentages of PSA. Moreover, it is not likely
that the Mortgage Loans will prepay at a constant PSA rate until maturity, that
all of such Mortgage Loans will prepay at the same rate or that the level of the
Index will remain constant.
The Interest Only Classes and the SB, SD and SH Classes. The yields to
investors in the Interest Only Classes and the SB, SD and SH Classes will be
sensitive in varying degrees to the rate of principal payments (including
prepayments) of the related Mortgage Loans. In addition, the yields to investors
in the Inverse Floating Rate Classes will be sensitive in varying degrees to the
level of the Index. The Mortgage Loans generally can be prepaid at any time. In
addition, the rate of principal payments (including prepayments) of the Mortgage
Loans is likely to vary, and may vary considerably, from Pool to Pool. As
indicated in the tables below, it is possible that, under certain prepayment
and, if applicable, Index scenarios, investors in the Interest Only Classes and
the SB Class would not fully recoup their initial investments. On the basis of
the assumptions described below, the yield to maturity on the AK, PH, PJ, PT, AB
and PV Classes would be 0% if prepayments of the related Mortgage Loans were to
occur at constant rates of approximately 520% PSA, 512% PSA, 445% PSA, 599% PSA,
712% PSA and 590% PSA, respectively. If the actual prepayment rate of the
related Mortgage Loans were to exceed any of the applicable levels for as little
as one month while equaling such level for the remaining months, the investors
in the AK, PH, PJ, PT, AB and PV Classes, as applicable, would not fully recoup
their initial investments.
Changes in the Index may not correlate with changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur
concurrently with an increased level of the Index.
The information set forth in the following tables was prepared on the basis
of the Pricing Assumptions and the assumptions that (i) the interest rates
applicable to the Inverse Floating Rate Classes for each Interest Accrual Period
subsequent to the initial Interest Accrual Period will be based
S-22
<PAGE>
on the indicated level of the Index and (ii) the aggregate purchase prices of
the Classes specified below (expressed in each case as a percentage of original
principal balance) are as follows:
Class Price*
---------------------------------------------------------- ----------
AK........................................................ 48.87500%
PH........................................................ 21.37500%
PJ ....................................................... 43.81250%
PT ....................................................... 29.78125%
AB ....................................................... 20.87500%
PV ....................................................... 49.03125%
S ....................................................... 4.37500%
SC ....................................................... 4.50000%
SA ....................................................... 5.18750%
SB ....................................................... 107.50000%
SH ....................................................... 88.75000%
SG ....................................................... 11.00000%
SD ....................................................... 97.00000%
-----------------------
* The prices do not include accrued interest. Accrued interest has been
added to such prices in calculating the yields set forth in the tables
below.
Sensitivity of the AK, PH, PJ, PT, AB and PV Classes to Prepayments
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------
Class 50% 100% 200% 300% 500%
- ------------------------------------- ----- ----- ----- ----- ----
<S> <C>
AK................................... 14.6% 14.4% 13.0% 10.1% 1.0%
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
Class 50% 100% 180% 275% 500%
- ------------------------------------- ----- ----- ----- ----- ------
PH................................... 15.7% 11.1% 11.1% 11.1% 1.2%
PJ .................................. 12.6% 9.3% 9.3% 9.3% (3.5)%
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------
Class 50% 100% 285% 350% 500%
- ------------------------------------- ----- ----- ----- ----- ------
PT .................................. 20.2% 13.5% 13.5% 13.5% 6.2%
AB .................................. 24.8% 15.0% 15.0% 15.0% 12.1%
PV .................................. 13.1% 9.8% 9.8% 9.8% 4.0%
</TABLE>
Sensitivity of the S Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-----------------------------------------------------
LIBOR 50% 100% 180% 275% 500%
- ------------------------------------- ------ ------ ------- ------- -------
<S> <C>
3.6875%.............................. 124.2% 117.6% 115.0% 113.6% 95.6%
5.6875%.............................. 64.2% 57.8% 52.5% 49.0% 22.2%
7.6875%.............................. 11.5% 5.3% (6.7)% (17.1)% (61.9)%
8.6000%.............................. * * * * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SC Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
----------------------------------------------------
LIBOR 50% 100% 180% 275% 500%
- ------------------------------------- ------ ------ ------ ------- -------
<S> <C>
3.6875%.............................. 122.4% 115.6% 114.3% 107.8% 86.3%
5.6875%.............................. 64.6% 58.4% 55.6% 42.2% 13.8%
7.6875%.............................. 15.6% 10.4% 3.8% (29.7)% (69.7)%
8.6000%.............................. * * * * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
S-23
<PAGE>
Sensitivity of the SA Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
--------------------------------------------------------------
LIBOR 50% 100% 110% 285% 350% 500%
- --------------------------------- ------ ----- ----- ------- ------- -------
<S> <C>
3.648%........................... 102.9% 97.9% 96.3% 88.9% 85.6% 79.0%
5.648%........................... 55.3% 51.3% 49.4% 34.8% 29.4% 19.5%
7.648%........................... 12.1% 7.9% 5.7% (26.0)% (35.6)% (51.0)%
8.600%........................... * * * * * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SB Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------------------
LIBOR 50% 100% 110% 285% 350% 500%
- --------------------------------- ------ ------ ------ ------ ------ ------
<S> <C>
3.648%........................... 37.3% 37.3% 37.3% 32.0% 31.9% 31.7%
5.648%........................... 20.9% 20.9% 20.9% 16.0% 15.9% 15.7%
7.648%........................... 5.1% 5.1% 5.0% 0.8% 0.7% 0.6%
8.350%........................... (0.3)% (0.4)% (0.4)% (4.3)% (4.4)% (4.6)%
</TABLE>
Sensitivity of the SH Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------
LIBOR 50% 100% 200% 300% 500%
- --------------------------------- ----- ----- ----- ----- -----
<S> <C>
3.6875%.......................... 39.6% 39.6% 39.6% 55.4% 71.3%
5.6875%.......................... 15.2% 15.4% 15.4% 32.2% 48.6%
7.0000% and above................ 0.6% 0.7% 0.7% 17.9% 34.4%
</TABLE>
Sensitivity of the SG Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------------
LIBOR 50% 100% 200% 300% 500%
- --------------------------------- ----- ----- ------- ------- -----
<S> <C>
3.656%........................... 31.8% 30.7% (18.3)% (28.0)% *
5.656%........................... 10.4% 6.9% (45.7)% (49.5)% *
7.000% and above................. * * * * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
Sensitivity of the SD Class to Prepayments and LIBOR
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
---------------------------------------------
LIBOR 50% 100% 200% 300% 500%
- --------------------------------- ----- ----- ----- ----- -----
<S> <C>
7.00% and below.................. 11.0% 11.1% 11.1% 14.7% 18.0%
7.50%............................ 5.8% 5.8% 5.8% 9.8% 13.3%
8.05%............................ 0.1% 0.2% 0.2% 4.4% 8.3%
</TABLE>
The Principal Only Classes. The Principal Only Classes will not bear
interest. As indicated in the tables below, a low rate of principal payments
(including prepayments) on the related Mortgage Loans will have a negative
effect on the yields to investors in the Principal Only Classes.
S-24
<PAGE>
The information set forth in the following tables was prepared on the basis
of the Pricing Assumptions and the assumption that the aggregate purchase prices
of the Principal Only Classes (expressed in each case as a percentage of
original principal balance) are as follows:
Class Price
----------------------------------------------------------- --------
A ......................................................... 92.8125%
PO......................................................... 61.5625%
Sensitivity of the Principal Only Classes to Prepayments
(Pre-Tax Yields to Maturity)
<TABLE>
<CAPTION>
PSA Prepayment Assumption
-------------------------------------------
Class 50% 100% 200% 300% 500%
- ------------------------------------- ---- ---- ----- ----- -----
<S> <C>
A ................................... 3.2% 4.5% 6.5% 8.2% 11.1%
PO................................... 2.7% 4.1% 24.7% 41.5% 83.0%
</TABLE>
Weighted Average Lives of the Certificates
The weighted average life of a Certificate is determined by (a) multiplying
the amount of the reduction, if any, of the principal balance of such
Certificate from one Distribution Date to the next Distribution Date by the
number of years from the Settlement Date to the second such Distribution Date,
(b) summing the results and (c) dividing the sum by the aggregate amount of the
reductions in principal balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average life
of a Certificate, see "Description of the Certificates-- Weighted Average Life
and Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the related Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including the timing of changes in such rate of principal
payments, the priority sequences of distributions of principal of the Group 1,
Group 2 and Group 3 Classes and, in the case of the Group 4 and Group 5 Classes,
the priority sequences of distributions of principal for the Underlying REMIC
Trusts. The weighted average lives of the Group 2 and Group 3 Classes will also
depend on the distribution of principal of certain Classes in accordance with
the Principal Balance Schedules. See "Distributions of Principal" herein and
"Description of the Certificates--Distributions of Principal" in the Underlying
REMIC Disclosure Documents.
The effect of the foregoing factors may differ as to various Classes and
the effects on any Class may vary at different times during the life of such
Class. Accordingly, no assurance can be given as to the weighted average life of
any Class. Further, to the extent the prices of the Certificates represent
discounts or premiums to their respective original principal balances,
variability in the weighted average lives of such Classes of Certificates could
result in variability in the related yields to maturity. For an example of how
the weighted average lives of the Classes may be affected at various constant
prepayment rates, see the Decrement Tables below.
S-25
<PAGE>
Decrement Tables
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each of the
dates shown at various constant PSA levels and the corresponding weighted
average lives of such Classes. The tables have been prepared on the basis of the
Pricing Assumptions, except that with respect to the information set forth for
each such Class under 0% PSA it has been assumed that the underlying Mortgage
Loans have the original and remaining terms to maturity and bear interest at the
per annum rates specified below:
Mortgage Loans relating to
the Trust MBS and Original Remaining
Underlying REMIC Trusts Terms Terms Interest Related
specified below to Maturity to Maturity Rates Groups
- --------------------------- ----------- ----------- -------- --------
Group 1 MBS 360 months 360 months 10.0% Group 1
Group 2 MBS 360 months 360 months 10.0% Group 2
Group 3 MBS 360 months 360 months 10.5% Group 3
1997-46 360 months 358 months 10.0% Group 4
1994-72 360 months 320 months 8.5% Group 5
It is not likely that (i) all of the underlying Mortgage Loans will have
the interest rates, CAGEs or remaining terms to maturity assumed or (ii) the
underlying Mortgage Loans will prepay at a constant PSA level. In addition, the
diverse remaining terms to maturity of the Mortgage Loans could produce slower
or faster principal distributions than indicated in the tables at the specified
constant PSA levels, even if the distributions of the weighted average remaining
terms to maturity and the weighted average CAGEs of the Mortgage Loans are
identical to the distributions of the remaining terms to maturity and CAGEs
specified in the Pricing Assumptions.
Percent of Original Principal Balances Outstanding
A Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 96 79 64 49 19
August 1999......... 91 39 0 0 0
August 2000......... 86 0 0 0 0
August 2001......... 81 0 0 0 0
August 2002......... 75 0 0 0 0
August 2003......... 69 0 0 0 0
August 2004......... 62 0 0 0 0
August 2005......... 55 0 0 0 0
August 2006......... 46 0 0 0 0
August 2007......... 36 0 0 0 0
August 2008......... 26 0 0 0 0
August 2009......... 14 0 0 0 0
August 2010......... * 0 0 0 0
August 2011......... 0 0 0 0 0
August 2012......... 0 0 0 0 0
August 2013......... 0 0 0 0 0
August 2014......... 0 0 0 0 0
August 2015......... 0 0 0 0 0
August 2016......... 0 0 0 0 0
August 2017......... 0 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 7.9 1.7 1.2 0.9 0.7
B Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 99 90 72
August 2000......... 100 98 81 66 39
August 2001......... 100 89 66 47 16
August 2002......... 100 80 53 31 *
August 2003......... 100 72 41 19 0
August 2004......... 100 64 31 8 0
August 2005......... 100 57 23 * 0
August 2006......... 100 50 15 0 0
August 2007......... 100 43 8 0 0
August 2008......... 100 37 2 0 0
August 2009......... 100 32 0 0 0
August 2010......... 100 26 0 0 0
August 2011......... 97 21 0 0 0
August 2012......... 94 16 0 0 0
August 2013......... 90 12 0 0 0
August 2014......... 86 7 0 0 0
August 2015......... 82 3 0 0 0
August 2016......... 77 0 0 0 0
August 2017......... 71 0 0 0 0
August 2018......... 65 0 0 0 0
August 2019......... 58 0 0 0 0
August 2020......... 50 0 0 0 0
August 2021......... 42 0 0 0 0
August 2022......... 33 0 0 0 0
August 2023......... 22 0 0 0 0
August 2024......... 11 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 22.3 9.6 5.7 4.1 2.8
C Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 99 95 92 89 82
August 1999......... 98 86 77 70 56
August 2000......... 97 76 63 51 31
August 2001......... 96 69 51 36 13
August 2002......... 95 62 41 24 *
August 2003......... 93 56 32 14 0
August 2004......... 92 50 24 6 0
August 2005......... 90 44 18 * 0
August 2006......... 88 39 12 0 0
August 2007......... 86 34 6 0 0
August 2008......... 83 29 2 0 0
August 2009......... 81 25 0 0 0
August 2010......... 78 20 0 0 0
August 2011......... 76 16 0 0 0
August 2012......... 73 13 0 0 0
August 2013......... 70 9 0 0 0
August 2014......... 67 6 0 0 0
August 2015......... 63 3 0 0 0
August 2016......... 60 0 0 0 0
August 2017......... 55 0 0 0 0
August 2018......... 50 0 0 0 0
August 2019......... 45 0 0 0 0
August 2020......... 39 0 0 0 0
August 2021......... 33 0 0 0 0
August 2022......... 25 0 0 0 0
August 2023......... 17 0 0 0 0
August 2024......... 9 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 19.1 7.8 4.7 3.4 2.3
D Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 100
August 2003......... 100 100 100 100 100
August 2004......... 100 100 100 100 100
August 2005......... 100 100 100 100 100
August 2006......... 100 100 100 100 80
August 2007......... 100 100 100 100 55
August 2008......... 100 100 100 100 38
August 2009......... 100 100 100 100 26
August 2010......... 100 100 100 100 18
August 2011......... 100 100 100 92 12
August 2012......... 100 100 100 73 8
August 2013......... 100 100 100 58 5
August 2014......... 100 100 100 45 4
August 2015......... 100 100 100 35 2
August 2016......... 100 100 98 28 2
August 2017......... 100 100 81 21 1
August 2018......... 100 100 66 16 1
August 2019......... 100 100 53 12 *
August 2020......... 100 100 42 9 *
August 2021......... 100 100 33 7 *
August 2022......... 100 100 25 5 *
August 2023......... 100 93 18 3 *
August 2024......... 100 67 12 2 *
August 2025......... 100 42 7 1 *
August 2026......... 100 17 3 * *
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.7 27.7 22.9 17.6 11.1
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-26
<PAGE>
G Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 99 95 91 88 80
August 1999......... 98 85 75 68 55
August 2000......... 96 74 62 50 30
August 2001......... 95 67 50 36 12
August 2002......... 94 61 40 24 *
August 2003......... 93 54 31 14 0
August 2004......... 91 48 24 6 0
August 2005......... 89 43 17 * 0
August 2006......... 87 38 11 0 0
August 2007......... 85 33 6 0 0
August 2008......... 82 28 2 0 0
August 2009......... 79 24 0 0 0
August 2010......... 76 20 0 0 0
August 2011......... 74 16 0 0 0
August 2012......... 71 12 0 0 0
August 2013......... 68 9 0 0 0
August 2014......... 65 6 0 0 0
August 2015......... 62 2 0 0 0
August 2016......... 58 0 0 0 0
August 2017......... 54 0 0 0 0
August 2018......... 49 0 0 0 0
August 2019......... 44 0 0 0 0
August 2020......... 38 0 0 0 0
August 2021......... 32 0 0 0 0
August 2022......... 25 0 0 0 0
August 2023......... 17 0 0 0 0
August 2024......... 8 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.8 7.7 4.6 3.4 2.3
H Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 99 96 93 90 84
August 1999......... 98 88 79 71 58
August 2000......... 97 78 65 53 31
August 2001......... 96 71 53 37 13
August 2002......... 95 64 42 25 *
August 2003......... 94 57 33 15 0
August 2004......... 92 51 25 7 0
August 2005......... 91 45 18 * 0
August 2006......... 89 40 12 0 0
August 2007......... 87 35 7 0 0
August 2008......... 85 30 2 0 0
August 2009......... 82 25 0 0 0
August 2010......... 80 21 0 0 0
August 2011......... 77 17 0 0 0
August 2012......... 75 13 0 0 0
August 2013......... 72 9 0 0 0
August 2014......... 69 6 0 0 0
August 2015......... 65 3 0 0 0
August 2016......... 61 0 0 0 0
August 2017......... 57 0 0 0 0
August 2018......... 52 0 0 0 0
August 2019......... 46 0 0 0 0
August 2020......... 40 0 0 0 0
August 2021......... 33 0 0 0 0
August 2022......... 26 0 0 0 0
August 2023......... 18 0 0 0 0
August 2024......... 9 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 19.4 8.0 4.8 3.5 2.4
AJ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 100
August 2003......... 100 100 100 100 0
August 2004......... 100 100 100 100 0
August 2005......... 100 100 100 100 0
August 2006......... 100 100 100 23 0
August 2007......... 100 100 100 0 0
August 2008......... 100 100 100 0 0
August 2009......... 100 100 70 0 0
August 2010......... 100 100 19 0 0
August 2011......... 100 100 0 0 0
August 2012......... 100 100 0 0 0
August 2013......... 100 100 0 0 0
August 2014......... 100 100 0 0 0
August 2015......... 100 100 0 0 0
August 2016......... 100 94 0 0 0
August 2017......... 100 52 0 0 0
August 2018......... 100 13 0 0 0
August 2019......... 100 0 0 0 0
August 2020......... 100 0 0 0 0
August 2021......... 100 0 0 0 0
August 2022......... 100 0 0 0 0
August 2023......... 100 0 0 0 0
August 2024......... 100 0 0 0 0
August 2025......... 82 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.2 20.1 12.4 8.7 5.4
AK+, LL and MM Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 99 99 99 99 99
August 2002......... 98 98 98 98 98
August 2003......... 96 96 96 96 84
August 2004......... 95 95 95 95 40
August 2005......... 94 94 94 94 10
August 2006......... 93 93 93 93 0
August 2007......... 92 92 92 72 0
August 2008......... 90 90 90 47 0
August 2009......... 89 89 89 26 0
August 2010......... 88 88 88 9 0
August 2011......... 87 87 75 0 0
August 2012......... 86 86 55 0 0
August 2013......... 84 84 38 0 0
August 2014......... 83 83 23 0 0
August 2015......... 82 82 10 0 0
August 2016......... 81 81 0 0 0
August 2017......... 80 80 0 0 0
August 2018......... 78 78 0 0 0
August 2019......... 77 65 0 0 0
August 2020......... 76 47 0 0 0
August 2021......... 75 29 0 0 0
August 2022......... 74 12 0 0 0
August 2023......... 72 0 0 0 0
August 2024......... 71 0 0 0 0
August 2025......... 70 0 0 0 0
August 2026......... 31 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 24.9 21.0 14.9 10.8 6.8
PA and PH+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 99 93 93 93 34
August 2001......... 88 6 6 6 0
August 2002......... 77 0 0 0 0
August 2003......... 64 0 0 0 0
August 2004......... 49 0 0 0 0
August 2005......... 33 0 0 0 0
August 2006......... 16 0 0 0 0
August 2007......... 0 0 0 0 0
August 2008......... 0 0 0 0 0
August 2009......... 0 0 0 0 0
August 2010......... 0 0 0 0 0
August 2011......... 0 0 0 0 0
August 2012......... 0 0 0 0 0
August 2013......... 0 0 0 0 0
August 2014......... 0 0 0 0 0
August 2015......... 0 0 0 0 0
August 2016......... 0 0 0 0 0
August 2017......... 0 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 6.8 3.5 3.5 3.5 3.0
PB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 0
August 2002......... 100 0 0 0 0
August 2003......... 100 0 0 0 0
August 2004......... 100 0 0 0 0
August 2005......... 100 0 0 0 0
August 2006......... 100 0 0 0 0
August 2007......... 94 0 0 0 0
August 2008......... 63 0 0 0 0
August 2009......... 28 0 0 0 0
August 2010......... 0 0 0 0 0
August 2011......... 0 0 0 0 0
August 2012......... 0 0 0 0 0
August 2013......... 0 0 0 0 0
August 2014......... 0 0 0 0 0
August 2015......... 0 0 0 0 0
August 2016......... 0 0 0 0 0
August 2017......... 0 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 11.4 4.5 4.5 4.5 3.3
PC Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 32
August 2002......... 100 96 96 96 0
August 2003......... 100 49 49 49 0
August 2004......... 100 4 4 4 0
August 2005......... 100 0 0 0 0
August 2006......... 100 0 0 0 0
August 2007......... 100 0 0 0 0
August 2008......... 100 0 0 0 0
August 2009......... 100 0 0 0 0
August 2010......... 96 0 0 0 0
August 2011......... 78 0 0 0 0
August 2012......... 58 0 0 0 0
August 2013......... 36 0 0 0 0
August 2014......... 12 0 0 0 0
August 2015......... 0 0 0 0 0
August 2016......... 0 0 0 0 0
August 2017......... 0 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 15.3 6.0 6.0 6.0 3.9
PD Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 19
August 2003......... 100 100 100 100 0
August 2004......... 100 100 100 100 0
August 2005......... 100 48 48 48 0
August 2006......... 100 0 0 0 0
August 2007......... 100 0 0 0 0
August 2008......... 100 0 0 0 0
August 2009......... 100 0 0 0 0
August 2010......... 100 0 0 0 0
August 2011......... 100 0 0 0 0
August 2012......... 100 0 0 0 0
August 2013......... 100 0 0 0 0
August 2014......... 100 0 0 0 0
August 2015......... 81 0 0 0 0
August 2016......... 41 0 0 0 0
August 2017......... 0 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.8 8.0 8.0 8.0 4.7
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-27
<PAGE>
PK Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 100
August 2003......... 100 100 100 100 59
August 2004......... 100 100 100 100 23
August 2005......... 100 100 100 100 0
August 2006......... 100 97 97 97 0
August 2007......... 100 69 69 69 0
August 2008......... 100 46 46 46 0
August 2009......... 100 27 27 27 0
August 2010......... 100 11 11 11 0
August 2011......... 100 0 0 0 0
August 2012......... 100 0 0 0 0
August 2013......... 100 0 0 0 0
August 2014......... 100 0 0 0 0
August 2015......... 100 0 0 0 0
August 2016......... 100 0 0 0 0
August 2017......... 98 0 0 0 0
August 2018......... 68 0 0 0 0
August 2019......... 35 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 21.5 11.0 11.0 11.0 6.3
PG Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 100
August 2003......... 100 100 100 100 100
August 2004......... 100 100 100 100 100
August 2005......... 100 100 100 100 91
August 2006......... 100 100 100 100 8
August 2007......... 100 100 100 100 0
August 2008......... 100 100 100 100 0
August 2009......... 100 100 100 100 0
August 2010......... 100 100 100 100 0
August 2011......... 100 90 90 90 0
August 2012......... 100 39 39 39 0
August 2013......... 100 0 0 0 0
August 2014......... 100 0 0 0 0
August 2015......... 100 0 0 0 0
August 2016......... 100 0 0 0 0
August 2017......... 100 0 0 0 0
August 2018......... 100 0 0 0 0
August 2019......... 100 0 0 0 0
August 2020......... 96 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.3 14.8 14.8 14.8 8.5
PL Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 100
August 2003......... 100 100 100 100 100
August 2004......... 100 100 100 100 100
August 2005......... 100 100 100 100 100
August 2006......... 100 100 100 100 100
August 2007......... 100 100 100 100 72
August 2008......... 100 100 100 100 49
August 2009......... 100 100 100 100 34
August 2010......... 100 100 100 100 23
August 2011......... 100 100 100 100 16
August 2012......... 100 100 100 100 11
August 2013......... 100 99 99 99 7
August 2014......... 100 79 79 79 5
August 2015......... 100 63 63 63 3
August 2016......... 100 50 50 50 2
August 2017......... 100 39 39 39 1
August 2018......... 100 30 30 30 1
August 2019......... 100 23 23 23 1
August 2020......... 100 17 17 17 *
August 2021......... 45 13 13 13 *
August 2022......... 9 9 9 9 *
August 2023......... 6 6 6 6 *
August 2024......... 4 4 4 4 *
August 2025......... 2 2 2 2 *
August 2026......... 1 1 1 1 *
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 24.2 19.9 19.9 19.9 11.7
PJ+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 74
August 2002......... 100 89 89 89 52
August 2003......... 100 78 78 78 31
August 2004......... 100 67 67 67 16
August 2005......... 100 57 57 57 5
August 2006......... 100 48 48 48 *
August 2007......... 99 36 36 36 0
August 2008......... 96 26 26 26 0
August 2009......... 93 17 17 17 0
August 2010......... 89 11 11 11 0
August 2011......... 85 5 5 5 0
August 2012......... 80 2 2 2 0
August 2013......... 75 0 0 0 0
August 2014......... 69 0 0 0 0
August 2015......... 63 0 0 0 0
August 2016......... 56 0 0 0 0
August 2017......... 48 0 0 0 0
August 2018......... 35 0 0 0 0
August 2019......... 21 0 0 0 0
August 2020......... 6 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.7 8.9 8.9 8.9 5.3
E, F and S+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 96 90 90 90 90
August 1999......... 92 74 73 73 46
August 2000......... 87 55 47 43 0
August 2001......... 84 52 37 27 0
August 2002......... 81 48 28 15 0
August 2003......... 78 45 21 7 0
August 2004......... 74 41 15 3 0
August 2005......... 70 37 10 * 0
August 2006......... 66 33 6 * 0
August 2007......... 61 27 2 * 0
August 2008......... 56 20 0 * 0
August 2009......... 51 11 0 * 0
August 2010......... 45 2 0 * 0
August 2011......... 39 0 0 * 0
August 2012......... 32 0 0 * 0
August 2013......... 25 0 0 * 0
August 2014......... 17 0 0 * 0
August 2015......... 9 0 0 * 0
August 2016......... * 0 0 * 0
August 2017......... 0 0 0 * 0
August 2018......... 0 0 0 * 0
August 2019......... 0 0 0 * 0
August 2020......... 0 0 0 * 0
August 2021......... 0 0 0 * 0
August 2022......... 0 0 0 * 0
August 2023......... 0 0 0 * 0
August 2024......... 0 0 0 * 0
August 2025......... 0 0 0 * 0
August 2026......... 0 0 0 * 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 11.2 5.9 3.8 3.1 1.9
Z Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 108 108 77 38 0
August 1999......... 116 116 20 0 0
August 2000......... 125 125 0 0 0
August 2001......... 135 135 0 0 0
August 2002......... 145 145 0 0 0
August 2003......... 157 157 0 0 0
August 2004......... 169 169 0 0 0
August 2005......... 182 182 0 0 0
August 2006......... 196 196 0 0 0
August 2007......... 211 211 0 0 0
August 2008......... 228 228 0 0 0
August 2009......... 245 245 0 0 0
August 2010......... 264 264 0 0 0
August 2011......... 285 213 0 0 0
August 2012......... 307 145 0 0 0
August 2013......... 331 72 0 0 0
August 2014......... 356 0 0 0 0
August 2015......... 384 0 0 0 0
August 2016......... 414 0 0 0 0
August 2017......... 370 0 0 0 0
August 2018......... 323 0 0 0 0
August 2019......... 272 0 0 0 0
August 2020......... 216 0 0 0 0
August 2021......... 157 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 22.8 15.1 1.5 0.8 0.5
ZA Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 108 108 108 108 0
August 1999......... 116 116 116 0 0
August 2000......... 125 125 125 0 0
August 2001......... 135 135 135 0 0
August 2002......... 145 145 145 0 0
August 2003......... 157 157 157 0 0
August 2004......... 169 169 169 0 0
August 2005......... 182 182 182 0 0
August 2006......... 196 196 196 0 0
August 2007......... 211 211 211 0 0
August 2008......... 228 228 158 0 0
August 2009......... 245 245 54 0 0
August 2010......... 264 264 0 0 0
August 2011......... 285 285 0 0 0
August 2012......... 307 307 0 0 0
August 2013......... 331 331 0 0 0
August 2014......... 356 344 0 0 0
August 2015......... 384 152 0 0 0
August 2016......... 414 0 0 0 0
August 2017......... 446 0 0 0 0
August 2018......... 481 0 0 0 0
August 2019......... 518 0 0 0 0
August 2020......... 558 0 0 0 0
August 2021......... 602 0 0 0 0
August 2022......... 648 0 0 0 0
August 2023......... 115 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.6 17.9 11.5 1.5 0.9
ZB Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 108 108 108 108 91
August 1999......... 116 116 116 60 0
August 2000......... 125 125 125 0 0
August 2001......... 135 135 135 0 0
August 2002......... 145 145 145 0 0
August 2003......... 157 157 157 0 0
August 2004......... 169 169 169 0 0
August 2005......... 182 182 182 0 0
August 2006......... 196 196 196 0 0
August 2007......... 211 211 211 0 0
August 2008......... 228 228 228 0 0
August 2009......... 245 245 245 0 0
August 2010......... 264 264 244 0 0
August 2011......... 285 285 222 0 0
August 2012......... 307 307 201 0 0
August 2013......... 331 331 180 0 0
August 2014......... 356 356 159 0 0
August 2015......... 384 384 140 0 0
August 2016......... 414 397 122 0 0
August 2017......... 446 356 105 0 0
August 2018......... 481 315 89 0 0
August 2019......... 518 275 75 0 0
August 2020......... 558 236 62 0 0
August 2021......... 602 198 50 0 0
August 2022......... 648 161 39 0 0
August 2023......... 699 125 29 0 0
August 2024......... 583 90 20 0 0
August 2025......... 408 56 12 0 0
August 2026......... 215 24 5 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.2 24.0 19.4 2.0 1.2
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-28
<PAGE>
AD, FC and SC+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 98 91 91 91 91
August 1999......... 95 76 75 74 38
August 2000......... 93 58 56 33 0
August 2001......... 92 57 51 15 0
August 2002......... 91 56 43 2 0
August 2003......... 91 55 37 0 0
August 2004......... 90 55 32 0 0
August 2005......... 89 54 29 0 0
August 2006......... 88 52 26 0 0
August 2007......... 86 50 23 0 0
August 2008......... 85 46 19 0 0
August 2009......... 84 42 15 0 0
August 2010......... 83 36 11 0 0
August 2011......... 81 30 6 0 0
August 2012......... 79 23 2 0 0
August 2013......... 78 16 0 0 0
August 2014......... 76 8 0 0 0
August 2015......... 74 * 0 0 0
August 2016......... 71 0 0 0 0
August 2017......... 69 0 0 0 0
August 2018......... 66 0 0 0 0
August 2019......... 64 0 0 0 0
August 2020......... 61 0 0 0 0
August 2021......... 58 0 0 0 0
August 2022......... 41 0 0 0 0
August 2023......... 18 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.5 8.6 5.7 2.7 1.8
AE Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 85 67 22
August 1999......... 100 100 54 0 0
August 2000......... 100 100 17 0 0
August 2001......... 100 100 0 0 0
August 2002......... 100 100 0 0 0
August 2003......... 100 100 0 0 0
August 2004......... 100 100 0 0 0
August 2005......... 100 100 0 0 0
August 2006......... 100 100 0 0 0
August 2007......... 100 100 0 0 0
August 2008......... 100 100 0 0 0
August 2009......... 100 100 0 0 0
August 2010......... 100 100 0 0 0
August 2011......... 100 100 0 0 0
August 2012......... 100 100 0 0 0
August 2013......... 100 100 0 0 0
August 2014......... 100 100 0 0 0
August 2015......... 100 100 0 0 0
August 2016......... 100 73 0 0 0
August 2017......... 100 45 0 0 0
August 2018......... 100 16 0 0 0
August 2019......... 100 0 0 0 0
August 2020......... 100 0 0 0 0
August 2021......... 100 0 0 0 0
August 2022......... 100 0 0 0 0
August 2023......... 100 0 0 0 0
August 2024......... 74 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.3 19.8 2.1 1.2 0.7
AG Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 0
August 2001......... 100 100 100 100 0
August 2002......... 100 100 100 100 0
August 2003......... 100 100 100 0 0
August 2004......... 100 100 100 0 0
August 2005......... 100 100 100 0 0
August 2006......... 100 100 100 0 0
August 2007......... 100 100 100 0 0
August 2008......... 100 100 100 0 0
August 2009......... 100 100 100 0 0
August 2010......... 100 100 100 0 0
August 2011......... 100 100 100 0 0
August 2012......... 100 100 100 0 0
August 2013......... 100 100 5 0 0
August 2014......... 100 100 0 0 0
August 2015......... 100 100 0 0 0
August 2016......... 100 100 0 0 0
August 2017......... 100 100 0 0 0
August 2018......... 100 100 0 0 0
August 2019......... 100 0 0 0 0
August 2020......... 100 0 0 0 0
August 2021......... 100 0 0 0 0
August 2022......... 100 0 0 0 0
August 2023......... 100 0 0 0 0
August 2024......... 100 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.8 21.8 15.7 5.4 2.6
ZE Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 180% 275% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 108 108 108 108 108
August 1999......... 116 116 116 116 116
August 2000......... 125 125 125 125 0
August 2001......... 135 135 135 135 0
August 2002......... 145 145 145 145 0
August 2003......... 157 157 157 106 0
August 2004......... 169 169 169 39 0
August 2005......... 182 182 182 6 0
August 2006......... 196 196 196 * 0
August 2007......... 211 211 211 * 0
August 2008......... 228 228 228 * 0
August 2009......... 245 245 245 * 0
August 2010......... 264 264 264 * 0
August 2011......... 285 285 285 * 0
August 2012......... 307 307 307 * 0
August 2013......... 331 331 331 * 0
August 2014......... 356 356 295 * 0
August 2015......... 384 384 260 * 0
August 2016......... 414 414 226 * 0
August 2017......... 446 446 195 * 0
August 2018......... 481 481 166 * 0
August 2019......... 518 510 139 * 0
August 2020......... 558 437 114 * 0
August 2021......... 602 366 92 * 0
August 2022......... 648 298 71 * 0
August 2023......... 699 231 53 * 0
August 2024......... 753 167 37 * 0
August 2025......... 756 104 22 * 0
August 2026......... 398 44 9 * 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.0 25.7 21.6 6.5 2.7
PM Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 285% 350% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 98 98 98 98
August 2000......... 97 71 71 71 71
August 2001......... 94 45 45 45 26
August 2002......... 91 20 20 20 0
August 2003......... 87 0 0 0 0
August 2004......... 83 0 0 0 0
August 2005......... 79 0 0 0 0
August 2006......... 74 0 0 0 0
August 2007......... 68 0 0 0 0
August 2008......... 62 0 0 0 0
August 2009......... 55 0 0 0 0
August 2010......... 47 0 0 0 0
August 2011......... 39 0 0 0 0
August 2012......... 30 0 0 0 0
August 2013......... 19 0 0 0 0
August 2014......... 8 0 0 0 0
August 2015......... 0 0 0 0 0
August 2016......... 0 0 0 0 0
August 2017......... 0 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 11.8 3.8 3.8 3.8 3.4
PN Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 285% 350% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 84
August 2003......... 100 97 97 97 58
August 2004......... 100 80 80 80 40
August 2005......... 100 63 63 63 28
August 2006......... 100 49 49 49 19
August 2007......... 100 38 38 38 13
August 2008......... 100 29 29 29 9
August 2009......... 100 23 23 23 6
August 2010......... 100 17 17 17 4
August 2011......... 100 13 13 13 3
August 2012......... 100 10 10 10 2
August 2013......... 100 8 8 8 1
August 2014......... 100 6 6 6 1
August 2015......... 96 4 4 4 1
August 2016......... 84 3 3 3 *
August 2017......... 71 2 2 2 *
August 2018......... 57 2 2 2 *
August 2019......... 42 1 1 1 *
August 2020......... 24 1 1 1 *
August 2021......... 5 1 1 1 *
August 2022......... * * * * *
August 2023......... * * * * *
August 2024......... * * * * *
August 2025......... * * * * *
August 2026......... * * * * *
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 21.3 10.0 10.0 10.0 7.2
PT+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 285% 350% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 99 99 99 99
August 2000......... 99 86 86 86 86
August 2001......... 97 73 73 73 64
August 2002......... 95 61 61 61 31
August 2003......... 94 47 47 47 0
August 2004......... 92 26 26 26 0
August 2005......... 89 6 6 6 0
August 2006......... 87 0 0 0 0
August 2007......... 84 0 0 0 0
August 2008......... 81 0 0 0 0
August 2009......... 78 0 0 0 0
August 2010......... 74 0 0 0 0
August 2011......... 70 0 0 0 0
August 2012......... 65 0 0 0 0
August 2013......... 60 0 0 0 0
August 2014......... 54 0 0 0 0
August 2015......... 45 0 0 0 0
August 2016......... 31 0 0 0 0
August 2017......... 16 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 15.6 5.5 5.5 5.5 4.3
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-29
<PAGE>
AB+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 285% 350% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 97 97 97 97
August 2000......... 96 63 63 63 63
August 2001......... 93 31 31 31 8
August 2002......... 89 * * * 0
August 2003......... 84 0 0 0 0
August 2004......... 79 0 0 0 0
August 2005......... 73 0 0 0 0
August 2006......... 67 0 0 0 0
August 2007......... 60 0 0 0 0
August 2008......... 52 0 0 0 0
August 2009......... 44 0 0 0 0
August 2010......... 34 0 0 0 0
August 2011......... 24 0 0 0 0
August 2012......... 12 0 0 0 0
August 2013......... 0 0 0 0 0
August 2014......... 0 0 0 0 0
August 2015......... 0 0 0 0 0
August 2016......... 0 0 0 0 0
August 2017......... 0 0 0 0 0
August 2018......... 0 0 0 0 0
August 2019......... 0 0 0 0 0
August 2020......... 0 0 0 0 0
August 2021......... 0 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 10.6 3.4 3.4 3.4 3.2
PV+ Class
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 285% 350% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 100 100
August 1999......... 100 100 100 100 100
August 2000......... 100 100 100 100 100
August 2001......... 100 100 100 100 100
August 2002......... 100 100 100 100 81
August 2003......... 100 92 92 92 60
August 2004......... 100 77 77 77 41
August 2005......... 100 64 64 64 29
August 2006......... 100 51 51 51 20
August 2007......... 100 39 39 39 14
August 2008......... 100 30 30 30 9
August 2009......... 100 24 24 24 6
August 2010......... 100 18 18 18 4
August 2011......... 100 14 14 14 3
August 2012......... 100 11 11 11 2
August 2013......... 100 8 8 8 1
August 2014......... 96 6 6 6 1
August 2015......... 90 5 5 5 1
August 2016......... 81 3 3 3 *
August 2017......... 71 3 3 3 *
August 2018......... 59 2 2 2 *
August 2019......... 43 1 1 1 *
August 2020......... 25 1 1 1 *
August 2021......... 5 1 1 1 *
August 2022......... * * * * *
August 2023......... * * * * *
August 2024......... * * * * *
August 2025......... * * * * *
August 2026......... * * * * *
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 21.2 10.0 10.0 10.0 7.2
J, FA and SA+ Classes
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 97 90 90 90 90 90
August 1999......... 93 74 72 72 72 67
August 2000......... 91 72 68 49 39 17
August 2001......... 88 69 65 26 12 0
August 2002......... 86 67 61 9 0 0
August 2003......... 83 64 57 0 0 0
August 2004......... 80 61 53 0 0 0
August 2005......... 77 58 50 0 0 0
August 2006......... 74 53 44 0 0 0
August 2007......... 70 46 36 0 0 0
August 2008......... 66 36 27 0 0 0
August 2009......... 61 26 16 0 0 0
August 2010......... 57 14 5 0 0 0
August 2011......... 52 2 0 0 0 0
August 2012......... 46 0 0 0 0 0
August 2013......... 40 0 0 0 0 0
August 2014......... 33 0 0 0 0 0
August 2015......... 26 0 0 0 0 0
August 2016......... 19 0 0 0 0 0
August 2017......... 10 0 0 0 0 0
August 2018......... 1 0 0 0 0 0
August 2019......... 0 0 0 0 0 0
August 2020......... 0 0 0 0 0 0
August 2021......... 0 0 0 0 0 0
August 2022......... 0 0 0 0 0 0
August 2023......... 0 0 0 0 0 0
August 2024......... 0 0 0 0 0 0
August 2025......... 0 0 0 0 0 0
August 2026......... 0 0 0 0 0 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 13.0 7.8 6.9 3.0 2.6 2.2
FB and SB Classes
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 100 100 100 74 74 74
August 1999......... 100 100 100 16 8 0
August 2000......... 100 100 100 0 0 0
August 2001......... 100 100 100 0 0 0
August 2002......... 100 100 100 0 0 0
August 2003......... 100 100 100 0 0 0
August 2004......... 100 100 100 0 0 0
August 2005......... 100 100 100 0 0 0
August 2006......... 100 100 100 0 0 0
August 2007......... 100 100 100 0 0 0
August 2008......... 100 100 100 0 0 0
August 2009......... 100 100 100 0 0 0
August 2010......... 100 100 100 0 0 0
August 2011......... 100 100 79 0 0 0
August 2012......... 100 69 44 0 0 0
August 2013......... 100 32 8 0 0 0
August 2014......... 100 0 0 0 0 0
August 2015......... 100 0 0 0 0 0
August 2016......... 100 0 0 0 0 0
August 2017......... 100 0 0 0 0 0
August 2018......... 100 0 0 0 0 0
August 2019......... 78 0 0 0 0 0
August 2020......... 50 0 0 0 0 0
August 2021......... 19 0 0 0 0 0
August 2022......... 0 0 0 0 0 0
August 2023......... 0 0 0 0 0 0
August 2024......... 0 0 0 0 0 0
August 2025......... 0 0 0 0 0 0
August 2026......... 0 0 0 0 0 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 22.9 15.5 14.8 1.4 1.4 1.3
ZC Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 108 108 108 108 57 0
August 1999......... 117 117 117 117 0 0
August 2000......... 127 127 127 127 0 0
August 2001......... 138 138 138 138 0 0
August 2002......... 149 149 149 149 0 0
August 2003......... 161 161 161 113 0 0
August 2004......... 175 175 175 2 0 0
August 2005......... 189 189 189 0 0 0
August 2006......... 205 205 205 0 0 0
August 2007......... 222 222 222 0 0 0
August 2008......... 240 240 240 0 0 0
August 2009......... 260 260 260 0 0 0
August 2010......... 282 282 282 0 0 0
August 2011......... 305 305 305 0 0 0
August 2012......... 331 331 331 0 0 0
August 2013......... 358 358 358 0 0 0
August 2014......... 388 356 235 0 0 0
August 2015......... 420 180 65 0 0 0
August 2016......... 455 1 0 0 0 0
August 2017......... 493 0 0 0 0 0
August 2018......... 534 0 0 0 0 0
August 2019......... 578 0 0 0 0 0
August 2020......... 626 0 0 0 0 0
August 2021......... 678 0 0 0 0 0
August 2022......... 432 0 0 0 0 0
August 2023......... 0 0 0 0 0 0
August 2024......... 0 0 0 0 0 0
August 2025......... 0 0 0 0 0 0
August 2026......... 0 0 0 0 0 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 25.2 17.9 17.3 6.3 1.0 0.5
ZD Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 108 108 108 108 108 0
August 1999......... 117 117 117 117 117 0
August 2000......... 127 127 127 127 127 0
August 2001......... 138 138 138 138 138 0
August 2002......... 149 149 149 149 0 0
August 2003......... 161 161 161 161 0 0
August 2004......... 175 175 175 175 0 0
August 2005......... 189 189 189 0 0 0
August 2006......... 205 205 205 0 0 0
August 2007......... 222 222 222 0 0 0
August 2008......... 240 240 240 0 0 0
August 2009......... 260 260 260 0 0 0
August 2010......... 282 282 282 0 0 0
August 2011......... 305 305 305 0 0 0
August 2012......... 331 331 331 0 0 0
August 2013......... 358 358 358 0 0 0
August 2014......... 388 388 388 0 0 0
August 2015......... 420 420 420 0 0 0
August 2016......... 455 455 0 0 0 0
August 2017......... 493 0 0 0 0 0
August 2018......... 534 0 0 0 0 0
August 2019......... 578 0 0 0 0 0
August 2020......... 626 0 0 0 0 0
August 2021......... 678 0 0 0 0 0
August 2022......... 734 0 0 0 0 0
August 2023......... 735 0 0 0 0 0
August 2024......... 0 0 0 0 0 0
August 2025......... 0 0 0 0 0 0
August 2026......... 0 0 0 0 0 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 26.1 19.3 18.6 7.2 4.7 0.8
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-30
<PAGE>
ZG Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 108 108 108 108 108 66
August 1999......... 117 117 117 117 117 0
August 2000......... 127 127 127 127 127 0
August 2001......... 138 138 138 138 138 0
August 2002......... 149 149 149 149 91 0
August 2003......... 161 161 161 161 0 0
August 2004......... 175 175 175 175 0 0
August 2005......... 189 189 189 155 0 0
August 2006......... 205 205 205 113 0 0
August 2007......... 222 222 222 69 0 0
August 2008......... 240 240 240 22 0 0
August 2009......... 260 260 260 0 0 0
August 2010......... 282 282 282 0 0 0
August 2011......... 305 305 305 0 0 0
August 2012......... 331 331 331 0 0 0
August 2013......... 358 358 358 0 0 0
August 2014......... 388 388 388 0 0 0
August 2015......... 420 420 420 0 0 0
August 2016......... 455 455 430 0 0 0
August 2017......... 493 401 303 0 0 0
August 2018......... 534 267 176 0 0 0
August 2019......... 578 133 51 0 0 0
August 2020......... 626 0 0 0 0 0
August 2021......... 678 0 0 0 0 0
August 2022......... 734 0 0 0 0 0
August 2023......... 795 0 0 0 0 0
August 2024......... 523 0 0 0 0 0
August 2025......... 80 0 0 0 0 0
August 2026......... 0 0 0 0 0 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 27.3 21.2 20.6 9.5 5.1 1.1
ZJ Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 108 108 108 108 108 108
August 1999......... 117 117 117 117 117 0
August 2000......... 127 127 127 127 127 0
August 2001......... 138 138 138 138 138 0
August 2002......... 149 149 149 149 149 0
August 2003......... 161 161 161 161 33 0
August 2004......... 175 175 175 175 0 0
August 2005......... 189 189 189 189 0 0
August 2006......... 205 205 205 205 0 0
August 2007......... 222 222 222 222 0 0
August 2008......... 240 240 240 240 0 0
August 2009......... 260 260 260 203 0 0
August 2010......... 282 282 282 119 0 0
August 2011......... 305 305 305 37 0 0
August 2012......... 331 331 331 0 0 0
August 2013......... 358 358 358 0 0 0
August 2014......... 388 388 388 0 0 0
August 2015......... 420 420 420 0 0 0
August 2016......... 455 455 455 0 0 0
August 2017......... 493 493 493 0 0 0
August 2018......... 534 534 534 0 0 0
August 2019......... 578 578 578 0 0 0
August 2020......... 626 624 456 0 0 0
August 2021......... 678 368 223 0 0 0
August 2022......... 734 116 0 0 0 0
August 2023......... 795 0 0 0 0 0
August 2024......... 861 0 0 0 0 0
August 2025......... 932 0 0 0 0 0
August 2026......... 68 0 0 0 0 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.6 24.2 23.7 13.0 5.8 1.3
ZK Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 108 108 108 108 108 108
August 1999......... 117 117 117 117 117 0
August 2000......... 127 127 127 127 127 0
August 2001......... 138 138 138 138 138 0
August 2002......... 149 149 149 149 149 0
August 2003......... 161 161 161 161 161 0
August 2004......... 175 175 175 175 38 0
August 2005......... 189 189 189 189 * 0
August 2006......... 205 205 205 205 * 0
August 2007......... 222 222 222 222 * 0
August 2008......... 240 240 240 240 * 0
August 2009......... 260 260 260 260 * 0
August 2010......... 282 282 282 282 * 0
August 2011......... 305 305 305 305 * 0
August 2012......... 331 331 331 290 * 0
August 2013......... 358 358 358 243 * 0
August 2014......... 388 388 388 203 * 0
August 2015......... 420 420 420 167 * 0
August 2016......... 455 455 455 136 * 0
August 2017......... 493 493 493 110 * 0
August 2018......... 534 534 534 88 * 0
August 2019......... 578 578 578 69 * 0
August 2020......... 626 626 626 53 * 0
August 2021......... 678 678 678 40 * 0
August 2022......... 734 734 727 29 * 0
August 2023......... 795 661 562 20 * 0
August 2024......... 861 479 405 13 * 0
August 2025......... 932 304 256 8 * 0
August 2026......... 1,010 136 113 3 * 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.6 27.6 27.3 19.2 6.7 1.5
ZH Class
-----------------------------------------
PSA Prepayment
Assumption
-----------------------------------------
Date 0% 100% 110% 285% 350% 500%
- -------------------------- ------ ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100 100
August 1998......... 108 108 108 108 108 108
August 1999......... 117 117 117 117 117 0
August 2000......... 127 127 127 127 127 0
August 2001......... 138 138 138 138 138 0
August 2002......... 149 149 149 149 149 0
August 2003......... 161 161 161 161 97 0
August 2004......... 175 175 175 175 19 0
August 2005......... 189 189 189 189 * 0
August 2006......... 205 205 205 205 * 0
August 2007......... 222 222 222 222 * 0
August 2008......... 240 240 240 240 * 0
August 2009......... 260 260 260 232 * 0
August 2010......... 282 282 282 200 * 0
August 2011......... 305 305 305 171 * 0
August 2012......... 331 331 331 145 * 0
August 2013......... 358 358 358 122 * 0
August 2014......... 388 388 388 101 * 0
August 2015......... 420 420 420 83 * 0
August 2016......... 455 455 455 68 * 0
August 2017......... 493 493 493 55 * 0
August 2018......... 534 534 534 44 * 0
August 2019......... 578 578 578 34 * 0
August 2020......... 626 625 541 27 * 0
August 2021......... 678 523 450 20 * 0
August 2022......... 734 425 364 15 * 0
August 2023......... 795 330 281 10 * 0
August 2024......... 861 240 203 7 * 0
August 2025......... 932 152 128 4 * 0
August 2026......... 539 68 57 2 * 0
August 2027......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.1 26.3 25.9 16.9 6.3 1.4
FD, SD and SH Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 100 20 0
August 1999......... 100 100 100 0 0
August 2000......... 100 100 100 0 0
August 2001......... 100 100 100 0 0
August 2002......... 100 100 100 0 0
August 2003......... 100 100 100 0 0
August 2004......... 100 100 100 0 0
August 2005......... 100 100 100 0 0
August 2006......... 100 100 99 0 0
August 2007......... 100 99 94 0 0
August 2008......... 100 88 87 0 0
August 2009......... 100 81 81 0 0
August 2010......... 100 74 74 0 0
August 2011......... 100 67 67 0 0
August 2012......... 100 60 60 0 0
August 2013......... 100 53 53 0 0
August 2014......... 100 47 47 0 0
August 2015......... 100 41 41 0 0
August 2016......... 100 35 35 0 0
August 2017......... 100 30 30 0 0
August 2018......... 100 25 25 0 0
August 2019......... 100 20 20 0 0
August 2020......... 100 16 16 0 0
August 2021......... 100 13 13 0 0
August 2022......... 100 9 9 0 0
August 2023......... 100 7 7 0 0
August 2024......... 46 4 4 0 0
August 2025......... 2 2 2 0 0
August 2026......... 0 0 1 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.0 17.2 17.1 0.7 0.4
PO and SG+ Classes
----------------------------------
PSA Prepayment
Assumption
----------------------------------
Date 0% 100% 200% 300% 500%
- -------------------------- ------ ------ ------ ------
Initial Percent..... 100 100 100 100 100
August 1998......... 100 100 82 38 38
August 1999......... 100 100 47 27 0
August 2000......... 100 100 20 19 0
August 2001......... 100 100 13 13 0
August 2002......... 100 100 7 7 0
August 2003......... 100 100 5 5 0
August 2004......... 100 100 2 2 0
August 2005......... 100 100 0 0 0
August 2006......... 100 94 0 0 0
August 2007......... 100 81 0 0 0
August 2008......... 100 67 0 0 0
August 2009......... 100 52 0 0 0
August 2010......... 100 37 0 0 0
August 2011......... 100 21 0 0 0
August 2012......... 100 5 0 0 0
August 2013......... 100 0 0 0 0
August 2014......... 100 0 0 0 0
August 2015......... 100 0 0 0 0
August 2016......... 100 0 0 0 0
August 2017......... 100 0 0 0 0
August 2018......... 100 0 0 0 0
August 2019......... 100 0 0 0 0
August 2020......... 73 0 0 0 0
August 2021......... 21 0 0 0 0
August 2022......... 0 0 0 0 0
August 2023......... 0 0 0 0 0
August 2024......... 0 0 0 0 0
August 2025......... 0 0 0 0 0
August 2026......... 0 0 0 0 0
August 2027......... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.5 12.1 2.3 1.7 0.8
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-31
<PAGE>
Characteristics of the R and RL Classes
The R and RL Classes will have no principal balances and will not bear
interest. The Holder of the R Class will be entitled to receive the proceeds of
the remaining assets of the Trust, if any, after the principal balances of all
Classes have been reduced to zero, and the Holder of the RL Class will be
entitled to receive the proceeds of the remaining assets of the Lower Tier
REMIC, if any, after the principal balances of the Lower Tier Regular Interests
have been reduced to zero. It is not anticipated that there will be any material
assets remaining in either such circumstance.
The R and RL Classes will be subject to certain transfer restrictions. No
transfer of record or beneficial ownership of an R or RL Certificate will be
allowed to a "disqualified organization." In addition, no transfer of record or
beneficial ownership of an R or RL Certificate will be allowed to any person
that is not a "U.S. Person" without the written consent of Fannie Mae. Under
regulations issued by the Treasury Department on December 23, 1992 (the
"Regulations"), a transfer of a "noneconomic residual interest" to a U.S. Person
will be disregarded for all federal tax purposes unless no significant purpose
of the transfer is to impede the assessment or collection of tax. The R and RL
Classes will constitute noneconomic residual interests under the Regulations.
Any transferee of an R or RL Certificate must execute and deliver an affidavit
and an Internal Revenue Service Form W-9 on which the transferee provides its
taxpayer identification number. See "Description of the Certificates--Additional
Characteristics of Residual Certificates" and "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Residual Certificates" in the
REMIC Prospectus. Transferors of an R or RL Certificate should consult with
their own tax advisors for further information regarding such transfers.
The Holder of the R Class will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Class will be considered to be the holder of the "residual interest" in the
REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, Fannie
Mae will be obligated to provide to such Holders (i) such information as is
necessary to enable them to prepare their federal income tax returns and (ii)
any reports regarding the R Class or RL Class that may be required under the
Code.
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The following tax discussion, when read in conjunction with the discussion
of "Certain Federal Income Tax Consequences" in the REMIC Prospectus, describes
the current federal income tax treatment of investors in the Certificates. These
two tax discussions do not purport to deal with all federal tax consequences
applicable to all categories of investors, some of which may be subject to
special rules. Investors should consult their own tax advisors in determining
the federal, state, local and any other tax consequences to them of the
purchase, ownership and disposition of the Certificates.
REMIC Elections and Special Tax Attributes
Elections will be made to treat the Lower Tier REMIC and the Trust as
REMICs for federal income tax purposes. Arnold & Porter, special tax counsel to
Fannie Mae, will deliver its opinion to Fannie Mae that, assuming compliance
with the Trust Agreement, the Trust and the Lower Tier REMIC will qualify as
REMICs for federal income tax purposes. The Certificates, other than the R and
RL Classes, will be designated as the "regular interests," and the R Class will
be designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests"
and the RL Class will be designated as the "residual interest" in the Lower Tier
REMIC.
As a consequence of the qualification of the Lower Tier REMIC and the Trust
as REMICs, the Certificates generally will be treated as "regular or residual
interests in a REMIC" for domestic building and loan associations, "real estate
assets" for real estate investment trusts, and, except for the R and RL Classes,
as "qualified mortgages" for other REMICs. The Small Business Job Protection Act
of 1996 repeals the bad debt reserve method of accounting for mutual savings
banks
S-32
<PAGE>
and domestic building and loan associations for tax years beginning after
December 31, 1995. As a result, section 593(d) of the Code is no longer
applicable to treat the Certificates as "qualifying real property loans." See
"Certain Federal Income Tax Consequences--Special Tax Attributes" in the REMIC
Prospectus.
Taxation of Beneficial Owners of Regular Certificates
The Notional Classes, the Principal Only Classes, the Accrual Classes and
the PN and SH Classes will be, and certain other Classes of Certificates may be,
issued with original issue discount ("OID") for federal income tax purposes,
which generally will result in recognition of some taxable income in advance of
the receipt of the cash attributable to such income. The Prepayment Assumption
that will be used in determining the rate of accrual of original issue discount
will be 200% PSA in the case of the Group 1, Group 4 and Group 5 Classes, 180%
PSA in the case of the Group 2 Classes and 285% PSA in the case of the Group 3
Classes. See "Certain Federal Income Tax Consequences--Taxation of Beneficial
Owners of Regular Certificates--Original Issue Discount" in the REMIC
Prospectus. No representation is made as to whether the Mortgage Loans
underlying the MBS will prepay at any of those rates or any other rate. See
"Description of the Certificates--Weighted Average Lives of the Certificates"
herein and "Description of the Certificates--Weighted Average Life and Final
Distribution Dates" in the REMIC Prospectus. In addition, certain Classes of
Certificates may be treated as having been issued at a premium for federal
income tax purposes. See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Certificates Purchased at a Premium"
in the REMIC Prospectus.
Taxation of Beneficial Owners of Residual Certificates
Under the Regulations, neither the R Class nor the RL Class will have
significant value. Special rules regarding the treatment of "excess inclusions"
by certain thrift institutions no longer apply because of the amendment of
sections 593 and 860E of the Code by the Small Business Job Protection Act of
1996. See "Certain Federal Income Tax Consequences--Taxation of Beneficial
Owners of Residual Certificates--Excess Inclusions" in the REMIC Prospectus.
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about July 20, 1997. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual Certificates--Excess
Inclusions" and "--Foreign Investors--Residual Certificates" in the REMIC
Prospectus. The federal income tax consequences of any consideration paid to a
transferee on the transfer of an R or RL Certificate are unclear; any transferee
receiving such consideration should consult its own tax advisors.
Fannie Mae intends to determine the accruals of OID on the Underlying REMIC
Certificates using the same Prepayment Assumptions, as provided above, that will
be used to determine the accruals of OID on the related Regular Certificates.
The IRS, however, could take the position that the proper Prepayment Assumptions
to be used with respect to the Underlying REMIC Certificates are the Prepayment
Assumptions set forth in the Underlying REMIC Disclosure Documents. See also
"Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Residual Certificates--Taxable Income or Net Loss of a REMIC Trust" in the REMIC
Prospectus.
PLAN OF DISTRIBUTION
General. The Dealer will receive the Certificates in exchange for the Trust
MBS and the Underlying REMIC Certificates pursuant to a Fannie Mae commitment.
The Dealer proposes to offer the Certificates directly to the public from time
to time in negotiated transactions at varying prices to be determined at the
time of sale. The Dealer may effect such transactions to or through dealers.
S-33
<PAGE>
Increase in Certificates. Before the Settlement Date, Fannie Mae and the
Dealer may agree to offer hereby Group 1, Group 2 and Group 3 Certificates in
addition to those contemplated as of the date hereof. In such event, the Group 1
MBS, the Group 2 MBS or the Group 3 MBS, as applicable, will be increased in
principal balance, but it is expected that all such additional Group 1 MBS,
Group 2 MBS or Group 3 MBS will have the same characteristics as described
herein under "Description of the Certificates--The Trust MBS." The proportion
that the original principal balance of each Group 1, Group 2 and Group 3 Class
bears to the aggregate original principal balance of all Group 1, Group 2 and
Group 3 Classes, respectively, will remain the same. In addition, the dollar
amounts reflected in the Principal Balance Schedules will be increased in a pro
rata amount that corresponds to the increase of the principal balances of the
related Classes.
LEGAL MATTERS
Certain legal matters will be passed upon for the Dealer by Cleary,
Gottlieb, Steen & Hamilton.
S-34
<PAGE>
Exhibit A
Underlying REMIC Certificates
<TABLE>
<CAPTION>
Underlying Date Final
REMIC of CUSIP Interest Interest Distribution
Trust Class Issue Number Rate Type(1) Date
- ---------- ------ ----------- ---------- --------- ------- -------------
<S> <C>
1997-46 M June 1997 31359PE77 7.5% FIX July 2027
1994-72 S April 1994 31359HSH8 (2) INV April 2024
</TABLE>
<TABLE>
<CAPTION>
Original August Principal Approximate
Underlying Principal 1997 Balance Weighted
REMIC Principal Balance Class in the Lower Average
Trust Type(1) of Class Factor Tier REMIC WAC
- ---------- --------- ----------- ---------- ------------ -----------
<S> <C>
1997-46 PAC $45,792,000 1.00000000 $45,792,000 8.087%
1994-72 PAC 18,687,556 0.99172952 9,223,084 6.682
</TABLE>
Approximate Approximate
Weighted Weighted
Underlying Average Average Underlying
REMIC WAM CAGE Security Class
Trust (in months) (in months) Type Group
- ---------- ----------- ----------- ----------- -----
1997-46 346 13 MBS 4
1994-72 307 45 MBS 5
- ---------------
(1) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus.
(2) This Class bears interest during its interest accrual period, subject to the
applicable maximum and minimum interest rates, as further described in the
Underlying REMIC Disclosure Document.
A-1
<PAGE>
Principal Balance Schedules
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
Initial Balance..... $ 28,032,000.00 $ 19,031,000.00 $ 45,565,000.00 $ 33,500,000.00 $ 54,802,000.00 $ 11,510,000.00 $ 20,000,000.00
September 1997...... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 1997........ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
November 1997....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
December 1997....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
January 1998........ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
February 1998....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
March 1998.......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
April 1998.......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
May 1998............ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
June 1998........... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
July 1998........... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
August 1998......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
September 1998...... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 1998........ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
November 1998....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
December 1998....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
January 1999........ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
February 1999....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
March 1999.......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
April 1999.......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
May 1999............ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
June 1999........... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
July 1999........... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
August 1999......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
September 1999...... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 1999........ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
November 1999....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
December 1999....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
January 2000........ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
February 2000....... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
March 2000.......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
April 2000.......... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
May 2000............ 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
June 2000........... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
July 2000........... 28,032,000.00 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
August 2000......... 25,952,402.87 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
September 2000...... 23,883,035.53 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 2000........ 21,823,844.67 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
November 2000....... 19,774,777.22 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
December 2000....... 17,735,780.41 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
January 2001........ 15,706,801.71 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
February 2001....... 13,687,788.89 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
March 2001.......... 11,678,689.97 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
April 2001.......... 9,679,453.24 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
May 2001............ 7,690,027.24 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
June 2001........... 5,710,360.81 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
July 2001........... 3,740,403.02 19,031,000.00 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
</TABLE>
B-1
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
August 2001......... $ 1,780,103.20 $ 19,031,000.00 $ 45,565,000.00 $ 33,500,000.00 $ 54,802,000.00 $ 11,510,000.00 $ 20,000,000.00
September 2001...... 0.00 18,860,410.97 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 2001........ 0.00 16,919,276.18 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
November 2001....... 0.00 14,987,648.94 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
December 2001....... 0.00 13,065,479.62 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
January 2002........ 0.00 11,152,718.85 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
February 2002....... 0.00 9,249,317.50 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
March 2002.......... 0.00 7,355,226.71 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
April 2002.......... 0.00 5,470,397.86 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
May 2002............ 0.00 3,594,782.56 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
June 2002........... 0.00 1,728,332.70 45,565,000.00 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
July 2002........... 0.00 0.00 45,436,000.40 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
August 2002......... 0.00 0.00 43,587,738.02 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
September 2002...... 0.00 0.00 41,748,498.18 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 2002........ 0.00 0.00 39,918,233.73 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
November 2002....... 0.00 0.00 38,096,897.76 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
December 2002....... 0.00 0.00 36,284,443.62 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
January 2003........ 0.00 0.00 34,480,824.86 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
February 2003....... 0.00 0.00 32,685,995.32 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
March 2003.......... 0.00 0.00 30,899,909.02 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
April 2003.......... 0.00 0.00 29,122,520.26 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
May 2003............ 0.00 0.00 27,353,783.55 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
June 2003........... 0.00 0.00 25,593,653.64 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
July 2003........... 0.00 0.00 23,842,085.51 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
August 2003......... 0.00 0.00 22,099,034.38 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
September 2003...... 0.00 0.00 20,364,455.68 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 2003........ 0.00 0.00 18,638,305.09 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
November 2003....... 0.00 0.00 16,920,538.50 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
December 2003....... 0.00 0.00 15,211,112.03 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
January 2004........ 0.00 0.00 13,509,982.02 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
February 2004....... 0.00 0.00 11,817,105.05 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
March 2004.......... 0.00 0.00 10,132,437.91 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
April 2004.......... 0.00 0.00 8,455,937.60 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
May 2004............ 0.00 0.00 6,787,561.37 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
June 2004........... 0.00 0.00 5,127,266.66 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
July 2004........... 0.00 0.00 3,475,011.14 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
August 2004......... 0.00 0.00 1,830,752.69 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
September 2004...... 0.00 0.00 194,449.43 33,500,000.00 54,802,000.00 11,510,000.00 20,000,000.00
October 2004........ 0.00 0.00 0.00 32,066,059.65 54,802,000.00 11,510,000.00 20,000,000.00
November 2004....... 0.00 0.00 0.00 30,445,541.90 54,802,000.00 11,510,000.00 20,000,000.00
December 2004....... 0.00 0.00 0.00 28,832,854.90 54,802,000.00 11,510,000.00 20,000,000.00
January 2005........ 0.00 0.00 0.00 27,227,957.62 54,802,000.00 11,510,000.00 20,000,000.00
February 2005....... 0.00 0.00 0.00 25,630,809.21 54,802,000.00 11,510,000.00 20,000,000.00
March 2005.......... 0.00 0.00 0.00 24,041,369.04 54,802,000.00 11,510,000.00 20,000,000.00
April 2005.......... 0.00 0.00 0.00 22,459,596.69 54,802,000.00 11,510,000.00 20,000,000.00
May 2005............ 0.00 0.00 0.00 20,885,451.95 54,802,000.00 11,510,000.00 20,000,000.00
June 2005........... 0.00 0.00 0.00 19,318,894.80 54,802,000.00 11,510,000.00 20,000,000.00
July 2005........... 0.00 0.00 0.00 17,759,885.44 54,802,000.00 11,510,000.00 20,000,000.00
</TABLE>
B-2
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
August 2005......... $ 0.00 $ 0.00 $ 0.00 $ 16,208,384.27 $ 54,802,000.00 $ 11,510,000.00 $ 20,000,000.00
September 2005...... 0.00 0.00 0.00 14,664,351.89 54,802,000.00 11,510,000.00 20,000,000.00
October 2005........ 0.00 0.00 0.00 13,127,749.09 54,802,000.00 11,510,000.00 20,000,000.00
November 2005....... 0.00 0.00 0.00 11,598,536.89 54,802,000.00 11,510,000.00 20,000,000.00
December 2005....... 0.00 0.00 0.00 10,076,676.49 54,802,000.00 11,510,000.00 20,000,000.00
January 2006........ 0.00 0.00 0.00 8,562,129.28 54,802,000.00 11,510,000.00 20,000,000.00
February 2006....... 0.00 0.00 0.00 7,054,856.86 54,802,000.00 11,510,000.00 20,000,000.00
March 2006.......... 0.00 0.00 0.00 5,554,821.03 54,802,000.00 11,510,000.00 20,000,000.00
April 2006.......... 0.00 0.00 0.00 4,061,983.77 54,802,000.00 11,510,000.00 20,000,000.00
May 2006............ 0.00 0.00 0.00 2,579,379.30 54,802,000.00 11,510,000.00 20,000,000.00
June 2006........... 0.00 0.00 0.00 1,120,005.08 54,802,000.00 11,510,000.00 20,000,000.00
July 2006........... 0.00 0.00 0.00 0.00 54,485,505.36 11,510,000.00 20,000,000.00
August 2006......... 0.00 0.00 0.00 0.00 53,071,529.77 11,510,000.00 20,000,000.00
September 2006...... 0.00 0.00 0.00 0.00 51,679,733.26 11,510,000.00 20,000,000.00
October 2006........ 0.00 0.00 0.00 0.00 50,309,775.98 11,510,000.00 20,000,000.00
November 2006....... 0.00 0.00 0.00 0.00 48,961,323.25 11,510,000.00 20,000,000.00
December 2006....... 0.00 0.00 0.00 0.00 47,634,045.42 11,510,000.00 20,000,000.00
January 2007........ 0.00 0.00 0.00 0.00 46,327,617.87 11,510,000.00 20,000,000.00
February 2007....... 0.00 0.00 0.00 0.00 45,041,720.87 11,510,000.00 20,000,000.00
March 2007.......... 0.00 0.00 0.00 0.00 43,776,039.53 11,510,000.00 20,000,000.00
April 2007.......... 0.00 0.00 0.00 0.00 42,530,263.75 11,510,000.00 20,000,000.00
May 2007............ 0.00 0.00 0.00 0.00 41,304,088.10 11,510,000.00 20,000,000.00
June 2007........... 0.00 0.00 0.00 0.00 40,097,211.79 11,510,000.00 20,000,000.00
July 2007........... 0.00 0.00 0.00 0.00 38,909,338.59 11,510,000.00 20,000,000.00
August 2007......... 0.00 0.00 0.00 0.00 37,740,176.76 11,510,000.00 20,000,000.00
September 2007...... 0.00 0.00 0.00 0.00 36,589,438.95 11,510,000.00 20,000,000.00
October 2007........ 0.00 0.00 0.00 0.00 35,456,842.21 11,510,000.00 20,000,000.00
November 2007....... 0.00 0.00 0.00 0.00 34,342,107.85 11,510,000.00 20,000,000.00
December 2007....... 0.00 0.00 0.00 0.00 33,244,961.40 11,510,000.00 20,000,000.00
January 2008........ 0.00 0.00 0.00 0.00 32,165,132.56 11,510,000.00 20,000,000.00
February 2008....... 0.00 0.00 0.00 0.00 31,102,355.14 11,510,000.00 20,000,000.00
March 2008.......... 0.00 0.00 0.00 0.00 30,056,366.96 11,510,000.00 20,000,000.00
April 2008.......... 0.00 0.00 0.00 0.00 29,026,909.84 11,510,000.00 20,000,000.00
May 2008............ 0.00 0.00 0.00 0.00 28,013,729.50 11,510,000.00 20,000,000.00
June 2008........... 0.00 0.00 0.00 0.00 27,016,575.51 11,510,000.00 20,000,000.00
July 2008........... 0.00 0.00 0.00 0.00 26,035,201.26 11,510,000.00 20,000,000.00
August 2008......... 0.00 0.00 0.00 0.00 25,069,363.87 11,510,000.00 20,000,000.00
September 2008...... 0.00 0.00 0.00 0.00 24,118,824.14 11,510,000.00 20,000,000.00
October 2008........ 0.00 0.00 0.00 0.00 23,183,346.50 11,510,000.00 20,000,000.00
November 2008....... 0.00 0.00 0.00 0.00 22,262,698.97 11,510,000.00 20,000,000.00
December 2008....... 0.00 0.00 0.00 0.00 21,356,653.08 11,510,000.00 20,000,000.00
January 2009........ 0.00 0.00 0.00 0.00 20,464,983.83 11,510,000.00 20,000,000.00
February 2009....... 0.00 0.00 0.00 0.00 19,587,469.62 11,510,000.00 20,000,000.00
March 2009.......... 0.00 0.00 0.00 0.00 18,723,892.24 11,510,000.00 20,000,000.00
April 2009.......... 0.00 0.00 0.00 0.00 17,874,036.78 11,510,000.00 20,000,000.00
May 2009............ 0.00 0.00 0.00 0.00 17,037,691.59 11,510,000.00 20,000,000.00
June 2009........... 0.00 0.00 0.00 0.00 16,214,648.26 11,510,000.00 20,000,000.00
July 2009........... 0.00 0.00 0.00 0.00 15,404,701.50 11,510,000.00 20,000,000.00
</TABLE>
B-3
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
August 2009......... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 14,607,649.18 $ 11,510,000.00 $ 20,000,000.00
September 2009...... 0.00 0.00 0.00 0.00 13,823,292.22 11,510,000.00 20,000,000.00
October 2009........ 0.00 0.00 0.00 0.00 13,051,434.58 11,510,000.00 20,000,000.00
November 2009....... 0.00 0.00 0.00 0.00 12,291,883.19 11,510,000.00 20,000,000.00
December 2009....... 0.00 0.00 0.00 0.00 11,544,447.91 11,510,000.00 20,000,000.00
January 2010........ 0.00 0.00 0.00 0.00 10,808,941.50 11,510,000.00 20,000,000.00
February 2010....... 0.00 0.00 0.00 0.00 10,085,179.56 11,510,000.00 20,000,000.00
March 2010.......... 0.00 0.00 0.00 0.00 9,372,980.50 11,510,000.00 20,000,000.00
April 2010.......... 0.00 0.00 0.00 0.00 8,672,165.48 11,510,000.00 20,000,000.00
May 2010............ 0.00 0.00 0.00 0.00 7,982,558.41 11,510,000.00 20,000,000.00
June 2010........... 0.00 0.00 0.00 0.00 7,303,985.84 11,510,000.00 20,000,000.00
July 2010........... 0.00 0.00 0.00 0.00 6,636,276.99 11,510,000.00 20,000,000.00
August 2010......... 0.00 0.00 0.00 0.00 5,979,263.65 11,510,000.00 20,000,000.00
September 2010...... 0.00 0.00 0.00 0.00 5,332,780.20 11,510,000.00 20,000,000.00
October 2010........ 0.00 0.00 0.00 0.00 4,696,663.52 11,510,000.00 20,000,000.00
November 2010....... 0.00 0.00 0.00 0.00 4,070,752.98 11,510,000.00 20,000,000.00
December 2010....... 0.00 0.00 0.00 0.00 3,454,890.39 11,510,000.00 20,000,000.00
January 2011........ 0.00 0.00 0.00 0.00 2,848,919.99 11,510,000.00 20,000,000.00
February 2011....... 0.00 0.00 0.00 0.00 2,252,688.36 11,510,000.00 20,000,000.00
March 2011.......... 0.00 0.00 0.00 0.00 1,666,044.44 11,510,000.00 20,000,000.00
April 2011.......... 0.00 0.00 0.00 0.00 1,088,839.47 11,510,000.00 20,000,000.00
May 2011............ 0.00 0.00 0.00 0.00 520,926.94 11,510,000.00 20,000,000.00
June 2011........... 0.00 0.00 0.00 0.00 0.00 11,472,162.59 20,000,000.00
July 2011........... 0.00 0.00 0.00 0.00 0.00 10,922,404.36 20,000,000.00
August 2011......... 0.00 0.00 0.00 0.00 0.00 10,381,512.33 20,000,000.00
September 2011...... 0.00 0.00 0.00 0.00 0.00 9,849,348.74 20,000,000.00
October 2011........ 0.00 0.00 0.00 0.00 0.00 9,325,777.93 20,000,000.00
November 2011....... 0.00 0.00 0.00 0.00 0.00 8,810,666.29 20,000,000.00
December 2011....... 0.00 0.00 0.00 0.00 0.00 8,303,882.26 20,000,000.00
January 2012........ 0.00 0.00 0.00 0.00 0.00 7,805,296.29 20,000,000.00
February 2012....... 0.00 0.00 0.00 0.00 0.00 7,314,780.79 20,000,000.00
March 2012.......... 0.00 0.00 0.00 0.00 0.00 6,832,210.14 20,000,000.00
April 2012.......... 0.00 0.00 0.00 0.00 0.00 6,357,460.63 20,000,000.00
May 2012............ 0.00 0.00 0.00 0.00 0.00 5,890,410.42 20,000,000.00
June 2012........... 0.00 0.00 0.00 0.00 0.00 5,430,939.55 20,000,000.00
July 2012........... 0.00 0.00 0.00 0.00 0.00 4,978,929.90 20,000,000.00
August 2012......... 0.00 0.00 0.00 0.00 0.00 4,534,265.12 20,000,000.00
September 2012...... 0.00 0.00 0.00 0.00 0.00 4,096,830.67 20,000,000.00
October 2012........ 0.00 0.00 0.00 0.00 0.00 3,666,513.74 20,000,000.00
November 2012....... 0.00 0.00 0.00 0.00 0.00 3,243,203.25 20,000,000.00
December 2012....... 0.00 0.00 0.00 0.00 0.00 2,826,789.84 20,000,000.00
January 2013........ 0.00 0.00 0.00 0.00 0.00 2,417,165.77 20,000,000.00
February 2013....... 0.00 0.00 0.00 0.00 0.00 2,014,225.00 20,000,000.00
March 2013.......... 0.00 0.00 0.00 0.00 0.00 1,617,863.07 20,000,000.00
April 2013.......... 0.00 0.00 0.00 0.00 0.00 1,227,977.16 20,000,000.00
May 2013............ 0.00 0.00 0.00 0.00 0.00 844,465.98 20,000,000.00
June 2013........... 0.00 0.00 0.00 0.00 0.00 467,229.81 20,000,000.00
July 2013........... 0.00 0.00 0.00 0.00 0.00 96,170.46 20,000,000.00
</TABLE>
B-4
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
August 2013......... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 19,731,191.24
September 2013...... 0.00 0.00 0.00 0.00 0.00 0.00 19,372,196.93
October 2013........ 0.00 0.00 0.00 0.00 0.00 0.00 19,019,093.77
November 2013....... 0.00 0.00 0.00 0.00 0.00 0.00 18,671,789.46
December 2013....... 0.00 0.00 0.00 0.00 0.00 0.00 18,330,193.08
January 2014........ 0.00 0.00 0.00 0.00 0.00 0.00 17,994,215.11
February 2014....... 0.00 0.00 0.00 0.00 0.00 0.00 17,663,767.43
March 2014.......... 0.00 0.00 0.00 0.00 0.00 0.00 17,338,763.22
April 2014.......... 0.00 0.00 0.00 0.00 0.00 0.00 17,019,117.05
May 2014............ 0.00 0.00 0.00 0.00 0.00 0.00 16,704,744.75
June 2014........... 0.00 0.00 0.00 0.00 0.00 0.00 16,395,563.46
July 2014........... 0.00 0.00 0.00 0.00 0.00 0.00 16,091,491.60
August 2014......... 0.00 0.00 0.00 0.00 0.00 0.00 15,792,448.82
September 2014...... 0.00 0.00 0.00 0.00 0.00 0.00 15,498,356.02
October 2014........ 0.00 0.00 0.00 0.00 0.00 0.00 15,209,135.31
November 2014....... 0.00 0.00 0.00 0.00 0.00 0.00 14,924,709.98
December 2014....... 0.00 0.00 0.00 0.00 0.00 0.00 14,645,004.53
January 2015........ 0.00 0.00 0.00 0.00 0.00 0.00 14,369,944.60
February 2015....... 0.00 0.00 0.00 0.00 0.00 0.00 14,099,456.95
March 2015.......... 0.00 0.00 0.00 0.00 0.00 0.00 13,833,469.51
April 2015.......... 0.00 0.00 0.00 0.00 0.00 0.00 13,571,911.28
May 2015............ 0.00 0.00 0.00 0.00 0.00 0.00 13,314,712.37
June 2015........... 0.00 0.00 0.00 0.00 0.00 0.00 13,061,803.96
July 2015........... 0.00 0.00 0.00 0.00 0.00 0.00 12,813,118.29
August 2015......... 0.00 0.00 0.00 0.00 0.00 0.00 12,568,588.64
September 2015...... 0.00 0.00 0.00 0.00 0.00 0.00 12,328,149.31
October 2015........ 0.00 0.00 0.00 0.00 0.00 0.00 12,091,735.61
November 2015....... 0.00 0.00 0.00 0.00 0.00 0.00 11,859,283.87
December 2015....... 0.00 0.00 0.00 0.00 0.00 0.00 11,630,731.37
January 2016........ 0.00 0.00 0.00 0.00 0.00 0.00 11,406,016.37
February 2016....... 0.00 0.00 0.00 0.00 0.00 0.00 11,185,078.07
March 2016.......... 0.00 0.00 0.00 0.00 0.00 0.00 10,967,856.63
April 2016.......... 0.00 0.00 0.00 0.00 0.00 0.00 10,754,293.10
May 2016............ 0.00 0.00 0.00 0.00 0.00 0.00 10,544,329.46
June 2016........... 0.00 0.00 0.00 0.00 0.00 0.00 10,337,908.58
July 2016........... 0.00 0.00 0.00 0.00 0.00 0.00 10,134,974.20
August 2016......... 0.00 0.00 0.00 0.00 0.00 0.00 9,935,470.95
September 2016...... 0.00 0.00 0.00 0.00 0.00 0.00 9,739,344.29
October 2016........ 0.00 0.00 0.00 0.00 0.00 0.00 9,546,540.53
November 2016....... 0.00 0.00 0.00 0.00 0.00 0.00 9,357,006.81
December 2016....... 0.00 0.00 0.00 0.00 0.00 0.00 9,170,691.10
January 2017........ 0.00 0.00 0.00 0.00 0.00 0.00 8,987,542.14
February 2017....... 0.00 0.00 0.00 0.00 0.00 0.00 8,807,509.49
March 2017.......... 0.00 0.00 0.00 0.00 0.00 0.00 8,630,543.47
April 2017.......... 0.00 0.00 0.00 0.00 0.00 0.00 8,456,595.19
May 2017............ 0.00 0.00 0.00 0.00 0.00 0.00 8,285,616.49
June 2017........... 0.00 0.00 0.00 0.00 0.00 0.00 8,117,559.97
July 2017........... 0.00 0.00 0.00 0.00 0.00 0.00 7,952,378.96
</TABLE>
B-5
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
August 2017......... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 7,790,027.52
September 2017...... 0.00 0.00 0.00 0.00 0.00 0.00 7,630,460.39
October 2017........ 0.00 0.00 0.00 0.00 0.00 0.00 7,473,633.05
November 2017....... 0.00 0.00 0.00 0.00 0.00 0.00 7,319,501.64
December 2017....... 0.00 0.00 0.00 0.00 0.00 0.00 7,168,023.00
January 2018........ 0.00 0.00 0.00 0.00 0.00 0.00 7,019,154.62
February 2018....... 0.00 0.00 0.00 0.00 0.00 0.00 6,872,854.66
March 2018.......... 0.00 0.00 0.00 0.00 0.00 0.00 6,729,081.91
April 2018.......... 0.00 0.00 0.00 0.00 0.00 0.00 6,587,795.84
May 2018............ 0.00 0.00 0.00 0.00 0.00 0.00 6,448,956.50
June 2018........... 0.00 0.00 0.00 0.00 0.00 0.00 6,312,524.59
July 2018........... 0.00 0.00 0.00 0.00 0.00 0.00 6,178,461.40
August 2018......... 0.00 0.00 0.00 0.00 0.00 0.00 6,046,728.84
September 2018...... 0.00 0.00 0.00 0.00 0.00 0.00 5,917,289.40
October 2018........ 0.00 0.00 0.00 0.00 0.00 0.00 5,790,106.16
November 2018....... 0.00 0.00 0.00 0.00 0.00 0.00 5,665,142.76
December 2018....... 0.00 0.00 0.00 0.00 0.00 0.00 5,542,363.41
January 2019........ 0.00 0.00 0.00 0.00 0.00 0.00 5,421,732.88
February 2019....... 0.00 0.00 0.00 0.00 0.00 0.00 5,303,216.49
March 2019.......... 0.00 0.00 0.00 0.00 0.00 0.00 5,186,780.09
April 2019.......... 0.00 0.00 0.00 0.00 0.00 0.00 5,072,390.06
May 2019............ 0.00 0.00 0.00 0.00 0.00 0.00 4,960,013.33
June 2019........... 0.00 0.00 0.00 0.00 0.00 0.00 4,849,617.30
July 2019........... 0.00 0.00 0.00 0.00 0.00 0.00 4,741,169.91
August 2019......... 0.00 0.00 0.00 0.00 0.00 0.00 4,634,639.59
September 2019...... 0.00 0.00 0.00 0.00 0.00 0.00 4,529,995.26
October 2019........ 0.00 0.00 0.00 0.00 0.00 0.00 4,427,206.33
November 2019....... 0.00 0.00 0.00 0.00 0.00 0.00 4,326,242.67
December 2019....... 0.00 0.00 0.00 0.00 0.00 0.00 4,227,074.65
January 2020........ 0.00 0.00 0.00 0.00 0.00 0.00 4,129,673.07
February 2020....... 0.00 0.00 0.00 0.00 0.00 0.00 4,034,009.20
March 2020.......... 0.00 0.00 0.00 0.00 0.00 0.00 3,940,054.77
April 2020.......... 0.00 0.00 0.00 0.00 0.00 0.00 3,847,781.92
May 2020............ 0.00 0.00 0.00 0.00 0.00 0.00 3,757,163.26
June 2020........... 0.00 0.00 0.00 0.00 0.00 0.00 3,668,171.81
July 2020........... 0.00 0.00 0.00 0.00 0.00 0.00 3,580,781.01
August 2020......... 0.00 0.00 0.00 0.00 0.00 0.00 3,494,964.71
September 2020...... 0.00 0.00 0.00 0.00 0.00 0.00 3,410,697.19
October 2020........ 0.00 0.00 0.00 0.00 0.00 0.00 3,327,953.11
November 2020....... 0.00 0.00 0.00 0.00 0.00 0.00 3,246,707.54
December 2020....... 0.00 0.00 0.00 0.00 0.00 0.00 3,166,935.94
January 2021........ 0.00 0.00 0.00 0.00 0.00 0.00 3,088,614.15
February 2021....... 0.00 0.00 0.00 0.00 0.00 0.00 3,011,718.38
March 2021.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,936,225.23
April 2021.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,862,111.65
May 2021............ 0.00 0.00 0.00 0.00 0.00 0.00 2,789,354.97
June 2021........... 0.00 0.00 0.00 0.00 0.00 0.00 2,717,932.86
July 2021........... 0.00 0.00 0.00 0.00 0.00 0.00 2,647,823.35
</TABLE>
B-6
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
August 2021......... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 2,579,004.80
September 2021...... 0.00 0.00 0.00 0.00 0.00 0.00 2,511,455.93
October 2021........ 0.00 0.00 0.00 0.00 0.00 0.00 2,445,155.78
November 2021....... 0.00 0.00 0.00 0.00 0.00 0.00 2,380,083.72
December 2021....... 0.00 0.00 0.00 0.00 0.00 0.00 2,316,219.46
January 2022........ 0.00 0.00 0.00 0.00 0.00 0.00 2,253,543.01
February 2022....... 0.00 0.00 0.00 0.00 0.00 0.00 2,192,034.70
March 2022.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,131,675.17
April 2022.......... 0.00 0.00 0.00 0.00 0.00 0.00 2,072,445.37
May 2022............ 0.00 0.00 0.00 0.00 0.00 0.00 2,014,326.55
June 2022........... 0.00 0.00 0.00 0.00 0.00 0.00 1,957,300.24
July 2022........... 0.00 0.00 0.00 0.00 0.00 0.00 1,901,348.29
August 2022......... 0.00 0.00 0.00 0.00 0.00 0.00 1,846,452.80
September 2022...... 0.00 0.00 0.00 0.00 0.00 0.00 1,792,596.19
October 2022........ 0.00 0.00 0.00 0.00 0.00 0.00 1,739,761.12
November 2022....... 0.00 0.00 0.00 0.00 0.00 0.00 1,687,930.55
December 2022....... 0.00 0.00 0.00 0.00 0.00 0.00 1,637,087.71
January 2023........ 0.00 0.00 0.00 0.00 0.00 0.00 1,587,216.08
February 2023....... 0.00 0.00 0.00 0.00 0.00 0.00 1,538,299.41
March 2023.......... 0.00 0.00 0.00 0.00 0.00 0.00 1,490,321.70
April 2023.......... 0.00 0.00 0.00 0.00 0.00 0.00 1,443,267.21
May 2023............ 0.00 0.00 0.00 0.00 0.00 0.00 1,397,120.45
June 2023........... 0.00 0.00 0.00 0.00 0.00 0.00 1,351,866.18
July 2023........... 0.00 0.00 0.00 0.00 0.00 0.00 1,307,489.38
August 2023......... 0.00 0.00 0.00 0.00 0.00 0.00 1,263,975.28
September 2023...... 0.00 0.00 0.00 0.00 0.00 0.00 1,221,309.37
October 2023........ 0.00 0.00 0.00 0.00 0.00 0.00 1,179,477.32
November 2023....... 0.00 0.00 0.00 0.00 0.00 0.00 1,138,465.07
December 2023....... 0.00 0.00 0.00 0.00 0.00 0.00 1,098,258.77
January 2024........ 0.00 0.00 0.00 0.00 0.00 0.00 1,058,844.77
February 2024....... 0.00 0.00 0.00 0.00 0.00 0.00 1,020,209.67
March 2024.......... 0.00 0.00 0.00 0.00 0.00 0.00 982,340.26
April 2024.......... 0.00 0.00 0.00 0.00 0.00 0.00 945,223.56
May 2024............ 0.00 0.00 0.00 0.00 0.00 0.00 908,846.77
June 2024........... 0.00 0.00 0.00 0.00 0.00 0.00 873,197.31
July 2024........... 0.00 0.00 0.00 0.00 0.00 0.00 838,262.81
August 2024......... 0.00 0.00 0.00 0.00 0.00 0.00 804,031.07
September 2024...... 0.00 0.00 0.00 0.00 0.00 0.00 770,490.11
October 2024........ 0.00 0.00 0.00 0.00 0.00 0.00 737,628.14
November 2024....... 0.00 0.00 0.00 0.00 0.00 0.00 705,433.53
December 2024....... 0.00 0.00 0.00 0.00 0.00 0.00 673,894.87
January 2025........ 0.00 0.00 0.00 0.00 0.00 0.00 643,000.92
February 2025....... 0.00 0.00 0.00 0.00 0.00 0.00 612,740.60
March 2025.......... 0.00 0.00 0.00 0.00 0.00 0.00 583,103.05
April 2025.......... 0.00 0.00 0.00 0.00 0.00 0.00 554,077.54
May 2025............ 0.00 0.00 0.00 0.00 0.00 0.00 525,653.54
June 2025........... 0.00 0.00 0.00 0.00 0.00 0.00 497,820.68
July 2025........... 0.00 0.00 0.00 0.00 0.00 0.00 470,568.75
</TABLE>
B-7
<PAGE>
<TABLE>
<CAPTION>
PA Class PB Class PC Class PD Class PK Class PG Class PL Class
Distribution Planned Planned Planned Planned Planned Planned Planned
Date Balance Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------- ---------------
<S> <C>
August 2025......... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 443,887.71
September 2025...... 0.00 0.00 0.00 0.00 0.00 0.00 417,767.68
October 2025........ 0.00 0.00 0.00 0.00 0.00 0.00 392,198.95
November 2025....... 0.00 0.00 0.00 0.00 0.00 0.00 367,171.95
December 2025....... 0.00 0.00 0.00 0.00 0.00 0.00 342,677.27
January 2026........ 0.00 0.00 0.00 0.00 0.00 0.00 318,705.64
February 2026....... 0.00 0.00 0.00 0.00 0.00 0.00 295,247.96
March 2026.......... 0.00 0.00 0.00 0.00 0.00 0.00 272,295.27
April 2026.......... 0.00 0.00 0.00 0.00 0.00 0.00 249,838.75
May 2026............ 0.00 0.00 0.00 0.00 0.00 0.00 227,869.71
June 2026........... 0.00 0.00 0.00 0.00 0.00 0.00 206,379.63
July 2026........... 0.00 0.00 0.00 0.00 0.00 0.00 185,360.10
August 2026......... 0.00 0.00 0.00 0.00 0.00 0.00 164,802.87
September 2026...... 0.00 0.00 0.00 0.00 0.00 0.00 144,699.79
October 2026........ 0.00 0.00 0.00 0.00 0.00 0.00 125,042.88
November 2026....... 0.00 0.00 0.00 0.00 0.00 0.00 105,824.26
December 2026....... 0.00 0.00 0.00 0.00 0.00 0.00 87,036.20
January 2027........ 0.00 0.00 0.00 0.00 0.00 0.00 68,671.08
February 2027....... 0.00 0.00 0.00 0.00 0.00 0.00 50,721.40
March 2027.......... 0.00 0.00 0.00 0.00 0.00 0.00 33,179.79
April 2027.......... 0.00 0.00 0.00 0.00 0.00 0.00 16,039.01
May 2027 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
B-8
<PAGE>
<TABLE>
<CAPTION>
E Class F Class E Class F Class
Maximum Maximum Minimum Minimum AD Class FC Class
Distribution Scheduled Scheduled Scheduled Scheduled Targeted Targeted
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------
<S> <C>
Initial Balance..... $ 81,000,000.00 $ 27,000,000.00 $ 81,000,000.00 $ 27,000,000.00 $ 28,929,000.00 $ 4,821,000.00
September 1997...... 80,536,385.13 26,845,461.71 80,536,385.13 26,845,461.71 28,797,329.28 4,799,057.16
October 1997........ 80,031,478.37 26,677,159.46 80,031,478.37 26,677,159.46 28,650,209.02 4,774,539.66
November 1997....... 79,485,370.94 26,495,123.65 79,485,370.94 26,495,123.65 28,487,675.70 4,747,453.58
December 1997....... 78,898,175.83 26,299,391.94 78,898,175.83 26,299,391.94 28,309,774.14 4,717,806.39
January 1998........ 78,270,027.77 26,090,009.26 78,270,027.77 26,090,009.26 28,116,557.45 4,685,606.95
February 1998....... 77,601,083.25 25,867,027.75 77,601,083.25 25,867,027.75 27,908,087.03 4,650,865.48
March 1998.......... 76,891,520.37 25,630,506.79 76,891,520.37 25,630,506.79 27,684,432.52 4,613,593.60
April 1998.......... 76,141,538.83 25,380,512.94 76,141,538.83 25,380,512.94 27,445,671.82 4,573,804.27
May 1998............ 75,351,359.76 25,117,119.92 75,351,359.76 25,117,119.92 27,191,890.99 4,531,511.86
June 1998........... 74,521,225.67 24,840,408.56 74,521,225.67 24,840,408.56 26,923,184.26 4,486,732.04
July 1998........... 73,651,400.25 24,550,466.75 73,651,400.25 24,550,466.75 26,639,653.90 4,439,481.89
August 1998......... 72,742,168.22 24,247,389.41 72,742,168.22 24,247,389.41 26,341,410.28 4,389,779.77
September 1998...... 71,793,835.19 23,931,278.40 71,793,835.19 23,931,278.40 26,028,571.65 4,337,645.41
October 1998........ 70,806,727.39 23,602,242.46 70,806,727.39 23,602,242.46 25,701,264.20 4,283,099.82
November 1998....... 69,781,191.52 23,260,397.17 69,781,191.52 23,260,397.17 25,359,621.88 4,226,165.34
December 1998....... 68,717,594.45 22,905,864.82 68,717,594.45 22,905,864.82 25,003,786.36 4,166,865.57
January 1999........ 67,616,323.01 22,538,774.34 67,616,323.01 22,538,774.34 24,633,906.94 4,105,225.39
February 1999....... 66,477,783.69 22,159,261.23 66,477,783.69 22,159,261.23 24,250,140.38 4,041,270.93
March 1999.......... 65,302,402.37 21,767,467.46 65,302,402.37 21,767,467.46 23,852,650.88 3,975,029.55
April 1999.......... 64,090,623.97 21,363,541.32 64,090,623.97 21,363,541.32 23,441,609.87 3,906,529.82
May 1999............ 62,842,912.14 20,947,637.38 62,842,912.14 20,947,637.38 23,017,195.96 3,835,801.50
June 1999........... 61,559,748.93 20,519,916.31 61,559,748.93 20,519,916.31 22,579,594.76 3,762,875.53
July 1999........... 60,241,634.39 20,080,544.80 60,241,634.39 20,080,544.80 22,128,998.75 3,687,783.99
August 1999......... 58,889,086.23 19,629,695.41 58,889,086.23 19,629,695.41 21,665,607.18 3,610,560.07
September 1999...... 57,502,639.39 19,167,546.46 57,502,639.39 19,167,546.46 21,189,625.83 3,531,238.07
October 1999........ 56,082,845.62 18,694,281.87 56,082,845.62 18,694,281.87 20,701,266.93 3,449,853.36
November 1999....... 54,630,273.11 18,210,091.04 54,630,273.11 18,210,091.04 20,200,748.98 3,366,442.35
December 1999....... 53,183,244.14 17,727,748.05 52,760,479.92 17,586,826.64 19,702,673.20 3,283,438.33
January 2000........ 51,741,715.37 17,247,238.46 50,705,837.18 16,901,945.73 19,207,025.15 3,200,838.89
February 2000....... 50,305,643.56 16,768,547.85 48,669,452.99 16,223,151.00 18,713,790.43 3,118,641.63
March 2000.......... 48,874,985.65 16,291,661.88 46,651,142.66 15,550,380.89 18,222,954.74 3,036,844.16
April 2000.......... 47,449,698.71 15,816,566.24 44,650,723.19 14,883,574.40 17,734,503.82 2,955,444.12
May 2000............ 46,029,740.00 15,343,246.67 42,668,013.26 14,222,671.09 17,248,423.50 2,874,439.13
June 2000........... 44,615,066.86 14,871,688.95 40,702,833.20 13,567,611.07 16,764,699.67 2,793,826.85
July 2000........... 43,205,636.84 14,401,878.95 38,755,004.97 12,918,334.99 16,283,318.29 2,713,604.94
August 2000......... 42,971,180.99 14,323,727.00 37,994,125.57 12,664,708.52 16,249,899.94 2,708,035.80
September 2000...... 42,736,129.46 14,245,376.49 37,244,492.54 12,414,830.85 16,216,604.04 2,702,487.06
October 2000........ 42,500,470.20 14,166,823.40 36,505,962.68 12,168,654.23 16,183,428.18 2,696,958.32
November 2000....... 42,264,191.15 14,088,063.72 35,778,394.20 11,926,131.40 16,150,369.95 2,691,449.19
December 2000....... 42,027,280.24 14,009,093.41 35,061,646.74 11,687,215.58 16,117,426.98 2,685,959.26
January 2001........ 41,789,725.36 13,929,908.45 34,355,581.32 11,451,860.44 16,084,596.87 2,680,488.14
February 2001....... 41,551,514.42 13,850,504.81 33,660,060.35 11,220,020.12 16,051,877.25 2,675,035.44
March 2001.......... 41,312,635.28 13,770,878.43 32,974,947.57 10,991,649.19 16,019,265.76 2,669,600.76
April 2001.......... 41,073,075.81 13,691,025.27 32,300,108.13 10,766,702.71 15,986,760.04 2,664,183.70
May 2001............ 40,832,823.86 13,610,941.29 31,635,408.49 10,545,136.16 15,954,357.75 2,658,783.87
June 2001........... 40,591,867.25 13,530,622.42 30,980,716.41 10,326,905.47 15,922,056.52 2,653,400.89
July 2001........... 40,350,193.79 13,450,064.60 30,335,901.02 10,111,967.01 15,889,854.04 2,648,034.37
</TABLE>
B-9
<PAGE>
<TABLE>
<CAPTION>
E Class F Class E Class F Class
Maximum Maximum Minimum Minimum AD Class FC Class
Distribution Scheduled Scheduled Scheduled Scheduled Targeted Targeted
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------
<S> <C>
August 2001......... $ 40,107,791.27 $ 13,369,263.76 $ 29,700,832.68 $ 9,900,277.56 $ 15,857,747.97 $ 2,642,683.92
September 2001...... 39,864,647.48 13,288,215.83 29,075,383.09 9,691,794.36 15,825,736.01 2,637,349.14
October 2001........ 39,620,750.15 13,206,916.72 28,459,425.18 9,486,475.06 15,793,815.83 2,632,029.66
November 2001....... 39,376,087.04 13,125,362.35 27,852,833.17 9,284,277.72 15,761,985.12 2,626,725.10
December 2001....... 39,130,645.85 13,043,548.62 27,255,482.51 9,085,160.84 15,730,241.61 2,621,435.06
January 2002........ 38,884,414.28 12,961,471.43 26,667,249.86 8,889,083.29 15,698,582.99 2,616,159.17
February 2002....... 38,637,380.01 12,879,126.67 26,088,013.15 8,696,004.38 15,667,006.97 2,610,897.05
March 2002.......... 38,389,530.68 12,796,510.23 25,517,651.47 8,505,883.82 15,635,511.30 2,605,648.31
April 2002.......... 38,140,853.93 12,713,617.98 24,956,045.12 8,318,681.71 15,604,093.69 2,600,412.58
May 2002............ 37,891,337.36 12,630,445.79 24,403,075.60 8,134,358.53 15,572,751.88 2,595,189.49
June 2002........... 37,640,968.56 12,546,989.52 23,858,625.53 7,952,875.18 15,541,483.61 2,589,978.65
July 2002........... 37,389,735.10 12,463,245.03 23,322,578.75 7,774,192.92 15,510,286.64 2,584,779.70
August 2002......... 37,137,624.50 12,379,208.17 22,794,820.19 7,598,273.40 15,479,158.72 2,579,592.25
September 2002...... 36,884,624.27 12,294,874.76 22,275,235.96 7,425,078.65 15,448,097.61 2,574,415.94
October 2002........ 36,630,721.91 12,210,240.64 21,763,713.24 7,254,571.08 15,417,101.10 2,569,250.38
November 2002....... 36,375,904.88 12,125,301.63 21,260,140.36 7,086,713.45 15,386,166.93 2,564,095.23
December 2002....... 36,120,160.61 12,040,053.54 20,764,406.74 6,921,468.91 15,355,292.91 2,558,950.09
January 2003........ 35,863,476.52 11,954,492.17 20,276,402.87 6,758,800.96 15,324,476.81 2,553,814.60
February 2003....... 35,605,839.97 11,868,613.32 19,796,020.33 6,598,673.44 15,293,716.43 2,548,688.41
March 2003.......... 35,347,238.32 11,782,412.77 19,323,151.76 6,441,050.59 15,263,009.56 2,543,571.13
April 2003.......... 35,087,658.90 11,695,886.30 18,857,690.84 6,285,896.95 15,232,354.02 2,538,462.40
May 2003............ 34,827,089.01 11,609,029.67 18,399,532.32 6,133,177.44 15,201,747.60 2,533,361.86
June 2003........... 34,565,515.91 11,521,838.64 17,948,571.96 5,982,857.32 15,171,188.12 2,528,269.14
July 2003........... 34,302,926.83 11,434,308.94 17,504,706.54 5,834,902.18 15,140,673.41 2,523,183.88
August 2003......... 34,039,308.98 11,346,436.33 17,067,833.85 5,689,277.95 15,110,201.29 2,518,105.72
September 2003...... 33,774,649.54 11,258,216.51 16,637,852.68 5,545,950.89 15,079,769.57 2,513,034.30
October 2003........ 33,508,935.65 11,169,645.22 16,214,662.82 5,404,887.61 15,049,376.12 2,507,969.24
November 2003....... 33,242,154.42 11,080,718.14 15,798,165.00 5,266,055.00 15,019,018.75 2,502,910.21
December 2003....... 32,974,292.93 10,991,430.98 15,388,260.96 5,129,420.32 14,988,695.31 2,497,856.83
January 2004........ 32,705,338.22 10,901,779.41 14,984,853.38 4,994,951.13 14,958,403.67 2,492,808.74
February 2004....... 32,435,277.31 10,811,759.10 14,587,845.88 4,862,615.29 14,928,141.65 2,487,765.60
March 2004.......... 32,164,097.17 10,721,365.72 14,197,143.02 4,732,381.01 14,897,907.15 2,482,727.03
April 2004.......... 31,891,784.74 10,630,594.91 13,812,650.29 4,604,216.76 14,867,697.98 2,477,692.70
May 2004............ 31,618,326.94 10,539,442.31 13,434,274.08 4,478,091.36 14,837,512.05 2,472,662.23
June 2004........... 31,343,710.63 10,447,903.54 13,061,921.72 4,353,973.91 14,807,347.21 2,467,635.28
July 2004........... 31,067,922.65 10,355,974.22 12,695,501.42 4,231,833.81 14,777,201.34 2,462,611.49
August 2004......... 30,790,949.78 10,263,649.93 12,334,922.25 4,111,640.75 14,747,072.33 2,457,590.50
September 2004...... 30,512,778.81 10,170,926.27 11,980,094.21 3,993,364.74 14,716,958.03 2,452,571.98
October 2004........ 30,233,396.45 10,077,798.82 11,630,928.13 3,876,976.04 14,686,856.36 2,447,555.55
November 2004....... 29,952,789.37 9,984,263.12 11,287,335.71 3,762,445.24 14,656,765.20 2,442,540.88
December 2004....... 29,670,944.23 9,890,314.74 10,949,229.49 3,649,743.16 14,626,682.44 2,437,527.60
January 2005........ 29,387,847.63 9,795,949.21 10,616,522.88 3,538,840.96 14,596,605.97 2,432,515.38
February 2005....... 29,103,486.13 9,701,162.04 10,289,130.10 3,429,710.03 14,566,533.71 2,427,503.85
March 2005.......... 28,817,846.26 9,605,948.75 9,966,966.19 3,322,322.06 14,536,463.54 2,422,492.68
April 2005.......... 28,530,914.50 9,510,304.83 9,649,947.02 3,216,649.01 14,506,393.39 2,417,481.51
May 2005............ 28,242,677.28 9,414,225.76 9,337,989.23 3,112,663.08 14,476,321.16 2,412,469.99
June 2005........... 27,953,121.01 9,317,707.00 9,031,010.31 3,010,336.77 14,446,244.76 2,407,457.78
July 2005........... 27,662,232.04 9,220,744.01 8,728,928.49 2,909,642.83 14,416,162.11 2,402,444.52
</TABLE>
B-10
<PAGE>
<TABLE>
<CAPTION>
E Class F Class E Class F Class
Maximum Maximum Minimum Minimum AD Class FC Class
Distribution Scheduled Scheduled Scheduled Scheduled Targeted Targeted
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------
<S> <C>
August 2005......... $ 27,369,996.68 $ 9,123,332.23 $ 8,431,662.81 $ 2,810,554.27 $ 14,386,071.13 $ 2,397,429.88
September 2005...... 27,076,401.19 9,025,467.06 8,139,133.07 2,713,044.36 14,355,969.74 2,392,413.50
October 2005........ 26,781,431.80 8,927,143.93 7,851,259.81 2,617,086.60 14,325,855.86 2,387,395.04
November 2005....... 26,485,074.68 8,828,358.23 7,567,964.36 2,522,654.79 14,295,727.43 2,382,374.15
December 2005....... 26,187,315.97 8,729,105.32 7,289,168.78 2,429,722.93 14,265,582.35 2,377,350.50
January 2006........ 25,888,141.74 8,629,380.58 7,014,795.86 2,338,265.29 14,235,418.59 2,372,323.73
February 2006....... 25,587,538.04 8,529,179.35 6,744,769.13 2,248,256.38 14,205,234.07 2,367,293.49
March 2006.......... 25,285,490.85 8,428,496.95 6,479,012.84 2,159,670.95 14,175,026.71 2,362,259.45
April 2006.......... 24,981,986.11 8,327,328.70 6,217,451.96 2,072,483.99 14,144,794.46 2,357,221.27
May 2006............ 24,675,281.69 8,225,093.90 5,958,284.12 1,986,094.71 14,113,876.96 2,352,068.89
June 2006........... 24,358,031.22 8,119,343.74 5,694,103.46 1,898,034.49 14,079,478.88 2,346,336.47
July 2006........... 24,030,399.52 8,010,133.17 5,425,016.09 1,808,338.70 14,041,666.37 2,340,035.04
August 2006......... 23,692,548.47 7,897,516.16 5,151,125.87 1,717,041.96 14,000,504.49 2,333,175.43
September 2006...... 23,344,637.03 7,781,545.68 4,872,534.47 1,624,178.16 13,956,057.16 2,325,768.31
October 2006........ 22,986,821.26 7,662,273.75 4,589,341.40 1,529,780.47 13,908,387.27 2,317,824.16
November 2006....... 22,619,254.37 7,539,751.46 4,301,644.03 1,433,881.34 13,857,556.65 2,309,353.26
December 2006....... 22,242,086.80 7,414,028.93 4,009,537.64 1,336,512.55 13,803,626.05 2,300,365.76
January 2007........ 21,855,466.22 7,285,155.41 3,713,115.47 1,237,705.16 13,746,655.20 2,290,871.61
February 2007....... 21,459,537.58 7,153,179.19 3,412,468.70 1,137,489.57 13,686,702.85 2,280,880.59
March 2007.......... 21,054,443.17 7,018,147.72 3,107,686.58 1,035,895.53 13,623,826.73 2,270,402.32
April 2007.......... 20,640,322.63 6,880,107.54 2,798,856.33 932,952.11 13,558,083.59 2,259,446.26
May 2007............ 20,217,313.02 6,739,104.34 2,486,063.31 828,687.77 13,489,529.19 2,248,021.72
June 2007........... 19,785,548.84 6,595,182.95 2,169,390.96 723,130.32 13,418,218.39 2,236,137.82
July 2007........... 19,345,162.06 6,448,387.35 1,848,920.87 616,306.96 13,344,205.08 2,223,803.54
August 2007......... 18,896,282.18 6,298,760.73 1,524,732.80 508,244.27 13,267,542.22 2,211,027.72
September 2007...... 18,439,036.26 6,146,345.42 1,196,904.71 398,968.24 13,188,281.88 2,197,819.04
October 2007........ 17,973,548.93 5,991,182.98 865,512.80 288,504.27 13,106,475.24 2,184,186.01
November 2007....... 17,499,942.48 5,833,314.16 530,631.51 176,877.17 13,022,172.58 2,170,137.02
December 2007....... 17,018,336.84 5,672,778.95 192,333.62 64,111.21 12,935,423.32 2,155,680.31
January 2008........ 16,528,849.63 5,509,616.54 0.00 0.00 12,846,276.03 2,140,823.97
February 2008....... 16,031,596.22 5,343,865.41 0.00 0.00 12,754,778.43 2,125,575.96
March 2008.......... 15,526,689.76 5,175,563.25 0.00 0.00 12,660,977.44 2,109,944.08
April 2008.......... 15,014,241.16 5,004,747.05 0.00 0.00 12,564,919.13 2,093,936.02
May 2008............ 14,494,359.17 4,831,453.06 0.00 0.00 12,466,648.79 2,077,559.33
June 2008........... 13,967,150.44 4,655,716.81 0.00 0.00 12,366,210.89 2,060,821.42
July 2008........... 13,432,719.47 4,477,573.16 0.00 0.00 12,263,649.18 2,043,729.57
August 2008......... 12,891,168.69 4,297,056.23 0.00 0.00 12,159,006.58 2,026,290.94
September 2008...... 12,342,598.51 4,114,199.50 0.00 0.00 12,052,325.29 2,008,512.57
October 2008........ 11,787,107.31 3,929,035.77 0.00 0.00 11,943,646.76 1,990,401.36
November 2008....... 11,224,791.50 3,741,597.17 0.00 0.00 11,833,011.72 1,971,964.10
December 2008....... 10,655,745.50 3,551,915.17 0.00 0.00 11,720,460.16 1,953,207.45
January 2009........ 10,080,061.85 3,360,020.62 0.00 0.00 11,606,031.37 1,934,137.97
February 2009....... 9,497,831.16 3,165,943.72 0.00 0.00 11,489,763.96 1,914,762.07
March 2009.......... 8,909,142.17 2,969,714.06 0.00 0.00 11,371,695.81 1,895,086.09
April 2009.......... 8,314,081.80 2,771,360.60 0.00 0.00 11,251,864.18 1,875,116.22
May 2009............ 7,712,735.12 2,570,911.71 0.00 0.00 11,130,305.60 1,854,858.56
June 2009........... 7,105,185.44 2,368,395.15 0.00 0.00 11,007,056.01 1,834,319.09
July 2009........... 6,491,514.30 2,163,838.10 0.00 0.00 10,882,150.64 1,813,503.69
</TABLE>
B-11
<PAGE>
<TABLE>
<CAPTION>
E Class F Class E Class F Class
Maximum Maximum Minimum Minimum AD Class FC Class
Distribution Scheduled Scheduled Scheduled Scheduled Targeted Targeted
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------
<S> <C>
August 2009......... $ 5,871,801.49 $ 1,957,267.16 $ 0.00 $ 0.00 $ 10,755,624.14 $ 1,792,418.13
September 2009...... 5,246,125.09 1,748,708.36 0.00 0.00 10,627,510.51 1,771,068.07
October 2009........ 4,614,561.50 1,538,187.17 0.00 0.00 10,497,843.12 1,749,459.08
November 2009....... 3,977,185.47 1,325,728.49 0.00 0.00 10,366,654.75 1,727,596.62
December 2009....... 3,334,070.07 1,111,356.69 0.00 0.00 10,233,977.59 1,705,486.05
January 2010........ 2,685,286.79 895,095.60 0.00 0.00 10,099,843.22 1,683,132.64
February 2010....... 2,030,905.52 676,968.51 0.00 0.00 9,964,282.65 1,660,541.56
March 2010.......... 1,370,994.59 456,998.20 0.00 0.00 9,827,326.33 1,637,717.87
April 2010.......... 705,620.74 235,206.91 0.00 0.00 9,689,004.14 1,614,666.56
May 2010............ 34,849.25 11,616.42 0.00 0.00 9,549,345.40 1,591,392.52
June 2010........... 0.00 0.00 0.00 0.00 9,408,378.90 1,567,900.54
July 2010........... 0.00 0.00 0.00 0.00 9,266,132.88 1,544,195.33
August 2010......... 0.00 0.00 0.00 0.00 9,122,635.07 1,520,281.51
September 2010...... 0.00 0.00 0.00 0.00 8,977,912.66 1,496,163.61
October 2010........ 0.00 0.00 0.00 0.00 8,831,992.35 1,471,846.07
November 2010....... 0.00 0.00 0.00 0.00 8,684,900.29 1,447,333.28
December 2010....... 0.00 0.00 0.00 0.00 8,536,662.22 1,422,629.49
January 2011........ 0.00 0.00 0.00 0.00 8,387,303.31 1,397,738.92
February 2011....... 0.00 0.00 0.00 0.00 8,236,848.29 1,372,665.68
March 2011.......... 0.00 0.00 0.00 0.00 8,085,321.40 1,347,413.82
April 2011.......... 0.00 0.00 0.00 0.00 7,932,746.42 1,321,987.30
May 2011............ 0.00 0.00 0.00 0.00 7,779,146.68 1,296,390.00
June 2011........... 0.00 0.00 0.00 0.00 7,624,545.06 1,270,625.73
July 2011........... 0.00 0.00 0.00 0.00 7,468,963.96 1,244,698.24
August 2011......... 0.00 0.00 0.00 0.00 7,312,425.39 1,218,611.18
September 2011...... 0.00 0.00 0.00 0.00 7,154,950.90 1,192,368.15
October 2011........ 0.00 0.00 0.00 0.00 6,996,561.62 1,165,972.68
November 2011....... 0.00 0.00 0.00 0.00 6,837,278.27 1,139,428.21
December 2011....... 0.00 0.00 0.00 0.00 6,677,121.15 1,112,738.12
January 2012........ 0.00 0.00 0.00 0.00 6,516,110.16 1,085,905.74
February 2012....... 0.00 0.00 0.00 0.00 6,354,264.81 1,058,934.31
March 2012.......... 0.00 0.00 0.00 0.00 6,191,604.19 1,031,827.02
April 2012.......... 0.00 0.00 0.00 0.00 6,028,147.03 1,004,586.98
May 2012............ 0.00 0.00 0.00 0.00 5,863,911.67 977,217.26
June 2012........... 0.00 0.00 0.00 0.00 5,698,916.06 949,720.85
July 2012........... 0.00 0.00 0.00 0.00 5,533,177.83 922,100.67
August 2012......... 0.00 0.00 0.00 0.00 5,366,714.17 894,359.61
September 2012...... 0.00 0.00 0.00 0.00 5,199,541.99 866,500.47
October 2012........ 0.00 0.00 0.00 0.00 5,031,677.81 838,526.00
November 2012....... 0.00 0.00 0.00 0.00 4,863,137.79 810,438.91
December 2012....... 0.00 0.00 0.00 0.00 4,693,937.77 782,241.83
January 2013........ 0.00 0.00 0.00 0.00 4,524,093.25 753,937.35
February 2013....... 0.00 0.00 0.00 0.00 4,353,619.40 725,527.99
March 2013.......... 0.00 0.00 0.00 0.00 4,182,531.06 697,016.22
April 2013.......... 0.00 0.00 0.00 0.00 4,010,842.75 668,404.47
May 2013............ 0.00 0.00 0.00 0.00 3,838,568.69 639,695.10
June 2013........... 0.00 0.00 0.00 0.00 3,665,722.75 610,890.43
July 2013........... 0.00 0.00 0.00 0.00 3,492,318.52 581,992.73
</TABLE>
B-12
<PAGE>
<TABLE>
<CAPTION>
E Class F Class E Class F Class
Maximum Maximum Minimum Minimum AD Class FC Class
Distribution Scheduled Scheduled Scheduled Scheduled Targeted Targeted
Date Balance Balance Balance Balance Balance Balance
- ----------------------------------- --------------- --------------- --------------- --------------- --------------
<S> <C>
August 2013......... $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 3,318,369.31 $ 553,004.20
September 2013...... 0.00 0.00 0.00 0.00 3,143,888.09 523,927.01
October 2013........ 0.00 0.00 0.00 0.00 2,968,887.56 494,763.28
November 2013....... 0.00 0.00 0.00 0.00 2,793,380.13 465,515.08
December 2013....... 0.00 0.00 0.00 0.00 2,617,377.94 436,184.42
January 2014........ 0.00 0.00 0.00 0.00 2,440,892.81 406,773.28
February 2014....... 0.00 0.00 0.00 0.00 2,263,936.33 377,283.59
March 2014.......... 0.00 0.00 0.00 0.00 2,086,519.79 347,717.24
April 2014.......... 0.00 0.00 0.00 0.00 1,908,654.25 318,076.05
May 2014............ 0.00 0.00 0.00 0.00 1,730,350.45 288,361.83
June 2014........... 0.00 0.00 0.00 0.00 1,551,618.92 258,576.33
July 2014........... 0.00 0.00 0.00 0.00 1,372,469.92 228,721.26
August 2014......... 0.00 0.00 0.00 0.00 1,192,913.45 198,798.29
September 2014...... 0.00 0.00 0.00 0.00 1,012,959.29 168,809.04
October 2014........ 0.00 0.00 0.00 0.00 832,616.94 138,755.10
November 2014....... 0.00 0.00 0.00 0.00 651,895.70 108,638.02
December 2014....... 0.00 0.00 0.00 0.00 470,804.60 78,459.30
January 2015........ 0.00 0.00 0.00 0.00 289,352.46 48,220.41
February 2015....... 0.00 0.00 0.00 0.00 107,547.87 17,922.79
March 2015 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
B-13
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
Initial Balance..... $ 299,738,000.00 $ 371,179,000.00 $ 197,167,000.00 $ 197,167,000.00 $ 542,420,000.00 $ 542,420,000.00
September 1997...... 299,738,000.00 371,179,000.00 196,119,902.57 196,119,902.57 539,176,505.02 539,176,505.02
October 1997........ 299,738,000.00 371,179,000.00 194,948,889.08 194,948,889.08 535,301,150.45 535,301,150.45
November 1997....... 299,738,000.00 371,179,000.00 193,654,154.10 193,654,154.10 530,795,015.21 530,795,015.21
December 1997....... 299,738,000.00 371,179,000.00 192,235,960.96 192,235,960.96 525,660,086.96 525,660,086.96
January 1998........ 299,738,000.00 371,179,000.00 190,694,641.83 190,694,641.83 519,899,266.01 519,899,266.01
February 1998....... 299,738,000.00 371,179,000.00 189,030,597.61 189,030,597.61 513,516,367.13 513,516,367.13
March 1998.......... 299,738,000.00 371,179,000.00 187,244,297.85 187,244,297.85 506,516,119.21 506,516,119.21
April 1998.......... 299,738,000.00 371,179,000.00 185,336,280.57 185,336,280.57 498,904,162.66 498,904,162.66
May 1998............ 299,738,000.00 371,179,000.00 183,307,151.97 183,307,151.97 490,687,044.72 490,687,044.72
June 1998........... 299,738,000.00 371,179,000.00 181,157,586.15 181,157,586.15 481,872,212.35 481,872,212.35
July 1998........... 299,738,000.00 371,179,000.00 178,888,324.74 178,888,324.74 472,468,003.10 472,468,003.10
August 1998......... 299,738,000.00 371,179,000.00 176,500,176.45 176,500,176.45 462,483,633.56 462,483,633.56
September 1998...... 299,738,000.00 371,179,000.00 173,994,016.53 173,994,016.53 451,929,185.70 451,929,185.70
October 1998........ 299,738,000.00 371,179,000.00 171,370,786.25 171,370,786.25 440,815,590.94 440,815,590.94
November 1998....... 299,738,000.00 371,179,000.00 168,631,492.24 168,631,492.24 429,154,612.05 429,154,612.05
December 1998....... 299,738,000.00 371,179,000.00 165,777,205.79 165,777,205.79 416,958,822.89 416,958,822.89
January 1999........ 299,738,000.00 371,179,000.00 162,809,062.11 162,809,062.11 404,241,586.05 404,241,586.05
February 1999....... 299,738,000.00 371,179,000.00 159,728,259.48 159,728,259.48 391,017,028.38 391,017,028.38
March 1999.......... 299,738,000.00 371,179,000.00 156,536,058.37 156,536,058.37 377,300,014.53 377,300,014.53
April 1999.......... 299,738,000.00 371,179,000.00 153,233,780.51 153,233,780.51 363,106,118.50 361,591,763.90
May 1999............ 299,738,000.00 371,179,000.00 149,822,807.90 149,822,807.90 348,451,593.39 344,399,905.13
June 1999........... 299,738,000.00 371,179,000.00 146,304,581.69 146,304,581.69 333,353,339.22 326,709,916.03
July 1999........... 299,738,000.00 371,179,000.00 142,680,601.11 142,680,601.11 317,828,869.08 308,547,495.23
August 1999......... 293,469,484.77 371,179,000.00 142,086,679.91 142,086,679.91 308,164,788.92 296,207,633.97
September 1999...... 287,015,390.49 371,179,000.00 141,482,961.77 141,482,961.77 298,296,793.83 283,634,582.55
October 1999........ 280,378,546.91 371,179,000.00 140,869,697.96 140,869,697.96 288,241,187.45 270,853,338.80
November 1999....... 273,561,873.78 371,179,000.00 140,247,147.79 140,247,147.79 278,014,645.71 257,889,380.13
December 1999....... 266,568,378.72 371,179,000.00 139,615,578.27 139,615,578.27 267,634,177.95 244,768,592.25
January 2000........ 259,609,148.37 371,179,000.00 138,985,426.54 138,985,426.54 257,480,063.24 232,001,622.25
February 2000....... 252,684,003.27 371,179,000.00 138,356,647.82 138,356,647.82 247,548,281.81 219,580,906.08
March 2000.......... 245,792,764.87 371,179,000.00 137,729,197.44 137,729,197.44 237,834,877.91 207,499,030.27
April 2000.......... 238,935,255.52 371,179,000.00 137,103,030.84 137,103,030.84 228,335,958.75 195,748,728.97
May 2000............ 232,111,298.51 371,179,000.00 136,478,103.58 136,478,103.58 219,047,693.53 184,322,881.04
June 2000........... 225,320,718.01 371,179,000.00 135,854,371.31 135,854,371.31 209,966,312.48 173,214,507.19
July 2000........... 218,563,339.08 371,179,000.00 135,231,789.80 135,231,789.80 201,088,105.85 162,416,767.24
August 2000......... 211,838,987.68 371,179,000.00 134,610,314.91 134,610,314.91 192,409,423.00 151,922,957.28
September 2000...... 205,147,490.69 371,179,000.00 133,989,902.63 133,989,902.63 183,926,671.45 141,726,507.10
October 2000........ 198,488,675.82 371,179,000.00 133,370,509.01 133,370,509.01 175,636,315.95 131,820,977.47
November 2000....... 191,862,371.70 371,179,000.00 132,752,090.23 132,752,090.23 167,534,877.60 122,200,057.60
December 2000....... 185,268,407.82 371,179,000.00 132,134,602.54 132,134,602.54 159,618,932.93 112,857,562.62
January 2001........ 178,706,614.54 371,179,000.00 131,518,002.31 131,518,002.31 151,885,113.07 103,787,431.05
February 2001....... 172,176,823.10 371,179,000.00 130,902,245.96 130,902,245.96 144,330,102.82 94,983,722.43
March 2001.......... 165,678,865.58 371,179,000.00 130,287,290.05 130,287,290.05 136,950,639.85 86,440,614.86
April 2001.......... 159,212,574.93 371,179,000.00 129,673,091.18 129,673,091.18 129,743,513.84 78,152,402.75
May 2001............ 152,777,784.95 371,179,000.00 129,059,606.06 129,059,606.06 122,705,565.67 70,113,494.45
June 2001........... 146,374,330.30 371,179,000.00 128,446,791.49 128,446,791.49 115,833,686.59 62,318,410.05
July 2001........... 140,002,046.45 371,179,000.00 127,834,604.31 127,834,604.31 109,124,817.45 54,761,779.15
</TABLE>
B-14
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
August 2001......... $ 133,660,769.76 $ 371,179,000.00 $ 127,223,001.49 $ 127,223,001.49 $ 102,575,947.88 $ 47,438,338.72
September 2001...... 127,350,337.38 371,179,000.00 126,611,940.04 126,611,940.04 96,184,115.54 40,342,930.94
October 2001........ 121,070,587.32 371,179,000.00 126,001,377.06 126,001,377.06 89,946,405.36 33,470,501.20
November 2001....... 114,821,358.40 371,179,000.00 125,391,269.71 125,391,269.71 83,859,948.76 26,816,095.97
December 2001....... 108,602,490.27 371,179,000.00 124,781,575.23 124,781,575.23 77,921,922.95 20,374,860.88
January 2002........ 102,413,823.40 371,179,000.00 124,172,250.92 124,172,250.92 72,129,550.18 14,142,038.72
February 2002....... 96,255,199.07 371,179,000.00 123,563,254.16 123,563,254.16 66,480,097.02 8,112,967.53
March 2002.......... 90,126,459.36 371,179,000.00 122,954,542.38 122,954,542.38 60,970,873.68 2,283,078.72
April 2002.......... 84,027,447.18 371,179,000.00 122,346,073.07 122,346,073.07 55,599,233.30 0.00
May 2002............ 77,958,006.22 371,179,000.00 121,737,803.80 121,737,803.80 50,362,571.27 0.00
June 2002........... 71,917,980.98 371,179,000.00 121,129,692.17 121,129,692.17 45,258,324.54 0.00
July 2002........... 65,907,216.75 371,179,000.00 120,521,695.85 120,521,695.85 40,283,970.99 0.00
August 2002......... 59,925,559.61 371,179,000.00 119,913,772.57 119,913,772.57 35,437,028.77 0.00
September 2002...... 53,972,856.41 371,179,000.00 119,305,880.09 119,305,880.09 30,715,055.65 0.00
October 2002........ 48,048,954.80 371,179,000.00 118,697,976.25 118,697,976.25 26,115,648.37 0.00
November 2002....... 42,153,703.20 371,179,000.00 118,090,018.90 118,090,018.90 21,636,442.08 0.00
December 2002....... 36,286,950.81 371,179,000.00 117,481,965.97 117,481,965.97 17,275,109.65 0.00
January 2003........ 30,448,547.59 371,179,000.00 116,873,775.41 116,873,775.41 13,029,361.13 0.00
February 2003....... 24,638,344.27 371,179,000.00 116,265,405.23 116,265,405.23 8,896,943.12 0.00
March 2003.......... 18,856,192.33 371,179,000.00 115,656,813.46 115,656,813.46 4,875,638.22 0.00
April 2003.......... 13,101,944.03 371,179,000.00 115,047,958.18 115,047,958.18 963,264.41 0.00
May 2003............ 7,375,452.35 371,179,000.00 114,438,797.50 114,438,797.50 0.00 0.00
June 2003........... 1,676,571.06 371,179,000.00 113,829,289.57 113,829,289.57 0.00 0.00
July 2003........... 0.00 367,184,154.64 113,219,392.55 113,219,392.55 0.00 0.00
August 2003......... 0.00 361,540,058.33 112,609,064.67 112,609,064.67 0.00 0.00
September 2003...... 0.00 355,923,138.10 111,998,264.14 111,998,264.14 0.00 0.00
October 2003........ 0.00 350,333,250.67 111,386,949.22 111,386,949.22 0.00 0.00
November 2003....... 0.00 344,770,253.47 110,775,078.20 110,775,078.20 0.00 0.00
December 2003....... 0.00 339,234,004.66 110,162,609.37 110,162,609.37 0.00 0.00
January 2004........ 0.00 333,724,363.14 109,549,501.06 109,549,501.06 0.00 0.00
February 2004....... 0.00 328,241,188.50 108,935,711.61 108,935,711.61 0.00 0.00
March 2004.......... 0.00 322,784,341.07 108,321,199.36 108,321,199.36 0.00 0.00
April 2004.......... 0.00 317,353,681.89 107,705,922.68 107,705,922.68 0.00 0.00
May 2004............ 0.00 311,949,072.69 107,089,839.94 107,089,839.94 0.00 0.00
June 2004........... 0.00 306,570,375.92 106,472,909.54 106,472,909.54 0.00 0.00
July 2004........... 0.00 301,217,454.73 105,855,089.86 105,855,089.86 0.00 0.00
August 2004......... 0.00 295,890,172.95 105,236,339.30 105,236,339.30 0.00 0.00
September 2004...... 0.00 290,588,395.13 104,616,616.26 104,616,616.26 0.00 0.00
October 2004........ 0.00 285,311,986.49 103,995,879.15 103,995,879.15 0.00 0.00
November 2004....... 0.00 280,060,812.95 103,374,086.35 103,374,086.35 0.00 0.00
December 2004....... 0.00 274,834,741.09 102,751,196.28 102,751,196.28 0.00 0.00
January 2005........ 0.00 269,633,638.20 102,127,167.32 102,127,167.32 0.00 0.00
February 2005....... 0.00 264,457,372.22 101,501,957.85 101,501,957.85 0.00 0.00
March 2005.......... 0.00 259,305,811.78 100,875,526.26 100,875,526.26 0.00 0.00
April 2005.......... 0.00 254,178,826.16 100,247,830.90 100,247,830.90 0.00 0.00
May 2005............ 0.00 249,076,285.33 99,618,830.13 99,618,830.13 0.00 0.00
June 2005........... 0.00 243,998,059.90 98,988,482.28 98,988,482.28 0.00 0.00
July 2005........... 0.00 238,944,021.15 98,356,745.68 98,356,745.68 0.00 0.00
</TABLE>
B-15
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
August 2005......... $ 0.00 $ 233,988,789.97 $ 97,686,204.15 $ 97,686,204.15 $ 0.00 $ 0.00
September 2005...... 0.00 229,133,790.58 96,976,040.14 96,976,040.14 0.00 0.00
October 2005........ 0.00 224,377,025.22 96,227,147.41 96,227,147.41 0.00 0.00
November 2005....... 0.00 219,716,535.60 95,440,400.27 95,440,400.27 0.00 0.00
December 2005....... 0.00 215,150,402.09 94,616,654.01 94,616,654.01 0.00 0.00
January 2006........ 0.00 210,676,743.01 93,756,745.21 93,756,745.21 0.00 0.00
February 2006....... 0.00 206,293,713.86 92,861,492.16 92,861,492.16 0.00 0.00
March 2006.......... 0.00 201,999,506.58 91,931,695.22 91,931,695.22 0.00 0.00
April 2006.......... 0.00 197,792,348.85 90,968,137.15 90,968,137.15 0.00 0.00
May 2006............ 0.00 193,670,503.38 89,971,583.47 89,971,583.47 0.00 0.00
June 2006........... 0.00 189,632,267.23 88,942,782.79 88,942,782.79 0.00 0.00
July 2006........... 0.00 185,675,971.13 87,882,467.18 87,882,467.18 0.00 0.00
August 2006......... 0.00 181,799,978.80 86,791,352.45 86,791,352.45 0.00 0.00
September 2006...... 0.00 178,002,686.33 85,670,138.50 85,670,138.50 0.00 0.00
October 2006........ 0.00 174,282,521.55 84,519,509.61 84,519,509.61 0.00 0.00
November 2006....... 0.00 170,637,943.36 83,340,134.79 83,340,134.79 0.00 0.00
December 2006....... 0.00 167,067,441.16 82,132,668.04 82,132,668.04 0.00 0.00
January 2007........ 0.00 163,569,534.24 80,897,748.67 80,897,748.67 0.00 0.00
February 2007....... 0.00 160,142,771.18 79,636,001.57 79,636,001.57 0.00 0.00
March 2007.......... 0.00 156,785,729.31 78,348,037.53 78,348,037.53 0.00 0.00
April 2007.......... 0.00 153,497,014.08 77,034,453.47 77,034,453.47 0.00 0.00
May 2007............ 0.00 150,275,258.57 75,695,832.75 75,695,832.75 0.00 0.00
June 2007........... 0.00 147,119,122.93 74,332,745.45 74,332,745.45 0.00 0.00
July 2007........... 0.00 144,027,293.83 72,945,748.58 72,945,748.58 0.00 0.00
August 2007......... 0.00 140,998,483.93 71,535,386.37 71,535,386.37 0.00 0.00
September 2007...... 0.00 138,031,431.42 70,102,190.53 70,102,190.53 0.00 0.00
October 2007........ 0.00 135,124,899.46 68,646,680.49 68,646,680.49 0.00 0.00
November 2007....... 0.00 132,277,675.73 67,169,363.63 67,169,363.63 0.00 0.00
December 2007....... 0.00 129,488,571.91 65,670,735.53 65,670,735.53 0.00 0.00
January 2008........ 0.00 126,756,423.26 64,151,280.20 64,151,280.20 0.00 0.00
February 2008....... 0.00 124,080,088.09 62,611,470.32 62,611,470.32 0.00 0.00
March 2008.......... 0.00 121,458,447.36 61,051,767.42 61,051,767.42 0.00 0.00
April 2008.......... 0.00 118,890,404.21 59,472,622.17 59,472,622.17 0.00 0.00
May 2008............ 0.00 116,374,883.54 57,874,474.53 57,874,474.53 0.00 0.00
June 2008........... 0.00 113,910,831.54 56,257,754.00 56,257,754.00 0.00 0.00
July 2008........... 0.00 111,497,215.32 54,622,879.80 54,622,879.80 0.00 0.00
August 2008......... 0.00 109,133,022.50 52,970,261.10 52,970,261.10 0.00 0.00
September 2008...... 0.00 106,817,260.74 51,300,297.18 51,300,297.18 0.00 0.00
October 2008........ 0.00 104,548,957.41 49,613,377.68 49,613,377.68 0.00 0.00
November 2008....... 0.00 102,327,159.20 47,909,882.73 47,909,882.73 0.00 0.00
December 2008....... 0.00 100,150,931.70 46,190,183.18 46,190,183.18 0.00 0.00
January 2009........ 0.00 98,019,359.04 44,454,640.77 44,454,640.77 0.00 0.00
February 2009....... 0.00 95,931,543.55 42,703,608.29 42,703,608.29 0.00 0.00
March 2009.......... 0.00 93,886,605.40 40,937,429.80 40,937,429.80 0.00 0.00
April 2009.......... 0.00 91,883,682.19 39,156,440.74 39,156,440.74 0.00 0.00
May 2009............ 0.00 89,921,928.68 37,360,968.16 37,360,968.16 0.00 0.00
June 2009........... 0.00 88,000,516.42 35,551,330.85 35,551,330.85 0.00 0.00
July 2009........... 0.00 86,118,633.41 33,727,839.51 33,727,839.51 0.00 0.00
</TABLE>
B-16
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
August 2009......... $ 0.00 $ 84,275,483.80 $ 31,890,796.92 $ 31,890,796.92 $ 0.00 $ 0.00
September 2009...... 0.00 82,470,287.54 30,040,498.07 30,040,498.07 0.00 0.00
October 2009........ 0.00 80,702,280.10 28,177,230.33 28,177,230.33 0.00 0.00
November 2009....... 0.00 78,970,712.15 26,301,273.60 26,301,273.60 0.00 0.00
December 2009....... 0.00 77,274,849.24 24,412,900.47 24,412,900.47 0.00 0.00
January 2010........ 0.00 75,613,971.56 22,512,376.33 22,512,376.33 0.00 0.00
February 2010....... 0.00 73,987,373.59 20,599,959.52 20,599,959.52 0.00 0.00
March 2010.......... 0.00 72,394,363.87 18,675,901.48 18,675,901.48 0.00 0.00
April 2010.......... 0.00 70,834,264.66 16,740,446.91 16,740,446.91 0.00 0.00
May 2010............ 0.00 69,306,411.76 14,793,833.83 14,793,833.83 0.00 0.00
June 2010........... 0.00 67,810,154.15 12,836,293.78 12,836,293.78 0.00 0.00
July 2010........... 0.00 66,344,853.78 10,868,051.91 10,868,051.91 0.00 0.00
August 2010......... 0.00 64,909,885.32 8,889,327.11 8,889,327.11 0.00 0.00
September 2010...... 0.00 63,504,635.89 6,900,332.15 6,900,332.15 0.00 0.00
October 2010........ 0.00 62,128,504.79 4,901,273.77 4,901,273.77 0.00 0.00
November 2010....... 0.00 60,780,903.32 2,892,352.82 2,892,352.82 0.00 0.00
December 2010....... 0.00 59,461,254.50 873,764.37 873,764.37 0.00 0.00
January 2011........ 0.00 58,168,992.84 0.00 0.00 0.00 0.00
February 2011....... 0.00 56,903,564.13 0.00 0.00 0.00 0.00
March 2011.......... 0.00 55,664,425.21 0.00 0.00 0.00 0.00
April 2011.......... 0.00 54,451,043.75 0.00 0.00 0.00 0.00
May 2011............ 0.00 53,262,898.04 0.00 0.00 0.00 0.00
June 2011........... 0.00 52,099,476.76 0.00 0.00 0.00 0.00
July 2011........... 0.00 50,960,278.81 0.00 0.00 0.00 0.00
August 2011......... 0.00 49,844,813.09 0.00 0.00 0.00 0.00
September 2011...... 0.00 48,752,598.28 0.00 0.00 0.00 0.00
October 2011........ 0.00 47,683,162.70 0.00 0.00 0.00 0.00
November 2011....... 0.00 46,636,044.06 0.00 0.00 0.00 0.00
December 2011....... 0.00 45,610,789.33 0.00 0.00 0.00 0.00
January 2012........ 0.00 44,606,954.49 0.00 0.00 0.00 0.00
February 2012....... 0.00 43,624,104.43 0.00 0.00 0.00 0.00
March 2012.......... 0.00 42,661,812.72 0.00 0.00 0.00 0.00
April 2012.......... 0.00 41,719,661.44 0.00 0.00 0.00 0.00
May 2012............ 0.00 40,797,241.05 0.00 0.00 0.00 0.00
June 2012........... 0.00 39,894,150.17 0.00 0.00 0.00 0.00
July 2012........... 0.00 39,009,995.48 0.00 0.00 0.00 0.00
August 2012......... 0.00 38,144,391.49 0.00 0.00 0.00 0.00
September 2012...... 0.00 37,296,960.46 0.00 0.00 0.00 0.00
October 2012........ 0.00 36,467,332.19 0.00 0.00 0.00 0.00
November 2012....... 0.00 35,655,143.88 0.00 0.00 0.00 0.00
December 2012....... 0.00 34,860,040.02 0.00 0.00 0.00 0.00
January 2013........ 0.00 34,081,672.19 0.00 0.00 0.00 0.00
February 2013....... 0.00 33,319,698.97 0.00 0.00 0.00 0.00
March 2013.......... 0.00 32,573,785.78 0.00 0.00 0.00 0.00
April 2013.......... 0.00 31,843,604.72 0.00 0.00 0.00 0.00
May 2013............ 0.00 31,128,834.50 0.00 0.00 0.00 0.00
June 2013........... 0.00 30,429,160.23 0.00 0.00 0.00 0.00
July 2013........... 0.00 29,744,273.36 0.00 0.00 0.00 0.00
</TABLE>
B-17
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
August 2013......... $ 0.00 $ 29,073,871.53 $ 0.00 $ 0.00 $ 0.00 $ 0.00
September 2013...... 0.00 28,417,658.43 0.00 0.00 0.00 0.00
October 2013........ 0.00 27,775,343.71 0.00 0.00 0.00 0.00
November 2013....... 0.00 27,146,642.83 0.00 0.00 0.00 0.00
December 2013....... 0.00 26,531,276.98 0.00 0.00 0.00 0.00
January 2014........ 0.00 25,928,972.94 0.00 0.00 0.00 0.00
February 2014....... 0.00 25,339,462.99 0.00 0.00 0.00 0.00
March 2014.......... 0.00 24,762,484.76 0.00 0.00 0.00 0.00
April 2014.......... 0.00 24,197,781.18 0.00 0.00 0.00 0.00
May 2014............ 0.00 23,645,100.33 0.00 0.00 0.00 0.00
June 2014........... 0.00 23,104,195.37 0.00 0.00 0.00 0.00
July 2014........... 0.00 22,574,824.42 0.00 0.00 0.00 0.00
August 2014......... 0.00 22,056,750.44 0.00 0.00 0.00 0.00
September 2014...... 0.00 21,549,741.20 0.00 0.00 0.00 0.00
October 2014........ 0.00 21,053,569.11 0.00 0.00 0.00 0.00
November 2014....... 0.00 20,568,011.18 0.00 0.00 0.00 0.00
December 2014....... 0.00 20,092,848.92 0.00 0.00 0.00 0.00
January 2015........ 0.00 19,627,868.20 0.00 0.00 0.00 0.00
February 2015....... 0.00 19,172,859.24 0.00 0.00 0.00 0.00
March 2015.......... 0.00 18,727,616.49 0.00 0.00 0.00 0.00
April 2015.......... 0.00 18,291,938.51 0.00 0.00 0.00 0.00
May 2015............ 0.00 17,865,627.96 0.00 0.00 0.00 0.00
June 2015........... 0.00 17,448,491.44 0.00 0.00 0.00 0.00
July 2015........... 0.00 17,040,339.50 0.00 0.00 0.00 0.00
August 2015......... 0.00 16,640,986.47 0.00 0.00 0.00 0.00
September 2015...... 0.00 16,250,250.45 0.00 0.00 0.00 0.00
October 2015........ 0.00 15,867,953.20 0.00 0.00 0.00 0.00
November 2015....... 0.00 15,493,920.10 0.00 0.00 0.00 0.00
December 2015....... 0.00 15,127,980.03 0.00 0.00 0.00 0.00
January 2016........ 0.00 14,769,965.35 0.00 0.00 0.00 0.00
February 2016....... 0.00 14,419,711.81 0.00 0.00 0.00 0.00
March 2016.......... 0.00 14,077,058.46 0.00 0.00 0.00 0.00
April 2016.......... 0.00 13,741,847.63 0.00 0.00 0.00 0.00
May 2016............ 0.00 13,413,924.81 0.00 0.00 0.00 0.00
June 2016........... 0.00 13,093,138.65 0.00 0.00 0.00 0.00
July 2016........... 0.00 12,779,340.85 0.00 0.00 0.00 0.00
August 2016......... 0.00 12,472,386.11 0.00 0.00 0.00 0.00
September 2016...... 0.00 12,172,132.08 0.00 0.00 0.00 0.00
October 2016........ 0.00 11,878,439.28 0.00 0.00 0.00 0.00
November 2016....... 0.00 11,591,171.08 0.00 0.00 0.00 0.00
December 2016....... 0.00 11,310,193.60 0.00 0.00 0.00 0.00
January 2017........ 0.00 11,035,375.69 0.00 0.00 0.00 0.00
February 2017....... 0.00 10,766,588.85 0.00 0.00 0.00 0.00
March 2017.......... 0.00 10,503,707.20 0.00 0.00 0.00 0.00
April 2017.......... 0.00 10,246,607.40 0.00 0.00 0.00 0.00
May 2017............ 0.00 9,995,168.63 0.00 0.00 0.00 0.00
June 2017........... 0.00 9,749,272.52 0.00 0.00 0.00 0.00
July 2017........... 0.00 9,508,803.10 0.00 0.00 0.00 0.00
</TABLE>
B-18
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
August 2017......... $ 0.00 $ 9,273,646.77 $ 0.00 $ 0.00 $ 0.00 $ 0.00
September 2017...... 0.00 9,043,692.22 0.00 0.00 0.00 0.00
October 2017........ 0.00 8,818,830.43 0.00 0.00 0.00 0.00
November 2017....... 0.00 8,598,954.58 0.00 0.00 0.00 0.00
December 2017....... 0.00 8,383,960.03 0.00 0.00 0.00 0.00
January 2018........ 0.00 8,173,744.27 0.00 0.00 0.00 0.00
February 2018....... 0.00 7,968,206.89 0.00 0.00 0.00 0.00
March 2018.......... 0.00 7,767,249.51 0.00 0.00 0.00 0.00
April 2018.......... 0.00 7,570,775.77 0.00 0.00 0.00 0.00
May 2018............ 0.00 7,378,691.25 0.00 0.00 0.00 0.00
June 2018........... 0.00 7,190,903.50 0.00 0.00 0.00 0.00
July 2018........... 0.00 7,007,321.91 0.00 0.00 0.00 0.00
August 2018......... 0.00 6,827,857.75 0.00 0.00 0.00 0.00
September 2018...... 0.00 6,652,424.10 0.00 0.00 0.00 0.00
October 2018........ 0.00 6,480,935.81 0.00 0.00 0.00 0.00
November 2018....... 0.00 6,313,309.46 0.00 0.00 0.00 0.00
December 2018....... 0.00 6,149,463.36 0.00 0.00 0.00 0.00
January 2019........ 0.00 5,989,317.47 0.00 0.00 0.00 0.00
February 2019....... 0.00 5,832,793.41 0.00 0.00 0.00 0.00
March 2019.......... 0.00 5,679,814.38 0.00 0.00 0.00 0.00
April 2019.......... 0.00 5,530,305.16 0.00 0.00 0.00 0.00
May 2019............ 0.00 5,384,192.09 0.00 0.00 0.00 0.00
June 2019........... 0.00 5,241,403.01 0.00 0.00 0.00 0.00
July 2019........... 0.00 5,101,867.22 0.00 0.00 0.00 0.00
August 2019......... 0.00 4,965,515.49 0.00 0.00 0.00 0.00
September 2019...... 0.00 4,832,280.02 0.00 0.00 0.00 0.00
October 2019........ 0.00 4,702,094.38 0.00 0.00 0.00 0.00
November 2019....... 0.00 4,574,893.52 0.00 0.00 0.00 0.00
December 2019....... 0.00 4,450,613.73 0.00 0.00 0.00 0.00
January 2020........ 0.00 4,329,192.58 0.00 0.00 0.00 0.00
February 2020....... 0.00 4,210,568.97 0.00 0.00 0.00 0.00
March 2020.......... 0.00 4,094,683.02 0.00 0.00 0.00 0.00
April 2020.......... 0.00 3,981,476.11 0.00 0.00 0.00 0.00
May 2020............ 0.00 3,870,890.80 0.00 0.00 0.00 0.00
June 2020........... 0.00 3,762,870.85 0.00 0.00 0.00 0.00
July 2020........... 0.00 3,657,361.19 0.00 0.00 0.00 0.00
August 2020......... 0.00 3,554,307.86 0.00 0.00 0.00 0.00
September 2020...... 0.00 3,453,658.04 0.00 0.00 0.00 0.00
October 2020........ 0.00 3,355,359.98 0.00 0.00 0.00 0.00
November 2020....... 0.00 3,259,363.01 0.00 0.00 0.00 0.00
December 2020....... 0.00 3,165,617.50 0.00 0.00 0.00 0.00
January 2021........ 0.00 3,074,074.86 0.00 0.00 0.00 0.00
February 2021....... 0.00 2,984,687.49 0.00 0.00 0.00 0.00
March 2021.......... 0.00 2,897,408.78 0.00 0.00 0.00 0.00
April 2021.......... 0.00 2,812,193.08 0.00 0.00 0.00 0.00
May 2021............ 0.00 2,728,995.71 0.00 0.00 0.00 0.00
June 2021........... 0.00 2,647,772.89 0.00 0.00 0.00 0.00
July 2021........... 0.00 2,568,481.75 0.00 0.00 0.00 0.00
</TABLE>
B-19
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
August 2021......... $ 0.00 $ 2,491,080.33 $ 0.00 $ 0.00 $ 0.00 $ 0.00
September 2021...... 0.00 2,415,527.51 0.00 0.00 0.00 0.00
October 2021........ 0.00 2,341,783.05 0.00 0.00 0.00 0.00
November 2021....... 0.00 2,269,807.55 0.00 0.00 0.00 0.00
December 2021....... 0.00 2,199,562.39 0.00 0.00 0.00 0.00
January 2022........ 0.00 2,131,009.81 0.00 0.00 0.00 0.00
February 2022....... 0.00 2,064,112.79 0.00 0.00 0.00 0.00
March 2022.......... 0.00 1,998,835.10 0.00 0.00 0.00 0.00
April 2022.......... 0.00 1,935,141.26 0.00 0.00 0.00 0.00
May 2022............ 0.00 1,872,996.55 0.00 0.00 0.00 0.00
June 2022........... 0.00 1,812,366.94 0.00 0.00 0.00 0.00
July 2022........... 0.00 1,753,219.13 0.00 0.00 0.00 0.00
August 2022......... 0.00 1,695,520.52 0.00 0.00 0.00 0.00
September 2022...... 0.00 1,639,239.18 0.00 0.00 0.00 0.00
October 2022........ 0.00 1,584,343.86 0.00 0.00 0.00 0.00
November 2022....... 0.00 1,530,803.96 0.00 0.00 0.00 0.00
December 2022....... 0.00 1,478,589.50 0.00 0.00 0.00 0.00
January 2023........ 0.00 1,427,671.16 0.00 0.00 0.00 0.00
February 2023....... 0.00 1,378,020.22 0.00 0.00 0.00 0.00
March 2023.......... 0.00 1,329,608.56 0.00 0.00 0.00 0.00
April 2023.......... 0.00 1,282,408.65 0.00 0.00 0.00 0.00
May 2023............ 0.00 1,236,393.55 0.00 0.00 0.00 0.00
June 2023........... 0.00 1,191,536.87 0.00 0.00 0.00 0.00
July 2023........... 0.00 1,147,812.79 0.00 0.00 0.00 0.00
August 2023......... 0.00 1,105,196.03 0.00 0.00 0.00 0.00
September 2023...... 0.00 1,063,661.82 0.00 0.00 0.00 0.00
October 2023........ 0.00 1,023,185.95 0.00 0.00 0.00 0.00
November 2023....... 0.00 983,744.70 0.00 0.00 0.00 0.00
December 2023....... 0.00 945,314.84 0.00 0.00 0.00 0.00
January 2024........ 0.00 907,873.65 0.00 0.00 0.00 0.00
February 2024....... 0.00 871,398.89 0.00 0.00 0.00 0.00
March 2024.......... 0.00 835,868.77 0.00 0.00 0.00 0.00
April 2024.......... 0.00 801,261.98 0.00 0.00 0.00 0.00
May 2024............ 0.00 767,557.66 0.00 0.00 0.00 0.00
June 2024........... 0.00 734,735.38 0.00 0.00 0.00 0.00
July 2024........... 0.00 702,775.15 0.00 0.00 0.00 0.00
August 2024......... 0.00 671,657.41 0.00 0.00 0.00 0.00
September 2024...... 0.00 641,363.02 0.00 0.00 0.00 0.00
October 2024........ 0.00 611,873.22 0.00 0.00 0.00 0.00
November 2024....... 0.00 583,169.67 0.00 0.00 0.00 0.00
December 2024....... 0.00 555,234.42 0.00 0.00 0.00 0.00
January 2025........ 0.00 528,049.91 0.00 0.00 0.00 0.00
February 2025....... 0.00 501,598.92 0.00 0.00 0.00 0.00
March 2025.......... 0.00 475,864.65 0.00 0.00 0.00 0.00
April 2025.......... 0.00 450,830.60 0.00 0.00 0.00 0.00
May 2025............ 0.00 426,480.67 0.00 0.00 0.00 0.00
June 2025........... 0.00 402,799.09 0.00 0.00 0.00 0.00
July 2025........... 0.00 379,770.42 0.00 0.00 0.00 0.00
</TABLE>
B-20
<PAGE>
<TABLE>
<CAPTION>
Aggregate Aggregate
Group Group
PM Class PN Class J Class FA Class Maximum Minimum
Distribution Planned Planned Targeted Targeted Scheduled Scheduled
Date Balance Balance Balance Balance Balance Balance
- ------------------------------------ ---------------- ---------------- ---------------- ---------------- ----------------
<S> <C>
August 2025......... $ 0.00 $ 357,379.54 $ 0.00 $ 0.00 $ 0.00 $ 0.00
September 2025...... 0.00 335,611.70 0.00 0.00 0.00 0.00
October 2025........ 0.00 314,452.41 0.00 0.00 0.00 0.00
November 2025....... 0.00 293,887.52 0.00 0.00 0.00 0.00
December 2025....... 0.00 273,903.20 0.00 0.00 0.00 0.00
January 2026........ 0.00 254,485.88 0.00 0.00 0.00 0.00
February 2026....... 0.00 235,622.31 0.00 0.00 0.00 0.00
March 2026.......... 0.00 217,299.51 0.00 0.00 0.00 0.00
April 2026.......... 0.00 199,504.79 0.00 0.00 0.00 0.00
May 2026............ 0.00 182,225.74 0.00 0.00 0.00 0.00
June 2026........... 0.00 165,450.20 0.00 0.00 0.00 0.00
July 2026........... 0.00 149,166.28 0.00 0.00 0.00 0.00
August 2026......... 0.00 133,362.36 0.00 0.00 0.00 0.00
September 2026...... 0.00 118,027.05 0.00 0.00 0.00 0.00
October 2026........ 0.00 103,149.23 0.00 0.00 0.00 0.00
November 2026....... 0.00 88,718.00 0.00 0.00 0.00 0.00
December 2026....... 0.00 74,722.71 0.00 0.00 0.00 0.00
January 2027........ 0.00 61,152.94 0.00 0.00 0.00 0.00
February 2027....... 0.00 47,998.50 0.00 0.00 0.00 0.00
March 2027.......... 0.00 35,249.41 0.00 0.00 0.00 0.00
April 2027.......... 0.00 22,895.92 0.00 0.00 0.00 0.00
May 2027............ 0.00 10,928.49 0.00 0.00 0.00 0.00
June 2027 and
thereafter........ 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
B-21
<PAGE>
No dealer, salesman or other person has been authorized to give any
information or to make any representations in connection with this offering
other than those contained in this Prospectus Supplement and the additional
Disclosure Documents and, if given or made, such information or representations
must not be relied upon as having been authorized. This Prospectus Supplement
and the aforementioned documents do not constitute an offer to sell or a
solicitation of an offer to buy any of the Certificates offered hereby in any
state to any person to whom it is unlawful to make such offer or solicitation in
such state. The delivery of this Prospectus Supplement and the aforementioned
documents at any time does not imply that the information contained herein or
therein is correct as of any time subsequent to the date hereof or thereof.
------------------------
TABLE OF CONTENTS
Page
----
Prospectus Supplement
Table of Contents..................... S- 3
Reference Sheet....................... S- 4
Additional Risk Factors............... S-10
Description of the Certificates....... S-10
Certain Additional Federal Income Tax
Consequences........................ S-32
Plan of Distribution.................. S-33
Legal Matters......................... S-34
Exhibit A............................. A- 1
Principal Balance Schedules........... B- 1
REMIC Prospectus
Prospectus Supplement................. 2
Summary of Prospectus................. 3
Risk Factors.......................... 8
Description of the Certificates....... 10
The Trust Agreement................... 23
Certain Federal Income Tax
Consequences........................ 25
Legal Investment Considerations....... 37
Legal Opinion......................... 37
ERISA Considerations.................. 37
Glossary.............................. 39
$1,982,215,084
[FANNIE MAE LOGO]
Guaranteed REMIC
Pass-Through Certificates
Fannie Mae REMIC Trust 1997-57
------------------------
PROSPECTUS SUPPLEMENT
------------------------
LEHMAN BROTHERS
July 15, 1997
<PAGE>
Annex 2(j)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated October 21, 1992
to
Offering Circular
dated September 1, 1992
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Securities, Series G003
OFFERING CIRCULAR SUPPLEMENT (LOGO)
(TO OFFERING CIRCULAR DATED SEPTEMBER 1, 1992)
$350,000,000
FEDERAL HOME LOAN MORTGAGE CORPORATION
MULTICLASS MORTGAGE SECURITIES, SERIES G003
The Federal Home Loan Mortgage Corporation ('Freddie Mac') is offering its
Multiclass Mortgage Securities, Series G003 (the 'Multiclass Securities'). The
Multiclass Securities will consist of the various 'Classes' listed below. The
Classes will receive principal and interest payments, in differing proportions
and at differing times, from the cash flows provided by (i) 'fully modified
pass-through' mortgage-backed securities ('GNMA Certificates') guaranteed as to
timely payment of principal and interest by the Government National Mortgage
Association ('GNMA') and/or (ii) Freddie Mac Giant GNMA-Backed Securities
('Giant Securities' and, together with the GNMA Certificates, 'GNMA-Related
Securities'), with interest rates of 8% per annum. The GNMA Certificates
represent ownership interests in pools of first lien, single family residential
mortgages (the 'Mortgages') that are either insured by the Federal Housing
Administration or partially guaranteed by the Department of Veterans Affairs.
See 'General Information -- Structure of Transaction' in this Supplement. The
obligations of GNMA under its guarantees of the GNMA Certificates are backed by
the full faith and credit of the United States.
Freddie Mac guarantees to each 'Holder' of a Multiclass Security (i) the timely
payment of interest at the applicable 'Class Coupon' and (ii) the payment of the
principal amount of the Holder's Multiclass Security as described in this
Supplement.
Freddie Mac will make interest and principal payments on each monthly 'Payment
Date,' beginning December 25, 1992, on the Classes entitled to such payments.
See 'Payments' in this Supplement.
This Series will involve the creation of an 'Upper-Tier REMIC Pool' and a
'Lower-Tier REMIC Pool.' Elections will be made to treat both REMIC Pools as
'real estate mortgage investment conduits' ('REMICs') pursuant to the Internal
Revenue Code. The R and RS Classes will be 'Residual Classes' and, for federal
income tax purposes, will be the residual interests in the Upper-Tier and
Lower-Tier REMIC Pools, respectively. The other Classes will be 'Regular
Classes' and, for federal income tax purposes, will be the regular interests in
the Upper-Tier REMIC Pool. The Residual Classes will be subject to transfer
restrictions. See 'Certain Federal Income Tax Consequences' in this Supplement
and in the Multiclass Securities Offering Circular.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
AT THE BOTTOM OF PAGE S-2.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE MULTICLASS SECURITIES
ARE OBLIGATIONS OF FREDDIE MAC ONLY. THE MULTICLASS SECURITIES, INCLUDING ANY
INTEREST THEREON, ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE
DEBTS OR OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF
THE UNITED STATES OTHER THAN FREDDIE MAC. INCOME ON THE MULTICLASS SECURITIES
HAS NO EXEMPTION UNDER FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE
MULTICLASS SECURITIES ARE EXEMPT FROM THE REGISTRATION REQUIREMENTS OF THE
SECURITIES ACT OF 1933 AND ARE 'EXEMPTED SECURITIES' WITHIN THE MEANING OF THE
SECURITIES EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
WEIGHTED
ORIGINAL AVERAGE
CLASS PRINCIPAL PRINCIPAL CLASS INTEREST CUSIP FINAL PAYMENT LIFE AT 155%
G003- AMOUNT(1) TYPE(2) COUPON TYPE(2) NUMBER DATE(3) PSA(4)
<S> <C>
A ..... $20,183,334 PAC I 4.50% FIX 312913GJ9 February 25, 2009 1.2 Yrs
B ..... 17,850,000 PAC I 5.75 FIX 312913GK6 October 25, 2013 3.4
C ..... 30,916,667 PAC I 6.60 FIX 312913GL4 January 25, 2018 5.8
D ..... 14,053,030 PAC I 7.25 FIX 312913GM2 April 25, 2019 7.9
E ..... 50,866,667 PAC I 7.50 FIX 312913GN0 November 25, 2021 10.9
F ..... 82,313,635 PAC I (5) FLT 312913GP5 April 25, 2019 3.4
FA .... 16,960,000 SUP (5) FLT 312913GQ3 November 25, 2022 18.3
FB .... 13,760,687 CPT/SCH (5) FLT/DLY 312913GR1 September 25, 2022 3.0
FC .... 9,600,000 SUP (5) FLT/DLY 312913GS9 April 25, 2021 1.7
G ..... 6,533,333 PAC I 7.75 FIX 312913GT7 March 25, 2022 14.9
H ..... 16,333,334 PAC I 8.00 FIX 312913GU4 November 25, 2022 18.8
JA .... (6) CPT/NTL 8.00 FIX/IO 312913GV2 March 25, 2022 --
K ..... 17,692,343 PAC II 7.00 FIX 312913GW0 September 25, 2022 3.4
L ..... $ 5,600,000 PAC II 8.00% FIX 312913GX8 November 25, 2022 10.9 Yrs
M ..... 5,000,000 SCH 7.00 FIX 312913GY6 March 25, 2021 1.6
MA..... 4,613,637 SCH 7.00 FIX 312913GZ3 April 25, 2021 3.4
MB..... 3,166,666 SUP 8.00 FIX 312913HA7 June 25, 2021 5.2
N ..... 9,916,667 SUP 8.00 FIX 312913HB5 September 25, 2021 10.9
O ..... 18,000,000 SUP 8.00 FIX 312913HC3 November 25, 2022 18.3
S ..... (6) NTL (5) INV/IO 312913HD1 April 25, 2019 --
SA .... 4,240,000 SUP (5) INV 312913HE9 November 25, 2022 18.3
SB .... (6) CPT/NTL (5) W/INV/IO/DLY 312913HF6 September 25, 2022 --
SC .... 2,400,000 SUP (5) INV/DLY 312913HG4 April 25, 2021 1.7
R ..... 0 NPR 0 NPR 312913HH2 November 25, 2022 --
RS .... 0 NPR 0 NPR 312913HJ8 November 25, 2022 --
- --------------------------------------------------------------------------------
</TABLE>
(1) Subject to proportionate increase as described under 'Increase in Size' in
this Supplement.
(2) See 'Description of Multiclass Securities -- Standard Definitions and
Abbreviations for Classes' on pages 7-9 of the Multiclass Securities
Offering Circular.
(3) Determined as described under 'Final Payment Dates' in this Supplement.
(4) Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 155% PSA or any
other constant rate, and the actual weighted average lives of many Classes
are likely to differ from those shown, perhaps significantly.
(5) The F, FA, S and SA Classes will bear interest based on 'LIBOR,' the FB and
SB Classes will bear interest based on the 'Seven-Year Treasury Index' and
the FC and SC Classes will bear interest based on 'COFI,' as described under
'Payments -- Interest' in this Supplement.
(6) The JA, S and SB Classes will not receive principal payments, will have
original notional principal amounts of approximately $3,383,333, $82,313,635
and $13,760,687, respectively, and will bear interest on their respective
notional principal amounts as described under 'Payments -- Interest' in this
Supplement. The notional principal amounts of these Classes will be reduced
with reductions in the principal amounts of certain of the PAC and Scheduled
Classes, as described under 'Payments -- Interest' in this Supplement.
The Multiclass Securities are offered by Salomon Brothers Inc (the
'Underwriter') from time to time for sale in negotiated transactions at varying
prices to be determined at the time of sale, plus accrued interest from November
1, 1992 on the Fixed Rate, FB, FC, SB and SC Classes and from November 25, 1992
on the F, FA, S and SA Classes. The Multiclass Securities are offered by the
Underwriter, subject to sale by Freddie Mac and receipt and acceptance by the
Underwriter and subject to the Underwriter's right to reject any order in whole
or in part. It is expected that the Regular Classes (in book-entry form) will be
available for deposit at any Federal Reserve Bank, and that delivery of the
Residual Classes (in certificated form) will be made at the offices of the
Underwriter, Seven World Trade Center, New York, New York 10048, on or about
November 30, 1992 (the 'Closing Date').
- -------------------------------------------------
SALOMON BROTHERS INC
- -----------------------------------------------------------------------------
The date of this Offering Circular Supplement is October 21, 1992.
<PAGE>
MULTICLASS SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS SECURITIES OF ANY CLASS
UNLESS THE INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND
LIQUIDITY RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE YIELD OF EACH CLASS WILL DEPEND UPON ITS PURCHASE PRICE, ITS
SENSITIVITY TO THE RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGES, THE ACTUAL
CHARACTERISTICS OF THE MORTGAGES AND, IN THE CASE OF EACH FLOATING RATE OR
INVERSE FLOATING RATE CLASS, ITS SENSITIVITY TO THE LEVEL OF LIBOR, THE
SEVEN-YEAR TREASURY INDEX OR COFI (EACH, AN 'INDEX'). THE MORTGAGES ARE SUBJECT
TO PREPAYMENT AT ANY TIME WITHOUT PENALTY. MORTGAGE PREPAYMENT RATES ARE LIKELY
TO FLUCTUATE SIGNIFICANTLY FROM TIME TO TIME, AS IS THE LEVEL OF EACH INDEX.
INVESTORS SHOULD CONSIDER THE ASSOCIATED RISKS, INCLUDING:
- FAST MORTGAGE PREPAYMENT RATES CAN REDUCE THE YIELDS OF THE JA, S AND
SB CLASSES, WHICH ARE INTEREST ONLY CLASSES, AND OF ANY OTHER CLASSES
PURCHASED AT A PREMIUM OVER THEIR PRINCIPAL AMOUNTS. UNDER CERTAIN
PREPAYMENT SCENARIOS, INVESTORS IN THE INTEREST ONLY CLASSES COULD
FAIL TO FULLY RECOVER THEIR INVESTMENTS.
- SLOW MORTGAGE PREPAYMENT RATES CAN INCREASE THE WEIGHTED AVERAGE LIVES
AND, THUS, REDUCE THE YIELDS OF ANY CLASSES PURCHASED AT A DISCOUNT TO
THEIR PRINCIPAL AMOUNTS.
- SMALL DIFFERENCES IN THE CHARACTERISTICS OF THE MORTGAGES CAN HAVE A
SIGNIFICANT EFFECT ON THE WEIGHTED AVERAGE LIVES AND YIELDS OF THE
CLASSES.
- LOW LEVELS OF THE APPLICABLE INDEX CAN REDUCE THE YIELDS OF THE F, FA,
FB AND FC CLASSES. CONVERSELY, HIGH LEVELS OF THE APPLICABLE INDEX CAN
SIGNIFICANTLY REDUCE THE YIELDS OF THE S, SA, SB AND SC CLASSES AND
(ESPECIALLY IN COMBINATION WITH FAST MORTGAGE PREPAYMENT RATES) MAY
RESULT IN THE FAILURE OF INVESTORS IN THE S, SB AND SC CLASSES TO
FULLY RECOVER THEIR INVESTMENTS.
- IN GENERAL, PRINCIPAL PAYMENT RATES ON THE FA, FC, MB, N, O, SA AND SC
CLASSES, WHICH ARE SUPPORT CLASSES, ARE LIKELY TO EXHIBIT A HIGHER
SENSITIVITY TO MORTGAGE PREPAYMENTS THAN ARE PRINCIPAL PAYMENT RATES
ON THE PAC AND SCHEDULED CLASSES.
- IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SCHEDULED CLASSES ARE
LIKELY TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS THAN
ARE PRINCIPAL PAYMENT RATES ON THE PAC CLASSES AND PRINCIPAL PAYMENT
RATES ON THE TYPE II PAC CLASSES ARE LIKELY TO EXHIBIT A HIGHER
SENSITIVITY TO MORTGAGE PREPAYMENTS THAN ARE PRINCIPAL PAYMENT RATES
ON THE TYPE I PAC CLASSES.
SEE 'PREPAYMENT AND YIELD ANALYSIS' IN THIS SUPPLEMENT.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
MULTICLASS SECURITIES AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO
SO. THERE IS NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT
DEVELOPS, THAT IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL
THEIR MULTICLASS SECURITIES READILY OR AT PRICES THAT WILL ENABLE THEM TO
REALIZE THEIR DESIRED YIELD.
------------------------
Investors should purchase Multiclass Securities only if they have read and
understand this Supplement and the following documents:
- Freddie Mac's Multiclass Mortgage Securities Offering Circular dated
September 1, 1992 (the 'Multiclass Securities Offering Circular'),
which is attached to this Supplement;
- Freddie Mac's Giant GNMA-Backed Securities Offering Circular dated
September 1, 1992 (the 'Giant Securities Offering Circular'); and
- Freddie Mac's Information Statement dated March 19, 1992, its
Information Statement Supplements dated April 28, 1992, July 30, 1992
and November 13, 1992 and any other Information Statement Supplements
published by Freddie Mac through the time of purchase (collectively,
the 'Information Statement').
This Supplement incorporates by reference the Giant Securities Offering
Circular and the Information Statement. Investors can order those documents:
from Freddie Mac, by writing or calling its Investor Inquiry Department at 8200
Jones Branch Drive, McLean, Virginia 22102 (outside Washington, D.C.
metropolitan area, phone 800/336-FMPC; within Washington, D.C. metropolitan
area, phone 703/759-8160); or from the Underwriter, by writing or calling its
Prospectus Department at 140 58th Street, Brooklyn Army Terminal, Brooklyn, New
York 11220 (phone 212/783-1400).
Investors can obtain additional information regarding the GNMA-Related
Securities from the sources described under 'General Information -- Additional
Information' in this Supplement.
<PAGE>
S-2
SERIES G003 TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION FOR QUICK REFERENCE ONLY. IT
IS NOT A SUMMARY OF THE TRANSACTION. INVESTORS SHOULD REFER TO THE REMAINDER OF
THIS SUPPLEMENT FOR FURTHER INFORMATION.
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes and Components will
bear interest as follows:
<TABLE>
<CAPTION>
CLASS OR COMPONENT
COUPON SUBJECT TO
CLASS OR ---------------------------
COMPONENT INITIAL RATE CLASS OR COMPONENT COUPON MINIMUM RATE MAXIMUM RATE
----------------- ------------ --------------------------------------- ------------ ------------
<S> <C>
F ............ 4.4500%** LIBOR + 0.45% 0.45% 10.000000%
FA ............. 4.5625 LIBOR + 1.25% 1.25 10.000000
FB* ............. 6.0500 Seven-Year Treasury Index - 0.25% 0 9.200000
FC* ............. 6.3740 COFI + 1.5% 1.5 10.000000
S ............ 5.5500** 9.55% - LIBOR 0 9.550000
SA ............. 21.7500 35.0% - (LIBOR X 4) 0 35.000000
SB-1*............ 4.2705 10.570513% - Seven-Year Treasury Index 1.120513 10.320513
SB-2*............ 3.5166 9.816666% - Seven-Year Treasury Index 0.366666 9.566666
SC* ............. 14.5040 34.0% - (COFI X 4) 0 34.000000
</TABLE>
-------------------
* Delay Classes and Components.
** Rate in effect until November 25, 1993; Class Coupon adjusts monthly
thereafter.
See 'Payments -- Interest' in this Supplement.
ALLOCATION OF PRINCIPAL
1. Type I PAC Classes to their Targeted Balances (structured at 90%-250%
PSA), allocated:
A and F, in the ratio of 4 to 7
B and F, in the ratio of 8 to 9
C and F, in the ratio of 10 to 7
D and F, in the ratio of 8 to 3
E, G and H, in that order
2. Type II PAC Classes and Component to their Targeted Balances (structured
at 115%-200% PSA), allocated:
K and FB-1, pro rata
L
3. M, MA and FB-2 to their Targeted Balances (structured at 135%-155% PSA),
allocated:
43.5992607710% to M, 17.4397043084% to MA and 38.9610349206% to FB-2,
while M is outstanding FB-2 and MA, pro rata (based on their then
outstanding principal amounts)
4. FC and SC, pro rata, until retired
5. MB until retired
6. M, MA and FB-2 as in step 3 until retired
7. N until retired
8. FA, O and SA, pro rata, until retired
9. Type II PAC Classes and Component as in step 2 until retired
10. Type I PAC Classes as in step 1 until retired
See 'Payments -- Principal' in this Supplement.
S-3
<PAGE>
WEIGHTED AVERAGE LIVES (IN YEARS)*
PSA PREPAYMENT ASSUMPTION
----------------------------------
CLASSES 0% 90% 155% 250% 450%
-------------------------------- ---- ---- ---- ---- ----
A ............................. 8.1 1.2 1.2 1.2 1.2
B ............................. 15.7 3.4 3.4 3.4 2.3
C ............................. 19.8 5.8 5.8 5.8 3.3
D ............................. 22.2 7.9 7.9 7.9 4.4
E ............................. 24.1 10.9 10.9 10.9 6.1
F ............................. 13.9 3.4 3.4 3.4 2.2
FA, O and SA.................... 29.4 22.0 18.3 2.8 0.9
FB ............................. 27.2 13.3 3.0 2.0 0.8
FC and SC....................... 28.2 17.3 1.7 0.3 0.1
G ............................. 25.5 14.9 14.9 14.9 8.7
H ............................. 25.9 18.8 18.8 18.8 11.9
K ............................. 26.8 11.5 3.4 2.9 1.2
L ............................. 27.4 14.1 10.9 6.4 1.7
M .............................. 27.7 15.3 1.6 0.7 0.3
MA.............................. 27.8 15.8 3.4 0.9 0.3
MB ............................. 28.5 18.2 5.2 0.6 0.2
N ............................. 28.7 19.0 10.9 1.4 0.5
Underlying GNMA-Related
Securities...................... 21.3 10.2 7.6 5.4 3.0
-----------------------
* Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any
other constant rate, and the actual weighted average lives of the
Classes and of the GNMA-Related Securities are likely to differ from
those shown, perhaps significantly.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF NOVEMBER 1, 1992)
REMAINING TERM ORIGINAL TERM
TO MATURITY TO MATURITY PER ANNUM
PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE
- ----------------- -------------- ------------- -------------
$350,000,000 292 360 8.5%
The actual remaining terms to maturity of most of the Mortgages will differ
from the remaining term shown above, perhaps significantly. See 'General
Information -- The Mortgages' in this Supplement.
S-4
<PAGE>
Annex 2(k)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated August 1, 1993
to
Offering Circular
dated August 1, 1993
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Securities, Series G020
OFFERING CIRCULAR SUPPLEMENT (LOGO)
(TO OFFERING CIRCULAR DATED AUGUST 1, 1993)
$300,000,000
FEDERAL HOME LOAN MORTGAGE CORPORATION
MULTICLASS MORTGAGE SECURITIES, SERIES G020
- --------------------------------------------------------------------------------
The Federal Home Loan Mortgage Corporation ('Freddie Mac') is offering its
Multiclass Mortgage Securities of the above Series (the 'Multiclass
Securities'). The Multiclass Securities will consist of the various 'Classes'
listed below. The Classes will receive principal and interest payments, in
differing proportions and at differing times, from the cash flows provided by
(i) 'fully modified pass-through' mortgage-backed securities ('GNMA
Certificates') guaranteed as to timely payment of principal and interest by the
Government National Mortgage Association ('GNMA') and/or (ii) Freddie Mac Giant
GNMA-Backed Securities ('Giant Securities' and, together with the GNMA
Certificates, 'GNMA-Related Securities'), with interest rates of 7% per annum.
The GNMA Certificates represent ownership interests in pools of first lien,
single family residential mortgages (the 'Mortgages') that are either insured by
the Federal Housing Administration or partially guaranteed by the Department of
Veterans Affairs. See 'General Information -- Structure of Transaction' in this
Supplement. The obligations of GNMA under its guarantees of the GNMA
Certificates are backed by the full faith and credit of the United States.
Freddie Mac guarantees to each 'Holder' of a Multiclass Security (i) the timely
payment of interest at the applicable 'Class Coupon' and (ii) the payment of the
principal amount of the Holder's Multiclass Security as described in this
Supplement.
Freddie Mac will make interest and principal payments on each monthly 'Payment
Date,' beginning November 25, 1993, on the Classes entitled to such payments.
See 'Payments' in this Supplement.
This Series will involve the creation of a single 'REMIC Pool.' An election will
be made to treat the REMIC Pool as a 'real estate mortgage investment conduit'
('REMIC') pursuant to the Internal Revenue Code. The R Class will be a 'Residual
Class' and the other Classes will be 'Regular Classes.' The R Class will be
subject to transfer restrictions. See 'Certain Federal Income Tax Consequences'
in this Supplement and in the Multiclass Securities Offering Circular.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
AT THE BOTTOM OF PAGE S-2.
- --------------------------------------------------------------------------------
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE MULTICLASS SECURITIES
ARE OBLIGATIONS OF FREDDIE MAC ONLY. THE MULTICLASS SECURITIES, INCLUDING ANY
INTEREST THEREON, ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT
CONSTITUTE DEBTS OR OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR
INSTRUMENTALITY OF THE UNITED STATES OTHER THAN FREDDIE MAC. INCOME
ON THE MULTICLASS SECURITIES HAS NO EXEMPTION UNDER FEDERAL LAW
FROM FEDERAL, STATE OR LOCAL TAXATION. THE MULTICLASS SECURITIES
ARE EXEMPT FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES
ACT OF 1933 AND ARE 'EXEMPTED SECURITIES' WITHIN THE MEANING
OF THE SECURITIES EXCHANGE ACT OF
1934.
- -------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
ORIGINAL AVERAGE
PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT LIFE AT
CLASS AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) 200% PSA(4)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C>
A .............. $ 13,480,000 PAC 5.5% FIX 3133T1PP1 March 25, 2003 1.2 Yrs
B .............. 32,630,000 PAC 5.5 FIX 3133T1PQ9 March 25, 2013 3.5
C .............. 18,820,000 PAC 5.5 FIX 3133T1PR7 August 25, 2016 5.9
D .............. 17,960,000 PAC 5.5 FIX 3133T1PS5 February 25, 2019 7.9
E .............. 26,250,000 PAC 5.5 FIX 3133T1PT3 January 25, 2022 10.9
F .............. 112,500,000 STP (5) FLT 3133T1PU0 October 25, 2023 7.7
FA ............. 4,955,500 SUP (5) FLT 3133T1PV8 October 25, 2023 17.6
FB ............. 12,782,000 TAC (5) FLT/DLY 3133T1PW6 October 25, 2023 3.5
G .............. 3,570,000 PAC 5.5 FIX 3133T1PX4 May 25, 2022 13.9
H .............. 16,480,000 PAC 5.5 FIX 3133T1PY2 October 25, 2023 18.8
J .............. 8,690,000 SCH 5.5 FIX 3133T1PZ9 March 25, 2023 3.4
K .............. 6,940,000 SCH 5.5 FIX 3133T1QA3 September 25, 2023 13.9
L .............. 1,210,000 SCH 5.5 FIX 3133T1QB1 October 25, 2023 25.8
M .............. 12,445,000 SCH 5.5 FIX 3133T1QC9 October 25, 2023 3.4
S .............. 112,500,000 NTL(STP) (5) INV/IO 3133T1QD7 October 25, 2023 --
SA ............. 2,766,352 SUP (5) INV 3133T1QE5 October 25, 2023 17.6
SB ............. 387,148 SUP (5) INV 3133T1QF2 October 25, 2023 17.6
SC.............. 6,536,250 TAC (5) INV/DLY 3133T1QG0 October 25, 2023 3.5
SD.............. 1,597,750 TAC (5) INV/DLY 3133T1QH8 October 25, 2023 3.5
R .............. 0 NPR 0 NPR 3133T1QJ4 October 25, 2023 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) Subject to proportionate increase as described under 'Increase in Size' in
this Supplement. The amount shown for a Notional Class is its original
notional principal amount and does not represent principal that will be
paid; see 'Payments -- Interest' in this Supplement.
(2) See 'Description of Multiclass Securities -- Standard Definitions and
Abbreviations for Classes' in the Multiclass Securities Offering Circular.
The type of Class with which the notional principal amount of a Notional
Class will be reduced is indicated in parentheses.
(3) See 'Final Payment Dates' in this Supplement.
(4) Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 200% PSA or any
other constant rate, and the actual weighted average lives of any or all of
the Classes are likely to differ from those shown, perhaps significantly.
(5) The Floating Rate and Inverse Floating Rate Classes will bear interest as
described under 'Terms Sheet -- Class Coupons' in this Supplement.
The Multiclass Securities are offered by Prudential Securities Incorporated (the
'Underwriter') from time to time for sale in negotiated transactions at varying
prices to be determined at the time of sale, plus accrued interest from October
1, 1993 on the Fixed Rate and Delay Classes and from October 25, 1993 on the
Floating Rate and Inverse Floating Rate Classes other than the Delay Classes
(the 'Non-Delay Classes'). The Multiclass Securities are offered by the
Underwriter when, as and if issued, subject to delivery by Freddie Mac and
acceptance by the Underwriter, to prior sale and to withdrawal, cancellation or
modification of the offer without notice. It is expected that the Regular
Classes (in book-entry form) will be available for deposit at any Federal
Reserve Bank, and that delivery of the Residual Classes (in certificated form)
will be made at the offices of the Underwriter, 100 Gold Street, New York, New
York, on or about October 29, 1993 (the 'Closing Date').
PRUDENTIAL SECURITIES INCORPORATED
SEPTEMBER 14, 1993
MULTICLASS SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS SECURITIES OF ANY CLASS
UNLESS THE INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND
LIQUIDITY RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE YIELD OF EACH CLASS WILL DEPEND UPON ITS PURCHASE PRICE, ITS
SENSITIVITY TO THE RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGES AND THE ACTUAL
CHARACTERISTICS OF THE MORTGAGES. IN ADDITION, THE YIELD OF EACH FLOATING RATE
OR INVERSE FLOATING RATE CLASS WILL DEPEND UPON ITS SENSITIVITY TO THE LEVEL OF
LIBOR OR COFI (EACH, AN 'INDEX'). THE MORTGAGES ARE SUBJECT TO PREPAYMENT AT ANY
TIME WITHOUT PENALTY. MORTGAGE PREPAYMENT RATES ARE LIKELY TO FLUCTUATE
SIGNIFICANTLY FROM TIME TO TIME, AS IS THE LEVEL OF EACH INDEX. INVESTORS SHOULD
CONSIDER THE ASSOCIATED RISKS, INCLUDING:
- FAST MORTGAGE PREPAYMENT RATES CAN REDUCE THE YIELDS OF THE INTEREST
ONLY CLASS AND OF ANY OTHER CLASSES PURCHASED AT A PREMIUM OVER
THEIR PRINCIPAL AMOUNTS. UNDER SOME PREPAYMENT SCENARIOS, INVESTORS
IN THE INTEREST ONLY CLASS COULD FAIL TO FULLY RECOVER THEIR
INVESTMENTS.
- SLOW MORTGAGE PREPAYMENT RATES CAN REDUCE THE YIELDS OF CLASSES
PURCHASED AT A DISCOUNT TO THEIR PRINCIPAL AMOUNTS.
- SMALL DIFFERENCES IN THE CHARACTERISTICS OF THE MORTGAGES CAN HAVE A
SIGNIFICANT EFFECT ON THE WEIGHTED AVERAGE LIVES AND YIELDS OF THE
CLASSES.
- LOW LEVELS OF THE APPLICABLE INDEX CAN REDUCE THE YIELDS OF THE
FLOATING RATE CLASSES. CONVERSELY, HIGH LEVELS OF THE APPLICABLE
INDEX CAN SIGNIFICANTLY REDUCE THE YIELDS OF THE INVERSE FLOATING
RATE CLASSES AND (ESPECIALLY IN COMBINATION WITH FAST MORTGAGE
PREPAYMENT RATES) MAY RESULT IN THE FAILURE OF INVESTORS IN THE S
CLASS TO FULLY RECOVER THEIR INVESTMENTS.
- IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SUPPORT CLASSES ARE
LIKELY TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS THAN
ARE PRINCIPAL PAYMENT RATES ON THE PAC, SCHEDULED AND TAC CLASSES.
- IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SCHEDULED AND TAC CLASSES
ARE LIKELY TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS
THAN ARE PRINCIPAL PAYMENT RATES ON THE PAC CLASSES.
SEE 'PREPAYMENT AND YIELD ANALYSIS' IN THIS SUPPLEMENT.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
MULTICLASS SECURITIES AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO
SO. THERE IS NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT
DEVELOPS, THAT IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL
THEIR MULTICLASS SECURITIES READILY OR AT PRICES THAT WILL ENABLE THEM TO
REALIZE THEIR DESIRED YIELD.
------------------------
Investors should purchase Multiclass Securities only if they have read and
understand this Supplement and the following documents:
- Freddie Mac's Multiclass Mortgage Securities Offering Circular dated
August 1, 1993 (the 'Multiclass Securities Offering Circular'),
which is attached to this Supplement;
- Freddie Mac's Giant GNMA-Backed Securities Offering Circular dated
September 1, 1992 (the 'Giant Securities Offering Circular'); and
- Freddie Mac's Information Statement dated April 9, 1993, its
Information Statement Supplements dated April 30, 1993 and August 2,
1993 and any other Information Statement Supplements published by
Freddie Mac through the time of purchase (collectively, the
'Information Statement').
This Supplement incorporates by reference the Giant Securities Offering
Circular and the Information Statement. Investors can order those documents:
from Freddie Mac, by writing or calling its Investor Inquiry Department at 8200
Jones Branch Drive, McLean, Virginia 22102 (outside Washington, D.C.
metropolitan area, phone 800/336-FMPC; within Washington, D.C. metropolitan
area, phone 703/759-8160); or from the Underwriter, by writing or calling its
Prospectus Department at 315 Hudson Street, 7th Floor, New York, New York 10013
(phone 212/776-8906).
Investors can obtain additional information regarding the GNMA-Related
Securities from the sources described under 'General Information -- Additional
Information' in this Supplement.
S-2
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION FOR QUICK REFERENCE ONLY. IT
IS NOT A SUMMARY OF THE TRANSACTION. INVESTORS SHOULD REFER TO THE REMAINDER OF
THIS SUPPLEMENT FOR FURTHER INFORMATION.
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
---------------------------
CLASS INITIAL RATE(1) CLASS COUPON MINIMUM RATE MAXIMUM RATE
----------- --------------- -------------------------------------- ------------ ------------
<S> <C>
F ..... 3.725% LIBOR + 0.6% 0.6% 9.5%
FA ...... 4.375 LIBOR + 1.25% 1.25 9.0
FB(2) ..... 4.998 COFI + 1.0% 1.0 9.0
S ..... 5.775 8.9% - LIBOR 0 8.9
SA ...... 7.165394 12.763358% - (LIBOR X 1.79134831973) 0 12.763358
SB ...... 8.0 99.20011% - (LIBOR X 12.8000145) 0 8.0
SC(2)...... 5.8705 13.6888888% - (COFI X 1.9555556) 0 13.6888888
SD(2)...... 8.0 64.0% - (COFI X 8.0) 0 8.0
</TABLE>
-------------------------
(1) Initial Rate will be in effect during first 'Accrual Period;' Class
Coupon will adjust monthly thereafter.
(2) Delay Class.
See 'Payments -- Interest' in this Supplement.
NOTIONAL CLASS
NOTIONAL CLASS REDUCES WITH
- --------------- ----------------
S F (Strip Class)
See 'Payments -- Interest -- Notional Class' in this Supplement.
ALLOCATION OF PRINCIPAL
- 37.5% of GNMA Principal Payment Amount to F
- Remainder of GNMA Principal Payment Amount to:
1. PAC Classes (A, B, C, D, E, G and H, in that order) to their
Targeted Balances (structured at 95%-250% PSA)
2. Scheduled Classes (J, K and L, in that order) to their Targeted
Balances (structured at 115%-225% PSA)
3. Scheduled Class (M) to its Targeted Balance (structured at
145%-210% PSA)
4. TAC Classes (FB, SC and SD), pro rata, to their Targeted Balances
(structured at 200% PSA)
5. FA, SA and SB, pro rata, until retired
6. FB, SC and SD, pro rata, until retired
7. M until retired
8. J, K and L, in that order, until retired
9. A, B, C, D, E, G and H, in that order, until retired
See 'Payments -- Principal' in this Supplement.
S-3
WEIGHTED AVERAGE LIVES (IN YEARS)*
PSA PREPAYMENT ASSUMPTION
----------------------------------
0% 95% 200% 250% 500%
------ ------ ------ ------ ------
A ............................ 4.0 1.2 1.2 1.2 1.2
B ............................ 12.2 3.5 3.5 3.5 2.9
C ............................ 17.7 5.9 5.9 5.9 3.7
D ............................ 20.4 7.9 7.9 7.9 4.5
E ............................ 23.0 10.9 10.9 10.9 5.9
F ............................ 20.8 11.9 7.7 6.6 3.8
FA, SA and SB................. 29.8 28.4 17.6 1.7 0.6
FB, SC and SD................. 28.9 23.5 3.5 2.8 1.4
G ............................ 24.5 13.9 13.9 13.9 7.5
H ............................ 25.4 18.8 18.8 18.8 10.4
J ............................ 26.3 12.5 3.4 3.4 2.0
K ............................ 26.9 16.5 13.9 6.5 2.5
L ............................ 27.6 25.8 25.8 9.0 2.6
M............................. 27.7 18.0 3.4 3.2 1.8
GNMA-Related Securities....... 20.8 11.9 7.7 6.6 3.8
-----------------------
* Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any
other constant rate, and the actual weighted average lives of any or
all of the Classes and of the GNMA-Related Securities are likely to
differ from those shown, perhaps significantly.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF OCTOBER 1, 1993)
<TABLE>
<CAPTION>
ORIGINAL TERM
REMAINING TERM TO MATURITY PER ANNUM
PRINCIPAL BALANCE TO MATURITY (IN MONTHS) (IN MONTHS) INTEREST RATE
- ----------------- ----------------------- ------------- -------------
<S> <C>
$ 150,000,000 358 360 7.5%
150,000,000 359 360 7.5
- -----------------
$ 300,000,000
- -----------------
- -----------------
</TABLE>
The actual remaining terms to maturity of many of the Mortgages will differ
from those shown above, perhaps significantly. See 'General Information -- The
Mortgages' in this Supplement.
S-4
<PAGE>
Annex 2(l)
Offering Circular Supplement
dated January 14, 1991
to
Offering Circular
dated August 27, 1990
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1041
<PAGE>
OFFERING CIRCULAR SUPPLEMENT (LOGO)
(TO OFFERING CIRCULAR DATED AUGUST 27, 1990)
$300,416,000
FEDERAL HOME LOAN
MORTGAGE CORPORATION
MULTICLASS MORTGAGE PARTICIPATION CERTIFICATES (GUARANTEED), SERIES 1041
Each Class of Multiclass Mortgage Participation Certificates (Guaranteed),
Series 1041 (the 'Multiclass PCs'), will represent a beneficial ownership
interest in one of two pools (the 'Lower-Tier REMIC Pool' and the 'Upper-Tier
REMIC Pool' and, together, the 'REMIC Pools') to be formed by the Federal Home
Loan Mortgage Corporation ('Freddie Mac'). The Lower-Tier REMIC Pool will
consist of Freddie Mac Gold Mortgage Participation Certificates (Guaranteed)
('Gold PCs') and/or Freddie Mac Gold Giant Mortgage Participation Certificates
(Guaranteed) ('Gold Giant PCs'). The Gold PCs will represent undivided interests
in discrete pools consisting of specified fixed-rate, first lien, residential
mortgages or participations therein purchased by Freddie Mac. The Gold Giant PCs
will represent beneficial ownership interests in discrete pools consisting of
specified Gold PCs and/or Gold Giant PCs. The Upper-Tier REMIC Pool will consist
of certificates (the 'Upper-Tier Mortgage Securities') representing the classes
of regular interests in the Lower-Tier REMIC Pool.
Freddie Mac guarantees to each Holder (as defined herein) of a Multiclass PC
(i) the timely payment of interest at the applicable Multiclass PC interest rate
(the 'Multiclass PC Coupon') on such Holder's Multiclass PC and (ii) the payment
of the principal amount of such Holder's Multiclass PC as payments are required
to be made on the Gold PCs and/or Gold Giant PCs in accordance with their
respective terms, as described herein.
Interest on each Class of Multiclass PCs will be passed through monthly on
each Payment Date, commencing March 15, 1991. Interest will accrue on the Class
1041-A, Class 1041-B, Class 1041-C, Class 1041-D, Class 1041-H, Class 1041-R and
Class 1041-RS Multiclass PCs (the 'Fixed Rate PCs') during the month preceding
the month in which the related Payment Date occurs (an 'Interest Accrual
Period'). Interest will accrue on the Class 1041-E, Class 1041-F and Class
1041-G Multiclass PCs (the 'Variable Rate PCs') from the 15th day of the month
preceding the month in which the related Payment Date occurs to the 15th day of
the month in which such Payment Date occurs (a 'Variable Interest Accrual
Period'). See 'Description of the Multiclass PCs--Payments of Interest' herein.
Principal payments will be made on the Multiclass PCs as described herein. The
Class 1041-R and Class 1041-RS Multiclass PCs will be Planned Amortization PCs,
and the Class 1041-A, Class 1041-B, Class 1041-C and Class 1041-D Multiclass PCs
will be Targeted Amortization PCs. See 'Description of the Multiclass
PCs--Payments of Principal' herein.
Elections will be made to treat the REMIC Pools as 'real estate mortgage
investment conduits' (each, a 'REMIC') pursuant to the Internal Revenue Code of
1986, as amended (the 'Code'). The Regular Class PCs will be regular interests
in the Upper-Tier REMIC Pool and the Class 1041-R Multiclass PCs will be the
residual interest therein. The Class 1041-RS Multiclass PCs will be the residual
interest in the Lower-Tier REMIC Pool. The Class 1041-R and Class 1041-RS
Multiclass PCs will be subject to certain transfer restrictions. See 'Certain
Federal Income Tax Consequences--Transfers of Residual Class PCs' in the
Multiclass PC Offering Circular.
THIS OFFERING CIRCULAR SUPPLEMENT AND THE OTHER DOCUMENTS INCLUDED HEREWITH
SHOULD BE READ IN CONJUNCTION WITH FREDDIE MAC'S INFORMATION STATEMENT, ITS
GIANT PC OFFERING CIRCULAR AND ITS EXCHANGE CIRCULAR (EACH AS DEFINED HEREIN),
WHICH DOCUMENTS ARE AVAILABLE AS DESCRIBED HEREIN.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEE OF THE MULTICLASS PCS ARE
OBLIGATIONS OF FREDDIE MAC ONLY AND ARE NOT BACKED BY THE FULL FAITH AND
CREDIT OF THE UNITED STATES. INCOME ON THE MULTICLASS PCS HAS NO
EXEMPTION UNDER FEDERAL LAW FROM FEDERAL, STATE OR LOCAL
TAXATION. THE MULTICLASS PCS ARE EXEMPT FROM THE REGISTRATION
REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE 'EXEMPTED
SECURITIES' WITHIN THE MEANING OF THE SECURITIES EXCHANGE
ACT OF 1934.
<TABLE>
<CAPTION>
ORIGINAL PRINCIPAL MULTICLASS FINAL CUSIP
AMOUNT(1) PC COUPON PAYMENT DATE(2) NUMBER
<S> <C>
Class 1041-A.......$ 165,320,000 8.150% July 15, 2018 3129045A9
Class 1041-B.......$ 36,000 1,041.625% July 15, 2018 3129045B7
Class 1041-C.......$ 14,582,000 8.375% March 15, 2019 3129045C5
Class 1041-D.......$ 49,122,000 8.375% December 15, 2020 3129045D3
Class 1041-E.......$ 48,910,000 (3) February 15, 2021 3129045E1
Class 1041-F.......$ 7,000,000 (4) February 15, 2021 3129045F8
Class 1041-G.......$ 8,330,000 (4) February 15, 2021 3129045G6
Class 1041-H.......$ 416,000 1,181.875% February 15, 2021 3129045H4
Class 1041-R.......$ 6,690,000 8.375% February 15, 2021 3129045J0
Class 1041-RS......$ 10,000 8.375% February 15, 2021 3129045K7
</TABLE>
(1) Subject to increase as provided herein.
(2) Determined as described herein.
(3) The Class 1041-E Multiclass PCs will bear interest at a per annum rate of
8.45% from February 15, 1991 to March 15, 1991. Thereafter, such Class will
bear interest during each succeeding Variable Interest Accrual Period at a
per annum rate equal to the lesser of (i) .95% plus the arithmetic mean of
the London interbank offered quotations for one-month Eurodollar deposits
('LIBOR'), determined monthly as set forth herein, and (ii) 11.00%.
(4) The Class 1041-F and Class 1041-G Multiclass PCs will each bear interest at
a per annum rate of 8.135714285714286% from February 15 , 1991 to March 15,
1991. Thereafter, each such Class will bear interest during each succeeding
Variable Interest Accrual Period at a per annum rate (not less than 0%)
equal to (i) 32.064285714285714% minus (ii) the product of LIBOR and
3.19047619048.
The Multiclass PCs are being offered by Shearson Lehman Brothers Inc.
('Lehman Brothers') from time to time for sale in negotiated transactions at
varying prices to be determined at the time of sale, plus accrued interest from
February 1, 1991 in the case of the Fixed Rate PCs and from February 15, 1991 in
the case of the Variable Rate PCs. The Multiclass PCs are offered by Lehman
Brothers, subject to prior sale when, as and if delivered to and accepted by
Lehman Brothers and subject to Lehman Brothers' right to reject any order in
whole or in part. It is expected that the Regular Class PCs, in book-entry form,
will be available for deposit at any Federal Reserve Bank on or about February
28, 1991 and that delivery of the Class 1041-R and Class 1041-RS Multiclass PCs,
in certificated form, will be made at the offices of Lehman Brothers on or about
such date.
LEHMAN BROTHERS
OFFERING CIRCULAR SUPPLEMENT DATED JANUARY 14, 1991
<PAGE>
THE EXTENT TO WHICH THE YIELD TO MATURITY OF A MULTICLASS PC MAY VARY FROM
THE ANTICIPATED YIELD WILL DEPEND UPON THE EXTENT TO WHICH IT IS PURCHASED AT A
DISCOUNT OR PREMIUM, THE DEGREE TO WHICH THE TIMING OF PAYMENTS THEREON IS
SENSITIVE TO PREPAYMENTS AND, IN THE CASE OF THE VARIABLE RATE PCS, THE DEGREE
TO WHICH INTEREST PAYMENTS THEREON ARE SENSITIVE TO THE LEVEL OF LIBOR.
INVESTORS IN THE CLASS 1041-E MULTICLASS PCS SHOULD CONSIDER THE RISK THAT LOWER
THAN ANTICIPATED LEVELS OF LIBOR COULD RESULT IN ACTUAL YIELDS TO SUCH INVESTORS
THAT ARE LOWER THAN THE ANTICIPATED YIELDS AND THE FACT THAT THE MULTICLASS PC
COUPON OF SUCH CLASS CANNOT EXCEED 11.00% PER ANNUM REGARDLESS OF THE LEVEL OF
LIBOR. CONVERSELY, INVESTORS IN THE CLASS 1041-F AND CLASS 1041-G MULTICLASS PCS
SHOULD CONSIDER THE RISK THAT HIGHER THAN ANTICIPATED LEVELS OF LIBOR
(ESPECIALLY IF ACCOMPANIED BY A SLOWER THAN ANTICIPATED RATE OF PRINCIPAL
PAYMENTS) COULD RESULT IN ACTUAL YIELDS TO SUCH INVESTORS THAT ARE SIGNIFICANTLY
LOWER THAN THE ANTICIPATED YIELDS AND THE FACT THAT THE MULTICLASS PC COUPONS OF
SUCH CLASSES WOULD BE 0% AT ALL LEVELS OF LIBOR ABOVE 10.05%. IN ADDITION, THE
YIELD TO INVESTORS IN EACH CLASS OF THE MULTICLASS PCS WILL BE SENSITIVE IN
VARYING DEGREES TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) ON THE
MORTGAGES AND MORTGAGE PARTICIPATIONS UNDERLYING THE GOLD PCS AND/OR GOLD GIANT
PCS (THE 'MORTGAGES'). THE MORTGAGES MAY BE PREPAID AT ANY TIME WITHOUT PENALTY
AND THE RATE OF PRINCIPAL PAYMENTS MAY FLUCTUATE SIGNIFICANTLY FROM TIME TO
TIME. INVESTORS IN THE MULTICLASS PCS SHOULD CAREFULLY CONSIDER THE ASSOCIATED
RISKS, INCLUDING, IN THE CASE OF ANY MULTICLASS PCS (ESPECIALLY THE CLASS 1041-F
AND CLASS 1041-G MULTICLASS PCS) PURCHASED AT A DISCOUNT, THE RISK THAT A SLOWER
THAN ANTICIPATED RATE OF PRINCIPAL PAYMENTS COULD RESULT IN AN ACTUAL YIELD TO
INVESTORS THAT IS LOWER THAN THE ANTICIPATED YIELD AND, IN THE CASE OF ANY
MULTICLASS PCS (ESPECIALLY THE CLASS 1041-B AND CLASS 1041-H MULTICLASS PCS)
PURCHASED AT A PREMIUM, THE RISK THAT A FASTER THAN ANTICIPATED RATE OF
PRINCIPAL PAYMENTS COULD RESULT IN AN ACTUAL YIELD TO INVESTORS THAT IS LOWER
THAN THE ANTICIPATED YIELD. INVESTORS IN THE CLASS 1041-B AND CLASS 1041-H
MULTICLASS PCS SHOULD ALSO CONSIDER THE RISK THAT RAPID RATES OF PRINCIPAL
PAYMENTS COULD RESULT IN THE FAILURE OF SUCH INVESTORS TO RECOVER THEIR
INVESTMENTS. SEE 'DESCRIPTION OF THE MULTICLASS PCS -- PREPAYMENT AND YIELD
CONSIDERATIONS AND RISKS' HEREIN.
Freddie Mac expects to acquire the Gold PCs and/or Gold Giant PCs from
Lehman Brothers on or about February 28, 1991, on which date Freddie Mac expects
to form the REMIC Pools and to sell the Multiclass PCs to Lehman Brothers. See
'Plan of Distribution' herein.
Lehman Brothers intends to make a secondary market in the Multiclass PCs
but has no obligation to do so. There is no assurance that such a secondary
market will develop or, if it develops, that it will continue.
------------------------
THIS OFFERING CIRCULAR SUPPLEMENT DOES NOT CONTAIN COMPLETE INFORMATION
ABOUT THE MULTICLASS PCS. ADDITIONAL INFORMATION IS CONTAINED IN FREDDIE MAC'S
MULTICLASS MORTGAGE PARTICIPATION CERTIFICATES OFFERING CIRCULAR DATED AUGUST
27, 1990 (THE 'MULTICLASS PC OFFERING CIRCULAR'). INVESTORS SHOULD PURCHASE
MULTICLASS PCS ONLY AFTER READING THIS OFFERING CIRCULAR SUPPLEMENT, THE
MULTICLASS PC OFFERING CIRCULAR, FREDDIE MAC'S MORTGAGE PARTICIPATION
CERTIFICATES OFFERING CIRCULAR DATED JUNE 30, 1989 AND ITS MORTGAGE
PARTICIPATION CERTIFICATES OFFERING CIRCULAR SUPPLEMENT DATED JUNE 30, 1990
(TOGETHER, THE 'PC OFFERING CIRCULAR'), FREDDIE MAC'S EXCHANGE CIRCULAR DATED
AUGUST 31, 1990 (THE 'EXCHANGE CIRCULAR'), FREDDIE MAC'S GIANT MORTGAGE
PARTICIPATION CERTIFICATES OFFERING CIRCULAR DATED OCTOBER 2, 1989 AND ITS GIANT
MORTGAGE PARTICIPATION CERTIFICATES OFFERING CIRCULAR SUPPLEMENT DATED NOVEMBER
1, 1990 (TOGETHER, THE 'GIANT PC OFFERING CIRCULAR') AND FREDDIE MAC'S
INFORMATION STATEMENT DATED MARCH 30, 1990, ITS INFORMATION STATEMENT
SUPPLEMENTS DATED MAY 11, 1990, AUGUST 7, 1990 AND NOVEMBER 20, 1990 AND ANY
OTHER SUPPLEMENTS THERETO (TOGETHER, THE 'INFORMATION STATEMENT'). THE EXCHANGE
CIRCULAR, THE GIANT PC OFFERING CIRCULAR AND THE INFORMATION STATEMENT ARE
INCORPORATED HEREIN BY REFERENCE AND MAY BE OBTAINED FROM FREDDIE MAC BY WRITING
OR CALLING ITS INVESTOR INQUIRY DEPARTMENT AT P.O. BOX 4112, RESTON, VIRGINIA
22090 (OUTSIDE WASHINGTON, D.C. METROPOLITAN AREA, TELEPHONE 800/336-FMPC;
WITHIN WASHINGTON, D.C. METROPOLITAN AREA, TELEPHONE 703/759-8160). SUCH
DOCUMENTS MAY ALSO BE OBTAINED FROM LEHMAN BROTHERS BY WRITING OR CALLING ITS
PROSPECTUS DEPARTMENT AT 250 WEST STREET, THIRD FLOOR, NEW YORK, NEW YORK 10012
(TELEPHONE 212/528-9129).
S-2
<PAGE>
DESCRIPTION OF THE MULTICLASS PCS
GENERAL
The Class 1041-A, Class 1041-B, Class 1041-C, Class 1041-D, Class 1041-E,
Class 1041-F, Class 1041-G, Class 1041-H and Class 1041-R Multiclass PCs
(collectively, the 'Upper-Tier PCs') will represent beneficial ownership
interests in the Upper-Tier REMIC Pool, consisting of the Upper-Tier Mortgage
Securities. The Upper-Tier Mortgage Securities and the Class 1041-RS Multiclass
PCs (collectively, the 'Lower-Tier PCs') will represent beneficial ownership
interests in the Lower-Tier REMIC Pool, consisting of the Gold PCs and/or Gold
Giant PCs described below. See 'The Upper-Tier Mortgage Securities; the Gold PCs
and Gold Giant PCs' herein.
The Multiclass PCs will have the Class designations, original principal
amounts, Multiclass PC Coupons (or, in the case of the Variable Rate PCs, the
methods of determining the applicable Multiclass PC Coupons) and Final Payment
Dates set forth on the cover page hereof or described elsewhere herein. The
Upper-Tier PCs other than the Class 1041-R Multiclass PCs will be Regular Class
PCs. The Class 1041-R and Class 1041-RS Multiclass PCs will be Residual Class
PCs. The Multiclass PCs will be sold under the terms of the Multiclass Mortgage
Participation Certificate Agreement, dated as of August 27, 1990 and included in
the Multiclass PC Offering Circular as Exhibit A, and two Terms Supplements,
each to be dated February 28, 1991 (collectively, the 'Multiclass PC
Agreement'). The Terms Supplements will establish the REMIC Pools and will set
forth the specific terms applicable to the Series 1041 Multiclass PCs and the
Upper-Tier Mortgage Securities. The material provisions of the Terms Supplements
are described herein.
Prior to the formation of the REMIC Pools, Freddie Mac and Lehman Brothers
may agree to increase the original principal amounts of the Classes of
Multiclass PCs and the Upper-Tier Mortgage Securities. In the event of any such
increase, the Multiclass PCs and the Upper-Tier Mortgage Securities will have
the same characteristics as described herein, except (i) the original principal
amounts of the Classes of Multiclass PCs and the Upper-Tier Mortgage Securities
and (ii) the annual and total cash flows for the Class 1041-F, Class 1041-G and
Class 1041-H Multiclass PCs shown in Tables 4, 5 and 6, respectively, under
'Prepayment and Yield Considerations and Risks' herein will increase, in each
case by approximately the same proportion. Any increase referred to in clause
(i) above will be reflected in the applicable Terms Supplement.
A copy of each of the Terms Supplements may be obtained on or after
February 28, 1991 by writing or calling the Investor Inquiry Department at
Freddie Mac at the address or telephone numbers set forth on page S-2. Holders
(as defined below) and anyone having a beneficial interest in the Multiclass PCs
should refer to the Multiclass PC Agreement for a complete description of their
rights and obligations and the rights and obligations of Freddie Mac with
respect to the Multiclass PCs. Each Holder and each beneficial owner of a
Multiclass PC acquires such Multiclass PC subject to all the terms and
conditions of the Multiclass PC Agreement, including the applicable Terms
Supplement.
FORM OF MULTICLASS PCS; HOLDERS
The Regular Class PCs will be issued and may be transferred by Holders only
on the book-entry system of a Federal Reserve Bank. The Class 1041-R and Class
1041-RS Multiclass PCs will be issued, and may be held of record, only in
certificated form. The Class 1041-R and Class 1041-RS Multiclass PCs will be
transferable and exchangeable at the office of Texas Commerce Bank National
Association (the 'Registrar'), which has been designated by Freddie Mac as its
agent for such purpose.
The term 'Holders' is used herein to refer to (i) the entities whose names
appear on the book-entry records of a Federal Reserve Bank as the entities for
whose accounts Regular Class PCs have been deposited and/or (ii) the entities
whose names appear on the records of the Registrar as the registered holders of
Class 1041-R or Class 1041-RS Multiclass PCs, as the case may be. See
'Description of Multiclass PCs -- Form of Multiclass PCs, Holders, Minimum
Principal Amounts and Transfers' in the Multiclass PC Offering Circular.
MINIMUM PRINCIPAL AMOUNTS AND TRANSFERS
The Regular Class PCs will be issued and must be maintained and transferred
in minimum original principal amounts of $1 and additional increments of $1. The
Class 1041-R and Class 1041-RS Multiclass PCs will be issued
S-3
\
and must be maintained and transferred in minimum original principal amounts
of $1,000 and additional increments of $1. See 'Description of Multiclass
PCs -- Form of Multiclass PCs, Holders, Minimum Principal Amounts and
Transfers' in the Multiclass PC Offering Circular.
THE UPPER-TIER MORTGAGE SECURITIES; THE GOLD PCS AND GOLD GIANT PCS
The Upper-Tier REMIC Pool will consist of the Upper-Tier Mortgage
Securities, representing the five classes of regular interests in the Lower-Tier
REMIC Pool. The Upper-Tier Mortgage Securities will have the original principal
amounts and will bear interest at the per annum interest rates shown in Table 1
below. Principal and interest payments on the Upper-Tier Mortgage Securities
will be made in the same amounts and on the same Payment Dates as principal and
interest payments are to be made on the corresponding Classes of Upper-Tier PCs.
TABLE 1
UPPER-TIER MORTGAGE SECURITIES
<TABLE>
<CAPTION>
UPPER-TIER
MORTGAGE
SECURITY
ORIGINAL UPPER-TIER
PRINCIPAL MORTGAGE SECURITY CORRESPONDING CLASSES OF
AMOUNT COUPON UPPER-TIER PCS
-------------- ---------------- -----------------------------------------------------
<S> <C>
$ 165,356,000 8.375% 1041-A and 1041-B (in the aggregate)
63,704,000 8.375% 1041-C and 1041-D (in the aggregate)
64,240,000 8.375% 1041-E, 1041-F and 1041-G (in the aggregate)
416,000 1,181.875% 1041-H
6,690,000 8.375% 1041-R
--------------
$ 300,406,000
--------------
--------------
</TABLE>
The Lower-Tier REMIC Pool will include Gold PCs and/or Gold Giant PCs. The
Gold PCs included in the Lower-Tier REMIC Pool will represent undivided
interests in discrete pools consisting of specified Mortgages. Any Gold Giant
PCs included in the Lower-Tier REMIC Pool will represent beneficial ownership
interests in discrete pools consisting of specified Gold PCs and/or Gold Giant
PCs. Freddie Mac is offering newly created Gold PCs ('Original-Issue Gold PCs')
and is offering to holders of certain Original PCs and Original Giant PCs (as
such terms are defined in the Multiclass PC Offering Circular) the right to
exchange their Original PCs and Original Giant PCs for Gold PCs ('Converted Gold
PCs'). (For further information about such Converted Gold PCs, see the Exchange
Circular.) The Gold PCs to be included in the Lower-Tier REMIC Pool may consist
of both Original-Issue Gold PCs and Converted Gold PCs.
The Converted Gold PCs which are included in the Lower-Tier REMIC Pool will
have been obtained in exchange for Original PCs formed either under Freddie
Mac's Cash Program ('Cash PCs') or under its Guarantor Program ('Guarantor
PCs'). See 'Description of Mortgage Participation Certificates' in the PC
Offering Circular for a description of Freddie Mac's Cash and Guarantor
Programs. In addition, the Original-Issue Gold PCs (including Original-Issue
Gold PCs underlying any Gold Giant PCs) which are included in the Lower-Tier
REMIC Pool will have been formed under either Freddie Mac's Cash Program or its
Guarantor Program. The relative percentages in the Lower-Tier REMIC Pool of
Converted Gold PCs exchanged for Cash PCs and Guarantor PCs, of Original-Issue
Gold PCs and of Gold Giant PCs will not be determined until the time of
formation of the REMIC Pools. For purposes of preparing various tables and
related information presented herein, it has been assumed that the Lower-Tier
REMIC Pool will include only Original-Issue Gold PCs. However, Converted Gold
PCs may constitute a portion of the Lower-Tier REMIC Pool.
Freddie Mac currently requires that the Original PCs and Original Giant PCs
exchanged for a Converted Gold PC be either all Cash PCs (including Original
Giant PCs representing interests in Cash PCs) or all Guarantor PCs (including
Original Giant PCs representing interests in Guarantor PCs). Differences in
principal payment cycles for Cash PCs and Guarantor PCs will result in different
payments to holders of the resulting Converted Gold PC in the first months
following the exchange. On the first Payment Date following the month of
exchange of a Cash PC, the resulting Converted Gold PC will receive a payment of
Monthly Principal Reduction (as defined in the PC Offering Circular) for one
month and no payments in respect of prepayments on the related Mortgages.
Moreover, the payments on such Converted Gold PC in succeeding months may be
adjusted downward (or upward) to the extent
S-4
that Freddie Mac's estimates of scheduled amortization and prepayments on the
related Mortgages through the monthly reporting period ended the 15th day of the
month of exchange exceeded (or were less than) the actual payments on such
Mortgages. On the first Payment Date following the month of exchange of a
Guarantor PC, the resulting Converted Gold PC will receive payments of Monthly
Principal Reduction for two months and its pro rata share of full prepayments on
the related Mortgages for the monthly reporting period ended the 15th day of the
month of exchange. Thus, to the extent that a large portion of the Lower-Tier
REMIC Pool consists of Converted Gold PCs exchanged for Cash PCs, the initial
rate of principal payments on the Multiclass PCs could be somewhat slower and,
to the extent that a large portion of the Lower-Tier REMIC Pool consists of
Converted Gold PCs exchanged for Guarantor PCs, the initial rate of principal
payments on the Multiclass PCs could be slightly faster, than if the Lower-Tier
REMIC Pool included only Original-Issue Gold PCs that were otherwise identical.
See 'Factors to be Considered -- Exchange Fees; Timing Differences' in the
Exchange Circular.
The original unpaid principal balances of certain Original-Issue Gold PCs
formed under the Guarantor Program reflect the balances of the related Mortgages
without reduction for the amounts of monthly principal payments scheduled to be
made on such Mortgages in the month of issuance. With respect to any such
Original-Issue Gold PC, such additional principal is passed through to holders
on the Payment Date occurring in the second month following the month of
issuance, together with any other amounts due to be paid on such Original-Issue
Gold PC on that Payment Date. Accordingly, to the extent that a significant
portion of the Lower-Tier REMIC Pool consists of such Original-Issue Gold PCs,
the initial rate of principal payments on the Multiclass PCs could be slightly
faster than would otherwise be the case.
The Gold PCs and/or Gold Giant PCs to be included in the Lower-Tier REMIC
Pool will have interest rates of 10.00% per annum. The Gold PCs and/or Gold
Giant PCs underlying any Gold Giant PCs included in the Lower-Tier REMIC Pool
will also have interest rates of 10.00% per annum. The specific Gold PCs and/or
Gold Giant PCs to be included in the Lower-Tier REMIC Pool and their particular
characteristics will not be determined until the time of formation of the REMIC
Pools. Such Gold PCs and/or Gold Giant PCs will have been acquired by Lehman
Brothers in privately negotiated transactions before the formation of the REMIC
Pools. The weighted average interest rate and the weighted average remaining
term to maturity of the Mortgages underlying the Gold PCs and/or Gold Giant PCs
included in the Lower-Tier REMIC Pool, in each case as of February 1, 1991, and
in each case determined on the basis of information available at the time of
formation of the REMIC Pools, are expected to be approximately 10.6% per annum
and approximately 28 2/3 years, respectively. The actual interest rates and
remaining terms to maturity of many of the Mortgages will differ (and may differ
significantly) from such weighted averages. Up to 5% of the Lower-Tier REMIC
Pool by principal amount may consist of Gold PCs and/or Gold Giant PCs whose
underlying Mortgages have been identified as including Relocation Mortgages
and/or Biweekly Mortgages (as each is defined in the PC Offering Circular).
The general characteristics of PCs and Giant PCs are described in the PC
Offering Circular and the Giant PC Offering Circular, respectively. The
particular characteristics of certain PC Pools and of all Giant PC Pools are
described in PC Offering Circular Supplements and Giant PC Offering Circular
Supplements, respectively. With respect to each Converted Gold PC, Freddie Mac
will prepare an Exchange Pool Supplement providing information concerning the
characteristics of the related PC Pool. A Supplemental Statement containing a
schedule of unpaid principal balances and PC Pool numbers of the Gold PCs and/or
Gold Giant PCs in the Lower-Tier REMIC Pool (the 'Gold PC Schedule') and
additional information relating to such Gold PCs and/or Gold Giant PCs is
expected to be made available shortly after formation of the REMIC Pools. Such
Supplemental Statement and any PC Offering Circular Supplements, Giant PC
Offering Circular Supplements and Exchange Pool Supplements relating to the Gold
PCs and/or Gold Giant PCs included in the Lower-Tier REMIC Pool can be obtained
by writing or calling the Investor Inquiry Department at Freddie Mac at the
address or telephone numbers set forth on page S-2. The Gold PC Schedule is also
expected to be made available shortly after formation of the REMIC Pools on
Freddie Mac's Resecuritization Electronic Database ('FRED'). FRED is available
through the AT&T Mail service (an electronic mail system). Information about
access to FRED can be obtained by writing or calling the Investor Inquiry
Department of Freddie Mac.
PAYMENTS GENERALLY; MULTICLASS PC POOL FACTORS
Freddie Mac will pass through payments of principal and interest on the
Multiclass PCs to Holders on the 15th day of each month or, if such day is not a
Business Day (as defined in the Multiclass PC Agreement), on the next
S-5
succeeding Business Day (a 'Payment Date'), commencing March 15, 1991. All
payments of principal and interest received on the Gold PCs and/or Gold Giant
PCs on any Payment Date will be passed through on the same Payment Date to the
Holders of Multiclass PCs. Amounts received as interest payments on the Gold PCs
and/or Gold Giant PCs on any Payment Date will be passed through as interest on
the Multiclass PCs entitled thereto. Amounts received as principal payments on
the Gold PCs and/or Gold Giant PCs on any Payment Date will be passed through as
principal on the Multiclass PCs entitled thereto.
On or about the first business day of each month, commencing in March 1991,
Freddie Mac will publish or otherwise make available the Multiclass PC Pool
Factor for each Class of Multiclass PCs. The Multiclass PC Pool Factor for any
month is a truncated seven-digit decimal calculated by Freddie Mac which, when
multiplied by the original principal amount of a Class of Multiclass PCs, will
equal the remaining principal amount thereof, after giving effect to any payment
of principal to be made on the Payment Date in the same month. For example, the
March 1, 1991 Multiclass PC Pool Factor for any Class will reflect the remaining
principal amount thereof, after giving effect to any principal payment to be
made on March 15, 1991. The February 1, 1991 Multiclass PC Pool Factor for each
Class of Multiclass PCs is 1.0000000. See 'Description of Multiclass PCs --
Multiclass PC Pool Factors' in the Multiclass PC Offering Circular.
METHOD OF PAYMENT; RECORD DATE
Payments on the Regular Class PCs will be credited monthly on each Payment
Date by a Federal Reserve Bank to the accounts of Holders thereof. Payments on
the Class 1041-R and Class 1041-RS Multiclass PCs will be made by check mailed
by the Registrar to the addresses of the respective Holders thereof, as they
appear on the registers maintained by the Registrar, not later than the
applicable Payment Date; provided, however, that (i) the payment of principal on
a Class 1041-R or Class 1041-RS Multiclass PC that reduces the principal amount
thereof to zero will be made only upon presentation (without surrender) of such
Multiclass PC at the office of the Registrar for notation that the principal
amount thereof has been so reduced and (ii) the final payment on a Class 1041-R
or Class 1041-RS Multiclass PC will be made only upon the surrender thereof at
the office of the Registrar. A Holder that is not the beneficial owner of a
Multiclass PC, and each other financial intermediary in the chain to the
beneficial owner, will have the responsibility of remitting payments for the
accounts of their customers.
On each Payment Date, the payment on a Multiclass PC (including payment of
the redemption price, in the event of any optional redemption as described under
'Optional Redemption' herein) will be made to the Holder of record at the close
of business on the last business day of the preceding month. For this purpose,
'business day' means (i) in the case of a Regular Class PC, any day which is a
business day for the Federal Reserve Bank at which such Holder's account is
maintained and (ii) in the case of a Residual Class PC, any day which is a
business day for the Registrar.
PAYMENTS OF INTEREST
The Fixed Rate PCs will bear interest at the respective Multiclass PC
Coupons specified on the cover page hereof.
The Variable Rate PCs will bear interest as follows:
o The Class 1041-E Multiclass PCs will bear interest at a per annum
rate of 8.45% from February 15, 1991 to March 15, 1991. Thereafter,
such Class will bear interest during each succeeding Variable
Interest Accrual Period at a per annum rate equal to the lesser of
(i) 0.95% plus LIBOR, determined monthly as set forth below, and
(ii) 11.00%.
o The Class 1041-F and Class 1041-G Multiclass PCs will each bear
interest at a per annum rate of 8.135714285714286% from February 15,
1991 to March 15, 1991. Thereafter, each such Class will bear
interest during each succeeding Variable Interest Accrual Period at
a per annum rate (not less than 0%) equal to (i) 32.064285714285714%
minus (ii) the product of LIBOR and 3.19047619048.
The yields with respect to the Variable Rate PCs will be affected to a
significant degree by changes in LIBOR, which may or may not correlate with
changes in mortgage interest rates. It is possible that lower prevailing
mortgage interest rates (which might be expected to result in faster
prepayments) could occur concurrently with a higher level of LIBOR. Conversely,
higher prevailing mortgage interest rates (which might be expected to result in
slower
S-6
prepayments) could occur concurrently with a lower level of LIBOR. See
'Prepayment and Yield Considerations and Risks' below.
Interest on each Class of the Multiclass PCs is payable monthly on each
Payment Date, commencing March 15, 1991. Interest will be calculated on the
basis of a 360-day year consisting of twelve 30-day months. Interest payable on
a Class of Multiclass PCs on a Payment Date will accrue during the applicable
Interest Accrual Period or Variable Interest Accrual Period, as the case may be,
on the outstanding principal amount thereof as determined on the basis of the
applicable Multiclass PC Pool Factor published on or about the first day of the
month preceding the month of such Payment Date. For example, the interest to be
paid on a Class of Multiclass PCs on April 15, 1991 will be equal to interest at
the applicable Multiclass PC Coupon, accrued during the month of March 1991 (in
the case of the Fixed Rate PCs) or from March 15, 1991 to April 15, 1991 (in the
case of the Variable Rate PCs), on the principal amount thereof determined by
reference to the applicable March 1, 1991 Multiclass PC Pool Factor.
DETERMINATION OF LIBOR
The Multiclass PC Coupons of the Variable Rate PCs for any Variable
Interest Accrual Period after the first such period will be determined on the
second business day prior to the commencement of such Variable Interest Accrual
Period (a 'Variable Rate Adjustment Date').
On each Variable Rate Adjustment Date, Freddie Mac will determine LIBOR on
the basis of the offered LIBOR quotations of the Reference Banks (as defined
below), as such quotations are provided to Freddie Mac as of 11:00 a.m. (London
time) on such Variable Rate Adjustment Date. As used herein with respect to a
Variable Rate Adjustment Date, 'business day' means a day on which banks are
open for dealing in foreign currency and exchange in London, New York City and
Washington D.C.; 'Reference Banks' means four leading banks engaged in
transactions in Eurodollar deposits in the international Eurocurrency market (i)
with an established place of business in London, (ii) whose quotations appear on
the Reuters Screen LIBO Page on the Variable Rate Adjustment Date in question
and (iii) which have been designated as such by Freddie Mac and are able and
willing to provide such quotations to Freddie Mac on each Variable Rate
Adjustment Date; and 'Reuters Screen LIBO Page' means the display designated as
page 'LIBO' on the Reuters Monitor Money Rates Service (or such other page as
may replace the LIBO page on that service for the purpose of displaying London
interbank offered quotations of major banks). If any Reference Bank designated
by Freddie Mac should be removed from the Reuters Screen LIBO Page or in any
other way fails to meet the qualifications of a Reference Bank, Freddie Mac may,
in its sole discretion, designate an alternative Reference Bank.
On each Variable Rate Adjustment Date, LIBOR for the next succeeding
Variable Interest Accrual Period will be established by Freddie Mac as follows:
(i) If on any Variable Rate Adjustment Date two or more of the
Reference Banks provide such offered quotations, LIBOR for the next
Variable Interest Accrual Period will be the arithmetic mean of such
offered quotations (rounding such arithmetic mean upwards if necessary to
the nearest whole multiple of 1/16%).
(ii) If on any Variable Rate Adjustment Date only one or none of the
Reference Banks provides such offered quotations, LIBOR for the next
Variable Interest Accrual Period will be whichever is the higher of (x)
LIBOR as determined on the previous Variable Rate Adjustment Date or (y)
the Reserve Interest Rate. The 'Reserve Interest Rate' will be the rate per
annum which Freddie Mac determines to be either (A) the arithmetic mean
(rounding such arithmetic mean upwards if necessary to the nearest whole
multiple of 1/16%) of the one-month Eurodollar lending rates that the New
York City banks selected by Freddie Mac are quoting, on the relevant
Variable Rate Adjustment Date, to the principal London offices of leading
banks in the London interbank market or (B) in the event that Freddie Mac
can determine no such arithmetic mean, the lowest one-month Eurodollar
lending rate that the New York City banks selected by Freddie Mac are
quoting on such Variable Rate Adjustment Date to leading European banks.
(iii) If on any Variable Rate Adjustment Date Freddie Mac is required
but is unable to determine the Reserve Interest Rate in the manner provided
in paragraph (ii) above, LIBOR for the next Variable Interest Accrual
Period will be LIBOR as determined on the previous Variable Rate Adjustment
Date, or, in the case of the first Variable Rate Adjustment Date, 7.50%.
S-7
The establishment of LIBOR by Freddie Mac and Freddie Mac's subsequent
calculation of the rates of interest applicable to the Variable Rate PCs for the
relevant Variable Interest Accrual Period, in the absence of manifest error,
will be final and binding. The interest rates applicable to the then current and
the immediately preceding Variable Interest Accrual Periods may be obtained by
telephoning Freddie Mac's Investor Inquiry Department at the telephone numbers
set forth on page S-2.
PAYMENTS OF PRINCIPAL
On each Payment Date, Freddie Mac will be obligated to make principal
payments in the manner described below to the Holders of the Multiclass PCs as
to which principal is then due. The Holders of the Multiclass PCs of each Class
entitled to receive principal payments on any Payment Date will receive such
payments on a pro rata basis among the Multiclass PCs of such Class.
The Class 1041-R and Class 1041-RS Multiclass PCs will be Planned
Amortization PCs. The Class 1041-A, Class 1041-B, Class 1041-C and Class 1041-D
Multiclass PCs will be Targeted Amortization PCs.
The total amount of principal payments required to be made on the
Multiclass PCs on a Payment Date will equal the amount of principal payments
received on such Payment Date on the Gold PCs and/or Gold Giant PCs in the
Lower-Tier REMIC Pool (the 'Mortgage Security Principal Payment Amount'). For
any Payment Date, the amount of principal to be paid on any Class of Multiclass
PCs entitled thereto can be calculated by multiplying the original principal
amount of such Class by the difference between the Multiclass PC Pool Factors
for such Class published in the preceding and current months. For example, the
amount of principal to be paid on each Class of Multiclass PCs entitled thereto
on April 15, 1991 will reflect the difference between the applicable March 1,
1991 Multiclass PC Pool Factor and the applicable April 1, 1991 Multiclass PC
Pool Factor.
On each Payment Date, 416/300,416 of the Mortgage Security Principal
Payment Amount will be allocated to the payment of principal on the Class 1041-H
Multiclass PCs, and the remainder of the Mortgage Security Principal Payment
Amount (the 'Remaining Principal Payment Amount') will be allocated as follows:
First, to the concurrent payment of principal on the Class 1041-R and
Class 1041-RS Multiclass PCs, in proportion to their respective original
principal amounts, in an aggregate amount for such Payment Date (the
'Priority Amount') up to the lesser of (i) $670,000 (or, in the event of
any proportionate increase in the original principal amounts of the
Multiclass PCs as described under 'General' above, such amount increased by
the same proportion) and (ii) the amount necessary to reduce the principal
amounts of such Classes to zero;
Second, to the concurrent payment of principal on the Class 1041-A and
Class 1041-B Multiclass PCs, in proportion to their respective original
principal amounts, until such Classes have received their respective
Targeted Amounts (as defined below) for such Payment Date;
Third, to the payment of principal on the Class 1041-C and Class
1041-D Multiclass PCs, in that order (so that no principal payment will be
made on the Class 1041-D Multiclass PCs until the principal amount of the
Class 1041-C Multiclass PCs has been reduced to zero), until each such
Class has received its Targeted Amount for such Payment Date;
Fourth, concurrently 4,891/6,424 to the payment of principal on the
Class 1041-E Multiclass PCs and 1,533/6,424 to the payment of principal on
the Class 1041-G Multiclass PCs, until the principal amount of the Class
1041-G Multiclass PCs has been reduced to $5,000,000 (or, in the event of
any proportionate increase in the original principal amounts of the
Multiclass PCs as described under 'General' above, such amount increased by
the same proportion);
Fifth, concurrently 19,564/25,696 to the payment of principal on the
Class 1041-E Multiclass PCs, 3,577/25,696 to the payment of principal on
the Class 1041-F Multiclass PCs and 2,555/25,696 to the payment of
principal on the Class 1041-G Multiclass PCs, until the sum of the
principal amounts of such Classes has been reduced to $5,060,000 (or, in
the event of any proportionate increase in the original principal amounts
of the Multiclass PCs as described under 'General' above, such principal
amount increased by the same proportion);
Sixth, to the concurrent payment of principal on the Class 1041-R and
Class 1041-RS Multiclass PCs, in proportion to their respective original
principal amounts, until the principal amounts thereof have been reduced to
zero;
S-8
Seventh, to the concurrent payment of principal on the Class 1041-A
and Class 1041-B Multiclass PCs, in proportion to their respective original
principal amounts, until the principal amounts thereof have been reduced to
zero;
Eighth, to the payment of principal on the Class 1041-C and Class
1041-D Multiclass PCs, in that order, until the principal amount of each
such Class has been reduced to zero; and
Ninth, 19,564/25,696 to the payment of principal on the Class 1041-E
Multiclass PCs, 3,577/25,696 to the payment of principal on the Class
1041-F Multiclass PCs and 2,555/25,696 to the payment of principal on the
Class 1041-G Multiclass PCs, until the principal amount of each such Class
has been reduced to zero.
Targeted Amounts; Targeted Balances. The Targeted Amount for any Class of
Targeted Amortization PCs for any Payment Date means the amount, if any,
necessary to reduce the outstanding principal balance of such Class to the
'Targeted Balance' for such Class for such Payment Date.
The Targeted Balances for the Classes of Targeted Amortization PCs for each
Payment Date will equal the respective principal balances, calculated as
described below, to which such Classes would be reduced on such Payment Date,
assuming that (i) the Mortgages prepay at a constant rate of 180% PSA (as
defined under 'Prepayment and Yield Considerations and Risks' herein) and (ii)
the Remaining Principal Payment Amount, after payment of the Priority Amount, is
first allocated on each Payment Date to the payment of principal on the Classes
of Targeted Amortization PCs in the order and proportions described in clauses
Second and Third above.
The Targeted Balances for the Targeted Amortization PCs will be calculated
by Freddie Mac at or about the time of formation of the REMIC Pools, to the
extent of then available information, on the basis of the assumptions that (i)
each Mortgage underlying a Gold PC or Gold Giant PC in the Lower-Tier REMIC Pool
has a remaining term to maturity equal to the weighted average remaining term to
maturity, and bears interest at a rate equal to the weighted average interest
rate, of all Mortgages underlying such Gold PC or Gold Giant PC (or, in the case
of certain Converted Gold PCs created in February 1991 from the exchange of two
or more Original PCs or Original Giant PCs, of the Mortgages underlying the
related Original PC or Original Giant PC) and (ii) principal payments on the
Gold PCs and/or Gold Giant PCs are made as though they were all Original-Issue
Gold PCs. The actual characteristics of individual Mortgages underlying each
such Gold PC and/or Gold Giant PC will differ from those assumed, and a portion
of the Gold PCs may not be Original-Issue Gold PCs. It is not expected that
prepayments on the Mortgages will occur at a constant rate of 180% PSA or any
other constant rate. A table showing the Targeted Balances will be prepared by
Freddie Mac after the Gold PCs and/or Gold Giant PCs in the Lower-Tier REMIC
Pool have been identified; such table will be published in the Supplemental
Statement to be made available shortly after formation of the REMIC Pools.
Freddie Mac's calculation of the Targeted Balances will be final and binding on
all persons regardless of any defect or alleged defect in the methodology or
information used in making such calculation.
An amount equal to the Priority Amount would be available on each Payment
Date for the payment of principal on the Class 1041-R and Class 1041-RS
Multiclass PCs, assuming that (i) the Mortgages have the characteristics
described in Table 2 below (the 'Assumed Mortgage Characteristics'), (ii) the
Lower-Tier REMIC Pool contains only Original-Issue Gold PCs and (iii) principal
prepayments on the Mortgages occur at any constant percentage of PSA within the
'targeted range' of 65% PSA through 795% PSA, until the principal amounts of
such Classes have been reduced to zero.
TABLE 2
ASSUMED MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
ORIGINAL TERM REMAINING TERM PER ANNUM
PRINCIPAL BALANCE TO MATURITY (IN MONTHS) TO MATURITY (IN MONTHS) INTEREST RATE
---------------- -------------------- -------------------- ------------
<S> <C>
$ 100,138,667 360 354 10.625%
100,138,667 360 346 10.625
100,138,666 360 332 10.625
----------------
$ 300,416,000 344*
----------------
----------------
</TABLE>
- --------------------------
* Weighted average (by principal balance)
S-9
An amount equal to the Targeted Amount for any Class of Targeted
Amortization PCs would be available on each Payment Date for the payment of
principal on such Class, assuming that (i) the Mortgages have the
characteristics to be used in preparing the table of Targeted Balances, (ii) the
Lower-Tier REMIC Pool contains only Original-Issue Gold PCs and (iii) principal
prepayments on the Mortgages occur at a constant rate of 180% PSA until the
principal amount of such Class has been reduced to zero.
When the REMIC Pools are formed, the Mortgages and the Gold PCs and/or Gold
Giant PCs will have characteristics different from those assumed above.
Consequently, it is possible that even if the rate of principal prepayments were
to remain constant within the targeted range at all times, the amount available
for the payment of principal on the Classes of Planned Amortization PCs on any
Payment Date could be more or less than the Priority Amount for such Payment
Date. Similarly, even if the rate of principal prepayments were to remain
constant at 180% PSA at all times, the amount available for the payment of
principal on any Class of Targeted Amortization PCs on any Payment Date could be
more or less than the Targeted Amount for such Class for such Payment Date,
Moreover, it is highly unlikely that principal prepayments on the Mortgages
will occur at any constant rate. If the Remaining Principal Payment Amount
exceeds the Priority Amount for any Payment Date, the excess will be distributed
on such Payment Date as described above, and will not be retained for
distribution on subsequent Payment Dates. Thus, if principal prepayments on the
Mortgages do not occur at a constant rate, the amount of principal available on
subsequent Payment Dates for payment on the Class 1041-R and Class 1041-RS
Multiclass PCs may be less than the Priority Amount for such Payment Dates, even
if such prepayments remain within the targeted range. This result could occur,
for example, if principal prepayments on the Mortgages initially and for a
sustained period occur at a relatively fast rate within the targeted range and
principal prepayments subsequently occur at a significantly slower rate within
such range.
The effect on the weighted average lives of the Class 1041-R and Class
1041-RS Multiclass PCs of principal prepayments on the Mortgages at a rate or
rates outside the targeted range will depend upon the particular prepayment
scenario. In general, if principal prepayments on the Mortgages are made at a
rate so slow that the Remaining Principal Payment Amount for any Payment Date is
less than the Priority Amount for such Payment Date, the weighted average lives
of such Classes are likely to be extended. However, the weighted average lives
of such Classes are not likely to be reduced.
The timing of payments of principal on the Class 1041-A, Class 1041-B,
Class 1041-C and Class 1041-D Multiclass PCs is expected to be more stable than
would be the case if such Multiclass PCs were not Targeted Amortization PCs.
However, no assurance can be given as to the rate of principal payments on the
Mortgages and, therefore, as to the stability of the timing of principal
payments on any such Class. In general, the weighted average life of any Class
of Targeted Amortization PCs may be extended (and may be extended significantly)
at constant prepayment rates below approximately 180% PSA and may be reduced
(and may be reduced significantly) at constant prepayment rates above
approximately 180% PSA. However, at certain constant prepayment rates above
approximately 180% PSA, the weighted average lives of the Class 1041-C and Class
1041-D Multiclass PCs would be extended somewhat. See Table 7 under 'Final
Payment Dates and Weighted Average Lives' herein.
Whether the Targeted Amortization PCs receive principal payments equal to
their respective Targeted Amounts on any Payment Date will depend in part upon
whether the aggregate principal amount of the Variable Rate PCs has been reduced
to $5,060,000. Under certain prepayment scenarios that include one or more
periods of relatively fast prepayments, the aggregate principal amount of the
Variable Rate PCs may be so reduced before the principal amounts of the Targeted
Amortization PCs are reduced to zero. In such case, all of the Remaining
Principal Payment Amount in excess of the Priority Amount, if any, will first be
applied to the Targeted Amortization PCs. Thus, when the aggregate principal
amount of the Variable Rate PCs is reduced to $5,060,000, the rate of principal
payments on the Targeted Amortization PCs will become more sensitive to
prepayment rates on the Mortgages. In addition, under relatively slow prepayment
scenarios, the Remaining Principal Payment Amount may be sufficient for the
payment of the Priority Amount, but insufficient for the payment of the Targeted
Amounts for the Targeted Amortization PCs.
Because principal payments will be made monthly, the ability to pay the
Priority Amount or the Targeted Amounts on any Payment Date will not be enhanced
by the averaging of high and low principal prepayments in different months, as
could be the case if principal payments on the Multiclass PCs were made less
frequently than monthly.
S-10
For the reasons discussed above, there can be no assurance that the amount
of principal available on any Payment Date for payment on the Classes of Planned
Amortization PCs will equal the Priority Amount for such Payment Date or that
the amount of principal available on any Payment Date for payment on any Class
of Targeted Amortization PCs will equal the Targeted Amount for such Class for
such Payment Date.
GUARANTEES
Freddie Mac guarantees to each Holder of a Multiclass PC (i) the timely
payment of interest at the applicable Multiclass PC Coupon on such Holder's
Multiclass PC and (ii) the payment of the principal amount of such Holder's
Multiclass PC as payments are required to be made on the Gold PCs and/or Gold
Giant PCs in accordance with their respective terms, as described herein. See
'Description of Multiclass PCs -- Guarantees' in the Multiclass PC Offering
Circular.
With respect to Gold PCs, Freddie Mac guarantees to each holder thereof the
timely payment of (i) interest at the applicable PC interest rate on the
holder's pro rata share of the aggregate unpaid principal balance of the related
Mortgages, as calculated by Freddie Mac under the 'Pool Factor method' described
in the PC Offering Circular and (ii) the Monthly Principal Reduction due to be
paid on such Mortgages as calculated by Freddie Mac, to the extent of such
holder's pro rata share of the unpaid principal balance of such Mortgages.
Freddie Mac also guarantees to each such holder the ultimate collection of all
principal of the related Mortgages, without offset or deduction, to the extent
of such holder's pro rata share of the unpaid principal balance of the
Mortgages, not later than the Payment Date occurring in the same month as the
Final Payment Date of the related PC Pool. See 'Description of Mortgage
Participation Certificates -- Guarantees' in the PC Offering Circular.
With respect to Gold Giant PCs, Freddie Mac guarantees to each holder
thereof (i) the timely payment of interest at the applicable Giant PC interest
rate and (ii) the payment of the principal amount of such Gold Giant PC as
payments are made on the Gold PCs and/or Gold Giant PCs underlying such Gold
Giant PC. See 'Description of Freddie Mac Giants -- Guarantees' in the Giant PC
Offering Circular.
THE CLASS 1041-R AND CLASS 1041-RS MULTICLASS PCS
In addition to the amounts of interest and principal described above, the
Holders of the Class 1041-RS Multiclass PCs will be entitled to receive, upon
surrender of their Class 1041-RS Multiclass PCs at the office of the Registrar,
the proceeds of the remaining assets of the Lower-Tier REMIC Pool, if any, after
the principal amounts of the Lower-Tier PCs have been reduced to zero. Such
remaining assets are expected to be minimal, unless the Lower-Tier PCs are
redeemed at a time when the market value of the Gold PCs and/or Gold Giant PCs
in the Lower-Tier REMIC Pool, net of liquidation expenses, significantly exceeds
the redemption price of the Lower-Tier PCs. See 'Description of Multiclass PCs
- -- Optional Redemption' in the Multiclass PC Offering Circular and 'Optional
Redemption' herein. Similarly, the Holders of the Class 1041-R Multiclass PCs
will be entitled to receive, upon surrender of their Class 1041-R Multiclass PCs
at the office of the Registrar, the proceeds of the remaining assets of the
Upper-Tier REMIC Pool after the principal amounts of the Upper-Tier PCs have
been reduced to zero. Such remaining assets are also expected to be minimal.
The Class 1041-R and Class 1041-RS Multiclass PCs will be treated as the
residual interests in separate REMICs for federal income tax purposes.
Therefore, special tax considerations apply to an investment in the Class 1041-R
or Class 1041-RS Multiclass PCs. See 'Certain Federal Income Tax Consequences --
The Class 1041-R and Class 1041-RS Multiclass PCs' herein. The Class 1041-R and
Class 1041-RS Multiclass PCs will be subject to certain transfer restrictions,
including certain restrictions on the ownership of such Classes by foreign
persons. See 'Certain Federal Income Tax Consequences -- Transfers of Residual
Class PCs' in the Multiclass PC Offering Circular.
OPTIONAL REDEMPTION
The outstanding Lower-Tier PCs may be redeemed in whole, but not in part,
at the option of Freddie Mac, upon not less than 30 or more than 60 days' notice
to the Holders of each outstanding Class of Multiclass PCs, on any Payment Date
on or after the date on which, after giving effect to principal payments to be
made on the Lower-Tier PCs on such date, the aggregate outstanding principal
amount of the Lower-Tier PCs is less than 1% of the aggregate original principal
amount of the Lower-Tier PCs. Upon any such redemption, the redemption price of
the
S-11
Upper-Tier Mortgage Securities will be applied as principal and interest on the
outstanding Classes of Upper-Tier PCs and will reduce the principal amounts of
such Classes to zero. Neither the Gold PCs nor Gold Giant PCs to be included in
the Lower-Tier REMIC Pool are subject to redemption by Freddie Mac. See
'Description of Multiclass PCs -- Optional Redemption' in the Multiclass PC
Offering Circular.
PREPAYMENT AND YIELD CONSIDERATIONS AND RISKS
The rate of principal payments on the Gold PCs and/or Gold Giant PCs, and
therefore of payments on the Upper-Tier Mortgage Securities and the Multiclass
PCs, is related to the rate of payments of principal on the Mortgages, which may
be in the form of scheduled amortization or partial or full prepayments (the
term 'prepayments' includes prepayments by the borrower, liquidations resulting
from default, casualty or condemnation and payments made by Freddie Mac pursuant
to its guarantee of ultimate collection of principal). In general, when the
level of prevailing interest rates declines significantly below the interest
rates on the Mortgages, the rate of prepayment on the Mortgages is likely to
increase, although the prepayment rate is influenced by a number of other
factors. See 'Description of Mortgage Participation Certificates -- Weighted
Average Life and Payment Behavior' in the PC Offering Circular.
Acceleration of mortgage payments as a result of transfers of the mortgaged
property is another factor affecting prepayment rates. The Mortgages generally
provide by their terms that, in the event of the transfer or prospective
transfer of the underlying mortgaged property, the full unpaid principal balance
of the Mortgage is due and payable at the option of the holder. Freddie Mac, in
most cases, requires servicers of the Mortgages to enforce such
'due-on-transfer' provisions where permitted by applicable law. See 'Mortgage
Purchase and Servicing Standards --Mortgage Servicing -- Assumption and
Due-on-Transfer Policies' in the PC Offering Circular.
Prepayments on mortgages are commonly measured relative to a prepayment
standard or model. The model used in this Offering Circular Supplement, the
Public Securities Association's standard prepayment model ('PSA'), assumes that
the Mortgages will prepay at an annual rate of 0.2% in the first month after
origination, that the prepayment rate increases at an annual rate of 0.2% per
month up to the 30th month after origination and that the prepayment rate is
constant at 6% per annum thereafter (such assumption is referred to herein as
'100% PSA'). Correspondingly, '0% PSA' assumes no prepayments; '50% PSA' assumes
prepayment rates equal to .50 times 100% PSA; '180% PSA' assumes prepayment
rates equal to 1.80 times 100% PSA; and so forth. PSA does not purport to be a
historical description of prepayment experience or a prediction of the
anticipated rate of prepayment of any pool of mortgages, including the
Mortgages.
No representation is made as to the rate of principal payments on the
Mortgages or as to the yield to maturity of any Class of the Multiclass PCs. An
investor seeking to maximize yield is urged to make an investment decision with
respect to any Class of the Multiclass PCs based on the anticipated yield to
maturity of such Multiclass PCs resulting from their price, such investor's own
determination as to anticipated Mortgage prepayment rates under a variety of
scenarios and, in the case of the Variable Rate PCs, such investor's own
determination as to anticipated levels of LIBOR. The extent to which the yield
to maturity of a Multiclass PC may vary from the anticipated yield will depend
upon the extent to which it is purchased at a discount or premium, the degree to
which the timing of payments thereon is sensitive to prepayments and, in the
case of the Variable Rate PCs, the degree to which interest payments thereon are
sensitive to the level of LIBOR.
Investors in the Class 1041-E Multiclass PCs should consider the risk that
lower than anticipated levels of LIBOR could result in actual yields to such
investors that are lower than the anticipated yields and the fact that the
Multiclass PC Coupon of such Class cannot exceed 11.00% per annum regardless of
the level of LIBOR. Conversely, investors in the Class 1041-F and Class 1041-G
Multiclass PCs should consider the risk that higher than anticipated levels of
LIBOR (especially if accompanied by a slower than anticipated rate of principal
payments on the Mortgages) could result in actual yields to such investors that
are significantly lower than the anticipated yields and the fact that the
Multiclass PC Coupons of such Classes would be 0% at all levels of LIBOR above
10.05%.
In addition, the yield to investors in each Class of the Multiclass PCs
will be sensitive in varying degrees to the rate of principal payments
(including prepayments) on the Mortgages. Investors should carefully consider
the associated risks, including, in the case of any Multiclass PCs (especially
the Class 1041-F and Class 1041-G Multiclass PCs) purchased at a discount, the
risk that a slower than anticipated rate of principal payments could
S-12
result in an actual yield to such investors that is lower than the anticipated
yield and, in the case of any Multiclass PCs (especially the Class 1041-B and
Class 1041-H Multiclass PCs) purchased at a premium, the risk that a faster than
anticipated rate of principal payments could result in an actual yield to such
investors that is lower than the anticipated yield. Investors in the Class
1041-B and Class 1041-H Multiclass PCs should also consider the risk that rapid
rates of principal payments could result in the failure of such investors to
recover their investments.
It is highly unlikely that the Mortgages will prepay at any constant rate
until maturity or that all of the Mortgages will prepay at the same rate.
Moreover, the timing of changes in the rate of prepayments may affect the actual
yield to maturity to an investor, even if the average rate of principal
prepayments is consistent with such investor's expectation. In general, the
earlier a prepayment of principal on the Mortgages, the greater the effect on an
investor's yield to maturity. As a result, the effect on an investor's yield to
maturity of principal prepayments occurring at a rate higher (or lower) than the
rate anticipated by the investor during the period immediately following the
issuance of the Multiclass PCs is not likely to be offset by a subsequent like
reduction (or increase) in the rate of principal prepayments. An investor must
make an independent decision as to the appropriate prepayment scenarios to be
used in deciding whether to purchase a Multiclass PC.
Similarly, it is highly unlikely that LIBOR will remain constant at any
level. Moreover, the timing of changes in the level of LIBOR may affect the
actual yield to maturity to an investor in a Variable Rate PC, even if the
average level is consistent with such investor's expectation. In general, the
earlier a change in the level of LIBOR, the greater the effect on such
investor's yield to maturity. As a result, the effect on such investor's yield
to maturity of a level of LIBOR that is higher (or lower) than the rate
anticipated by such investor during the period immediately following the
issuance of the Multiclass PCs is not likely to be offset by a subsequent like
reduction (or increase) in the level of LIBOR. An investor must make an
independent decision as to the appropriate LIBOR scenarios to be used in
deciding whether to purchase a Variable Rate PC.
Investors should consider the risk that rapid rates of prepayments on the
Mortgages, and therefore of principal payments available to the REMIC Pools, may
coincide with periods of low prevailing interest rates. During such periods, the
effective interest rates on securities in which an investor may be able to
reinvest amounts received as principal payments on such investor's Multiclass PC
may be lower than the applicable interest rate on such Multiclass PC.
Conversely, slow rates of prepayments on the Mortgages, and therefore of
principal payments available to the REMIC Pools, may coincide with periods of
high prevailing interest rates. During such periods, the amount of principal
payments available to an investor for reinvestment at such high prevailing
interest rates may be relatively low.
Table 3 below indicates the sensitivity of the pre-tax yield to maturity
(corporate bond equivalent) of the Class 1041-B Multiclass PCs at various
constant percentages of PSA; and Tables 4, 5 and 6 below indicate the
sensitivity of the annual cash flows, total cash flows and pre-tax yields to
maturity (corporate bond equivalent) of the Class 1041-F, Class 1041-G and Class
1041-H Multiclass PCs, respectively, at various constant percentages of PSA and,
in the case of Tables 4 and 5, at various levels of LIBOR. The yield
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
payments on such Classes and consequently do not purport to reflect the return
on any investment in such Classes when such reinvestment rates are considered.
For purposes of these calculations, it is assumed that (i) the Mortgages prepay
at the specified constant percentages of PSA and, in the case of Tables 4 and 5,
LIBOR on each Variable Rate Adjustment Date is at the levels specified, (ii) the
Mortgages have the Assumed Mortgage Characteristics, and the table of Targeted
Balances is prepared on the basis thereof rather than on the basis of the
characteristics of the actual Gold PCs and/or Gold Giant PCs, (iii) the
Lower-Tier REMIC Pool contains only Original-Issue Gold PCs, (iv) no optional
redemption as described under 'Optional Redemption' herein is made, (v) the
beneficial owners of the Multiclass PCs receive payments in cash on the 15th day
of each month in which
S-13
payments are required to be made and (vi) the aggregate purchase prices
(including accrued interest) of the Classes of Multiclass PCs shown in the
tables are as follows:
ASSUMED AGGREGATE
PURCHASE PRICE
(PERCENTAGE OF ORIGINAL
CLASS PRINCIPAL AMOUNT)
- ------------------------ -------------------
1041-B.................. 3,090.99722%
1041-F.................. 75.29379
1041-G.................. 75.29379
1041-H.................. 5,375.28245
TABLE 3
PRE-TAX YIELD OF THE CLASS 1041-B
MULTICLASS PCS AT VARIOUS CONSTANT PREPAYMENT RATES
50% PSA 100% PSA 180% PSA 300% PSA 409% PSA 500% PSA
- ----------- ----------- ----------- ----------- ----------- -----------
30.4% 23.1% 9.0% 9.0% 0.0% (10.7)%
TABLE 4
SENSITIVITY OF THE CLASS 1041-F MULTICLASS PCS TO PREPAYMENTS AND LIBOR
(AMOUNTS IN THOUSANDS)
PRINCIPAL AND
INTEREST 5.5000% LIBOR
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 979 $ 979 $ 1,131 $ 4,478
February 15, 1993............. 1,016 1,016 3,033 2,857
February 15, 1994............. 1,016 1,016 2,215 102
February 15, 1995............. 1,016 1,016 1,422 102
February 15, 1996............. 1,016 1,016 844 102
February 15, 1997............. 1,016 1,016 435 102
February 15, 1998............. 1,016 1,016 182 102
February 15, 1999............. 1,016 1,016 151 102
February 15, 2000............. 1,016 1,016 151 102
February 15, 2001............. 1,016 1,016 151 102
February 15, 2002............. 1,016 1,016 151 102
February 15, 2003............. 1,016 1,016 151 217
February 15, 2004............. 1,016 1,016 151 257
February 15, 2005............. 1,016 1,016 151 177
February 15, 2006............. 1,016 1,674 151 121
February 15, 2007............. 1,016 1,732 151 83
February 15, 2008............. 1,016 1,515 151 56
February 15, 2009............. 1,016 1,322 284 38
February 15, 2010............. 1,016 1,150 319 26
February 15, 2011............. 1,016 997 253 17
February 15, 2012............. 1,220 861 199 12
February 15, 2013............. 1,900 739 156 8
February 15, 2014............. 1,727 631 121 5
February 15, 2015............. 1,562 535 93 3
February 15, 2016............. 1,404 450 71 2
February 15, 2017............. 1,252 374 53 1
February 15, 2018............. 1,107 306 39 1
February 15, 2019............. 875 225 25 0
February 15, 2020............. 543 131 13 0
February 15, 2021............. 136 31 3 0
-------- -------- -------- --------
Total Payments*...............$ 32,013 $ 26,861 $ 12,402 $ 9,280
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 20.1% 20.3% 27.9% 45.7%
PRINCIPAL AND
INTEREST 7.5000% LIBOR
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 570 $ 570 $ 721 $ 4,134
February 15, 1993............. 570 570 2,661 2,765
February 15, 1994............. 570 570 1,970 57
February 15, 1995............. 570 570 1,264 57
February 15, 1996............. 570 570 740 57
February 15, 1997............. 570 570 359 57
February 15, 1998............. 570 570 115 57
February 15, 1999............. 570 570 85 57
February 15, 2000............. 570 570 85 57
February 15, 2001............. 570 570 85 57
February 15, 2002............. 570 570 85 57
February 15, 2003............. 570 570 85 174
February 15, 2004............. 570 570 85 225
February 15, 2005............. 570 570 85 155
February 15, 2006............. 570 1,241 85 106
February 15, 2007............. 570 1,355 85 73
February 15, 2008............. 570 1,192 85 50
February 15, 2009............. 570 1,046 220 34
February 15, 2010............. 570 916 268 23
February 15, 2011............. 570 800 213 15
February 15, 2012............. 774 697 169 10
February 15, 2013............. 1,496 605 133 7
February 15, 2014............. 1,384 523 104 4
February 15, 2015............. 1,278 450 81 3
February 15, 2016............. 1,178 385 62 2
February 15, 2017............. 1,082 328 47 1
February 15, 2018............. 991 276 35 1
February 15, 2019............. 812 209 24 0
February 15, 2020............. 519 125 13 0
February 15, 2021............. 134 31 3 0
-------- -------- -------- --------
Total Payments*...............$ 21,039 $ 18,152 $ 10,048 $ 8,299
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 11.4% 11.6% 18.9% 35.8%
PRINCIPAL AND
INTEREST 8.7500% LIBOR
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 314 $ 314 $ 465 $ 3,919
February 15, 1993............. 290 290 2,429 2,708
February 15, 1994............. 290 290 1,816 29
February 15, 1995............. 290 290 1,165 29
February 15, 1996............. 290 290 675 29
February 15, 1997............. 290 290 312 29
February 15, 1998............. 290 290 74 29
February 15, 1999............. 290 290 43 29
February 15, 2000............. 290 290 43 29
February 15, 2001............. 290 290 43 29
February 15, 2002............. 290 290 43 29
February 15, 2003............. 290 290 43 147
February 15, 2004............. 290 290 43 206
February 15, 2005............. 290 290 43 142
February 15, 2006............. 290 971 43 97
February 15, 2007............. 290 1,120 43 67
February 15, 2008............. 290 989 43 45
February 15, 2009............. 290 873 180 31
February 15, 2010............. 290 769 235 21
February 15, 2011............. 290 677 188 14
February 15, 2012............. 496 594 150 9
February 15, 2013............. 1,243 521 118 6
February 15, 2014............. 1,170 455 93 4
February 15, 2015............. 1,101 397 73 3
February 15, 2016............. 1,037 345 57 2
February 15, 2017............. 976 299 44 1
February 15, 2018............. 919 258 33 1
February 15, 2019............. 773 200 23 0
February 15, 2020............. 504 121 12 0
February 15, 2021............. 132 30 3 0
-------- -------- -------- --------
Total Payments*...............$ 14,180 $ 12,709 $ 8,577 $ 7,685
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 6.2% 6.5% 13.2% 29.5%
PRINCIPAL AND
INTEREST 10.0625% LIBOR AND HIGHER
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 47 $ 47 $ 199 $ 3,695
February 15, 1993............. 0 0 2,187 2,648
February 15, 1994............. 0 0 1,657 0
February 15, 1995............. 0 0 1,063 0
February 15, 1996............. 0 0 607 0
February 15, 1997............. 0 0 263 0
February 15, 1998............. 0 0 30 0
February 15, 1999............. 0 0 0 0
February 15, 2000............. 0 0 0 0
February 15, 2001............. 0 0 0 0
February 15, 2002............. 0 0 0 0
February 15, 2003............. 0 0 0 119
February 15, 2004............. 0 0 0 185
February 15, 2005............. 0 0 0 128
February 15, 2006............. 0 690 0 88
February 15, 2007............. 0 875 0 60
February 15, 2008............. 0 779 0 41
February 15, 2009............. 0 693 138 28
February 15, 2010............. 0 617 202 19
February 15, 2011............. 0 549 162 13
February 15, 2012............. 206 488 130 9
February 15, 2013............. 980 434 104 6
February 15, 2014............. 947 385 82 4
February 15, 2015............. 917 342 65 2
February 15, 2016............. 890 304 51 2
February 15, 2017............. 866 269 40 1
February 15, 2018............. 844 239 31 1
February 15, 2019............. 732 190 22 0
February 15, 2020............. 488 118 12 0
February 15, 2021............. 131 30 3 0
-------- -------- -------- --------
Total Payments*...............$ 7,047 $ 7,047 $ 7,047 $ 7,047
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 1.2% 1.5% 7.2% 22.6%
- ---------------
* Total payments may not equal the sums of the respective columns due to
rounding.
S-14
TABLE 5
SENSITIVITY OF THE CLASS 1041-G MULTICLASS PCS TO PREPAYMENTS AND LIBOR
(AMOUNTS IN THOUSANDS)
PRINCIPAL AND
INTEREST 5.5000% LIBOR
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 1,165 $ 1,165 $ 4,372 $ 6,619
February 15, 1993............. 1,209 1,209 2,166 2,041
February 15, 1994............. 1,209 1,209 1,582 73
February 15, 1995............. 1,209 1,209 1,016 73
February 15, 1996............. 1,209 1,209 603 73
February 15, 1997............. 1,209 1,209 311 73
February 15, 1998............. 1,209 1,209 130 73
February 15, 1999............. 1,209 1,209 108 73
February 15, 2000............. 1,209 1,209 108 73
February 15, 2001............. 1,209 1,209 108 73
February 15, 2002............. 1,209 1,209 108 73
February 15, 2003............. 1,209 1,209 108 155
February 15, 2004............. 1,209 2,118 108 184
February 15, 2005............. 1,209 2,838 108 126
February 15, 2006............. 1,209 1,712 108 86
February 15, 2007............. 1,209 1,237 108 59
February 15, 2008............. 1,209 1,082 108 40
February 15, 2009............. 1,209 944 203 27
February 15, 2010............. 1,340 822 228 18
February 15, 2011............. 2,879 712 180 12
February 15, 2012............. 2,349 615 142 8
February 15, 2013............. 1,357 528 111 5
February 15, 2014............. 1,234 451 86 4
February 15, 2015............. 1,116 382 66 2
February 15, 2016............. 1,003 321 50 1
February 15, 2017............. 894 267 38 1
February 15, 2018............. 790 219 28 1
February 15, 2019............. 625 161 18 0
February 15, 2020............. 388 93 9 0
February 15, 2021............. 97 22 2 0
-------- -------- -------- --------
Total Payments*...............$ 35,795 $ 28,990 $ 12,422 $ 10,049
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 20.2% 20.4% 36.7% 69.6%
PRINCIPAL AND
INTEREST 7.5000% LIBOR
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 678 $ 678 $ 3,986 $ 6,343
February 15, 1993............. 678 678 1,901 1,975
February 15, 1994............. 678 678 1,407 41
February 15, 1995............. 678 678 903 41
February 15, 1996............. 678 678 529 41
February 15, 1997............. 678 678 257 41
February 15, 1998............. 678 678 82 41
February 15, 1999............. 678 678 61 41
February 15, 2000............. 678 678 61 41
February 15, 2001............. 678 678 61 41
February 15, 2002............. 678 678 61 41
February 15, 2003............. 678 678 61 124
February 15, 2004............. 678 1,598 61 161
February 15, 2005............. 678 2,422 61 111
February 15, 2006............. 678 1,397 61 76
February 15, 2007............. 678 968 61 52
February 15, 2008............. 678 851 61 35
February 15, 2009............. 678 747 157 24
February 15, 2010............. 809 654 191 16
February 15, 2011............. 2,409 571 152 11
February 15, 2012............. 1,991 498 120 7
February 15, 2013............. 1,068 432 95 5
February 15, 2014............. 989 374 74 3
February 15, 2015............. 913 322 58 2
February 15, 2016............. 841 275 44 1
February 15, 2017............. 773 234 34 1
February 15, 2018............. 708 197 25 1
February 15, 2019............. 580 150 17 0
February 15, 2020............. 371 89 9 0
February 15, 2021............. 96 22 2 0
-------- -------- -------- --------
Total Payments*...............$ 23,747 $ 19,934 $ 10,648 $ 9,318
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 11.5% 11.8% 26.8% 58.9%
PRINCIPAL AND
INTEREST 8.7500% LIBOR
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 373 $ 373 $ 3,745 $ 6,171
February 15, 1993............. 345 345 1,735 1,934
February 15, 1994............. 345 345 1,297 21
February 15, 1995............. 345 345 832 21
February 15, 1996............. 345 345 482 21
February 15, 1997............. 345 345 223 21
February 15, 1998............. 345 345 53 21
February 15, 1999............. 345 345 31 21
February 15, 2000............. 345 345 31 21
February 15, 2001............. 345 345 31 21
February 15, 2002............. 345 345 31 21
February 15, 2003............. 345 345 31 105
February 15, 2004............. 345 1,273 31 147
February 15, 2005............. 345 2,163 31 101
February 15, 2006............. 345 1,200 31 69
February 15, 2007............. 345 800 31 48
February 15, 2008............. 345 707 31 32
February 15, 2009............. 345 624 129 22
February 15, 2010............. 476 549 168 15
February 15, 2011............. 2,116 483 134 10
February 15, 2012............. 1,768 425 107 7
February 15, 2013............. 888 372 85 4
February 15, 2014............. 835 325 67 3
February 15, 2015............. 786 284 52 2
February 15, 2016............. 740 247 40 1
February 15, 2017............. 697 214 31 1
February 15, 2018............. 657 184 24 0
February 15, 2019............. 552 143 16 0
February 15, 2020............. 360 87 9 0
February 15, 2021............. 95 22 2 0
-------- -------- -------- --------
Total Payments*...............$ 16,217 $ 14,273 $ 9,540 $ 8,861
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 6.3% 6.8% 20.6% 52.1%
PRINCIPAL AND
INTEREST 10.0625% LIBOR AND HIGHER
-----------------------------------
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
-----------------------------------
CONSECUTIVE
MONTHS THROUGH 100% 180% 300% 500%
- -------------------------------------- -------- -------- --------
February 15, 1992.............$ 56 $ 56 $ 3,495 $ 5,992
February 15, 1993............. 0 0 1,562 1,891
February 15, 1994............. 0 0 1,183 0
February 15, 1995............. 0 0 759 0
February 15, 1996............. 0 0 434 0
February 15, 1997............. 0 0 188 0
February 15, 1998............. 0 0 22 0
February 15, 1999............. 0 0 0 0
February 15, 2000............. 0 0 0 0
February 15, 2001............. 0 0 0 0
February 15, 2002............. 0 0 0 0
February 15, 2003............. 0 0 0 85
February 15, 2004............. 0 934 0 132
February 15, 2005............. 0 1,893 0 91
February 15, 2006............. 0 996 0 63
February 15, 2007............. 0 625 0 43
February 15, 2008............. 0 556 0 29
February 15, 2009............. 0 495 99 20
February 15, 2010............. 131 441 144 14
February 15, 2011............. 1,810 392 116 9
February 15, 2012............. 1,536 348 93 6
February 15, 2013............. 700 310 74 4
February 15, 2014............. 676 275 59 3
February 15, 2015............. 655 244 46 2
February 15, 2016............. 635 217 37 1
February 15, 2017............. 618 192 29 1
February 15, 2018............. 603 170 22 0
February 15, 2019............. 523 136 15 0
February 15, 2020............. 349 84 9 0
February 15, 2021............. 93 21 2 0
-------- -------- -------- --------
Total Payments*...............$ 8,386 $ 8,386 $ 8,386 $ 8,386
-------- -------- -------- --------
-------- -------- -------- --------
Pre-Tax Yield................. 1.3% 1.7% 13.8% 45.0%
- ---------------
* Total payments may not equal the sums of the respective columns due to
rounding.
S-15
TABLE 6
SENSITIVITY OF THE CLASS 1041-H MULTICLASS PCS TO PREPAYMENTS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PRINCIPAL AND
INTEREST
PAYMENTS DURING PSA PREPAYMENT
TWELVE ASSUMPTION
------------------------------------------------
CONSECUTIVE
MONTHS THROUGH 50% 100% 180% 300% 500%
- ------------------------------ -------- -------- -------- -------- --------
<S> <C>
February 15, 1992............. $ 4,871 $ 4,835 $ 4,778 $ 4,689 $ 4,535
February 15, 1993............. 4,727 4,578 4,343 3,997 3,443
February 15, 1994............. 4,559 4,283 3,862 3,279 2,428
February 15, 1995............. 4,389 3,996 3,420 2,669 1,687
February 15, 1996............. 4,222 3,725 3,025 2,170 1,172
February 15, 1997............. 4,058 3,469 2,673 1,763 813
February 15, 1998............. 3,895 3,227 2,360 1,431 563
February 15, 1999............. 3,734 2,998 2,081 1,160 389
February 15, 2000............. 3,574 2,781 1,831 939 269
February 15, 2001............. 3,416 2,576 1,610 758 186
February 15, 2002............. 3,258 2,381 1,412 611 128
February 15, 2003............. 3,100 2,196 1,236 492 88
February 15, 2004............. 2,943 2,020 1,079 395 60
February 15, 2005............. 2,785 1,852 939 316 41
February 15, 2006............. 2,627 1,693 814 252 28
February 15, 2007............. 2,467 1,541 703 200 19
February 15, 2008............. 2,306 1,396 605 158 13
February 15, 2009............. 2,143 1,257 517 124 9
February 15, 2010............. 1,978 1,124 439 97 6
February 15, 2011............. 1,809 997 369 75 4
February 15, 2012............. 1,637 874 307 57 2
February 15, 2013............. 1,461 756 252 43 2
February 15, 2014............. 1,281 643 203 32 1
February 15, 2015............. 1,095 532 160 23 1
February 15, 2016............. 903 426 122 16 0
February 15, 2017............. 705 322 87 11 0
February 15, 2018............. 499 221 57 6 0
February 15, 2019............. 285 123 30 3 0
February 15, 2020............. 117 49 12 1 0
February 15, 2021............. 14 6 1 0 0
-------- -------- -------- -------- --------
Total Payments*............... $ 74,860 $ 56,879 $ 39,326 $ 25,769 $ 15,886
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Pre-Tax Yield................. 19.0% 16.0% 11.0% 3.3% (10.2)%
</TABLE>
- ---------------
* Total payments may not equal the sums of the respective columns due to
rounding.
The pre-tax yield to maturity of the Class 1041-H Multiclass PCs would be
0% on the basis of the assumption that the Mortgages prepay at a constant rate
of approximately 351% PSA and assumptions (ii) through (vi) used in preparing
Table 6.
The yields set forth in Tables 3, 4, 5 and 6 were calculated by determining
the monthly discount rates that, when applied to the assumed stream of cash
flows to be paid on the applicable Multiclass PC, would cause the discounted
present value of such assumed stream of cash flows to equal the assumed purchase
price (including accrued interest) of such Multiclass PC and by converting such
monthly rates to corporate bond equivalent rates.
Notwithstanding the assumed prepayment rates reflected in Tables 3, 4, 5
and 6 and the assumed levels of LIBOR reflected in Tables 4 and 5, it is highly
unlikely that the Mortgages will prepay at any constant rates until maturity,
that all of the Mortgages will prepay at the same rate or that LIBOR will remain
at the levels indicated. Because the Mortgages and the Gold PCs and/or Gold
Giant PCs will have characteristics different from those assumed in preparing
the preceding tables, the pre-tax yields of the Class 1041-B Multiclass PCs, and
the annual cash flows, total cash flows and pre-tax yields of the Class 1041-F,
Class 1041-G and Class 1041-H Multiclass PCs, may differ from those shown, even
if all of the Mortgages prepay at the indicated constant percentages of PSA and,
in the case of the Class 1041-F and Class 1041-G Multiclass PCs, LIBOR remains
at the indicated levels.
The effective yields to Holders of the Fixed Rate PCs will be less than the
yields otherwise produced by their respective Multiclass PC Coupons and purchase
prices because (i) on the first Payment Date one month's interest is payable
thereon even though more than one month will have elapsed from the date on which
interest begins to
S-16
accrue thereon and (ii) on each succeeding Payment Date the interest payable
thereon is the interest accrued during the related Interest Accrual Period,
which ends prior to such Payment Date.
FINAL PAYMENT DATES AND WEIGHTED AVERAGE LIVES
The Final Payment Date for each Class of Regular Class PCs is calculated by
assuming, among other things, that (i) in the case of the Targeted Amortization
PCs, principal payments are made on the Mortgages at a rate such that the
aggregate principal amount of the Variable Rate PCs is reduced to $5,060,000 on
March 15, 1991 and no subsequent prepayments are made on the Mortgages, (ii) in
the case of the Variable Rate PCs and the Class 1041-H Multiclass PCs, no
prepayments are made on the Mortgages, (iii) each of the Mortgages has a
remaining term to maturity of 360 months and bears interest at a rate of 12.50%
per annum, and the table of Targeted Balances is prepared on the basis of such
characteristics rather than on the basis of the characteristics of the actual
Gold PCs and/or Gold Giant PCs and (iv) the Lower-Tier REMIC Pool contains only
Original-Issue Gold PCs. The Final Payment Dates for the Class 1041-R and Class
1041-RS Multiclass PCs have been set equal to the latest Final Payment Date for
any Class of Regular Class PCs.
Because (i) the prepayment scenarios assumed for purposes of such
calculations are highly improbable, (ii) certain of the Mortgages have terms to
maturity that are shorter, and bear interest at rates that are lower, than the
term to maturity and rate assumed in calculating Final Payment Dates and (iii)
the Lower-Tier REMIC Pool may not consist entirely of Original-Issue Gold PCs,
the actual final payment of any Class of Multiclass PCs may occur earlier, and
could occur significantly earlier, than its Final Payment Date.
The weighted average life of a security refers to the average amount of
time that will elapse from the date of its issuance until each dollar of
principal of such security will be repaid to the investor. The weighted average
lives of the Multiclass PCs will be influenced primarily by the rate at which
principal is paid on the Mortgages. Such rate will depend upon a variety of
factors and no assurances can be given as to any particular rate or as to the
weighted average life of any Class of the Multiclass PCs.
The rate of principal payments on the Mortgages is expected to have a
greater effect on the weighted average lives of the Variable Rate PCs and the
Class 1041-H Multiclass PCs and, under most prepayment scenarios, the Targeted
Amortization PCs than on the weighted average lives of the Planned Amortization
PCs. Moreover, the effect of principal payments on the weighted average lives of
the Variable Rate PCs may be significantly greater than would be the case if the
Planned Amortization PCs and Targeted Amortization PCs did not have higher
principal payment priorities, and the effect of principal payments on the
weighted average lives of the Targeted Amortization PCs may be greater than
would be the case if the Planned Amortization PCs did not have higher principal
payment priorities.
Table 7 below indicates the percentage of the original principal amount of
each Class of Multiclass PCs that would be outstanding after each of the dates
shown at various constant percentages of PSA and the corresponding weighted
average life of each Class of Multiclass PCs. Table 7 has been prepared assuming
that (i) with respect to the information set forth under 0% PSA, the Mortgages
do not prepay, have original and remaining terms to maturity of 360 months and
bear interest at a rate of 12.50% per annum, (ii) with respect to the
information set forth under the remaining percentages of PSA, the Mortgages
prepay at the specified constant percentages of PSA and have the Assumed
Mortgage Characteristics, (iii) with respect to the information set forth under
all of the percentages of PSA, the table of Targeted Balances is prepared on the
basis of the Assumed Mortgage Characteristics rather than on the basis of the
characteristics of the actual Gold PCs and/or Gold Giant PCs, (iv) the
Lower-Tier REMIC Pool contains only Original-Issue Gold PCs and (v) no optional
redemption as described under 'Optional Redemption' herein is made. There will
be differences between the characteristics of the actual Mortgages and actual
Gold PCs and/or Gold Giant PCs and the characteristics assumed above. Any such
difference may have a significant effect upon the actual percentage of original
principal amount of any Class of Multiclass PCs outstanding at any time and upon
the actual weighted average life of any such Class. For example, the actual
distribution of the remaining terms to maturity and interest rates of the
Mortgages may have a significant effect on the percentages of original principal
amounts outstanding and on the weighted average lives of the Classes of
Multiclass PCs, especially the Variable Rate PCs. Because of the diverse
remaining terms to maturity of the Mortgages and the diverse interest rates
thereof, principal distributions on the Multiclass PCs may be faster or (except
at 0% PSA) slower than indicated at the various prepayment speeds shown, even if
the weighted average remaining term to maturity and weighted average interest
rate of the Mortgages are the same as those of mortgages having the
characteristics assumed above. Similarly, the final payment on each Class of the
Multiclass PCs may be made earlier or later than indicated by Table 7, but in no
event later than the Final Payment Date for such Class.
S-17
TABLE 7
PERCENTAGES OF ORIGINAL PRINCIPAL AMOUNTS OF THE MULTICLASS PCS OUTSTANDING
CLASS 1041-A AND CLASS 1041-B
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 100 95 89 89 89
February 15, 1993............. 100 85 72 72 61
February 15, 1994............. 100 74 55 55 29
February 15, 1995............. 100 64 39 39 8
February 15, 1996............. 100 54 26 26 0
February 15, 1997............. 99 45 14 14 0
February 15, 1998............. 98 36 3 3 0
February 15, 1999............. 96 28 0 0 0
February 15, 2000............. 95 20 0 0 0
February 15, 2001............. 93 13 0 0 0
February 15, 2002............. 91 6 0 0 0
February 15, 2003............. 89 0 0 0 0
February 15, 2004............. 86 0 0 0 0
February 15, 2005............. 83 0 0 0 0
February 15, 2006............. 80 0 0 0 0
February 15, 2007............. 76 0 0 0 0
February 15, 2008............. 72 0 0 0 0
February 15, 2009............. 67 0 0 0 0
February 15, 2010............. 61 0 0 0 0
February 15, 2011............. 55 0 0 0 0
February 15, 2012............. 48 0 0 0 0
February 15, 2013............. 40 0 0 0 0
February 15, 2014............. 31 0 0 0 0
February 15, 2015............. 20 0 0 0 0
February 15, 2016............. 9 0 0 0 0
February 15, 2017............. 0 0 0 0 0
February 15, 2018............. 0 0 0 0 0
February 15, 2019............. 0 0 0 0 0
February 15, 2020............. 0 0 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 19.4 5.7 3.5 3.5 2.4
CLASS 1041-C
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 100 100 100 100 100
February 15, 1993............. 100 100 100 100 100
February 15, 1994............. 100 100 100 100 100
February 15, 1995............. 100 100 100 100 100
February 15, 1996............. 100 100 100 100 17
February 15, 1997............. 100 100 100 100 0
February 15, 1998............. 100 100 100 100 0
February 15, 1999............. 100 100 26 36 0
February 15, 2000............. 100 100 0 0 0
February 15, 2001............. 100 100 0 0 0
February 15, 2002............. 100 100 0 0 0
February 15, 2003............. 100 95 0 0 0
February 15, 2004............. 100 23 0 0 0
February 15, 2005............. 100 0 0 0 0
February 15, 2006............. 100 0 0 0 0
February 15, 2007............. 100 0 0 0 0
February 15, 2008............. 100 0 0 0 0
February 15, 2009............. 100 0 0 0 0
February 15, 2010............. 100 0 0 0 0
February 15, 2011............. 100 0 0 0 0
February 15, 2012............. 100 0 0 0 0
February 15, 2013............. 100 0 0 0 0
February 15, 2014............. 100 0 0 0 0
February 15, 2015............. 100 0 0 0 0
February 15, 2016............. 100 0 0 0 0
February 15, 2017............. 49 0 0 0 0
February 15, 2018............. 0 0 0 0 0
February 15, 2019............. 0 0 0 0 0
February 15, 2020............. 0 0 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 26.0 12.6 7.8 7.9 4.8
CLASS 1041-D
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 100 100 100 100 100
February 15, 1993............. 100 100 100 100 100
February 15, 1994............. 100 100 100 100 100
February 15, 1995............. 100 100 100 100 100
February 15, 1996............. 100 100 100 100 100
February 15, 1997............. 100 100 100 100 70
February 15, 1998............. 100 100 100 100 45
February 15, 1999............. 100 100 100 100 28
February 15, 2000............. 100 100 79 87 16
February 15, 2001............. 100 100 53 67 8
February 15, 2002............. 100 100 31 51 2
February 15, 2003............. 100 100 10 38 0
February 15, 2004............. 100 100 0 27 0
February 15, 2005............. 100 87 0 19 0
February 15, 2006............. 100 68 0 12 0
February 15, 2007............. 100 49 0 6 0
February 15, 2008............. 100 32 0 2 0
February 15, 2009............. 100 15 0 0 0
February 15, 2010............. 100 0 0 0 0
February 15, 2011............. 100 0 0 0 0
February 15, 2012............. 100 0 0 0 0
February 15, 2013............. 100 0 0 0 0
February 15, 2014............. 100 0 0 0 0
February 15, 2015............. 100 0 0 0 0
February 15, 2016............. 100 0 0 0 0
February 15, 2017............. 100 0 0 0 0
February 15, 2018............. 64 0 0 0 0
February 15, 2019............. 7 0 0 0 0
February 15, 2020............. 0 0 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 27.2 16.0 10.2 11.6 7.2
CLASS 1041-E
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 100 100 100 77 37
February 15, 1993............. 100 100 100 52 8
February 15, 1994............. 100 100 100 34 8
February 15, 1995............. 100 100 100 22 8
February 15, 1996............. 100 100 100 15 8
February 15, 1997............. 100 100 100 12 8
February 15, 1998............. 100 100 100 12 8
February 15, 1999............. 100 100 100 12 8
February 15, 2000............. 100 100 100 12 8
February 15, 2001............. 100 100 100 12 8
February 15, 2002............. 100 100 100 12 8
February 15, 2003............. 100 100 100 12 7
February 15, 2004............. 100 100 94 12 4
February 15, 2005............. 100 100 82 12 3
February 15, 2006............. 100 100 71 12 2
February 15, 2007............. 100 100 61 12 1
February 15, 2008............. 100 100 52 12 1
February 15, 2009............. 100 100 44 10 1
February 15, 2010............. 100 99 37 8 0
February 15, 2011............. 100 87 31 6 0
February 15, 2012............. 100 76 26 5 0
February 15, 2013............. 100 65 21 3 0
February 15, 2014............. 100 54 17 2 0
February 15, 2015............. 100 44 13 2 0
February 15, 2016............. 100 34 9 1 0
February 15, 2017............. 100 25 6 1 0
February 15, 2018............. 100 15 4 0 0
February 15, 2019............. 100 7 2 0 0
February 15, 2020............. 56 1 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 29.1 23.6 18.2 4.3 1.8
CLASS 1041-F
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 100 100 100 98 48
February 15, 1993............. 100 100 100 67 10
February 15, 1994............. 100 100 100 43 10
February 15, 1995............. 100 100 100 28 10
February 15, 1996............. 100 100 100 19 10
February 15, 1997............. 100 100 100 15 10
February 15, 1998............. 100 100 100 15 10
February 15, 1999............. 100 100 100 15 10
February 15, 2000............. 100 100 100 15 10
February 15, 2001............. 100 100 100 15 10
February 15, 2002............. 100 100 100 15 10
February 15, 2003............. 100 100 100 15 8
February 15, 2004............. 100 100 100 15 6
February 15, 2005............. 100 100 100 15 4
February 15, 2006............. 100 100 90 15 3
February 15, 2007............. 100 100 78 15 2
February 15, 2008............. 100 100 67 15 1
February 15, 2009............. 100 100 57 13 1
February 15, 2010............. 100 100 48 10 1
February 15, 2011............. 100 100 40 8 0
February 15, 2012............. 100 97 33 6 0
February 15, 2013............. 100 83 27 4 0
February 15, 2014............. 100 70 21 3 0
February 15, 2015............. 100 56 16 2 0
February 15, 2016............. 100 44 12 2 0
February 15, 2017............. 100 31 8 1 0
February 15, 2018............. 100 19 5 1 0
February 15, 2019............. 100 9 2 0 0
February 15, 2020............. 71 2 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 29.3 24.6 19.5 5.3 2.2
CLASS 1041-G
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 100 100 100 59 29
February 15, 1993............. 100 100 100 40 6
February 15, 1994............. 100 100 100 26 6
February 15, 1995............. 100 100 100 17 6
February 15, 1996............. 100 100 100 11 6
February 15, 1997............. 100 100 100 9 6
February 15, 1998............. 100 100 100 9 6
February 15, 1999............. 100 100 100 9 6
February 15, 2000............. 100 100 100 9 6
February 15, 2001............. 100 100 100 9 6
February 15, 2002............. 100 100 100 9 6
February 15, 2003............. 100 100 100 9 5
February 15, 2004............. 100 100 89 9 3
February 15, 2005............. 100 100 66 9 2
February 15, 2006............. 100 100 54 9 2
February 15, 2007............. 100 100 47 9 1
February 15, 2008............. 100 100 40 9 1
February 15, 2009............. 100 100 34 8 0
February 15, 2010............. 100 98 29 6 0
February 15, 2011............. 100 77 24 5 0
February 15, 2012............. 100 58 20 4 0
February 15, 2013............. 100 50 16 3 0
February 15, 2014............. 100 42 13 2 0
February 15, 2015............. 100 34 10 1 0
February 15, 2016............. 100 26 7 1 0
February 15, 2017............. 100 19 5 1 0
February 15, 2018............. 100 12 3 0 0
February 15, 2019............. 100 5 1 0 0
February 15, 2020............. 43 1 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 28.9 22.7 17.1 3.4 1.4
CLASS 1041-H
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 100 95 92 87 79
February 15, 1993............. 99 89 82 72 56
February 15, 1994............. 99 83 73 59 39
February 15, 1995............. 98 78 64 48 27
February 15, 1996............. 98 72 57 39 19
February 15, 1997............. 97 67 50 31 13
February 15, 1998............. 97 63 44 25 9
February 15, 1999............. 96 58 39 21 6
February 15, 2000............. 95 54 34 17 4
February 15, 2001............. 94 50 30 13 3
February 15, 2002............. 93 46 26 11 2
February 15, 2003............. 92 42 23 9 1
February 15, 2004............. 90 39 20 7 1
February 15, 2005............. 88 36 17 6 1
February 15, 2006............. 87 32 15 4 0
February 15, 2007............. 84 29 13 4 0
February 15, 2008............. 82 27 11 3 0
February 15, 2009............. 79 24 9 2 0
February 15, 2010............. 76 21 8 2 0
February 15, 2011............. 73 19 7 1 0
February 15, 2012............. 69 16 6 1 0
February 15, 2013............. 65 14 4 1 0
February 15, 2014............. 60 12 4 1 0
February 15, 2015............. 54 9 3 0 0
February 15, 2016............. 47 7 2 0 0
February 15, 2017............. 40 5 1 0 0
February 15, 2018............. 32 3 1 0 0
February 15, 2019............. 23 1 0 0 0
February 15, 2020............. 12 0 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 22.7 11.4 7.9 5.1 3.1
CLASS 1041-R AND CLASS 1041-RS
----------------------------------
PSA PREPAYMENT
ASSUMPTION
----------------------------------
DATE 0% 100% 180% 300% 500%
- ------------------------------------ ------ ------ ------ ------
February 28, 1991............. 100 100 100 100 100
February 15, 1992............. 85 0 0 0 0
February 15, 1993............. 69 0 0 0 0
February 15, 1994............. 50 0 0 0 0
February 15, 1995............. 29 0 0 0 0
February 15, 1996............. 5 0 0 0 0
February 15, 1997............. 0 0 0 0 0
February 15, 1998............. 0 0 0 0 0
February 15, 1999............. 0 0 0 0 0
February 15, 2000............. 0 0 0 0 0
February 15, 2001............. 0 0 0 0 0
February 15, 2002............. 0 0 0 0 0
February 15, 2003............. 0 0 0 0 0
February 15, 2004............. 0 0 0 0 0
February 15, 2005............. 0 0 0 0 0
February 15, 2006............. 0 0 0 0 0
February 15, 2007............. 0 0 0 0 0
February 15, 2008............. 0 0 0 0 0
February 15, 2009............. 0 0 0 0 0
February 15, 2010............. 0 0 0 0 0
February 15, 2011............. 0 0 0 0 0
February 15, 2012............. 0 0 0 0 0
February 15, 2013............. 0 0 0 0 0
February 15, 2014............. 0 0 0 0 0
February 15, 2015............. 0 0 0 0 0
February 15, 2016............. 0 0 0 0 0
February 15, 2017............. 0 0 0 0 0
February 15, 2018............. 0 0 0 0 0
February 15, 2019............. 0 0 0 0 0
February 15, 2020............. 0 0 0 0 0
February 15, 2021............. 0 0 0 0 0
Weighted Average
Life (Years)+................ 2.9 0.4 0.4 0.4 0.4
- ---------------
+ The weighted average life of a Multiclass PC is determined by (a)
multiplying the reduction, if any, of the principal amount of such Multiclass PC
on each Payment Date by the number of years from the date of issuance to such
Payment Date, (b) summing the results and (c) dividing the sum by the aggregate
amount of the reductions in principal amount referred to in clause (a).
S-18
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
GENERAL
The Lower-Tier REMIC Pool and the Upper-Tier REMIC Pool will both qualify
as REMICs for federal income tax purposes. The Regular Class PCs will be treated
as 'regular interests' in the Upper-Tier REMIC Pool for purposes of Section
860G(a)(1) of the Code and will be treated as debt instruments for federal
income tax purposes. The Class 1041-R Multiclass PCs will be treated as
'residual interests' in the Upper-Tier REMIC Pool and the Class 1041-RS
Multiclass PCs will be treated as 'residual interests' in the Lower-Tier REMIC
Pool for purposes of Section 860G(a)(2) of the Code.
The Class 1041-C, Class 1041-D, Class 1041-F and Class 1041-G Multiclass
PCs will be, and the Class 1041-A and Class 1041-E Multiclass PCs may be, issued
with 'original issue discount' for federal income tax purposes. The preceding
sentence is based in part on certain assumptions as to the initial prices at
which substantial portions of the respective Classes of Multiclass PCs will be
sold to the public. Also, Freddie Mac intends to report all income with respect
to the Class 1041-B and Class 1041-H Multiclass PCs as original issue discount,
although the Internal Revenue Service might contend that such Classes are issued
at a premium for federal income tax purposes. Original issue discount generally
will result in recognition of some taxable income in advance of the receipt of
cash attributable to such income. The Prepayment Assumption (as defined under
'Certain Federal Income Tax Consequences -- Taxation of Regular Class PCs --
Original Issue Discount' in the Multiclass PC Offering Circular) that is to be
used in determining whether original issue discount is de minimis and computing
the rate of accrual of original issue discount is 180% PSA. No representation is
made whether the Mortgages will prepay at that or any other rate. For a further
discussion of original issue discount and premium, see 'Certain Federal Income
Tax Consequences -- Taxation of Regular Class PCs -- Original Issue Discount'
and '-- Premium' in the Multiclass PC Offering Circular.
Amendments to the Code made by the Revenue Reconciliation Act of 1990 have
restored a limited capital gains preference generally for taxable years
beginning after December 31, 1990. See 'Certain Federal Income Tax Consequences
- -- Sale or Exchange of Multiclass PCs' in the Multiclass PC
Offering Circular.
THE CLASS 1041-R AND CLASS 1041-RS MULTICLASS PCS
SPECIAL TAX CONSIDERATIONS APPLY TO AN INVESTMENT IN THE CLASS 1041-R OR
CLASS 1041-RS MULTICLASS PCS FOR ALL TYPES OF INVESTORS. IN CERTAIN
CIRCUMSTANCES, THE METHOD OF TAXATION OF THE CLASS 1041-R AND CLASS 1041-RS
MULTICLASS PCS CAN PRODUCE A SIGNIFICANTLY LESS FAVORABLE AFTER-TAX RETURN FOR
BENEFICIAL OWNERS OF THE CLASS 1041-R AND CLASS 1041-RS MULTICLASS PCS THAN
WOULD BE THE CASE IF (I) THE CLASS 1041-R AND CLASS 1041-RS MULTICLASS PCS WERE
TAXABLE AS DEBT INSTRUMENTS OR (II) NO PORTION OF THE TAXABLE INCOME ON THE
CLASS 1041-R AND CLASS 1041-RS MULTICLASS PCS IN EACH PERIOD WERE TREATED AS
'EXCESS INCLUSIONS.' IN CERTAIN PERIODS, TAXABLE INCOME AND THE RESULTING TAX
LIABILITY ON A CLASS 1041-R OR CLASS 1041-RS MULTICLASS PC MAY EXCEED PAYMENTS
RECEIVED THEREON. SEE 'CERTAIN FEDERAL INCOME TAX CONSEQUENCES -- TAXATION OF
RESIDUAL CLASS PCS' IN THE MULTICLASS PC OFFERING CIRCULAR. IN ADDITION, A
SUBSTANTIAL TAX MAY BE IMPOSED ON CERTAIN TRANSFERORS OF THE CLASS 1041-R OR
CLASS 1041-RS MULTICLASS PCS AND CERTAIN BENEFICIAL OWNERS OF THE CLASS 1041-R
OR CLASS 1041-RS MULTICLASS PCS THAT ARE 'PASS-THRU ENTITIES.' SEE 'CERTAIN
FEDERAL INCOME TAX CONSEQUENCES --TRANSFERS OF RESIDUAL CLASS PCS' IN THE
MULTICLASS PC OFFERING CIRCULAR. INVESTORS SHOULD CONSULT THEIR TAX ADVISORS
BEFORE PURCHASING A CLASS 1041-R OR CLASS 1041-RS MULTICLASS PC.
The fair market value of the Class 1041-R Multiclass PCs is expected to
exceed 2% of the aggregate fair market value of the Upper-Tier PCs as of the
date of this Offering Circular Supplement. Consequently, the portion of the
taxable income of the Upper-Tier REMIC Pool to be treated by the beneficial
owner of a Class 1041-R Multiclass PC as 'excess inclusions' for any calendar
quarter (and, as a result, not eligible for offset by losses from other
activities) should be limited to the excess of the taxable income of the
Upper-Tier REMIC Pool over the sum of the daily accruals for such quarter,
compounded on the basis of the Federal long-term rate. Moreover, in that event
it would appear that the limitations applicable generally to such excess
inclusions would not be applicable to thrift institutions that may use net
operating losses to offset their taxable income from the Class 1041-R Multiclass
PCs, including any such excess inclusions. The rate to be used for purposes of
computing excess inclusions (which is 120% of the Federal long-term rate) is
9.71% per annum (based on quarterly compounding). Investors should be
S-19
aware that the fair market values of the Upper-Tier PCs for purposes of this
paragraph have been determined on the date of this Offering Circular Supplement
based on certain assumptions as to initial offering prices. The Internal Revenue
Service, however, may contend that the relative values of the Class 1041-R
Multiclass PCs and the other Upper-Tier PCs should be determined on some other
basis, such as their values on the date of the closing of this offering or on a
continuous basis. In this regard, investors also should be aware that, because
the principal amount of the Class 1041-R Multiclass PCs will be reduced to zero
while a substantial portion of the aggregate principal amount of the other
Upper-Tier PCs remains outstanding, the fair market value of the Class 1041-R
Multiclass PCs is expected to be less than 2% of the aggregate fair market value
of the Upper-Tier PCs during a substantial portion of the life of the Upper-Tier
REMIC Pool. In the event that the fair market value of the Class 1041-R
Multiclass PCs is considered to be less than 2% of the aggregate fair market
value of the Upper-Tier PCs, all of the taxable income of the Upper-Tier REMIC
Pool would be treated as 'excess inclusions' and a beneficial owner of a Class
1041-R Multiclass PC (including a thrift institution) would not be eligible to
offset its pro rata share of such taxable income against losses from other
activities. See 'Certain Federal Income Tax Consequences -- Taxation of Residual
Class PCs -- Limitations on Offset or Exemption of REMIC Income' in the
Multiclass PC Offering Circular.
The fair market value of the Class 1041-RS Multiclass PCs is less than 2%
of the aggregate fair market value of the Lower-Tier PCs. Consequently, all of
the taxable income of the Lower-Tier REMIC Pool allocated to the beneficial
owner of a Class 1041-RS Multiclass PC may be treated as 'excess inclusions' for
any calendar quarter (and, as a result, not eligible for offset by losses from
other activities). Moreover, it would appear that the special rule permitting
thrift institutions to use net operating losses to offset their taxable income
from the Class 1041-RS Multiclass PCs may not be available. See 'Certain Federal
Income Tax Consequences -- Taxation of Residual Class PCs -- Limitations on
Offset or Exemption of REMIC Income' in the Multiclass PC Offering Circular. The
federal income tax consequences of any consideration paid to a transferee on a
transfer of a Class 1041-R or Class 1041-RS Multiclass PC are unclear; any
transferee receiving such consideration should consult its tax advisors.
The Holders of the Class 1041-R and Class 1041-RS Multiclass PCs will be
considered to be the holders of the residual interests in separate REMICs.
Pursuant to the Multiclass PC Agreement, Freddie Mac will be obligated to
provide to such Holders such information as Freddie Mac deems necessary or
appropriate to enable them to prepare any reports regarding the Multiclass PCs
and the Upper-Tier Mortgage Securities that may be required under the Code or
applicable Treasury regulations. Freddie Mac has no present intention to hold
the Class 1041-R or Class 1041-RS Multiclass PCs, and applicable law may not
permit Freddie Mac to perform tax administrative functions for the Upper-Tier
REMIC Pool or the Lower-Tier REMIC Pool. Accordingly, the Holders of the Class
1041-R and Class 1041-RS Multiclass PCs may have certain tax administrative
obligations (for which Freddie Mac will act as attorney-in-fact and agent). See
'Certain Federal Income Tax Consequences' in the Multiclass PC Offering
Circular.
LEGALITY OF INVESTMENT; REGULATORY CONSTRAINTS; ERISA CONSIDERATIONS
Investors should consult with their own legal advisors in determining
whether and to what extent the Multiclass PCs constitute legal investments for
such investors. In particular, any financial institution which is subject to the
jurisdiction of the Comptroller of the Currency, the Board of Governors of the
Federal Reserve System, the Federal Deposit Insurance Corporation, the Office of
Thrift Supervision, the National Credit Union Administration or other agencies
with similar authority should review any applicable rules, guidelines and
regulations before purchasing any Multiclass PCs. The Federal Financial
Institutions Examination Council has issued proposed changes to its Supervisory
Policy Statement that is discussed under 'Regulatory Constraints' in the
Multiclass PC Offering Circular. Such changes, if adopted in the form proposed,
would impose additional restrictions on investments in mortgage related
securities (including, under certain circumstances, divestiture requirements).
See 'Legality of Investment' and 'Regulatory Constraints' in the Multiclass PC
Offering Circular. Fiduciaries of ERISA plans should review 'ERISA
Considerations' in the Multiclass PC Offering Circular.
S-20
PLAN OF DISTRIBUTION
Subject to the terms and conditions set forth in the Purchase Agreement
between Freddie Mac and Lehman Brothers, Freddie Mac has agreed to sell, and
Lehman Brothers has agreed to purchase, all of the Multiclass PCs offered
hereby, if any are sold and purchased.
Lehman Brothers proposes to offer each Class of the Multiclass PCs from
time to time for sale in negotiated transactions at varying prices to be
determined at the time of sale, plus accrued interest from February 1, 1991 in
the case of the Fixed Rate PCs and from February 15, 1991 in the case of the
Variable Rate PCs. Lehman Brothers may effect such transactions by sales to or
through certain securities dealers (which may include Freddie Mac through its
Securities Sales and Trading Group), and such dealers may receive compensation
in the form of discounts, concessions or commissions from Lehman Brothers and/or
commissions from any purchasers for whom they act as agents.
The Purchase Agreement provides that Freddie Mac will indemnify Lehman
Brothers against certain liabilities.
LEGAL MATTERS
The legality of the Multiclass PCs will be passed upon for Freddie Mac by
Maud Mater, Esq., Senior Vice President -- General Counsel and Secretary of
Freddie Mac. Certain legal matters relating to the Multiclass PCs will be passed
upon for Lehman Brothers by Cleary, Gottlieb, Steen & Hamilton. The material
federal income tax consequences of the Multiclass PCs will be passed
upon for Freddie Mac by Cadwalader, Wickersham & Taft.
S-21
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
Annex 2(m)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated August 24, 1992
to
Offering Circular
dated May 1, 1992
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1385
OFFERING CIRCULAR SUPPLEMENT (FREDDIE MAC LOGO)
(TO OFFERING CIRCULAR DATED MAY 1, 1992)
$1,008,550,000
FEDERAL HOME LOAN MORTGAGE CORPORATION
MULTICLASS MORTGAGE PARTICIPATION CERTIFICATES, SERIES 1385
The Federal Home Loan Mortgage Corporation ('Freddie Mac') is offering its
Multiclass Mortgage Participation Certificates, Series 1385 (the 'Multiclass
PCs'). The Multiclass PCs will consist of the various 'Classes' listed below.
The Classes will receive principal and interest payments, in differing
proportions and at differing times, from the cash flows provided by Freddie Mac
'Gold PCs' and 'Gold Giant PCs' with interest rates of 7% per annum. This
Supplement sometimes refers to the Gold PCs and Gold Giant PCs that will back
the Multiclass PCs as the 'PCs.' Underlying the PCs are pools of fixed-rate,
first lien, residential mortgages and mortgage participations (the 'Mortgages').
See 'General Information -- Structure of Transaction' in this Supplement. Each
of the Mortgages will have an original term to maturity of 180 months or less.
Freddie Mac guarantees to each 'Holder' of a Multiclass PC (i) the timely
payment of interest at the applicable 'Class Coupon' and (ii) the payment of the
principal amount of the Holder's Multiclass PC as described in this Supplement.
Freddie Mac will make interest and principal payments on each monthly
'Payment Date,' beginning November 15, 1992, on the Classes entitled to such
payments. See 'Payments' in this Supplement.
This Series will involve the creation of an 'Upper-Tier REMIC Pool' and a
'Lower-Tier REMIC Pool.' Elections will be made to treat both REMIC Pools as
'real estate mortgage investment conduits' ('REMICs') pursuant to the Internal
Revenue Code. The R and RS Classes will be 'Residual Classes' and, for federal
income tax purposes, will be the residual interests in the Upper-Tier and
Lower-Tier REMIC Pools, respectively. The other Classes will be 'Regular
Classes' and, for federal income tax purposes, will be the regular interests in
the Upper-Tier REMIC Pool. The Residual Classes will be subject to transfer
restrictions. See 'Certain Federal Income Tax Consequences' in this Supplement
and in the Multiclass PC Offering Circular.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS
LISTED AT THE BOTTOM OF PAGE S-2.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE MULTICLASS PCS ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE MULTICLASS PCS, INCLUDING ANY INTEREST
THEREON, ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE
DEBTS OR OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR
INSTRUMENTALITY OF THE UNITED STATES OTHER THAN FREDDIE MAC. INCOME ON
THE MULTICLASS PCS HAS NO EXEMPTION UNDER FEDERAL LAW FROM FEDERAL,
STATE OR LOCAL TAXATION. THE MULTICLASS PCS ARE EXEMPT FROM THE
REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
'EXEMPTED SECURITIES' WITHIN THE MEANING OF THE SECURITIES
EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ORIGINAL WEIGHTED
CLASS PRINCIPAL PRINCIPAL TYPE/ CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE LIFE AT
1385- AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) 175% PSA(4)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C>
A ........ $126,924,000 PAC I/LIQ 4.750% FIX 312912JQ2 February 15, 1997 1.1 Yrs
B ........ 85,576,000 PAC I 5.000 FIX 312912JR0 April 15, 1999 2.5
C ........ 89,796,000 PAC I 5.250 FIX 312912JS8 February 15, 2001 3.5
CA ....... 5,000,000 PAC I 6.070 FIX 312912JT6 July 15, 2002 4.5
D ........ 53,117,640 PAC I 6.085 FIX 312912JU3 July 15, 2002 4.5
DA ....... 4,060,000 AD/LIQ 5.750 FIX 312912JV1 November 15, 1996 2.1
E ........ 151,166,360 PAC I 6.000 FIX 312912JW9 October 15, 2004 6.0
F ....... 6,550,000 SUP (5) FLT 312912JX7 October 15, 2007 12.4
FB ....... 36,649,900 SUP (5) FLT 312912JY5 October 15, 2007 12.4
FC ....... 46,666,900 SUP (5) FLT 312912JZ2 December 15, 2006 2.4
FD ....... 24,049,900 PAC II (5) FLT 312912KA5 October 15, 2007 3.4
FF ....... 21,049,000 SUP (5) FLT 312912KB3 April 15, 2007 7.9
G ........ 113,419,000 PAC I 6.500 FIX 312912KC1 March 15, 2006 8.0
H ........ 84,477,000 PAC I 6.500 FIX 312912KD9 August 15, 2007 11.0
HA........ 8,698,000 AD/LIQ 6.500 FIX 312912KE7 June 15, 1997 2.4
HB ....... 11,116,000 AD 6.500 FIX 312912KF4 November 15, 2001 6.9
J ....... 16,993,000 PAC I 7.000 FIX 312912KG2 October 15, 2007 14.2
K ........ 820,000 PAC I 1,182.57683 FIX/IO 312912KH0 August 15, 2007 3.8
L ........ 22,234,000 PAC II 7.000 FIX 312912KJ6 October 15, 2007 3.4
S ....... 3,750,000 SUP (5) INV 312912KK3 October 15, 2007 12.4
SA ....... 1,000,000 SUP (5) INV 312912KL1 October 15, 2007 12.4
SB ....... 15,707,100 SUP (5) INV 312912KM9 October 15, 2007 12.4
SC ....... 20,000,100 SUP (5) INV 312912KN7 December 15, 2006 2.4
SD ....... 5,305,125 PAC II (5) INV 312912KP2 October 15, 2007 3.4
SE ....... 5,001,975 PAC II (5) INV 312912KQ0 October 15, 2007 3.4
SF ....... 9,021,000 SUP (5) INV 312912KR8 April 15, 2007 7.9
Z ........ 15,400,000 PAC I 5.750 FIX/Z 312912KS6 July 15, 2002 4.5
ZA ....... 25,000,000 PAC I 6.500 FIX/Z 312912KT4 August 15, 2007 11.0
R ........ 1,000 PAC II 7.000 FIX 312912KU1 October 15, 2007 3.4
RS ....... 1,000 PAC II 7.000 FIX 312912KV9 October 15, 2007 3.4
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
(1) Subject to proportionate increase as described under 'Increase in Size' in
this Supplement.
(2) See 'Description of Multiclass PCs -- Standard Definitions and Abbreviations
for Classes' on pages 7-9 of the Multiclass PC Offering Circular.
(3) Determined as described under 'Final Payment Dates' in this Supplement.
(4) Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 175% PSA or any
other constant rate, and the actual weighted average lives of many Classes
are likely to differ from those shown, perhaps significantly.
(5) The F, FD, S, SA, SD and SE Classes will bear interest based on 'LIBOR,' and
the FB, FC, FF, SB, SC and SF Classes will bear interest based on 'COFI,' as
described under 'Payments -- Interest' in this Supplement.
The Multiclass PCs are offered by Lehman Brothers (including Shearson
Lehman Brothers Inc. and Lehman Government Securities Inc.) (the 'Underwriter')
from time to time in negotiated transactions at varying prices to be determined
at the time of sale, plus accrued interest from October 1, 1992 on the Fixed
Rate Classes and from October 15, 1992 on the Floating Rate and Inverse Floating
Rate Classes. The Multiclass PCs are offered by the Underwriter subject to prior
sale when, as and if delivered to and accepted by the Underwriter and subject to
the Underwriter's right to reject any order in whole or in part. It is expected
that the Regular Classes (in book-entry form) will be available for deposit at
any Federal Reserve Bank, and that delivery of the Residual Classes (in
certificated form) will be made at the offices of the Underwriter, on or about
October 30, 1992 (the 'Closing Date').
------------------------
LEHMAN BROTHERS
OFFERING CIRCULAR SUPPLEMENT DATED AUGUST 24, 1992
<PAGE>
MULTICLASS PCS ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS PCS OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND LIQUIDITY
RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE YIELD OF EACH CLASS WILL DEPEND UPON ITS PURCHASE PRICE, ITS
SENSITIVITY TO THE RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGES, THE ACTUAL
CHARACTERISTICS OF THE MORTGAGES AND, IN THE CASE OF EACH FLOATING RATE OR
INVERSE FLOATING RATE CLASS, ITS SENSITIVITY TO THE LEVEL OF LIBOR OR COFI
(EACH, AN 'INDEX'). THE MORTGAGES ARE SUBJECT TO PREPAYMENT AT ANY TIME WITHOUT
PENALTY. MORTGAGE PREPAYMENT RATES ARE LIKELY TO FLUCTUATE SIGNIFICANTLY FROM
TIME TO TIME, AS IS THE LEVEL OF EACH INDEX. INVESTORS SHOULD CONSIDER THE
ASSOCIATED RISKS, INCLUDING:
- FAST MORTGAGE PREPAYMENT RATES CAN REDUCE THE WEIGHTED AVERAGE LIVES,
AND THUS, YIELDS OF CLASSES PURCHASED AT A PREMIUM, ESPECIALLY THE K
CLASS, WHICH IS AN INTEREST ONLY CLASS. UNDER RAPID PREPAYMENT
SCENARIOS, INVESTORS IN THE K CLASS COULD FAIL TO FULLY RECOVER THEIR
INVESTMENTS.
- SLOW MORTGAGE PREPAYMENT RATES CAN INCREASE THE WEIGHTED AVERAGE LIVES
AND, THUS, REDUCE THE YIELDS OF CLASSES PURCHASED AT A DISCOUNT.
- SMALL DIFFERENCES IN THE CHARACTERISTICS OF THE MORTGAGES CAN HAVE A
SIGNIFICANT EFFECT ON THE WEIGHTED AVERAGE LIVES AND YIELDS OF THE
CLASSES.
- LOW LEVELS OF THE APPLICABLE INDEX CAN REDUCE THE YIELDS OF THE
FLOATING RATE CLASSES. CONVERSELY, HIGH LEVELS OF THE APPLICABLE INDEX
CAN REDUCE THE YIELDS OF THE INVERSE FLOATING RATE CLASSES.
- IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SUPPORT CLASSES ARE LIKELY
TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS THAN ARE
PRINCIPAL PAYMENT RATES ON THE OTHER CLASSES.
SEE 'PREPAYMENT AND YIELD ANALYSIS' IN THIS SUPPLEMENT.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
MULTICLASS PCS AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO.
THERE IS NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT
DEVELOPS, THAT IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL
THEIR MULTICLASS PCS READILY OR AT PRICES THAT WILL ENABLE THEM TO REALIZE THEIR
DESIRED YIELD.
------------------------
Investors should purchase Multiclass PCs only if they have read and
understand this Supplement and the following documents:
- Freddie Mac's Multiclass Mortgage Participation Certificates Offering
Circular dated May 1, 1992 (the 'Multiclass PC Offering Circular'),
which is attached to this Supplement;
- Freddie Mac's Mortgage Participation Certificates Offering Circular
dated June 30, 1992 and its Mortgage Participation Certificates
Offering Circular Supplement dated August 3, 1992 (together, the 'PC
Offering Circular');
- Freddie Mac's Giant Mortgage Participation Certificates Offering
Circular dated December 23, 1991 (the 'Giant PC Offering Circular');
and
- Freddie Mac's Information Statement dated March 19, 1992, its
Information Statement Supplements dated April 28, 1992 and July 30,
1992 and any other Information Statement Supplements published by
Freddie Mac through the time of purchase (collectively, the
'Information Statement').
This Supplement incorporates by reference the PC Offering Circular, the
Giant PC Offering Circular and the Information Statement. Investors can order
those documents: from Freddie Mac, by writing or calling its Investor Inquiry
Department at 8200 Jones Branch Drive, McLean, Virginia 22102 (outside
Washington, D.C. metropolitan area, phone 800/336-FMPC; within Washington, D.C.
metropolitan area, phone 703/759-8160); or from the Underwriter, by writing or
calling its Prospectus Department at 250 West Street, Third Floor, New York, New
York 10012 (phone 212/464-6927).
Investors can obtain additional information regarding the PCs and Mortgages
from the sources described under 'General Information -- Additional Information'
in this Supplement.
S-2
SERIES 1385 TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION FOR QUICK REFERENCE ONLY. IT
IS NOT A SUMMARY OF THE TRANSACTION. INVESTORS SHOULD REFER TO THE REMAINDER OF
THIS SUPPLEMENT FOR FURTHER INFORMATION.
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON
SUBJECT TO
----------------------
MINIMUM MAXIMUM
CLASS INITIAL RATE CLASS COUPON RATE RATE
--------------- -------------- ----------------------------------- ------- ------------
<S> <C>
F ............. 4.62500% LIBOR + 1.25% 1.25% 9.50000000%
FB ............ 5.90800 COFI + 0.65% 0.65 10.00000000
FC ............ 5.85800 COFI + 0.60% 0.60 10.00000000
FD............. 3.87500 LIBOR + 0.50% 0.50 10.00000000
FF ............ 5.40000* COFI + 0.60% 0.60 10.00000000
S ............. 9.37500 12.75% - LIBOR 4.50 12.75000000
SA............. 13.65000 23.10% - (LIBOR X 2.8) 0 23.10000000
SB ............ 9.54800 21.8166667% - (COFI X 2.3333333) 0 21.81666670
SC ............ 9.66467 21.93333333% - (COFI X 2.33333333) 0 21.93333333
SD............. 9.06666 43.0666666% - (LIBOR X 4.5333333) 0 9.06666000
SE ............ 19.83333 36.060606% - (LIBOR X 4.808080808) 0 36.06060600
SF ............ 10.73333* 21.93333333% - (COFI X 2.3333333) 0 21.93333333
</TABLE>
--------------------
* Rate in effect until October 15, 1993; adjusts monthly thereafter.
See 'Payments -- Interest' in this Supplement.
ALLOCATION OF PRINCIPAL
- Z Accrual Amount to DA and Z, in that order
- ZA Accrual Amount to HA, HB and ZA, in that order
- PC Principal Amount to:
1. Type I PAC Classes to their Targeted Balances (structured at 95%-250%
PSA), allocated:
99.8089702202%: A 0.1910297798%: K
99.8301597018%: B 0.1698402982%: K
99.8513581823%: C 0.1486418177%: K
99.9150076746%: CA, D and Z, pro rata* 0.0849923254%: K
99.9150076753%: E 0.0849923247%: K
99.9574857707%: G 0.0425142293%: K
99.9574857707%: H and ZA, pro rata* 0.0425142293%: K
100%: J
------------------------
* Based on their then outstanding principal amounts.
2. Type II PAC Classes to their Targeted Balances (structured at
125%-200% PSA), allocated to FD, L, SD, SE, R and RS, pro rata
3. FC and SC, pro rata, until retired
4. FF and SF, pro rata, until retired
5. F, FB, S, SA and SB, pro rata, until retired
6. Type II PAC Classes as in step 2 until retired
7. Type I PAC Classes as in step 1 until C is retired
8. (i) 74.8517800571% to CA and D, pro rata, (ii) 25.0632276175% to DA
and Z, in that order, and (iii) 0.0849923254% to K, until CA, D, DA
and Z are retired
9. Remaining Type I PAC Classes as in step 1 until G is retired
10. (i) 65.3108764373% to H, (ii) 34.6466093334% to HA, HB and ZA, in
that order, and (iii) 0.0425142293% to K until retired
11. J until retired
See 'Payments -- Principal' in this Supplement.
S-3
WEIGHTED AVERAGE LIVES (IN YEARS)*
PSA PREPAYMENT ASSUMPTION
----------------------------------
0% 95% 175% 250% 400%
------ ------ ------ ------ ------
A ........................... 1.9 1.1 1.1 1.1 1.1
B ........................... 4.5 2.5 2.5 2.5 2.5
C ........................... 6.2 3.5 3.5 3.5 3.0
CA and D...................... 7.6 4.5 4.5 4.5 3.5
DA............................ 2.1 2.1 2.1 2.1 2.0
E ........................... 9.3 6.0 6.0 6.0 4.4
F, FB, S, SA and SB........... 14.7 14.0 12.4 3.6 2.0
FC and SC..................... 13.8 11.2 2.4 1.3 0.8
FD, L, SD, SE, R and RS....... 13.1 8.8 3.4 3.2 2.1
FF and SF..................... 14.3 12.7 7.9 2.4 1.5
G ............................ 11.0 8.0 8.0 8.0 5.9
H ............................ 12.3 11.0 11.0 11.0 8.6
HA............................ 2.4 2.4 2.4 2.4 2.4
HB............................ 6.9 6.9 6.9 6.9 6.4
J ........................... 14.2 14.2 14.2 14.2 13.0
K ........................... 5.9 3.8 3.8 3.8 3.2
Z ........................... 7.6 4.5 4.5 4.5 3.6
ZA............................ 12.3 11.0 11.0 11.0 8.8
Underlying PCs................ 9.2 6.9 5.8 5.0 3.9
-----------------------
* Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any
other constant rate, and the actual weighted average lives of many
Classes and of the PCs are likely to differ from those shown, perhaps
significantly.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF OCTOBER 1, 1992)
APPROXIMATE
WEIGHTED AVERAGE APPROXIMATE APPROXIMATE
APPROXIMATE REMAINING TERM WEIGHTED AVERAGE WEIGHTED AVERAGE
PRINCIPAL TO MATURITY LOAN AGE PER ANNUM
BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE
- -------------- ---------------- ---------------- ----------------
$1,008,550,000 178 1 7.6%
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages will differ from the weighted averages shown above,
perhaps significantly. See 'General Information -- The Mortgages' in this
Supplement.
S-4
<PAGE>
Annex 2(n)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated November 2, 1992
to Offering Circular
dated May 1, 1992
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1435
<PAGE>
OFFERING CIRCULAR SUPPLEMENT
[Freddie
(To Offering Circular Dated May 1, 1992) Mac
logo]
$500,000,000
Federal Home Loan
Mortgage Corporation
MULTICLASS MORTGAGE PARTICIPATION CERTIFICATES, Series 1435
------------------------
The Federal Home Loan Mortgage Corporation ("Freddie Mac") is offering its
Multiclass Mortgage Participation Certificates, Series 1435 (the "Multiclass
PCs"). The Multiclass PCs will consist of the various "Classes" listed below.
The Classes will receive principal and interest payments, in differing
proportions and at differing times, from the cash flows provided by Freddie Mac
"Gold PCs" and "Gold Giant PCs" with interest rates of 7.5% per annum. This
Supplement sometimes refers to the Gold PCs and Gold Giant PCs that will back
the Multiclass PCs as the "PCs." Underlying the PCs are pools of fixed-rate,
first lien, residential mortgages and mortgage participations (the "Mortgages").
See "General Information - Structure of Transaction" in this Supplement.
Freddie Mac guarantees to each "Holder" of a Multiclass PC (i) the timely
payment of interest at the applicable "Class Coupon" and (ii) the payment of the
principal amount of the Holder's Multiclass PC as described in this Supplement.
Freddie Mac will make interest and principal payments on each monthly
"Payment Date," beginning January 15, 1993, on the Classes entitled to such
payments. See "Payments" in this Supplement.
This Series will involve the creation of an "Upper-Tier REMIC Pool" and a
"Lower-Tier REMIC Pool." Elections will be made to treat both REMIC Pools as
"real estate mortgage investment conduits" ("REMICs") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and, for federal
income tax purposes, will be the residual interests in the Upper-Tier and
Lower-Tier REMIC Pools, respectively. The other Classes will be "Regular
Classes" and, for federal income tax purposes, will be the regular interests in
the Upper-Tier REMIC Pool. The Residual Classes will be subject to transfer
restrictions. See "Certain Federal Income Tax Consequences" in this Supplement
and in the Multiclass PC Offering Circular.
Investors should read this Supplement in conjunction with the documents
listed at the bottom of page S-2.
------------------------
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE MULTICLASS PCs ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE MULTICLASS PCs, INCLUDING ANY
INTEREST THEREON, ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT
CONSTITUTE DEBTS OR OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY
OR INSTRUMENTALITY OF THE UNITED STATES OTHER THAN FREDDIE
MAC. INCOME ON THE MULTICLASS PCs HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE
MULTICLASS PCs ARE EXEMPT FROM THE REGISTRATION
REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE
SECURITIES EXCHANGE ACT OF 1934.
------------------------
<TABLE>
<CAPTION>
Weighted
Original Average
Class Principal Principal Class Interest CUSIP Final Payment Life at 175%
1435- Amount (1) Type (2) Coupon Type (2) Number Date(3) PSA(4)
- ------------------------------------------- ----------- --------- ------ -------- --------- ------------------ ------------
<S> <C>
A ......................................... $30,487,000 PAC I 5.5% FIX 312913TX4 June 15, 2003 1.1 Yrs
B ......................................... 60,059,000 PAC I 6.5 FIX 312913TY2 October 15, 2011 2.8
C ......................................... 36,271,000 PAC I 6.5 FIX 312913TZ9 September 15, 2014 4.5
D ......................................... 35,621,000 PAC I 7.0 FIX 312913UA2 December 15, 2016 5.8
E ......................................... 63,464,000 PAC I 7.0 FIX 312913UB0 January 15, 2020 7.9
F ......................................... 59,427,000 CPT/SCH (5) FLT 312913UC8 December 15, 2022 3.5
FA ........................................ 83,514,000 SUP (5) FLT 312913UD6 December 15, 2022 16.6
G ......................................... 51,718,000 PAC I 7.0 FIX 312913UE4 December 15, 2021 10.9
HA......................................... 7,461,000 AD 6.5 FIX 312913UF1 May 15, 1999 3.4
HB ........................................ 3,801,000 AD 7.0 FIX 312913UG9 October 15, 2001 7.6
HC......................................... 8,353,000 AD 7.0 FIX 312913UH7 November 15, 2005 10.9
HZ ........................................ 12,177,000 PAC I 7.5 FIX/Z 312913UJ3 December 15, 2022 14.9
J ........................................ (6) CPT/NTL 7.5 FIX/IO 312913UK0 December 15, 2021 -
S ......................................... 14,424,000 PAC II (5) INV 312913UL8 December 15, 2022 3.5
SA ........................................ 27,838,000 SUP (5) INV 312913UM6 December 15, 2022 16.6
SB ........................................ 5,385,000 TAC (5) INV 312913UN4 December 15, 2022 3.5
R ......................................... 0 NPR 0 NPR 312913UP9 December 15, 2022 -
RS ........................................ 0 NPR 0 NPR 312913UQ7 December 15, 2022 -
</TABLE>
- ------------
(1)Subject to proportionate increase as described under "Increase in Size" in
this Supplement.
(2)See "Description of Multiclass PCs - Standard Definitions and Abbreviations
for Classes" on pages 7-9 of the Multiclass PC Offering Circular.
(3)Determined as described under "Final Payment Dates" in this Supplement.
(4)Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 175% PSA or any
other constant rate, and the actual weighted average lives of many Classes
are likely to differ from those shown, perhaps significantly.
(5)The F, FA, S, SA and SB Classes will bear interest based on "LIBOR," as
described under "Payments - Interest" in this Supplement.
(6)The J Class will not receive principal payments, will have an original
notional principal amount of approximately $32,832,466 and will bear
interest on its notional principal amount at its Class Coupon of 7.5% per
annum. The notional principal amount of the J Class will be reduced with
reductions in the principal amounts of the Accretion Directed Classes and
crtain of the PAC Classes, as described under "Payments - Interest" in this
Supplement.
------------------------
The Multiclass PCs are offered by Morgan Stanley & Co. Incorporated (the
"Underwriter") to the public from time to time for sale in negotiated
transactions at varying prices to be determined, in each case, at the time of
sale, plus accrued interest from December 1, 1992 on the Fixed Rate Classes
and from December 15, 1992 on the Floating Rate and Inverse Floating Rate
Classes. The Multiclass PCs are offered by the Underwriter when, as and if
issued and subject to delivery by Freddie Mac and acceptance by the
Underwriter, to prior sale and to withdrawal, cancellation or modification of
the offer without notice. It is expected that the Regular Classes (in
book-entry form) will be available for deposit at any Federal Reserve Bank,
and that delivery of the Residual Classes (in certificated form) will be made
at the offices of the Underwriter, on or about December 30, 1992 (the "Closing
Date").
------------------------
MORGAN STANLEY & CO.
Incorporated
November 2, 1992
<PAGE>
MULTICLASS PCs ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS PCs OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND LIQUIDITY
RISKS ASSOCIATED WITH THAT CLASS.
------------------------
The yield of each Class will depend upon its purchase price, its sensitivity
to the rate of principal payments on the Mortgages, the actual characteristics
of the Mortgages and, in the case of each Floating Rate or Inverse Floating Rate
Class, its sensitivity to the level of LIBOR. The Mortgages are subject to
prepayment at any time without penalty. Mortgage prepayment rates are likely to
fluctuate significantly from time to time, as is the level of LIBOR. Investors
should consider the associated risks, including:
- Fast Mortgage prepayment rates can reduce the yields of Classes
purchased at a premium, especially the J Class, which is an Interest
Only Class. Under rapid prepayment scenarios, investors in the J Class
could fail to fully recover their investments.
- Slow Mortgage prepayment rates can increase the weighted average lives
and, thus, reduce the yields of Classes purchased at a discount.
- Small differences in the characteristics of the Mortgages can have a
significant effect on the weighted average lives and yields of the
Classes.
- Low levels of LIBOR can reduce the yields of the Floating Rate Classes.
Conversely, high levels of LIBOR can significantly reduce the yields of
the Inverse Floating Rate Classes.
- In general, principal payment rates on the Support Classes are likely
to exhibit a higher sensitivity to Mortgage prepayments than are
principal payment rates on the Accretion Directed, PAC, TAC and
Scheduled Classes.
- In general, principal payment rates on the TAC and Scheduled Classes
are likely to exhibit a higher sensitivity to Mortgage prepayments than
are principal payment rates on the Accretion Directed and PAC Classes.
See "Prepayment and Yield Analysis" in this Supplement.
------------------------
The Underwriter intends to make a market for the purchase and sale of the
Multiclass PCs after their initial issuance but has no obligation to do so.
There is no assurance that such a secondary market will develop or, if it
develops, that it will continue. Consequently, investors may not be able to
sell their Multiclass PCs readily or at prices that will enable them to realize
their desired yield.
------------------------
Investors should purchase Multiclass PCs only if they have read and
understand this Supplement and the following documents:
- Freddie Mac's Multiclass Mortgage Participation Certificates Offering
Circular dated May 1, 1992 (the "Multiclass PC Offering Circular"),
which is attached to this Supplement;
- Freddie Mac's Mortgage Participation Certificates Offering Circular
dated June 30, 1992 and its Mortgage Participation Certificates
Offering Circular Supplements dated August 3, 1992 and November 2, 1992
(collectively, the "PC Offering Circular");
- Freddie Mac's Giant Mortgage Participation Certificates Offering
Circular dated December 23, 1991 (the "Giant PC Offering Circular");
and
- Freddie Mac's Information Statement dated March 19, 1992, its
Information Statement Supplements dated April 28, 1992, July 30, 1992
and November 13, 1992 and any other Information Statement Supplements
published by Freddie Mac through the time of purchase (collectively,
the "Information Statement").
This Supplement incorporates by reference the PC Offering Circular, the
Giant PC Offering Circular and the Information Statement. Investors can order
those documents: from Freddie Mac, by writing or calling its Investor Inquiry
Department at 8200 Jones Branch Drive, McLean, Virginia 22102 (outside
Washington, D.C. metropolitan area, phone 800/336-FMPC; within Washington, D.C.
metropolitan area, phone 703/759-8160); or from the Underwriter, by writing or
calling its Prospectus Department at 1251 Avenue of the Americas, New York, New
York 10020 (phone 212/703-7630).
Investors can obtain additional information regarding the PCs and Mortgages
from the sources described under "General Information - Additional Information"
in this Supplement.
S-2
<PAGE>
SERIES 1435 TERMS SHEET
This terms sheet contains selected information for quick reference only. It
is not a summary of the transaction. Investors should refer to the remainder of
this Supplement for further information.
Class Coupons
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
Class Coupon Subject to
Initial --------------------------
Class Rate Class Coupon Minimum Rate Maximum Rate
- -------------------- ------- ------------------- ------------ ------------
F .................. 4.35% LIBOR + 1.1% 1.1% 10.0%
FA.................. 4.55 LIBOR + 1.3% 1.3 10.0
S and SB............ 16.95 26.7% - (LIBOR x 3) 0 26.7
SA.................. 16.35 26.1% - (LIBOR x 3) 0 26.1
See "Payments - Interest" in this Supplement.
Allocation of Principal
- Accrual Amount to HA, HB and HC, in that order
- PC Principal Amount to:
1. Type I PAC Classes to their Targeted Balances (structured at 95% 275%
PSA), allocated to A, B, C, D, E, G and HZ, in that order
2. Type II PAC Class and Component (S and F-1), pro rata, to their
Targeted Balances (structured at 145% 175% PSA)
3. TAC Class and Component (SB and F-2), pro rata, to their Targeted
Balances (to be structured at 165% PSA)
4. FA and SA, pro rata, until retired
5. SB and F-2, pro rata, until retired
6. S and F-1, pro rata, until retired
7. A, B, C, D, E, G, HA, HB, HC and HZ, in that order, until retired
See "Payments - Principal" in this Supplement.
S-3
<PAGE>
Weighted Average Lives (in years)*
PSA Prepayment Assumption
-------------------------------------------
0% 95% 175% 275% 450%
------- ------- ------- ------- -------
A ............................... 4.3 1.1 1.1 1.1 1.1
B ............................... 11.7 2.8 2.8 2.8 2.8
C ............................... 16.3 4.5 4.5 4.5 3.9
D ............................... 18.7 5.8 5.8 5.8 4.5
E ............................... 21.2 7.9 7.9 7.9 5.6
F ............................... 26.6 15.2 3.5 3.5 2.5
FA and SA........................ 28.9 24.0 16.6 5.9 1.6
G ............................... 23.6 10.9 10.9 10.9 7.8
HA............................... 3.4 3.4 3.4 3.4 3.4
HB............................... 7.6 7.6 7.6 7.6 7.6
HC............................... 10.9 10.9 10.9 10.9 9.7
HZ............................... 25.0 14.9 14.9 14.9 13.0
S ............................... 26.3 14.1 3.5 3.5 2.6
SB............................... 27.4 18.2 3.5 3.5 2.3
Underlying PCs................... 21.6 12.0 8.5 6.1 4.1
- -------------------
*Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any other
constant rate, and the actual weighted average lives of many Classes and of
the PCs are likely to differ from those shown, perhaps significantly.
Assumed Mortgage Characteristics (as of December 1, 1992)
Approximate
Weighted Average Approximate Approximate
Approximate Remaining Term Weighted Average Weighted Average
Principal to Maturity Loan Age Per Annum
Balance (in months) (in months) Interest Rate
- -------------- -------------------- --------------------- ----------------
$ 50,000,000 359 1 8.15%
200,000,000 358 1 8.15
150,000,000 357 2 8.15
100,000,000 355 4 8.15
- --------------
$500,000,000 357* 2*
- --------------
- --------------
- -------------------
* Weighted average by principal balance.
The actual remaining terms to maturity, loan ages and interest rates of most
of the Mortgages will differ from the weighted averages shown above, perhaps
significantly. See "General Information - The Mortgages" in this Supplement.
S-4
<PAGE>
Annex 2(o)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated February 12, 1993
to
Offering Circular
dated January 1, 1993
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1483
<PAGE>
Offering Circular Supplement [FREDDIE MAC LOGO]
(To Offering Circular Dated January 1, 1993)
$800,000,000
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1483
------------------------
The Federal Home Loan Mortgage Corporation ("Freddie Mac") is offering its
Multiclass Mortgage Participation Certificates, Series 1483 (the "Multiclass
PCs"). The Multiclass PCs will consist of the various "Classes" listed below.
The Classes will receive principal and interest payments, in differing
proportions and at differing times, from the cash flows provided by Freddie Mac
"Gold PCs" and "Gold Giant PCs" with interest rates of 8% per annum. This
Supplement sometimes refers to the Gold PCs and Gold Giant PCs that will back
the Multiclass PCs as the "PCs." Underlying the PCs are pools of fixed-rate,
first lien, residential mortgages and mortgage participations (the "Mortgages").
See "General Information - Structure of Transaction" in this Supplement.
Freddie Mac guarantees to each "Holder" of a Multiclass PC (i) the timely
payment of interest at the applicable "Class Coupon" and (ii) the payment of the
principal amount of the Holder's Multiclass PC as described in this Supplement.
Freddie Mac will make interest and principal payments on each monthly
"Payment Date," beginning April 15, 1993, on the Classes entitled to such
payments. See "Payments" in this Supplement.
This Series will involve the creation of an "Upper-Tier REMIC Pool" and a
"Lower-Tier REMIC Pool." Elections will be made to treat both REMIC Pools as
"real estate mortgage investment conduits" ("REMICs") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and, for federal
income tax purposes, will be the residual interests in the Upper-Tier and
Lower-Tier REMIC Pools, respectively. The other Classes will be "Regular
Classes" and, for federal income tax purposes, will be the regular interests in
the Upper-Tier REMIC Pool. The Residual Classes will be subject to transfer
restrictions. See "Certain Federal Income Tax Consequences" in this Supplement
and in the Multiclass PC Offering Circular.
Investors should read this Supplement in conjunction with the documents
listed at the bottom of page S-2.
The obligations of Freddie Mac under its guarantees of the Multiclass PCs
are obligations of Freddie Mac only. The Multiclass PCs, including any
interest thereon, are not guaranteed by the United States and do not
constitute debts or obligations of the United States or any agency or
instrumentality of the United States other than Freddie Mac. Income on the
Multiclass PCs has no exemption under federal law from federal, state or local
taxation. The Multiclass PCs are exempt from the registration requirements of
the Securities Act of 1933 and are "exempted securities" within the meaning of
the Securities Exchange Act of 1934.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Principal
Original Type/ Weighted Average
Class Principal Other Class Interest CUSIP Final Payment Life at 200%
1483- Amount (1) Type (2) Coupon Type (2) Number Date (3) PSA (4)
- --------------- ------------ --------- ------ ---------- --------- ------------------ ----------------
<S> <C>
A ............. $ 20,372,900 PAC 4.80% FIX 312914Y81 September 15, 2006 2.4 Yrs
B ............. 15,659,000 PAC 5.35 FIX 312914Y99 May 15, 2010 3.4
C ............. 23,573,600 PAC 5.75 FIX 312914Z23 November 15, 2013 4.4
D ............. 35,416,200 PAC 6.25 FIX 312914Z31 January 15, 2017 5.8
E ............. 49,987,500 PAC 6.50 FIX 312914Z49 February 15, 2020 7.8
FA ............ 88,400,000 PAC (5) FLT 312914Z56 December 15, 2022 5.9
FB ............ 146,664,800 PAC (5) FLT 312914Z64 December 15, 2022 5.9
FC ............ 152,744,000 CPT/SCH (5) FLT/DLY 312914Z72 March 15, 2023 4.0
FD ............ 64,920,000 SCH (5) FLT 312914Z80 March 15, 2023 3.5
G ............. 33,477,500 PAC 6.50 FIX 312914Z98 September 15, 2021 10.5
H ............. 25,000,000 PAC 7.00 FIX 3129142A1 December 15, 2022 14.5
I ............. (6) NTL (PAC) 8.00 FIX/IO 3129142B9 December 15, 2022 -
SA ............ (7) NTL (PAC) (5) INV/IO 3129142E3 December 15, 2022 -
SB ............ (7) NTL (PAC) (5) INV/IO 3129142F0 December 15, 2022 -
SC ............ 35,400,000 SCH (5) INV/DLY 3129142G8 March 15, 2023 3.5
SD ............ 16,230,000 SCH (5) INV 3129142H6 March 15, 2023 3.5
SE ............ (8) NTL (SCH) (5) INV/IO/DLY 3129142J2 March 15, 2023 -
SF ............ (7) NTL (SCH) (5) INV/IO 3129142K9 March 15, 2023 -
SG ............ 2,786,000 TAC (5) INV/DLY 3129142L7 March 15, 2023 10.6
VA ............ 5,362,000 AD/LIQ 7.50% FIX 3129142M5 November 15, 1997 2.4
VB ............ 10,786,000 AD 7.50 FIX 3129142N3 January 15, 2004 7.9
VC ............ 2,756,000 AD 7.50 FIX 3129142P8 March 15, 2005 11.4
VD............. 1,714,000 AD/LIQ 8.00 FIX 3129142Q6 November 15, 1997 2.4
VE ............ 3,554,000 AD 8.00 FIX 3129142R4 January 15, 2004 7.9
VF ............ 7,779,000 AD 8.00 FIX 3129142S2 September 15, 2011 15.0
ZA ............ 13,014,500 PAC 7.50 FIX/Z 3129142T0 December 15, 2022 14.5
ZB ............ 3,870,000 PAC 8.00 FIX/Z 3129142U7 March 15, 2023 21.9
ZC ............ 40,533,000 SUP 8.00 FIX/Z 3129142V5 March 15, 2023 18.1
R ............. 0 NPR 0 NPR 3129142C7 March 15, 2023 -
RS ............ 0 NPR 0 NPR 3129142D5 March 15, 2023 -
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
(1) Subject to proportionate increase as described under "Increase in Size" in
this Supplement.
(2) See "Description of Multiclass PCs - Standard Definitions and Abbreviations
for Classes" on pages 7-9 of the Multiclass PC Offering Circular. The type
of Class with which the notional principal amount of a Notional Class will
be reduced is indicated in parentheses.
(3) Determined as described under "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 200% PSA or any
other constant rate, and the actual weighted average lives of many Classes
are likely to differ from those shown, perhaps significantly.
(5) The FA, FB, FD, SA, SB, SD and SF Classes will bear interest based on
"LIBOR," and the FC, SC, SE and SG Classes will bear interest based on the
"One-Year Treasury Index," as described under "Payments - Interest" in this
Supplement.
(6) The I Class will not receive principal payments, will have an original
notional principal amount of $4,408,425, and will bear interest on its
notional principal amount at its Class Coupon of 8% per annum. The notional
principal amount of the I Class will be reduced proportionately with
reductions in the aggregate principal amount of the H, VA, VB, VC and ZA
Classes.
(7) The SA, SB and SF Classes will not receive principal payments, will have
original notional principal amounts of $22,100,000, $36,666,200 and
$16,230,000, respectively, and will bear interest on their notional
principal amounts based on LIBOR as described under "Payments - Interest" in
this Supplement. The notional principal amounts of the SA, SB and SF Classes
will be reduced proportionately with reductions in the principal amounts of
the FA, FB and FD Classes, respectively.
(8) The SE Class will not receive principal payments, will have an original
notional principal amount of $35,400,000, and will bear interest on its
notional principal amount based on the One-Year Treasury Index, as described
under "Payments - Interest" in this Supplement. The notional principal
amount of the SE Class will be reduced proportionately with reductions in
the principal amount of the FC-1 Component.
The Multiclass PCs are offered by Bear, Stearns & Co. Inc. (the
"Underwriter") to the public from time to time for sale in negotiated
transactions at varying prices to be determined at the time of sale, plus
accrued interest from March 1, 1993 on the Fixed Rate and Delay Classes and from
March 15, 1993 on the Floating Rate and Inverse Floating Rate Classes other than
the Delay Classes (the "Non-Delay Classes"). The Multiclass PCs are offered by
the Underwriter, subject to sale by Freddie Mac and receipt and acceptance by
the Underwriter and subject to the Underwriter's right to reject any order in
whole or in part. It is expected that the Regular Classes (in book-entry form)
will be available for deposit at any Federal Reserve Bank, and that delivery of
the Residual Classes (in certificated form) will be made at the offices of the
Underwriter, 245 Park Avenue, New York, New York 10167, on or about March 30,
1993 (the "Closing Date").
Bear, Stearns & Co. Inc.
Offering Circular Supplement Dated February 12, 1993
<PAGE>
MULTICLASS PCs ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS PCs OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND LIQUIDITY
RISKS ASSOCIATED WITH THAT CLASS.
------------------------
The yield of each Class will depend upon its purchase price, its sensitivity
to the rate of principal payments on the Mortgages, the actual characteristics
of the Mortgages and, in the case of each Floating Rate or Inverse Floating Rate
Class, its sensitivity to the level of LIBOR or the One-Year Treasury Index
(each, an "Index"). The Mortgages are subject to prepayment at any time without
penalty. Mortgage prepayment rates are likely to fluctuate significantly from
time to time, as is the level of each Index. Investors should consider the
associated risks, including:
- Fast Mortgage prepayment rates can reduce the yields of Classes
purchased at a premium, especially the I, SA, SB, SE and SF Classes,
which are Interest Only Classes. Under certain prepayment scenarios,
investors in the Interest Only Classes could fail to fully recover
their investments.
- Slow Mortgage prepayment rates can increase the weighted average lives
and, thus, reduce the yields of Classes purchased at a discount.
- Small differences in the characteristics of the Mortgages can have a
significant effect on the weighted average lives and yields of the
Classes.
- Low levels of the applicable Index can reduce the yields of the
Floating Rate Classes. Conversely, high levels of the applicable Index
can significantly reduce the yields of the Inverse Floating Rate
Classes and (especially in combination with fast Mortgage prepayment
rates) may result in the failure of investors in the SA, SB, SE and SF
Classes to fully recover their investments.
- In general, principal payment rates on the ZC Class, which is a Support
Class, are likely to exhibit a higher sensitivity to Mortgage
prepayments than are principal payment rates on the Accretion Directed,
PAC, TAC and Scheduled Classes.
- In general, principal payment rates on the Scheduled and TAC Classes
are likely to exhibit a higher sensitivity to Mortgage prepayments than
are principal payment rates on the Accretion Directed and PAC Classes.
See "Prepayment and Yield Analysis" in this Supplement.
------------------------
The Underwriter intends to make a market for the purchase and sale of the
Multiclass PCs after their initial issuance but has no obligation to do so.
There is no assurance that such a secondary market will develop or, if it
develops, that it will continue. Consequently, investors may not be able to
sell their Multiclass PCs readily or at prices that will enable them to realize
their desired yield.
------------------------
Investors should purchase Multiclass PCs only if they have read and
understand this Supplement and the following documents:
- Freddie Mac's Multiclass Mortgage Participation Certificates Offering
Circular dated January 1, 1993 (the "Multiclass PC Offering
Circular"), which is attached to this Supplement;
- Freddie Mac's Mortgage Participation Certificates Offering Circular
dated June 30, 1992 and its Mortgage Participation Certificates
Offering Circular Supplements dated August 3, 1992 and November 2, 1992
(collectively, the "PC Offering Circular");
- Freddie Mac's Giant Mortgage Participation Certificates Offering
Circular dated December 23, 1991 and its Giant Mortgage Participation
Certificates Offering Circular Supplement dated December 3, 1992
(together, the "Giant PC Offering Circular"); and
- Freddie Mac's Information Statement dated March 19, 1992, its
Information Statement Supplements dated April 28, 1992, July 30, 1992,
November 13, 1992 and February 5, 1993 and any other Information
Statement Supplements published by Freddie Mac through the time of
purchase (collectively, the "Information Statement").
This Supplement incorporates by reference the PC Offering Circular, the
Giant PC Offering Circular and the Information Statement. Investors can order
those documents: from Freddie Mac, by writing or calling its Investor Inquiry
Department at 8200 Jones Branch Drive, McLean, Virginia 22102 (outside
Washington, D.C. metropolitan area, phone 800/336-FMPC; within Washington, D.C.
metropolitan area, phone 703/759-8160); or from the Underwriter, by writing or
calling its Prospectus Department at One MetroTech Center North, Brooklyn, New
York 11201-3859 (phone 212/272-1581).
Investors can obtain additional information regarding the PCs and Mortgages
from the sources described under "General Information - Additional Information"
in this Supplement.
S-2
SERIES 1483 TERMS SHEET
This terms sheet contains selected information for quick reference only. It
is not a summary of the transaction. Investors should refer to the remainder of
this Supplement for further information.
Class Coupons
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
Class Coupon Subject to
Initial --------------------------
Class Rate Class Coupon Minimum Rate Maximum Rate
- ------------------------- -------- ----------------------------------- ------------ ------------
<S> <C>
FA ..................... 4.0%(a) LIBOR + 0.65% 0.65% 9.5%
FB ..................... 4.0(b) LIBOR + 0.65% 0.65 9.5
FC(c).................... 4.5(d) One-Year Treasury Index + 0.75% 0.75 10.0
FD ..................... 3.625 LIBOR + 0.5% 0.5 10.0
SA ..................... 22.0(a) 35.4% - (LIBOR x 4) 0 35.4
SB ..................... 22.0(b) 35.4% - (LIBOR x 4) 0 35.4
SC(c).................... 7.0(d) 37% - (One-Year Treasury Index x 4) 0 7.0
SD ..................... 4.0 38% - (LIBOR x 4) 0 4.0
SE(c).................... 15.0(d) 30% - (One-Year Treasury Index x 4) 0 30.0
SF ..................... 21.5 34% - (LIBOR x 4) 0 34.0
SG(c).................... 22.0(d) 37% - (One-Year Treasury Index x 4) 0 37.0
</TABLE>
- -----------------------
(a) Rate in effect until March 15, 1994; Class Coupon adjusts monthly
thereafter.
(b) Rate in effect until March 15, 1994; the rate then becomes 5% for the FB
Class and 18% for the SB Class until March 15, 1995; Class Coupon
adjusts monthly thereafter.
(c) Delay Class.
(d) Rate in effect through the month of February 1994; Class Coupon adjusts
monthly thereafter.
See "Payments - Interest" in this Supplement.
Notional Classes
Notional Class Reduces With
- -------------- ---------------------------------------------------------
I H, VA, VB, VC and ZA (Accretion Directed and PAC Classes)
SA FA (PAC Class)
SB FB (PAC Class)
SE FC-1 (Scheduled Component)
SF FD (Scheduled Class)
See "Payments - Interest - Interest Only Classes" in this Supplement.
S-3
Allocation of Principal
- ZA Accrual Amount to VA, VB, VC and ZA, in that order
- ZB Accrual Amount to VD, VE, VF and ZB, in that order
- PC Principal Amount plus ZC Accrual Amount (the "Aggregate Principal
Amount") to:
1. Beginning February 15, 1995, PAC Classes to their Targeted Balances
(structured at 100%-300% PSA), allocated:
<TABLE>
<S> <C>
31.9149369468%: A 68.0850630532%: FA and FB, pro rata
36.1447729843%: B 63.8552270157%: FA and FB, pro rata
40.0000000000%: C 60.0000000000%: FA and FB, pro rata
46.1539063009%: D 53.8460936991%: FA and FB, pro rata
50.0000000000%: E and G, in that order 50.0000000000%: FA and FB, pro rata
93.7501029434%: H and ZA, pro rata 6.2498970566%: FA and FB, pro rata
(based on their then
outstanding balances)
100%: ZB
</TABLE>
2. Up to 60.8% of remainder of Aggregate Principal Amount to FC-1 and SC,
pro rata, to their Higher Targeted Balances (structured at 100% PSA)
3. FD and SD, pro rata, to their Higher Targeted Balances (structured at
125% PSA)
4. FC-1 and SC, pro rata, to their Lower Targeted Balances (structured at
200% PSA)
5. Beginning May 15, 2003, FC-2 and SG, pro rata, to their Targeted
Balances (structured at 200% PSA)
6. ZC until retired
7. FC-2 and SG, pro rata, until retired
8. FD and SD, pro rata, to their Lower Targeted Balances (structured at
300% PSA)
9. FC-1 and SC, pro rata, until retired
10. FD and SD, pro rata, until retired
11. PAC Classes as in step 1 until G is retired
12. 41.1773425791% to H, 52.5727603643% to VA, VB, VC and ZA, in that
order, and 6.2498970566% to FA and FB, pro rata, until retired
13. VD, VE, VF and ZB, in that order, until retired
See "Payments - Principal" in this Supplement.
S-4
Weighted Average Lives (in years)*
PSA Prepayment Assumption
------------------------------------------
0% 100% 200% 300% 500%
----- ----- ------ ------ ------
A ....................... 5.0 2.4 2.4 2.4 2.4
B ....................... 9.0 3.4 3.4 3.4 3.0
C ....................... 11.7 4.4 4.4 4.4 3.4
D ....................... 14.5 5.8 5.8 5.8 3.9
E ....................... 17.3 7.8 7.8 7.8 5.0
FA and FB................ 13.1 5.9 5.9 5.9 4.1
FC ...................... 22.8 12.1 4.0 3.0 1.6
FD and SD................ 21.7 9.6 3.5 2.3 2.0
G ....................... 19.4 10.5 10.5 10.5 6.5
H ....................... 20.8 14.5 14.5 14.5 9.0
SC ...................... 22.6 11.7 3.5 3.0 1.6
SG ...................... 25.4 17.9 10.6 2.4 1.1
VA ...................... 2.4 2.4 2.4 2.4 2.4
VB ...................... 7.9 7.9 7.9 7.9 7.0
VC ...................... 11.4 11.4 11.4 11.4 7.9
VD....................... 2.4 2.4 2.4 2.4 2.4
VE....................... 7.9 7.9 7.9 7.9 7.9
VF ...................... 15.0 15.0 15.0 15.0 12.0
ZA....................... 20.8 14.5 14.5 14.5 9.4
ZB ...................... 22.7 21.9 21.9 21.9 15.3
ZC ...................... 27.9 23.7 18.1 1.4 0.7
Underlying PCs........... 21.8 11.8 7.8 5.7 3.7
- -------------------
* Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any other
constant rate, and the actual weighted average lives of many Classes and
of the PCs are likely to differ from those shown, perhaps significantly.
Assumed Mortgage Characteristics (as of March 1, 1993)
Approximate
Weighted Average Approximate Approximate
Approximate Remaining Term Weighted Average Weighted Average
Principal to Maturity Loan Age Per Annum
Balance (in months) (in months) Interest Rate
- ------------ ---------------- ---------------- ----------------
$800,000,000 358 2 8.625%
The actual remaining terms to maturity, loan ages and interest rates of most
of the Mortgages will differ from the weighted averages shown above, perhaps
significantly. See "General Information - The Mortgages" in this Supplement.
S-5
<PAGE>
Annex 2(p)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated March 17, 1993
to
Offering Circular
dated January 1, 1993
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1504
<PAGE>
OFFERING CIRCULAR SUPPLEMENT (FREDDIE MAC LOGO)
(TO OFFERING CIRCULAR DATED JANUARY 1, 1993)
$500,100,000
FEDERAL HOME LOAN MORTGAGE CORPORATION
MULTICLASS MORTGAGE PARTICIPATION CERTIFICATES, SERIES 1504
------------------------------
The Federal Home Loan Mortgage Corporation ('Freddie Mac') is offering its
Multiclass Mortgage Participation Certificates, Series 1504 (the 'Multiclass
PCs'). The Multiclass PCs will consist of the various 'Classes' listed below.
The Classes will receive principal and interest payments, in differing
proportions and at differing times, from the cash flows provided by Freddie Mac
'Gold PCs' and 'Gold Giant PCs' with interest rates of 7% per annum. This
Supplement sometimes refers to the Gold PCs and Gold Giant PCs that will back
the Multiclass PCs as the 'PCs.' Underlying the PCs are pools of fixed-rate,
first lien, residential mortgages and mortgage participations (the 'Mortgages').
See 'General Information -- Structure of Transaction' in this Supplement.
Freddie Mac guarantees to each 'Holder' of a Multiclass PC (i) the timely
payment of interest at the applicable 'Class Coupon' and (ii) the payment of the
principal amount of the Holder's Multiclass PC as described in this Supplement.
Freddie Mac will make interest and principal payments on each monthly
'Payment Date,' beginning June 15, 1993, on the Classes entitled to such
payments. See 'Payments' in this Supplement.
This Series will involve the creation of an 'Upper-Tier REMIC Pool' and a
'Lower-Tier REMIC Pool.' Elections will be made to treat both REMIC Pools as
'real estate mortgage investment conduits' ('REMICs') pursuant to the Internal
Revenue Code. The R and RS Classes will be 'Residual Classes' and, for federal
income tax purposes, will be the residual interests in the Upper-Tier and
Lower-Tier REMIC Pools, respectively. The other Classes will be 'Regular
Classes' and, for federal income tax purposes, will be the regular interests in
the Upper-Tier REMIC Pool. The Residual Classes will be subject to transfer
restrictions. See 'Certain Federal Income Tax Consequences' in this Supplement
and in the Multiclass PC Offering Circular.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS
LISTED AT THE BOTTOM OF PAGE S-2.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE MULTICLASS PCS
ARE OBLIGATIONS OF FREDDIE MAC ONLY. THE MULTICLASS PCS, INCLUDING ANY INTEREST
THEREON, ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE MULTICLASS PCS HAS NO EXEMPTION
UNDER FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE MULTICLASS PCS ARE
EXEMPT FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
'EXEMPTED SECURITIES' WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ORIGINAL WEIGHTED
CLASS PRINCIPAL PRINCIPAL TYPE/ CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE LIFE
1504- AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) AT 170% PSA(4)
- --------------------- ------------ ---------------- ------ -------- ---------- ------------------ --------------
<S> <C>
A ................... $ 23,600,000 PAC II 7.00% FIX 312915TH4 July 15, 2022 3.4 Yrs
B ................... 17,100,000 PAC II 7.00 FIX 312915TJ0 December 15, 2022 11.9
E ................... 10,700,000 SUP 7.00 FIX 312915TK7 January 15, 2023 11.9
F ................... 26,250,000 CPT (5) FLT 312915TL5 May 15, 2023 21.8
FA .................. 35,000,000 SUP (5) FLT 312915TM3 October 15, 2022 3.4
FB .................. 5,200,000 SUP (5) FLT 312915TN1 October 15, 2022 3.4
PA .................. 36,700,000 PAC I 4.00 FIX 312915TP6 October 15, 2003 1.2
PB .................. 60,800,000 PAC I 5.00 FIX 312915TQ4 May 15, 2011 3.0
PC .................. 22,200,000 PAC I 5.50 FIX 312915TR2 February 15, 2013 4.4
PD .................. 55,100,000 PAC I 6.00 FIX 312915TS0 August 15, 2016 5.9
PE .................. 45,200,000 PAC I 6.25 FIX 312915TT8 November 15, 2018 7.9
PG .................. (6) NTL (PAC I) 7.00 FIX/IO 312915TU5 February 15, 2013 --
PH .................. (6) NTL (PAC I) 7.00 FIX/IO 312915TV3 August 15, 2021 --
PJ .................. 73,100,000 PAC I 6.50 FIX 312915TW1 August 15, 2021 10.9
PK .................. 9,300,000 AD/LIQ 7.00 FIX 312915TX9 May 15, 1998 2.6
PL .................. 15,100,000 AD 7.00 FIX 312915TY7 December 15, 2003 7.9
PM................... 10,700,000 AD 7.00 FIX 312915TZ4 November 15, 2006 12.1
S ................... 11,250,000 CPT (5) INV 312915UC3 May 15, 2023 21.8
SA .................. 15,000,000 SUP (5) INV 312915UD1 October 15, 2022 3.4
SB .................. 5,200,000 SUP (5) INV 312915UE9 October 15, 2022 3.4
Z ................... 22,500,000 PAC I 7.00 FIX/Z 312915UF6 May 15, 2023 18.1
R ................... 90,000 STP 7.00 FIX 312915UA7 May 15, 2023 8.6
RS .................. 10,000 STP 7.00 FIX 312915UB5 May 15, 2023 8.6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
</TABLE>
(1) Subject to proportionate increase as described under 'Increase in Size' in
this Supplement.
(2) See 'Description of Multiclass PCs -- Standard Definitions and Abbreviations
for Classes' on pages 7-9 of the Multiclass PC Offering Circular. The type
of Class with which the notional principal amount of a Notional Class will
be reduced is indicated in parentheses.
(3) Determined as described under 'Final Payment Dates' in this Supplement.
(4) Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 170% PSA or any
other constant rate, and the actual weighted average lives of many Classes
are likely to differ from those shown, perhaps significantly.
(5) The F, FB, S and SB Classes will bear interest based on 'COFI,' and the FA
and SA Classes will bear interest based on 'LIBOR,' as described under
'Payments -- Interest' in this Supplement.
(6) The PG and PH Classes will not receive principal payments, will have
original notional principal amounts of approximately $37,857,142 and
approximately $17,935,714, respectively, and will bear interest on their
notional principal amounts at their Class Coupons of 7% per annum. The
notional principal amounts of the PG and PH Classes will be reduced with
reductions in the principal amounts of certain Type I PAC Classes, as
described under 'Payments -- Interest -- Notional Classes' in this
Supplement.
The Multiclass PCs are offered by Goldman, Sachs & Co. (the 'Underwriter')
from time to time in negotiated transactions at varying prices to be determined
at the time of sale, plus accrued interest from May 1, 1993 on the Fixed Rate
Classes and from May 15, 1993 on the Floating Rate and Inverse Floating Rate
Classes. The Multiclass PCs are offered by the Underwriter, subject to sale by
Freddie Mac and receipt and acceptance by the Underwriter, and subject to the
Underwriter's right to reject any order in whole or in part. It is expected that
the Regular Classes (in book-entry form) will be available for deposit at any
Federal Reserve Bank, and that delivery of the Residual Classes (in certificated
form) will be made at the offices of the Underwriter, on or about May 28, 1993
(the 'Closing Date').
GOLDMAN, SACHS & CO.
OFFERING CIRCULAR SUPPLEMENT DATED MARCH 17, 1993
<PAGE>
MULTICLASS PCS ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS PCS OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND LIQUIDITY
RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE YIELD OF EACH CLASS WILL DEPEND UPON ITS PURCHASE PRICE, ITS
SENSITIVITY TO THE RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGES, THE ACTUAL
CHARACTERISTICS OF THE MORTGAGES AND, IN THE CASE OF EACH FLOATING RATE OR
INVERSE FLOATING RATE CLASS, ITS SENSITIVITY TO THE LEVEL OF COFI OR LIBOR
(EACH, AN 'INDEX'). THE MORTGAGES ARE SUBJECT TO PREPAYMENT AT ANY TIME WITHOUT
PENALTY. MORTGAGE PREPAYMENT RATES ARE LIKELY TO FLUCTUATE SIGNIFICANTLY FROM
TIME TO TIME, AS IS THE LEVEL OF EACH INDEX. INVESTORS SHOULD CONSIDER THE
ASSOCIATED RISKS, INCLUDING:
- FAST MORTGAGE PREPAYMENT RATES CAN REDUCE THE YIELDS OF CLASSES
PURCHASED AT A PREMIUM, ESPECIALLY THE PG AND PH CLASSES, WHICH ARE
INTEREST ONLY CLASSES. UNDER RAPID PREPAYMENT SCENARIOS, INVESTORS IN
THE INTEREST ONLY CLASSES COULD FAIL TO FULLY RECOVER THEIR
INVESTMENTS.
- SLOW MORTGAGE PREPAYMENT RATES CAN INCREASE THE WEIGHTED AVERAGE LIVES
AND, THUS, REDUCE THE YIELDS OF CLASSES PURCHASED AT A DISCOUNT.
- SMALL DIFFERENCES IN THE CHARACTERISTICS OF THE MORTGAGES CAN HAVE A
SIGNIFICANT EFFECT ON THE WEIGHTED AVERAGE LIVES AND YIELDS OF THE
CLASSES.
- LOW LEVELS OF THE APPLICABLE INDEX CAN REDUCE THE YIELDS OF THE
FLOATING RATE CLASSES. CONVERSELY, HIGH LEVELS OF THE APPLICABLE INDEX
CAN SIGNIFICANTLY REDUCE THE YIELDS OF THE INVERSE FLOATING RATE
CLASSES.
- IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SUPPORT AND COMPONENT
CLASSES ARE LIKELY TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE
PREPAYMENTS THAN ARE PRINCIPAL PAYMENT RATES ON THE ACCRETION
DIRECTED, PAC AND STRIP CLASSES.
SEE 'PREPAYMENT AND YIELD ANALYSIS' IN THIS SUPPLEMENT.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
MULTICLASS PCS AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO.
THERE IS NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT
DEVELOPS, THAT IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL
THEIR MULTICLASS PCS READILY OR AT PRICES THAT WILL ENABLE THEM TO REALIZE THEIR
DESIRED YIELD.
------------------------
Investors should purchase Multiclass PCs only if they have read and
understand this Supplement and the following documents:
- Freddie Mac's Multiclass Mortgage Participation Certificates Offering
Circular dated January 1, 1993 (the 'Multiclass PC Offering
Circular'), which is attached to this Supplement;
- Freddie Mac's Mortgage Participation Certificates Offering Circular
dated June 30, 1992 and its Mortgage Participation Certificates
Offering Circular Supplements dated August 3, 1992 and November 2,
1992 (collectively, the 'PC Offering Circular');
- Freddie Mac's Giant Mortgage Participation Certificates Offering
Circular dated December 23, 1991 and its Giant Mortgage Participation
Certificates Offering Circular Supplement dated December 3, 1992
(together, the 'Giant PC Offering Circular'); and
- Freddie Mac's Information Statement dated April 9, 1993 and any
Information Statement Supplements published by Freddie Mac through the
time of purchase (collectively, the 'Information Statement').
This Supplement incorporates by reference the PC Offering Circular, the
Giant PC Offering Circular and the Information Statement. Investors can order
those documents: from Freddie Mac, by writing or calling its Investor Inquiry
Department at 8200 Jones Branch Drive, McLean, Virginia 22102 (outside
Washington, D.C. metropolitan area, phone 800/336-FMPC; within Washington, D.C.
metropolitan area, phone 703/759-8160); or from the Underwriter, by writing or
calling their Registration Department at 85 Broad Street, New York, New York
10004 (phone 212/902-6685).
Investors can obtain additional information regarding the PCs and Mortgages
from the sources described under 'General Information -- Additional Information'
in this Supplement.
S-2
SERIES 1504 TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION FOR QUICK REFERENCE ONLY. IT
IS NOT A SUMMARY OF THE TRANSACTION. INVESTORS SHOULD REFER TO THE REMAINDER OF
THIS SUPPLEMENT FOR FURTHER INFORMATION.
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
----------------------------
CLASS INITIAL RATE CLASS COUPON MINIMUM RATE MAXIMUM RATE
------------------- ------------ ------------------------------- ------------ ------------
<S> <C>
F ................. 5.61% COFI + 1.25% 1.25% 10.0%
FA................. 4.2875 LIBOR + 1.10% 1.10 10.0
FB ................ 5.56 COFI + 1.20% 1.20 10.0
S ................. 10.24333 20.41666% - (COFI X 2.333333) 0 20.41666
SA................. 13.32916 20.76666% - (LIBOR X 2.333333) 0 20.76666
SB ................ 8.44 12.80% - COFI 4.00 12.8
</TABLE>
See 'Payments -- Interest' in this Supplement.
NOTIONAL CLASSES
NOTIONAL CLASS REDUCES WITH
- --------------- -----------------------------------
PG PA, PB and PC (Type I PAC Classes)
PH PD, PE and PJ (Type I PAC Classes)
See 'Payments -- Interest -- Notional Classes' in this Supplement.
ALLOCATION OF PRINCIPAL
- Accrual Amount to PK, PL, PM and Z, in that order
- 1/5001 of PC Principal Amount to R and RS, pro rata
- Remainder of PC Principal Amount to:
1. Type I PAC Classes to their Targeted Balances (structured at 95% -
240% PSA), allocated to PA, PB, PC, PD, PE, PJ and Z, in that order
2. Type II PAC Classes and Components to their Targeted Balances
(structured at 115% - 200% PSA), allocated:
A and B, in that order
F-1 and S-1, pro rata
3. FA, FB, SA and SB, pro rata, until retired
4. E until retired
5. F-2 and S-2, pro rata, until retired
6. Type II PAC Classes and Components as in step 2 until retired
7. PA, PB, PC, PD, PE, PJ, PK, PL, PM and Z, in that order, until
retired
See 'Payments -- Principal' in this Supplement.
S-3
WEIGHTED AVERAGE LIVES (IN YEARS)*
PSA PREPAYMENT ASSUMPTION
----------------------------------
0% 95% 170% 240% 450%
------ ------ ------ ------ ------
A ........................... 26.8 12.8 3.4 3.1 1.9
B ........................... 27.3 15.8 11.9 5.3 2.4
E ........................... 29.5 26.2 11.9 3.1 1.7
F and S....................... 28.9 25.2 21.8 5.4 2.2
FA, FB, SA and SB............. 28.7 21.4 3.4 1.8 1.0
PA ........................... 4.7 1.2 1.2 1.2 1.2
PB ........................... 12.0 3.0 3.0 3.0 2.8
PC ........................... 15.9 4.4 4.4 4.4 3.3
PD ........................... 18.4 5.9 5.9 5.9 3.9
PE ........................... 21.1 7.9 7.9 7.9 4.7
PJ ........................... 23.5 10.9 10.9 10.9 6.3
PK ........................... 2.6 2.6 2.6 2.6 2.6
PL ........................... 7.9 7.9 7.9 7.9 7.2
PM............................ 12.1 12.1 12.1 12.1 8.4
Z ........................... 25.7 18.1 18.1 18.1 11.6
R and RS...................... 21.3 11.9 8.6 6.7 4.1
Underlying PCs................ 21.3 11.9 8.6 6.7 4.1
-----------------------
* Determined as described under 'Prepayment and Yield Analysis' in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any
other constant rate, and the actual weighted average lives of many
Classes and of the PCs are likely to differ from those shown, perhaps
significantly.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF MAY 1, 1993)
APPROXIMATE
WEIGHTED AVERAGE APPROXIMATE APPROXIMATE
APPROXIMATE REMAINING TERM WEIGHTED AVERAGE WEIGHTED AVERAGE
PRINCIPAL TO MATURITY LOAN AGE PER ANNUM
BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE
- ------------- ---------------- ---------------- ----------------
$ 500,100,000 357 2 7.75 %
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages will differ from the weighted averages shown above,
perhaps significantly. See 'General Information -- The Mortgages' in this
Supplement.
S-4
<PAGE>
Annex 2(q)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated July 27, 1993
to
Offering Circular
dated January 1, 1993
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1578
<PAGE>
OFFERING CIRCULAR SUPPLEMENT (FREDDIE MAC LOGO)
(To Offering Circular Dated January 1, 1993)
$1,500,000,000
Federal Home Loan
Mortgage Corporation
MULTICLASS MORTGAGE PARTICIPATION CERTIFICATES, Series 1578
------------------------
The Federal Home Loan Mortgage Corporation ("Freddie Mac") is offering its
Multiclass Mortgage Participation Certificates, Series 1578 (the "Multiclass
PCs"). The Multiclass PCs will consist of the various "Classes" listed below.
The Classes will receive principal and interest payments, in differing
proportions and at differing times, from the cash flows provided by Freddie Mac
"Gold PCs" and "Gold Giant PCs" with interest rates of 7% per annum. This
Supplement sometimes refers to the Gold PCs and Gold Giant PCs that will back
the Multiclass PCs as the "PCs." Underlying the PCs are pools of fixed-rate,
first lien, residential mortgages and mortgage participations (the "Mortgages").
See "General Information -- Structure of Transaction" in this Supplement.
Freddie Mac guarantees to each "Holder" of a Multiclass PC (i) the timely
payment of interest at the applicable "Class Coupon" and (ii) the payment of the
principal amount of the Holder's Multiclass PC as described in this Supplement.
Freddie Mac will make interest and principal payments on each monthly
"Payment Date," beginning October 15, 1993, on the Classes entitled to such
payments. See "Payments" in this Supplement.
This Series will involve the creation of an "Upper-Tier REMIC Pool" and a
"Lower-Tier REMIC Pool." Elections will be made to treat both REMIC Pools as
"real estate mortgage investment conduits" ("REMICs") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and, for federal
income tax purposes, will be the residual interests in the Upper-Tier and
Lower-Tier REMIC Pools, respectively. The other Classes will be "Regular
Classes" and, for federal income tax purposes, will be the regular interests in
the Upper-Tier REMIC Pool. The Residual Classes will be subject to transfer
restrictions. See "Certain Federal Income Tax Consequences" in this Supplement
and in the Multiclass PC Offering Circular.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS
LISTED AT THE BOTTOM OF PAGE S-2.
------------------------
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE MULTICLASS PCS ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE MULTICLASS PCS, INCLUDING ANY
INTEREST THEREON, ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT
CONSTITUTE DEBTS OR OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR
INSTRUMENTALITY OF THE UNITED STATES OTHER THAN FREDDIE MAC.
INCOME ON THE MULTICLASS PCS HAS NO EXEMPTION UNDER FEDERAL LAW
FROM FEDERAL, STATE OR LOCAL TAXATION. THE MULTICLASS PCS ARE
EXEMPT FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT
OF 1933 AND ARE "EXEMPTED SECURITIES" WITHIN THE MEANING OF
THE SECURITIES EXCHANGE ACT OF 1934.
------------------------
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE
ORIGINAL LIFE AT
CLASS PRINCIPAL PRINCIPAL CLASS INTEREST CUSIP FINAL PAYMENT 200%
1578- AMOUNT(1) TYPE(2) COUPON TYPE(2) NUMBER DATE(3) PSA(4)
- --------- ------------ ------------- ------ ------ --------- ------------------ --------
<S> <C>
A .... $131,370,000 PAC I 5.00% FIX 3133T0H23 September 15, 2005 1.5 Yrs
B .... 28,944,000 PAC I 5.00 FIX 3133T0H31 February 15, 2007 2.4
C .... 164,112,000 PAC I 5.50 FIX 3133T0H49 November 15, 2012 3.4
D .... 31,227,000 PAC I 5.75 FIX 3133T0H56 September 15, 2013 4.5
E .... 203,211,000 PAC I 6.00 FIX 3133T0H64 November 15, 2017 5.8
F .... 29,234,800 TAC (5) FLT 3133T0H72 September 15, 2023 2.2
FC .... 25,103,400 TAC (5) FLT 3133T0H80 September 15, 2023 2.2
FE .... 43,876,700 PAC I (5) FLT 3133T0H98 July 15, 2022 10.9
FG .... 77,525,368 PAC III (5) FLT 3133T0J21 September 15, 2023 3.3
FK .... 43,989,600 PAC II (5) FLT 3133T0J39 December 15, 2022 3.4
G .... 129,651,000 PAC I 6.35 FIX 3133T0J47 November 15, 2019 7.9
H .... 151,328,000 PAC I 6.65 FIX 3133T0J54 July 15, 2022 10.9
J .... 47,157,000 PAC I 6.90 FIX 3133T0J62 January 15, 2023 14.9
K .... 72,213,000 PAC I 6.90 FIX 3133T0J70 September 15, 2023 20.0
L .... 25,000,000 PAC II 7.00 FIX 3133T0J88 December 15, 2022 3.4
M .... 49,587,000 PAC II 7.00 FIX 3133T0J96 May 15, 2023 12.5
N .... 43,635,000 PAC II 7.00 FIX 3133T0K29 September 15, 2023 21.2
O .... $ 6,000,000 PAC III 7.00% FIX 3133T0K37 September 15, 2023 3.3
P .... 20,000 TAC 7.00 FIX 3133T0K45 September 15, 2023 2.2
S .... 5,074,326 TAC (5) INV 3133T0K52 September 15, 2023 2.2
SA .... 7,454,874 TAC (5) INV 3133T0K60 September 15, 2023 2.2
SC .... 10,758,600 TAC (5) INV 3133T0K78 September 15, 2023 2.2
SD .... (6) NTL (TAC) (5) INV/IO 3133T0K86 September 15, 2023 --
SE .... 22,103,300 PAC I (5) INV 3133T0K94 July 15, 2022 10.9
SG .... (6) NTL (PAC III) (5) INV/IO 3133T0L28 September 15, 2023 --
SH .... 7,293,327 PAC III (5) INV 3133T0L36 September 15, 2023 3.3
SJ .... 20,394,305 PAC III (5) INV 3133T0L44 September 15, 2023 3.3
SK .... 6,873,400 PAC II (5) INV 3133T0L51 December 15, 2022 3.4
T .... 50,863,000 PAC II 6.00 FIX 3133T0L69 December 15, 2022 3.4
U .... (6) NTL (PAC I) 7.00 FIX/IO 3133T0L77 November 15, 2017 --
V .... (6) NTL (PAC I) 7.00 FIX/IO 3133T0L85 September 15, 2023 --
Z .... 66,000,000 SUP 7.00 FIX/Z 3133T0L93 September 15, 2023 15.8
R .... 0 NPR 0 NPR 3133T0M27 September 15, 2023 --
RS .... 0 NPR 0 NPR 3133T0M35 September 15, 2023 --
</TABLE>
- ---------------
(1) Subject to proportionate increase as described under "Increase in Size" in
this Supplement.
(2) See "Description of Multiclass PCs -- Standard Definitions and Abbreviations
for Classes" on pages 7-9 of the Multiclass PC Offering Circular. The type
of Class with which the notional principal amount of a Notional Class will
be reduced is indicated in parentheses.
(3) Determined as described under "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 200% PSA or any
other constant rate, and the actual weighted average lives of many Classes
are likely to differ from those shown, perhaps significantly.
(5) The F, FC, FG, FK, S, SA, SC, SD, SG, SH, SJ and SK Classes will bear
interest based on "LIBOR" and the FE and SE Classes will bear interest based
on the "Ten-Year Treasury Index" as described under "Payments -- Interest"
in this Supplement.
(6) The Notional Classes will not receive principal payments, will bear interest
as described in this Supplement and will have original notional principal
amounts of $5,123,143 (SD), $9,564,818 (SG), $115,577,250 (U) and
approximately $24,609,707 (V). The notional principal amounts of the
Notional Classes will be reduced with reductions in the principal amounts of
certain PAC and TAC Classes. See "Payments -- Interest" in this Supplement.
------------------------
The Multiclass PCs are offered by Morgan Stanley & Co. Incorporated (the
"Underwriter") to the public from time to time in negotiated transactions at
varying prices to be determined, in each case, at the time of sale, plus accrued
interest from September 1, 1993 on the Fixed Rate Classes and from September 15,
1993 on the Floating Rate and Inverse Floating Rate Classes. The Multiclass PCs
are offered by the Underwriter when, as and if issued, subject to delivery by
Freddie Mac and acceptance by the Underwriter, to prior sale and to withdrawal,
cancellation or modification of the offer without notice. It is expected that
the Regular Classes (in book-entry form) will be available for deposit at any
Federal Reserve Bank, and that delivery of the Residual Classes (in certificated
form) will be made at the offices of the Underwriter, on or about September 30,
1993 (the "Closing Date").
------------------------
MORGAN STANLEY & CO.
Incorporated
July 27, 1993
<PAGE>
MULTICLASS PCS ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS PCS OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND LIQUIDITY
RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE YIELD OF EACH CLASS WILL DEPEND UPON ITS PURCHASE PRICE, ITS
SENSITIVITY TO THE RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGES, THE ACTUAL
CHARACTERISTICS OF THE MORTGAGES AND, IN THE CASE OF EACH FLOATING RATE OR
INVERSE FLOATING RATE CLASS, ITS SENSITIVITY TO THE LEVEL OF LIBOR OR THE
TEN-YEAR TREASURY INDEX (EACH, AN "INDEX"). THE MORTGAGES ARE SUBJECT TO
PREPAYMENT AT ANY TIME WITHOUT PENALTY. MORTGAGE PREPAYMENT RATES ARE LIKELY TO
FLUCTUATE SIGNIFICANTLY FROM TIME TO TIME, AS IS THE LEVEL OF EACH INDEX.
INVESTORS SHOULD CONSIDER THE ASSOCIATED RISKS, INCLUDING:
. FAST MORTGAGE PREPAYMENT RATES CAN REDUCE THE YIELDS OF CLASSES
PURCHASED AT A PREMIUM, ESPECIALLY THE SD, SG, U AND V CLASSES, WHICH
ARE INTEREST ONLY CLASSES, AND THE SK CLASS. UNDER CERTAIN PREPAYMENT
SCENARIOS, INVESTORS IN THE INTEREST ONLY AND SK CLASSES COULD FAIL TO
FULLY RECOVER THEIR INVESTMENTS.
. SLOW MORTGAGE PREPAYMENT RATES CAN INCREASE THE WEIGHTED AVERAGE
LIVES AND, THUS, REDUCE THE YIELDS OF CLASSES PURCHASED AT A
DISCOUNT.
. SMALL DIFFERENCES IN THE CHARACTERISTICS OF THE MORTGAGES CAN HAVE A
SIGNIFICANT EFFECT ON THE WEIGHTED AVERAGE LIVES AND YIELDS OF THE
CLASSES.
. LOW LEVELS OF THE APPLICABLE INDEX CAN REDUCE THE YIELDS OF THE
FLOATING RATE CLASSES. CONVERSELY, HIGH LEVELS OF THE APPLICABLE INDEX
CAN SIGNIFICANTLY REDUCE THE YIELDS OF THE INVERSE FLOATING RATE
CLASSES AND (ESPECIALLY IN COMBINATION WITH FAST MORTGAGE PREPAYMENT
RATES) MAY RESULT IN THE FAILURE OF INVESTORS IN THE SD, SG AND SK
CLASSES TO FULLY RECOVER THEIR INVESTMENTS.
. IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SUPPORT CLASSES ARE LIKELY
TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS THAN ARE
PRINCIPAL PAYMENT RATES ON THE PAC AND TAC CLASSES.
. IN GENERAL, PRINCIPAL PAYMENT RATES ON THE TAC CLASSES ARE LIKELY TO
EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS THAN ARE
PRINCIPAL PAYMENT RATES ON THE PAC CLASSES.
SEE "PREPAYMENT AND YIELD ANALYSIS" IN THIS SUPPLEMENT.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
MULTICLASS PCS AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO.
THERE IS NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT
DEVELOPS, THAT IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO
SELL THEIR MULTICLASS PCS READILY OR AT PRICES THAT WILL ENABLE THEM TO
REALIZE THEIR DESIRED YIELD.
------------------------
Investors should purchase Multiclass PCs only if they have read and
understand this Supplement and the following documents:
. Freddie Mac's Multiclass Mortgage Participation Certificates
Offering Circular dated January 1, 1993 (the "Multiclass PC Offering
Circular"), which is attached to this Supplement;
. Freddie Mac's Mortgage Participation Certificates Offering Circular
dated June 30, 1992 and its Mortgage Participation Certificates
Offering Circular Supplements dated August 3, 1992, November 2, 1992,
April 30, 1993 and August 17, 1993 (collectively, the "PC Offering
Circular");
. Freddie Mac's Giant Mortgage Participation Certificates Offering
Circular dated December 23, 1991 and its Giant Mortgage
Participation Certificates Offering Circular Supplement dated
December 3, 1992 (together, the "Giant PC Offering Circular"); and
. Freddie Mac's Information Statement dated April 9, 1993, its
Information Statement Supplements dated April 30, 1993 and August 2,
1993 and any other Information Statement Supplements published by
Freddie Mac through the time of purchase (collectively, the
"Information Statement").
This Supplement incorporates by reference the PC Offering Circular, the
Giant PC Offering Circular and the Information Statement. Investors can order
those documents: from Freddie Mac, by writing or calling its Investor Inquiry
Department at 8200 Jones Branch Drive, McLean, Virginia 22102 (outside
Washington, D.C. metropolitan area, phone 800/336-FMPC; within Washington, D.C.
metropolitan area, phone 703/759-8160); or from the Underwriter, by writing or
calling its Prospectus Department at 1251 Avenue of the Americas, New York, New
York 10020 (phone 212/703-7630).
Investors can obtain additional information regarding the PCs and Mortgages
from the sources described under "General Information -- Additional Information"
in this Supplement.
S-2
<PAGE>
SERIES 1578 TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION FOR QUICK REFERENCE ONLY.
IT IS NOT A SUMMARY OF THE TRANSACTION. INVESTORS SHOULD REFER TO THE
REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
-----------------------------
CLASS INITIAL RATE CLASS COUPON MINIMUM RATE MAXIMUM RATE
- -------------------- ---------------- ---------------------------------------------------------- ------------- --------------
<S> <C>
F and FC............ 4.0375% LIBOR + 0.85% 0.85% 10.0%
FE ......... 5.06 Ten-Year Treasury Index - 0.7% 0 10.0
FG ......... 4.0875 LIBOR + 0.9% 0.9 9.5
FK ......... 3.6375 LIBOR + 0.45% 0.45 9.25
S ......... 9.50617284 52.71604939% - (LIBOR x 5.761316873) 0 9.50617284
SA ......... 16.9117647014 29.4117647% - (LIBOR x 3.921568627) 0 29.4117647
SC ......... 11.07321428 16.99285714% - (LIBOR x 1.857142857) 0 16.99285714
SD ......... 5.9625 9.15% - LIBOR 0 9.15
SE ......... 9.80626866 21.24029851% - (Ten-Year Treasury Index x 1.985074626) 0 19.85074627
SG ......... 5.4125 8.6% - LIBOR 0 8.6
SH ......... 10.25 80.13636263% - (LIBOR x 9.318181684) 0 10.25
SJ ......... 14.370672 24.99247372% - (LIBOR x 3.332329931) 0 24.99247372
SK ......... 35.9198984486 56.31982425% - (LIBOR x 6.399976722) 0.000029 56.31982425
</TABLE>
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
NOTIONAL CLASS REDUCES WITH
- -------------- ---------------------------------------------------
SD FC (TAC Class)
SG FG (Type III PAC Class)
U A, B, C, D and E (Type I PAC Classes)
V FE, G, H, J, K and SE (Type I PAC Classes)
See "Payments -- Interest -- Notional Classes" in this Supplement.
ALLOCATION OF PRINCIPAL
1. Beginning March 15, 1994, Type I PAC Classes to their Targeted Balances
(structured at 95% - 275% PSA), allocated:
A, B, C, D, E and G, in that order
FE, H and SE, pro rata
J and K, in that order
2. Type II PAC Classes to their Targeted Balances (structured at 125% -
230% PSA), allocated:
FK, L, SK and T, pro rata
M and N, in that order
3. Type III PAC Classes (FG, O, SH and SJ), pro rata, to their Targeted
Balances (structured at 160% - 230% PSA)
4. TAC Classes (F, FC, P, S, SA and SC), pro rata, to their Targeted
Balances (to be structured at 200% PSA)
5. Z until retired
6. TAC Classes as in step 4 until retired
S-3
<PAGE>
7. Type III PAC Classes as in step 3 until retired
8. Type II PAC Classes as in step 2 until retired
9. Type I PAC Classes as in step 1 until retired
See "Payments -- Principal" in this Supplement.
WEIGHTED AVERAGE LIVES (IN YEARS)*
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 95% 200% 275% 500%
----- ----- ----- ----- -----
A .............................. 4.2 1.5 1.5 1.5 1.5
B .............................. 7.9 2.4 2.4 2.4 2.4
C .............................. 11.0 3.4 3.4 3.4 2.9
D .............................. 13.5 4.5 4.5 4.5 3.3
E .............................. 15.9 5.8 5.8 5.8 3.8
F, FC, P, S, SA and SC......... 26.4 18.4 2.2 2.0 1.2
FE, H and SE................... 20.9 10.9 10.9 10.9 6.4
FG, O, SH and SJ............... 25.6 16.0 3.3 2.6 1.6
FK, L, SK and T................ 22.8 10.3 3.4 2.8 1.7
G .............................. 18.7 7.9 7.9 7.9 4.7
J .............................. 22.4 14.9 14.9 14.9 8.6
K .............................. 23.4 20.0 20.0 20.0 11.9
M .............................. 24.6 14.2 12.5 5.0 2.4
N .............................. 25.4 21.2 21.2 6.3 2.6
Z .............................. 28.4 24.4 15.8 1.5 0.6
Underlying PCs................. 21.3 11.9 7.7 6.1 3.8
-------------------------------
* Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any
other constant rate, and the actual weighted average lives of many
Classes and of the PCs are likely to differ from those shown, perhaps
significantly.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF SEPTEMBER 1, 1993)
<TABLE>
<CAPTION>
APPROXIMATE
WEIGHTED AVERAGE APPROXIMATE APPROXIMATE
REMAINING TERM WEIGHTED AVERAGE WEIGHTED AVERAGE
APPROXIMATE TO MATURITY LOAN AGE PER ANNUM
PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE
- ------------------ ----------------------- ----------------------- -------------------
<S> <C>
$ 300,000,000 359 0 7.65%
600,000,000 358 1 7.65
300,000,000 357 2 7.65
300,000,000 356 3 7.65
- ------------------
$ 1,500,000,000 358* 1*
- ------------------
- ------------------
</TABLE>
---------------------------------
* Weighted average by principal balance.
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages will differ from the weighted averages shown above,
perhaps significantly. See "General Information -- The Mortgages" in this
Supplement.
S-4
<PAGE>
<PAGE>
Annex 2(r)
Cover Page and Terms Sheet
for
Offering Circular Supplement
dated August 10, 1993
to
Offering Circular
dated August 1, 1993
relating to
Federal Home Loan Mortgage Corporation
Multiclass Mortgage Participation Certificates, Series 1585
-------------
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED AUGUST 1, 1993)
Freddie
Mac
$651,000,000
-------------
-------------
-------------
-------------
FEDERAL HOME LOAN MORTGAGE CORPORATION
MULTICLASS MORTGAGE PARTICIPATION CERTIFICATES, SERIES 1585
The Federal Home Loan Mortgage Corporation ("Freddie Mac") is offering its
Multiclass Mortgage Participation Certificates of the above Series (the
"Multiclass PCs"). The Multiclass PCs will consist of the various "Classes"
listed below. The Classes will receive principal and interest payments, in
differing proportions and at differing times, from the cash flows provided by
Freddie Mac "Gold PCs" and "Gold Giant PCs" with interest rates of 6.5% per
annum (the "PCs"). Underlying the PCs are pools of fixed-rate, first lien,
residential mortgages and mortgage participations (the "Mortgages"). See
"General Information -- Structure of Transaction" in this Supplement.
Freddie Mac guarantees to each "Holder" of a Multiclass PC (i) the timely
payment of interest at the applicable "Class Coupon" and (ii) the payment of the
principal amount of the Holder's Multiclass PC as described in this Supplement.
Freddie Mac will make interest and principal payments on each monthly
"Payment Date," beginning October 15, 1993, on the Classes entitled to such
payments. See "Payments" in this Supplement.
This Series will involve the creation of an "Upper-Tier REMIC Pool" and a
"Lower-Tier REMIC Pool." Elections will be made to treat both REMIC Pools as
"real estate mortgage investment conduits" ("REMICs") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes will be "Regular Classes." The Residual Classes will be subject to
transfer restrictions. See "Certain Federal Income Tax Consequences" in this
Supplement and in the Multiclass PC Offering Circular.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS
LISTED AT THE BOTTOM OF PAGE S-2.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE MULTICLASS PCS
ARE OBLIGATIONS OF FREDDIE MAC ONLY. THE MULTICLASS PCS, INCLUDING ANY INTEREST
THEREON, ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE MULTICLASS PCS HAS NO EXEMPTION
UNDER FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE MULTICLASS PCS ARE
EXEMPT FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WEIGHTED
PRINCIPAL AVERAGE
ORIGINAL OR LIFE AT
PRINCIPAL OTHER CLASS INTEREST CUSIP FINAL PAYMENT 185%
CLASS AMOUNT (1) TYPE (2) COUPON TYPE (2) NUMBER DATE (3) PSA (4)
- -------------------- --------- --------- ----------- --------- ------------------------------- -------------- ----------
<S> <C>
A ......... $18,081,983 PAC 4.00% FIX 3133T0S88 August 15, 2002 1.1Yrs
B ......... 22,064,825 PAC 4.25 FIX 3133T0S96 February 15, 2008 2.5
C ......... 14,973,663 PAC 4.50 FIX 3133T0T20 August 15, 2010 3.5
D ......... 28,785,847 PAC 5.50 FIX 3133T0T38 June 15, 2013 4.5
E ......... 43,237,158 PAC 5.75 FIX 3133T0T46 June 15, 2016 6.0
F ......... 52,490,824 PAC 6.00 FIX 3133T0T53 January 15, 2019 8.0
G ......... 71,394,832 PAC 6.00 FIX 3133T0T61 October 15, 2010 11.0
H ......... 123,977,338 PAC (5) FLT 3133T0T79 October 15, 2021 4.9
I ......... 123,977,338 NTL(PAC) (5) INV/IO 3133T0T87 October 15, 2021 --
J ......... 40,319,330 PAC 6.50 FIX 3133T0T95 October 15, 2022 15.0
K ......... 39,428,215 PAC 6.50 FIX 3133T0U28 September 15, 2023 21.1
L ......... 10,000,000 SCH 6.50 FIX 3133T0U36 July 15, 2023 3.5
LA ......... 34,561,404 CPT/SCH 6.15 FIX 3133T0U44 September 15, 2023 3.9
LB ......... $4,838,596 CPT/SCH (5) FLT 3133T0U51 September 15, 2023 3.9 Yrs
LC ......... 4,838,596 NTL(SCH) (5) INV/IO 3133T0U69 September 15, 2023 --
MA ......... 15,860,778 SCH (5) FLT 3133T0U77 September 15, 2023 3.5
MB ......... 4,307,341 SCH (5) INV 3133T0U85 September 15, 2023 3.5
MC ......... 1,792,959 SCH (5) INV 3133T0U93 September 15, 2023 3.5
NA ......... 30,150,256 CPT/SCH (5) FLT 3133T0V27 September 15, 2023 2.9
NB ......... 11,596,253 CPT/SCH (5) INV 3133T0V35 September 15, 2023 2.9
O ......... 40,029,599 SUP (5) FLT/DLY 3133T0V43 September 15, 2023 13.4
PH ......... 4,639,783 SUP (5) INV/DLY 3133T0V50 September 15, 2023 13.4
PL ......... 26,000,000 SUP (5) INV/DLY 3133T0V68 September 15, 2023 13.4
PM ......... 12,469,016 SUP (5) INV/DLY 3133T0V76 September 15, 2023 13.4
R ......... 0 NPR 0.00 NPR 3133T0V84 September 15, 2023 --
RS ......... 0 NPR 0.00 NPR 3133T0V92 September 15, 2023 --
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
(1) Subject to proportionate increase as described under "Increase in Size" in
this Supplement. The amount shown for a Notional Class is its original
notional principal amount and does not represent principal that will be
paid; see "Payments -- Interest" in this Supplement.
(2) See "Description of Multiclass PCs -- Standard Definitions and Abbreviations
for Classes" in the Multiclass PC Offering Circular. The type of Class with
which the notional principal amount of a Notional Class will be reduced is
indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the assumed rate of 185% PSA or any
other constant rate, and the actual weighted average lives of any or all of
the Classes are likely to differ from those shown, perhaps significantly.
(5) The Floating Rate and Inverse Floating Rate Classes will bear interest as
described under "Terms Sheet -- Class Coupons" in this Supplement.
The Multiclass PCs are offered by Kidder, Peabody & Co. Incorporated (the
"Underwriter") from time to time in negotiated transactions at varying prices to
be determined at the time of sale, plus accrued interest from September 1, 1993
on the Fixed Rate and Delay Classes and from September 15, 1993 on the Floating
Rate and Inverse Floating Rate Classes other than the Delay Classes (the
"Non-Delay Classes"). The Multiclass PCs are offered by the Underwriter when, as
and if issued, subject to delivery by Freddie Mac and acceptance by the
Underwriter, to prior sale and to withdrawal, cancellation or modification of
the offer without notice. It is expected that the Regular Classes (in book-entry
form) will be available for deposit at any Federal Reserve Bank, and that
delivery of the Residual Classes (in certificated form) will be made at the
offices of the Underwriter, New York, New York, on or about September 30, 1993
(the "Closing Date").
KIDDER, PEABODY & CO.
INCORPORATED
OFFERING CIRCULAR SUPPLEMENT DATED AUGUST 10, 1993
PAGE 2
MULTICLASS PCS ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE MULTICLASS PCS OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD AND LIQUIDITY
RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE YIELD OF EACH CLASS WILL DEPEND UPON ITS PURCHASE PRICE, ITS
SENSITIVITY TO THE RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGES AND THE ACTUAL
CHARACTERISTICS OF THE MORTGAGES. IN ADDITION, THE YIELD OF EACH FLOATING RATE
OR INVERSE FLOATING RATE CLASS WILL DEPEND UPON ITS SENSITIVITY TO THE LEVEL OF
LIBOR OR COFI (EACH, AN "INDEX"). THE MORTGAGES ARE SUBJECT TO PREPAYMENT AT ANY
TIME WITHOUT PENALTY. MORTGAGE PREPAYMENT RATES ARE LIKELY TO FLUCTUATE
SIGNIFICANTLY FROM TIME TO TIME, AS IS THE LEVEL OF EITHER INDEX. INVESTORS
SHOULD CONSIDER THE ASSOCIATED RISKS, INCLUDING:
. FAST MORTGAGE PREPAYMENT RATES CAN REDUCE THE YIELDS OF THE INTEREST
ONLY CLASSES AND OF ANY OTHER CLASSES PURCHASED AT A PREMIUM OVER
THEIR PRINCIPAL AMOUNTS. UNDER SOME PREPAYMENT SCENARIOS, INVESTORS IN
THE INTEREST ONLY CLASSES COULD FAIL TO FULLY RECOVER THEIR
INVESTMENTS.
. SLOW MORTGAGE PREPAYMENT RATES CAN REDUCE THE YIELDS OF CLASSES
PURCHASED AT A DISCOUNT TO THEIR PRINCIPAL AMOUNTS.
. SMALL DIFFERENCES IN THE CHARACTERISTICS OF THE MORTGAGES CAN HAVE A
SIGNIFICANT EFFECT ON THE WEIGHTED AVERAGE LIVES AND YIELDS OF THE
CLASSES.
. LOW LEVELS OF THE APPLICABLE INDEX CAN REDUCE THE YIELDS OF THE
FLOATING RATE CLASSES. CONVERSELY, HIGH LEVELS OF THE APPLICABLE INDEX
CAN SIGNIFICANTLY REDUCE THE YIELDS OF THE INVERSE FLOATING RATE
CLASSES AND (ESPECIALLY IN COMBINATION WITH FAST MORTGAGE PREPAYMENT
RATES) MAY RESULT IN THE FAILURE OF INVESTORS IN THE I AND LC CLASSES
TO FULLY RECOVER THEIR INVESTMENTS.
. IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SUPPORT CLASSES ARE LIKELY
TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS THAN ARE
PRINCIPAL PAYMENT RATES ON THE PAC AND SCHEDULED CLASSES.
. IN GENERAL, PRINCIPAL PAYMENT RATES ON THE SCHEDULED CLASSES ARE
LIKELY TO EXHIBIT A HIGHER SENSITIVITY TO MORTGAGE PREPAYMENTS THAN
ARE PRINCIPAL PAYMENT RATES ON THE PAC CLASSES.
SEE "PREPAYMENT AND YIELD ANALYSIS" IN THIS SUPPLEMENT.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
MULTICLASS PCS AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO.
THERE IS NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT
DEVELOPS, THAT IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO
SELL THEIR MULTICLASS PCS READILY OR AT PRICES THAT WILL ENABLE THEM TO
REALIZE THEIR DESIRED YIELD.
------------------------
Investors should purchase Multiclass PCs only if they have read and
understand this Supplement and the following documents:
. Freddie Mac's Multiclass Mortgage Participation Certificates
Offering Circular dated August 1, 1993 (the "Multiclass PC Offering
Circular"), which is attached to this Supplement;
. Freddie Mac's Mortgage Participation Certificates Offering Circular
dated June 30, 1992 and its Mortgage Participation Certificates
Offering Circular Supplements dated August 3, 1992, November 2, 1992,
April 30, 1993 and August 17, 1993 (collectively, the "PC Offering
Circular");
. Freddie Mac's Giant Mortgage Participation Certificates Offering
Circular dated December 23, 1991 and its Giant Mortgage
Participation Certificates Offering Circular Supplement dated
December 3, 1992 (together, the "Giant PC Offering Circular"); and
. Freddie Mac's Information Statement dated April 9, 1993, its
Information Statement Supplements dated April 30, 1993 and August 2,
1993 and any other Information Statement Supplements published by
Freddie Mac through the time of purchase (collectively, the
"Information Statement").
This Supplement incorporates by reference the PC Offering Circular, the
Giant PC Offering Circular and the Information Statement. Investors can order
those documents: from Freddie Mac, by writing or calling its Investor Inquiry
Department at 8200 Jones Branch Drive, McLean, Virginia 22102 (outside
Washington, D.C. metropolitan area, phone 800/336-FMPC; within Washington, D.C.
metropolitan area, phone 703/759-8160); or from the Underwriter, by writing or
calling its Prospectus Department at 60 Broad Street, 6th Floor, New York, New
York 10004 (phone 212/656-1584).
Investors can obtain additional information regarding the PCs and Mortgages
from the sources described under "General Information -- Additional Information"
in this Supplement.
S-2
PAGE 3
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION FOR QUICK REFERENCE ONLY.
IT IS NOT A SUMMARY OF THE TRANSACTION. INVESTORS SHOULD REFER TO THE
REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------------
CLASS RATE(1) CLASS COUPON MINIMUM RATE MAXIMUM RATE
- -------------------- ------------- --------------------------------------------- ----------------- --------------
<S> <C>
H ......... 3.575% LIBOR +0.45% 0.45% 8.5%
I ......... 4.925 8.05% - LIBOR 0 8.05
LB ......... 3.6875 LIBOR + 0.5% 0.5 9.0
LC ......... 5.3125 8.5% - LIBOR 0 8.5
MA ......... 3.825 LIBOR + 0.7% 0.7 9.0
MB ......... 14.268776 25.77586% - (LIBOR x 3.6822666) 0 25.77586
MC ......... 11.5 73.42302% - (LIBOR x 8.8461465) 0 11.5
NA ......... 4.85 COFI + 0.8% 0.8 9.0
NB ......... 10.79 21.319999% - (COFI x 2.6) 0 21.319999
O(2) ......... 0 (LIBOR x 4.2) - 13.8% 0 13.5
PH(2) ......... 15.5 31.34445516% - (LIBOR x 4.8222387) 0 15.5
PL(2) ......... 11.53571 23.32777772% - (LIBOR x 3.58888888) 0 11.53571
PM(2) ......... 13.517855 27.33611644% - (LIBOR x 4.20556335) 0 13.517855
</TABLE>
-------------------
(1) Initial Rate will be in effect during first "Accrual Period;" Class
Coupon will adjust monthly thereafter.
(2) Delay Class.
See "Payments -- Interest" in this Supplement and "Description of Multiclass PCs
- -- Interest Rate Indices" in the Multiclass PC Offering Circular.
NOTIONAL CLASSES
NOTIONAL CLASS REDUCES WITH
-------------- -------------------------------
I H (PAC Class)
LC LB (Scheduled Class)
See "Payments -- Interest -- Notional Classes" in this Supplement.
COMPONENTS
ORIGINAL PRINCIPAL
DESIGNATION PRINCIPAL AMOUNT TYPE*
- --------------------------------- ----------------- -----------
LA-1 ...................... $ 31,468,422 SCH
LA-2 ...................... 3,092,982 SCH
-----------------
$ 34,561,404
-----------------
-----------------
LB-1 ...................... $ 4,405,579 SCH
LB-2 ...................... 433,017 SCH
-----------------
$ 4,838,596
-----------------
-----------------
NA-1 ...................... $ 26,189,752 TAC
NA-2 ...................... 3,960,504 SCH
-----------------
$ 30,150,256
-----------------
-----------------
NB-1 ...................... $ 10,072,982 TAC
NB-2 ...................... 1,523,271 SCH
-----------------
$ 11,596,253
-----------------
-----------------
-----------------------------
* See "Description of Multiclass PCs -- Standard Definitions and
Abbreviations for Classes" in the Multiclass PC Offering
Circular.
See "Payments -- Principal -- Component Classes" in this Supplement.
S-3
PAGE 4
ALLOCATION OF PRINCIPAL
1. PAC Classes to their Targeted Balances (structured at 90% - 235% PSA),
allocated:
44.4444451664%: A 55.5555548336%: H
47.0588242579%: B 52.9411757421%: H
50.0000007310%: C 49.9999992690%: H
66.6666673164%: D 33.3333326836%: H
72.7272733072%: E 27.2727266928%: H
80.0000004678%: F and G, in that order 19.9999995322%: H
100%: J and K, in that order
2. Scheduled Class and Components (L, LA-1, LA-2, LB-1, LB-2, NA-2 and
NB-2) to their Targeted Balances (structured at 120% - 200% PSA),
allocated:
L, LA-1 and LB-1, pro rata
LA-2, LB-2, NA-2 and NB-2, pro rata
3. Scheduled Classes (MA, MB and MC), pro rata, to their Targeted Balances
(structured at 135% - 200% PSA)
4. TAC Components (NA-1 and NB-1), pro rata, to their Targeted Balances
(structured at 185% PSA)
5. O, PH, PL and PM, pro rata, until retired
6. NA-1 and NB-1, pro rata, until retired
7. MA, MB and MC, pro rata, until retired
8. L, LA-1, LB-1, LA-2, LB-2, NA-2 and NB-2 as in step 2 until retired
9. PAC Classes as in step 1 until retired
See "Payments -- Principal" in this Supplement.
WEIGHTED AVERAGE LIVES (IN YEARS)*
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
0% 90% 185% 235%
------ ----------- ----------- -----------
<S> <C>
A .......................................................... 3.8 1.1 1.1 1.1
B .......................................................... 9.5 2.5 2.5 2.5
C .......................................................... 12.8 3.5 3.5 3.5
D .......................................................... 15.3 4.5 4.5 4.5
E .......................................................... 18.0 6.0 6.0 6.0
F .......................................................... 20.6 8.0 8.0 8.0
G .......................................................... 23.1 11.0 11.0 11.0
H .......................................................... 13.8 4.9 4.9 4.9
J .......................................................... 24.9 15.0 15.0 15.0
K .......................................................... 26.0 21.1 21.1 21.1
L .......................................................... 26.8 13.8 3.5 3.5
LA and LB............................................................ 26.8 14.1 3.9 3.9
MA, MB and MC........................................................ 27.7 18.1 3.5 3.5
NA and NB............................................................ 28.1 20.1 2.9 2.8
O, PH, PL and PM.....................................................
29.3 25.9 13.4 3.6
Underlying PCs....................................................... 21.0 12.0 8.1 6.8
</TABLE>
-------------------------
* Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any
other constant rate, and the actual weighted average lives of any or all
of the Classes and of the PCs are likely to differ from those shown,
perhaps significantly.
S-4
PAGE 5
ASSUMED MORTGAGE CHARACTERISTICS (AS OF SEPTEMBER 1, 1993)
REMAINING TERM
PRINCIPAL TO MATURITY LOAN AGE PER ANNUM
BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE
- ---------------- ------------------- ----------------- -----------------
$ 162,750,000 360 0 %7.1
260,400,000 358 1 7.1
130,200,000 357 2 7.1
97,650,000 354 4 7.1
- ----------------
$ 651,000,000 * 358 * 1
- ----------------
- ----------------
-------------------------
* Weighted average by principal balance.
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages will differ from those shown above, perhaps significantly.
See "General Information -- The Mortgages" in this Supplement.
S-5
<PAGE>
PROSPECTUS
FINANCIAL ASSET SECURITIZATION, INC.
(SELLER)
MORTGAGE PARTICIPATION SECURITIES
(ISSUABLE IN SERIES)
The Mortgage Participation Securities (the "Securities") offered hereby and
by the related Prospectus Supplements will be offered from time to time in
Series. Capitalized terms used herein and not defined herein shall have the
respective meanings assigned to them in the Glossary. This Prospectus may not be
used to consummate sales of Securities of any Series unless accompanied by a
Prospectus Supplement for that Series.
The Securities of each Series may include one or more Classes and will
evidence beneficial ownership interests in a segregated pool of Mortgage Assets,
or beneficial interests therein, and certain other assets described herein
assigned to a trust or trusts (collectively, a "Trust"). A Series may include
one or more Classes of Securities entitled to principal distributions, with
disproportionate, nominal or no interest distributions, or to interest
distributions, with disproportionate, nominal or no principal distributions,
derived from the related Trust. A Series may also include one or more Classes of
Securities entitled to distributions derived from specified portions of the
Mortgage Assets in the related Trust. The rights of holders of Securities of one
or more Classes of a Series to receive distributions may be subordinated to the
rights of holders of other Classes of that Series. The Prospectus Supplement or
Supplements relating to a Series of Securities will set forth, among other
things, the following information if applicable to such Series: (1) the
respective allocations and order of application of principal and interest
distributions on the Mortgage Assets in the related Trust to the respective
Classes of such Securities; (2) certain information as to the nature of the
Mortgage Assets and any other assets assigned or pledged to the Trust underlying
such Securities; (3) the dates periodic distributions will be made to
Securityholders; (4) the Final Scheduled Distribution Dates and authorized
denominations of such Securities; (5) the optional termination features
pertaining to such Securities; (6) certain information regarding subordination
of rights to distributions of any Class of such Securities to the rights of
other Classes; and (7) additional information with respect to the plan of
distribution of such Securities.
Financial Asset Securitization, Inc. (the "Seller") will assign and
transfer the Mortgage Assets and other assets to the Trust for each Series of
Securities. The Mortgage Assets will consist of one or more of the following:
(1) Mortgage Pass-Through Certificates guaranteed by the Government National
Mortgage Association ("GNMA Certificates"), (2) Mortgage Participation
Certificates issued by the Federal Home Loan Mortgage Corporation ("FHLMC
Certificates"), (3) Guaranteed Mortgage Pass-Through Certificates issued by the
Federal National Mortgage Association ("FNMA Certificates"), (4) certain other
mortgage pass-through certificates or mortgage-collateralized obligations,
including those representing interests in pools of multifamily residential
mortgage loans (with GNMA, FNMA and FHLMC Certificates, the "Mortgage
Certificates"), (5) residential mortgage loans secured by property consisting of
single family (one- to four-family) attached or detached residential housing or
multifamily residential rental properties or cooperatively owned properties
consisting of five or more attached or detached dwelling units ("Mortgage
Loans"), (6) retail installment sales contracts ("Contracts") secured by liens
on units of manufactured housing ("Manufactured Homes"), and (7) certain other
assets evidencing interests in loans secured by residential property. Mortgage
Loans that are Cooperative Loans will be secured by assignments of shares and a
proprietary lease or occupancy agreement on a cooperative apartment. The Seller
also may transfer or assign to the Trust for a Series of Securities certain
Reserve Funds and other funds or accounts, Insurance Policies, Servicing
Agreements, additional Mortgage Assets and other instruments as described herein
and in the related Prospectus Supplement. The Mortgage Assets and other assets
in the Trust will be held for the benefit of the Securityholders of the related
Series pursuant to a Trust Agreement as more fully described herein. The only
obligations of the Seller with respect to a Series of Securities will be
pursuant to certain limited representations and warranties.
An election may be made to treat certain Trusts or the related assets as
real estate mortgage investment conduits ("REMICs"). See "Certain Federal Income
Tax Consequences." A Series of Securities for which a REMIC election has been
made will include one or more Classes of regular interests in each REMIC ("REMIC
Regular Securities") and will include one Class of residual interest in each
REMIC ("Residual Securities").
ALTHOUGH PAYMENT OF PRINCIPAL AND INTEREST ON THE MORTGAGE CERTIFICATES, IF
ANY, ASSIGNED TO THE TRUST FOR A SERIES OF SECURITIES IS GUARANTEED BY GNMA,
FNMA OR FHLMC, THE SECURITIES DO NOT REPRESENT AN OBLIGATION OF OR AN INTEREST
IN THE SELLER OR ANY AFFILIATE THEREOF AND ARE NOT GUARANTEED OR INSURED BY
GNMA, FNMA, FHLMC, THE SELLER OR ANY OF ITS AFFILIATES, OR ANY OTHER PERSON.
SEE "RISK FACTORS" BEGINNING ON PAGE 9 HEREOF FOR A DISCUSSION OF CERTAIN
FACTORS THAT SHOULD BE CONSIDERED BEFORE PURCHASING THE SECURITIES OF ANY
SERIES.
------------------------
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 date of this Prospectus is October 28, 1997.
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ADDITIONAL INFORMATION
The Seller is subject to the informational requirements of the Securities
Exchange Act of 1934 and, in accordance therewith, files reports and other
information with the Securities and Exchange Commission (the "Commission").
Reports and other information filed by the Seller with the Commission 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 the
Regional Offices of the Commission at 7 World Trade Center, Suite 1300, New
York, New York 10048; and Northwestern Atrium Center, 500 West Madison Street,
Suite 1400, Chicago, Illinois 60661-2511. Copies of such material can be
obtained from the Public Reference Section of the Commission, 450 Fifth Street,
N.W., Washington, D.C. 20549, at prescribed rates. In addition, the Commission
maintains a public access site on the internet through the "world wide web" at
which any electronic filings, reports, information statements and other
information regarding the Seller may be viewed. The internet address of the
Commission's site is http://www.sec.gov.
The Prospectus does not contain all the information set forth in the
Registration Statements (of which this Prospectus is a part) and exhibits
relating thereto which the Seller has filed with the Commission in Washington,
D.C. Copies of the information and the exhibits are on file at the offices of
the Commission and may be obtained, upon payment of the fee prescribed by the
Commission, or may be examined without charge at the offices of the Commission.
Copies of the Trust Agreement for a Series will be provided to each person to
whom a Prospectus is delivered upon written or oral request, provided that such
request is made to Financial Asset Securitization, Inc., 901 East Byrd Street,
Richmond, Virginia 23219 (telephone (804) 344-6575), Attn: Secretary.
Copies of FHLMC's most recent Offering Circular for FHLMC Certificates,
FHLMC's most recent Information Statement and any subsequent information
statement, any supplement to any information statement relating to FHLMC and any
quarterly report made available by FHLMC after December 31, 1983 can be obtained
by writing or calling the Investor Relations Department of FHLMC at Post Office
Box 4112, Reston, Virginia 22090 (outside Washington, D.C. metropolitan area,
telephone 800-424-5401, ext. 3725; within Washington, D.C. metropolitan area,
telephone 703-903-3725). The Seller did not participate in the preparation of
FHLMC's Offering Circular, Information Statement or any supplement and,
accordingly, makes no representation as to the accuracy or completeness of the
information set forth therein.
Copies of FNMA's most recent Prospectus for FNMA Certificates and FNMA's
annual report and quarterly financial statements, as well as other financial
information, are available from the Director of Investor Relations, 3900
Wisconsin Avenue, N.W., Washington, D.C. 20016 (202-752-7115). The Seller did
not participate in the preparation of FNMA's Prospectus and, accordingly, makes
no representations as to the accuracy or completeness of the information set
forth therein.
The Seller is not obligated with respect to the Securities. Accordingly,
the Seller has determined that financial statements of the Seller are not
material to the offering made hereby.
INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE
The Seller's Registration Statement on Form 10 heretofore filed by the
Seller with the Commission is incorporated by reference in this Prospectus.
All documents filed by the Seller pursuant to Sections 13(a), 13(c), 14 or
15(d) of the Securities Exchange Act of 1934 after the date of this Prospectus
and prior to the termination of the offering of the Securities hereunder shall
be deemed to be incorporated into and made a part of this Prospectus from the
date of filing of such documents.
The Seller hereby undertakes to provide a copy of any and all information
that has been incorporated by reference into the Registration Statements (not
including exhibits to the information so incorporated by reference unless such
exhibits are specifically incorporated by reference into the information that
the Registration Statements incorporate) upon written or oral request of any
person, without charge to such person, provided that such request is made to
Financial Asset Securitization, Inc., 901 East Byrd Street, Richmond, Virginia
23219 (804) 344-6575, Attn: Secretary.
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PROSPECTUS SUMMARY
The following summary is qualified in its entirety by reference to the
detailed information appearing elsewhere in this Prospectus and by reference to
the information with respect to each Series of Securities contained in the
related Prospectus Supplement and in the trust agreement (the "Trust Agreement")
with respect to such Series. A form of Trust Agreement has been filed as an
exhibit to the Registration Statement of which this Prospectus is a part.
Capitalized terms used herein and not defined herein shall have the
respective meanings assigned them in the "GLOSSARY."
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<S> <C>
SELLER........................ Financial Asset Securitization, Inc., formerly named Ryland Mortgage Securities Corporation, is
a wholly owned, limited-purpose financing subsidiary of JST Company, L.L.C. ("JST"). JST is a
limited liability company organized under the laws of the Commonwealth of Virginia on August
22, 1995. Neither JST nor the Seller has guaranteed, or is otherwise obligated with respect to,
the Securities of any Series. The principal executive offices of the Seller are located at 901
East Byrd Street, Richmond, Virginia 23219, and its telephone number is (804) 344-6575.
SECURITIES OFFERED............ Mortgage Participation Securities (the "Securities"), issuable in Series, all as more fully
described in the related Prospectus Supplement. The Securities of each Series may include one
or more Classes and will evidence beneficial ownership interests in a segregated pool of
Mortgage Assets, or beneficial interests therein, and certain other assets assigned to a trust
or trusts for the benefit of Securityholders of each Series as specified in the related
Prospectus Supplement. A Series may include one or more Classes of Securities entitled to
principal distributions, with disproportionate, nominal or no interest distributions, or
entitled to interest distributions, with disproportionate, nominal or no principal
distributions, derived from the related Trust. The principal amount of any Security may be
represented by a notional principal amount as specified in the related Prospectus Supplement. A x
Class of Securities of a Series entitled to distributions of interest may receive interest at a
specified rate (a "Pass-Through Rate"), which may be fixed, variable or adjustable and may
differ from other Classes of the same Series. One or more Classes of Securities of a Series may
be Securities upon which interest will accrue but not be distributed until certain other
Classes are paid. A Series may also include one or more Classes of Securities entitled to
distributions derived from specified portions of the Mortgage Assets in the related Trust. One
or more Classes ("Subordinated Securities") may be subordinated in right to distributions and
subject to allocation of losses on the Mortgage Loans in favor of one or more other Classes
("Senior Securities") of that Series. The Securities will be issued in fully registered
certificated or book-entry form in the authorized denominations specified in the related
Prospectus Supplement. Any Class of Securities of a Series offered hereby and by the related
Prospectus Supplement will be rated by at least one Rating Agency in one of its four highest
rating categories ("Investment Grade").
TRUST AGREEMENT............... Each Series of Securities will be issued pursuant to one or more Trust Agreements among the
Seller, a Master Servicer or Securities Administrator, and the Trustee identified in the
related Prospectus Supplement. Pursuant to the Trust Agreement, the Seller will sell and assign
the Mortgage Assets and other assets comprising the related Trust to the trustee named in the
related Prospectus Supplement (the "Trustee") in exchange for a Series of Securities. Following
the closing for a Series, the Mortgage Assets will be registered in the name of the Trustee or
its Custodian for that Series. Payments of principal, including prepayments, and interest on
the Mortgage Assets with respect to a Series (together with payments from any Reserve Fund or
other funds for such Series) and, if applicable, Reinvestment Income thereon, will be passed
through to the Trust as specified in the Prospectus Supplement. The Trustee will periodically
allocate such amounts, to the extent actually collected, advanced or
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received during the applicable Due Period or Prepayment Period, net of various fees, premiums
and expenses (the "Available Distribution") among the Classes of Securities in the proportion
and order of application set forth in the Trust Agreement and described in the related
Prospectus Supplement. The Available Distribution may be allocated so that amounts paid as
interest on the Mortgage Assets may be distributed as principal on the Securities and amounts
paid as principal on the Mortgage Assets may be distributed as interest on the Securities.
DISTRIBUTIONS
OF INTEREST................. Interest will be distributed periodically by the Trustee on the dates specified in the related
Prospectus Supplement (each, a "Distribution Date"). Interest will be passed through to each
Class of the Securities entitled to interest distributions at the applicable Pass-Through Rate
on the outstanding actual or notional principal amount of such Securities or allocated by such
other formula as may be specified in the related Prospectus Supplement. Each periodic
distribution of interest on the Securities of a particular Class will be paid to holders out of
the Available Distribution pro rata in accordance with their respective percentage ownership of
the outstanding Securities of such Class. Each such distribution of interest will include all
interest accrued through the Accounting Date immediately preceding the applicable Distribution
Date or to another date specified in the related Prospectus Supplement. Distributions of
interest on the Securities of a Series may be reduced to the extent of delinquencies or losses
on Loans in the related Trust.
DISTRIBUTIONS
OF PRINCIPAL................ Principal will be distributed periodically by the Trustee on the Distribution Dates specified
in the related Prospectus Supplement. Each periodic distribution of principal on the Securities
of a particular Class will be paid to holders out of the Available Distribution pro rata in
accordance with the respective percentage ownership of the outstanding Securities of such
Class, or in such other manner specified in the related Prospectus Supplement. Distributions of
principal on the Securities of a Series may be reduced to the extent of delinquencies or losses
on the Loans in the related Trust.
The Final Scheduled Distribution Date for each Class of a Series is the date after which no
Securities of such Class will remain outstanding, assuming timely payments are made on the
Mortgage Assets in the related Trust in accordance with their terms. The Final Scheduled
Distribution Date of a Class generally will be determined on the basis of the assumptions set
forth in the related Prospectus Supplement. The actual maturity date of the Securities of a
Series will depend primarily upon the level of prepayments with respect to the Loans comprising
or underlying the Mortgage Assets in the related Trust. The actual maturity of any Security 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 amounts of the Securities. Under certain default scenarios with respect to the Loans
comprising or underlying the Mortgage Assets in the Trust, the actual final Distribution Date
of one or more Classes of a Series may occur after the Final Scheduled Distribution Date. See
"Maturity and Prepayment Considerations" and "Yield Considerations."
ALLOCATION OF LOSSES
AND SHORTFALL............... With respect to any defaulted Loan that is finally liquidated for cash through foreclosure
sale, disposition of the related mortgaged premises ("Mortgaged Premises") if acquired by deed
in lieu of foreclosure, or otherwise (a "Liquidated Loan"), the amount of loss realized, if any
(a "Realized Loss"), unless otherwise specified in the Prospectus Supplement, will equal the
sum of the (i) Unpaid Principal Balance, (ii) amounts reimbursable to the Servicer, Master
Servicer or Trustee for related costs, expenses and advances, and (iii) amounts attributable to
interest accrued but not paid on such Mortgage Loan, minus sales proceeds ("Liquidation
Proceeds"), insurance recoveries ("Insurance Proceeds") and other recoveries with
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respect to the Mortgage Loan. Realized Losses also include Mortgagor Bankruptcy Losses, Special
Hazard Losses and Fraud Losses. Mortgagor Bankruptcy Losses result when the Unpaid Principal
Balance of a Mortgage Loan is reduced or the payment terms of a Mortgage Loan are modified in
connection with bankruptcy proceedings of the mortgagor or mortgagors (the "Borrower"). Special
Hazard Losses are losses attributable to physical damage to Mortgaged Premises of a type which
is not covered by standard hazard insurance policies, but do not include losses caused by war,
nuclear reaction, nuclear or atomic weapons, insurrection or normal wear and tear. Fraud Losses
are losses on Mortgage Loans resulting from a Mortgage Insurer's failure to pay a claim with
respect to a Mortgage Loan on the grounds of fraud, dishonesty or misrepresentation in the
application for insurance.
Unless otherwise specified in the Prospectus Supplement, the Servicers of the Loans in the
Trust for a Series and, to the limited extent described herein, the Master Servicer is, and the
Trustee or Pool Insurer may be, obligated to advance funds to the Trust to cover delinquent
payments of principal or interest on the Loans. In the event that advances are not made or are
insufficient to cover delinquencies, interest distributions on the Securities may be reduced.
Interest Shortfall also may result from the application of the Soldiers' and Sailors' Civil
Relief Act of 1940, which caps the interest rate payable by certain Borrowers who subsequently
enter military service ("Soldiers' and Sailors' Shortfall"); from an inability to pay accrued
and unpaid interest on a Loan from Liquidation Proceeds and Insurance Proceeds ("Realized
Interest Losses"); and from the prepayment in full of a Loan if interest to month-end is not
paid by the Servicer or, in certain cases, the Master Servicer ("Prepayment Interest
Shortfall"). See "Sale and Servicing of Mortgage Loans -- General" and " -- Advances."
A Series may include one or more Classes of Securities as to which the right to receive
distributions with respect to the Mortgage Assets will be subordinate to the rights of holders
of more senior Securities of such Series. Such subordination may only be to the extent of a
specific amount specified in the related Prospectus Supplement (the "Subordination Amount") or
may require allocation of all Realized Losses or Shortfall to such Class of Securities until
their principal amount has been reduced to zero. If so provided in the related Prospectus
Supplement, certain types of Realized Losses or Shortfall may be allocated differently than
other Realized Losses or Shortfall. Any allocation of a Realized Loss to a Class of Securities
generally will be made by reducing the principal amount thereof as of the applicable
Distribution Date by an amount equal to the amount of such Realized Loss.
OPTIONAL TERMINATION.......... To the extent specified in the related Prospectus Supplement, the Securities of a Series may be
retired through termination of the related Trust by means of repurchase of the assets in the
Trust by the party or parties specified therein under certain circumstances. See "Description
of the Securities -- Optional Termination."
THE TRUSTS.................... The Seller will assign or transfer to the Trust established for each Series, for the benefit of
Securityholders, assets consisting primarily of one or more of the following, each of which
will be more specifically described in the Prospectus Supplement for such Series:
A. MORTGAGE
ASSETS..................... Assets assigned or transferred to the Trust for Securities of a Series may be composed of (i)
GNMA Certificates guaranteed by the Government National Mortgage Association, (ii) FHLMC
Certificates issued by the Federal Home Loan Mortgage Corporation, (iii) FNMA Certificates
issued by the Federal National Mortgage Association, (iv) such other types of mortgage assets,
including mortgage pass-through certificates and collateralized mortgage obligations (together
with the GNMA Certificates, FHLMC Certificates and FNMA Certificates, the "Mortgage
Certificates"),
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as may be described in the related Prospectus Supplement, (v) Mortgage Loans secured by
property consisting of single family (one- to four-family) attached or detached residential
housing or multifamily residential rental properties or cooperatively owned properties
consisting of five or more attached or detached dwelling units, (vi) Contracts secured by
Manufactured Homes, (vii) certain other assets evidencing interests in loans secured by
residential property, and (viii) Funding Agreements with various Finance Companies that are
secured by Mortgage Certificates, Loans or other similar assets. Mortgage Certificates, Loans
and other similar assets, whether assigned to a Trust by the Seller or pledged to secure a
Funding Agreement, are herein referred to collectively as "Mortgage Assets." The Mortgage
Assets and other assets in the Trust for the Securities of a Series will have an aggregate
Asset Value at least equal to the original aggregate principal amount of such Securities. See
"The Trusts."
B. ASSET PROCEEDS
ACCOUNT.................... All payments and collections received or advanced on the Mortgage Assets assigned to the Trust
for the Securities of a Series will be remitted to one or more accounts (collectively, the
"Asset Proceeds Account") established and maintained in trust on behalf of the Securityholders.
Unless otherwise specified in the related Prospectus Supplement, reinvestment income on amounts
in the Asset Proceeds Account will not accrue for the benefit of the Securityholders of a
Series but will be remitted periodically to the Master Servicer or the Servicers as additional
master servicing or servicing compensation. See "The Trusts -- Asset Proceeds Account."
C. RESERVE FUNDS.............. If specified in the Prospectus Supplement for a Series, the Seller will deposit cash,
securities, certificates of deposit or letters of credit in one or more Reserve Funds which may
be used by the Trustee to make any required distributions of principal or interest on the
Securities of the Series to the extent funds are not otherwise available. Any Reserve Fund will
be maintained in trust but may or may not constitute a part of the Trust for a Series. The
funding of the Reserve Fund for a Series of Securities will be specified in the Prospectus
Supplement for the Series. The Seller will have certain rights on any Distribution Date to
cause the Trustee to withdraw funds from a Reserve Fund for a Series to the extent such funds
are no longer required to be maintained for the Securityholders. See "The Trusts -- Reserve
Fund or Accounts."
D. INSURANCE POLICIES......... For Series in which the Trust contains Mortgage Loans, the Seller may assign to the Trustee
payments due under certain mortgage insurance, hazard insurance and other policies
(collectively, "Insurance Policies") which may include, as specified in the related Prospectus
Supplement, (i) "Mortgage Insurance Policies" consisting of (a) Primary Mortgage Insurance
Policies that will insure (subject to their provisions and certain limitations) Mortgage Loans
against all or a portion of any loss sustained by reason of nonpayments by Borrowers, (b) one
or more mortgage Pool Insurance Policies providing coverage in an amount specified in the
related Prospectus Supplement, or (c) a combination of Primary Mortgage and Pool Insurance
Policies; (ii) Standard Hazard Insurance Policies insuring Mortgage Loans against losses due to
various causes, including fire and windstorm; (iii) Special Hazard Insurance insuring Mortgage
Loans against certain losses that are not covered by the Standard Hazard Insurance Policies
(including earthquakes, landslides and mudflows) in an amount specified in the related
Prospectus Supplement; (iv) Mortgagor Bankruptcy Insurance which will provide for payments in
an amount specified in the Prospectus Supplement in the event of the bankruptcy of the
Borrower; and (v) with respect to multifamily Mortgaged Premises, boiler insurance and business
interruption insurance. To the extent specified in the Prospectus Supplement for a Series, the
Seller may, in lieu of providing certain Insurance Policies, deposit cash, securities, a
certificate of deposit, a letter of credit or any other instrument acceptable to each Rating
Agency rating that Series for such Series in an initial amount acceptable to each such Rating
Agency.
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Insurance related to Mortgage Loans may be modified to cover Mortgage Loans assigned to Trusts
for more than one Series or that secure collateralized mortgage obligations issued by the
Seller or one of its affiliates, provided that such revision does not result in any lowering of
the credit rating assigned to any outstanding Series by any Rating Agency rating that Series at
the request of the Seller. See "The Trusts -- Mortgage Insurance on Mortgage Loans."
E. ADDITIONAL ASSETS.......... The Seller may assign to the Trust for a Series non-recourse guaranties (each a "Guaranty") of
the timely payment of principal and interest on Mortgage Loans in the Trust secured by a pledge
of other assets satisfactory to the Rating Agency rating the Series. The Seller may also assign
such other assets by such other means as may be specified in the related Prospectus Supplement.
Such other assets may consist of additional Mortgage Loans, additional Mortgage Certificates,
letters of credit or other Permitted Investments (such other assets, together with the
Guaranties, are referred to as "Additional Assets"), and may be drawn upon to cover losses on
Mortgage Loans in the Trust as described in the related Prospectus Supplement. See "The
Trusts -- Delivery of Additional Assets."
F. SERVICING.................. One or more Servicers will perform certain servicing functions with respect to the Mortgage
Loans assigned to the Trust for a Series. If specified in the Prospectus Supplement, the
Servicers will be supervised by a Master Servicer. Each Servicer of one- to four-family
Mortgage Loans generally will be an approved servicer by FNMA or FHLMC and by the Master
Servicer. Servicers of multifamily mortgage loans generally will be approved mortgagees under
Section 203 of the National Housing Act. Each Servicer will be obligated under a Servicing
Agreement (i) to perform customary servicing functions, (ii) to make mandatory or discretionary
advances of funds to cover certain payments not made by the Borrowers to the extent such
advances are deemed recoverable from future payments by the Borrowers, from proceeds of
Insurance Policies, from the proceeds of Liquidated Loans, or as provided in the related
Prospectus Supplement, and (iii) under certain circumstances, unless otherwise provided in the
Prospectus Supplement, to purchase any Mortgage Loans (a) that are converted from an adjustable
to a fixed Note Rate or from one fixed Note Rate to a lower fixed Note Rate (a "Converted
Mortgage Loan") and (b) with respect to which the Servicer has made a misrepresentation or
breached a covenant. The Seller will assign its rights under any Servicing Agreement to the
Trust for the related Series. See "The Trusts -- Repurchase of Converted Mortgage Loans" and
" -- Sale and Servicing of Mortgage Loans."
G. MASTER SERVICER............ The Master Servicer or Securities Administrator named in the Prospectus Supplement will be
responsible under the Trust Agreement for providing general administrative services to the
Trust including, among other things, (i) oversight of payments received on Mortgage Assets,
(ii) monitoring the amounts on deposit in various Trust Accounts, (iii) calculation of the
amounts payable to Securityholders on each Distribution Date, (iv) preparation of periodic
reports to the Trustee or the Securityholders with respect to the foregoing matters, (v)
preparation of federal and state tax and information returns, and (vi) preparation of reports,
if any, required under the Securities Exchange Act of 1934, as amended. In addition, with
respect to a Trust that includes one- to four-family Mortgage Loans, the Master Servicer will
be required by the Trust Agreement to supervise and administer the performance of Servicers, to
make advances of delinquent payments of principal and interest on the Mortgage Loans to the
extent provided in the related Prospectus Supplement, and to perform the servicing obligations
of a terminated Servicer. The Master Servicer's obligations to act as a servicer following the
termination of a Servicing Agreement will not, however, require the Master Servicer to (i)
purchase Mortgage Loans from the Trust due to a breach by the Servicer of a representation or
warranty under the Servicing Agreement, (ii) purchase from the Trust any Converted Mortgage
Loan unless otherwise required
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as Master Servicer or (iii) make advances of principal and interest on delinquent Mortgage
Loans in excess of the Master Servicer's independent advance obligation under the Trust
Agreement. If a Servicer does not have an obligation to purchase Converted Mortgage Loans, the
Master Servicer will be obligated to purchase such Converted Mortgage Loans to the extent
provided in the Prospectus Supplement. The Master Servicer may delegate its responsibilities
under the Trust Agreement; PROVIDED, HOWEVER, that no such delegation shall release the Master
Servicer from its responsibilities or obligations under the Trust Agreement.
CERTAIN FEDERAL
INCOME TAX
CONSEQUENCES................ See "Certain Federal Income Tax Consequences."
YIELD CONSIDERATIONS.......... The Prospectus Supplement for a Series may specify certain yield calculations, based upon an
assumed rate of prepayment or a range of prepayment assumptions on the Mortgage Assets, for
Classes receiving disproportionate allocations of principal and interest. A higher level of
principal prepayments on the Mortgage Assets than anticipated is likely to have an adverse
effect on the yield on any Class of Securities that has a purchase price greater than its
initial principal amount (a "Premium Security") and a lower level of principal prepayments on
the Mortgage Assets than anticipated is likely to have an adverse effect on the yield on any
Class of Securities that has a purchase price less than its initial principal amount (a
"Discount Security"). It is possible under certain circumstances for holders of Premium
Securities not only to suffer a lower than anticipated yield but, in extreme cases, to fail to
recoup fully their initial investment.
USE OF PROCEEDS............... The Seller generally will acquire the Mortgage Assets from their previous owner (the
"Participant") at the time the Securities of a Series are issued. Substantially all of the net
proceeds from the sale of each Series of Securities will be paid by the Seller to the
Participant in exchange for the Mortgage Assets to be assigned to the Trust for such Series or
to fund loans to Finance Companies secured by Mortgage Assets and assigned to the Trust for
such Series.
LEGAL INVESTMENT.............. The Securities of each Series offered by the related Prospectus Supplement will generally
constitute "mortgage-related securities" under the Secondary Mortgage Market Enhancement Act of
1984 ("SMMEA") so long as they are rated by a Rating Agency in one of its two highest rating
categories. Any such securities would be "legal investments" for certain types of institutional
investors to the extent provided in SMMEA, subject to state laws overriding SMMEA. A number of
states have enacted legislation overriding the legal investment provisions of SMMEA. Some
Classes of Securities offered hereby may not be rated in one of the two highest rating
categories and thus would not constitute "mortgage-related securities." Securities that do not
constitute "mortgage-related securities" under SMMEA will require registration, qualification
or an exemption under applicable state securities laws and may not be "legal investments" to
the same extent as "mortgage-related securities." See "Legal Investment."
ERISA CONSIDERATIONS.......... An employee benefit plan that invests in the Securities may be treated as having acquired a
direct interest in the assets of the related Trust for purposes of the "plan asset" rules of
the Employee Retirement Income Security Act of 1974, as amended ("ERISA"). See "ERISA
Considerations."
RATING........................ Each Class of Securities offered by means of this Prospectus and the related Prospectus
Supplement will be rated not less than Investment Grade by at least one Rating Agency
identified in such Prospectus Supplement.
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RISK FACTORS
Investors should consider, among other things, the following risk factors
in connection with the purchase of the Securities.
MATURITY AND YIELD CONSIDERATIONS
SENSITIVITY TO PREPAYMENTS. Yields realized by holders of certain Classes
of Securities of a Series with disproportionate allocations of principal or
interest will be extremely sensitive to levels of prepayments (including for
this purpose, payments resulting from refinancings, liquidations due to
defaults, casualties, condemnations, and purchase by or on behalf of the Seller,
the Servicer, the Master Servicer or the Participant, as the case may be) on the
Mortgage Assets of the related Trust. In general, yields on Premium Securities
will be adversely affected by higher than anticipated levels of prepayments on
the Mortgage Assets and enhanced by lower than anticipated levels. Conversely,
yields on Discount Securities are likely to be enhanced by any higher than
expected level of prepayments and adversely affected by a lower than anticipated
level. This sensitivity will be magnified as the disproportion of the allocation
of principal and interest payments on the Mortgage Assets to each Class
increases. Holders of certain Classes of Securities could fail to recover their
initial investment.
The rate of principal payments on the Loans (and mortgage loans underlying
the Mortgage Certificates) will be affected by the amortization schedules of
such loans and the rate of principal prepayments thereon (including for this
purpose payments resulting from refinancings, liquidations due to defaults,
casualties, condemnations, and purchases by or on behalf of the Seller, the
Servicer, the Master Servicer or the Participant, as the case may be). The rate
of principal prepayments on pools of mortgages is influenced by a variety of
economic, geographic, social, tax, legal and other factors. In general, however,
if the Loans are not subject to prepayment penalties and if prevailing interest
rates fall significantly below the interest rate on the Loans (or mortgage loans
underlying the Mortgage Certificates), such Loans are likely to be the subject
of higher principal prepayments than if prevailing rates remain at or above the
rates borne by such Loans. Conversely, a Borrower is less likely to prepay his
Loan when interest rates are higher than those in effect when the Loan was
originated. The holder of the Loan (the Trustee, and through it, the
Securityholders) generally does not want a Loan to be prepaid when prevailing
interest rates are lower than at the time of investment and generally wants a
Loan to be prepaid when prevailing interest rates are higher than at the time of
investment. This conflict between the Borrower and the holder of the Loan
exposes the holder to reinvestment risk when prevailing interest rates are lower
than at the time of its investment (it can only reinvest the mortgage loan
proceeds in investments bearing a lower rate of interest) and the loss of
reinvestment opportunity when prevailing interest rates are higher than at the
time of its investment (it cannot reinvest in higher yielding instruments).
LIMITED NATURE OF RATING. Each Class of Securities of a Series offered
hereby and by means of the related Prospectus Supplement initially will be rated
Investment Grade by at least one of the Rating Agencies identified in such
Prospectus Supplement. Any such rating is not a recommendation to buy, sell or
hold Securities and is subject to revision or withdrawal at any time by the
Rating Agency issuing such rating. An investor may obtain further details with
respect to any rating on the Securities from the Rating Agency issuing such
rating. In addition, any such rating will be based, among other things, on the
credit quality of the Mortgage Assets and will represent only an assessment of
the likelihood of receipt by Securityholders of payments with respect to the
underlying Mortgage Assets. Such rating will not represent any assessment of the
likelihood that prepayment experience may differ from prepayment assumptions
and, accordingly, any assessment of the possibility that holders of Premium
Securities will, under circumstances of high principal prepayments on the
Mortgage Assets, fail to recoup their initial investment. Security ratings
assigned to Classes of Securities having a disproportionate entitlement to
principal or interest should be evaluated independently of similar security
ratings assigned to other kinds of securities. A rating also will not assess the
ability of a Servicer or Participant to perform its obligation, if any, to
repurchase Converted Mortgage Loans.
CREDIT CONSIDERATIONS
GENERAL. Each Trust is expected to have no significant assets other than
the Mortgage Assets and other assets assigned to the Trust by the Seller. For
that reason, prospective purchasers of the Securities of a Series must rely
primarily upon payments of principal and interest on such Mortgage Assets, the
security therefor, and sources of credit enhancement identified in the related
Prospectus Supplement. A Mortgage Loan or Contract
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typically is made based upon a determination of the Borrower's ability to make
Monthly Payments on his Mortgage Loan or Contract and upon the value of the
Mortgaged Premises or Manufactured Home secured thereby. The ability of a
Borrower to make Monthly Payments will be dependent on the availability of jobs
and general macro and micro economic conditions. A Borrower's failure to pay and
subsequent foreclosure on the Mortgaged Premises typically will not relieve the
Borrower from liability for a Mortgage Loan, but the most likely source of cash
as a practical matter will be from the sale of the Mortgage Premises.
Accordingly, an investment in Securities of a Series evidencing interests in a
Trust consisting of Mortgage Loans may be affected by a decline in real estate
values. If the residential real estate market in the area of properties securing
the Mortgage Loans should experience an overall decline in property values such
that the outstanding balances of the Mortgage Loans, and any secondary financing
on the Mortgaged Premises, become equal to or greater than the value of such
Mortgaged Premises, the actual rate 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 any Subordination
Amount, applicable insurance policies or other credit enhancement, holders of
the Securities of a Series evidencing interests in the related Trust will bear
all risk of loss resulting from default by Borrowers and will have to look
primarily to the value of the Mortgaged Premises for recovery of the outstanding
principal and unpaid interest of the defaulted Mortgage Loans.
Loans such as GPM Loans, GEM Loans, ARM Loans and Buy-Down Mortgage Loans
are of recent origin. As a result, reliable prepayment, loss and foreclosure
statistics relating to such loans are not available. Such Mortgage Loans may be
underwritten on the basis of an assessment that the Borrower will have the
ability to make payments in higher amounts in later years and, in the case of
certain ARM Loans, after relatively short periods of time. Other loans may be
underwritten principally on the basis of the initial loan-to-value ratio of the
Loans. To the extent losses on Loans exceed levels estimated by the Rating
Agency rating the Series in determining required levels of overcollateralization
or other credit support, the Trust may experience a loss. Furthermore, Loans
made with respect to multifamily property, Manufactured Homes or Cooperative
Dwellings may entail risks of loss in the event of delinquency and foreclosure
or repossession that are greater than similar risks associated with traditional
single-family property. To the extent losses on such Loans exceed levels
estimated by the Rating Agency in determining required levels of
overcollateralization or other credit support, the Trust Fund may experience a
loss. See "Sale and Servicing of Loans -- Maintenance of Insurance Policies;
Claims Thereunder and Other Realization Upon Defaulted Mortgage Loans."
Multifamily lending is generally viewed as exposing the lender to a greater
risk of loss than one- to four-family residential lending. Multifamily lending
typically involves larger loans to single borrowers or groups of related
borrowers than residential one- to four-family mortgage loans. Furthermore, 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. Multifamily
real estate can be affected significantly by 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, which impact the future cash flow of the property.
Corresponding to the greater lending risk is a generally higher interest rate
applicable to multifamily residential mortgage lending.
INSURANCE AND CREDIT SUPPORT LIMITATIONS. The Insurance Policies on the
Mortgage Loans or the obligation to deliver Additional Assets, if any, with
respect to a Series will not cover all contingencies and will cover other
contingencies only to a limited extent. See "The Trusts -- Mortgage Insurance on
Mortgage Loans," " -- Hazard Insurance on the Mortgage Loans," and " -- Delivery
of Additional Assets." The amount, type and nature of insurance policies,
subordination, letters of credit and other credit support, if any, required with
respect to a Series will be determined on the basis of actuarial criteria
established by each Rating Agency rating such Series. Such actuarial analysis is
the basis upon which each Rating Agency determines required amounts and types of
pool insurance, special hazard insurance, reserve funds, subordination or other
credit support. There can be no assurance that the historical data supporting
such actuarial analysis will accurately reflect future experience nor any
assurance that the data derived from a large pool of housing loans accurately
predicts the delinquency, foreclosure or loss experience of any particular pool
of Loans.
Moreover, reserve funds, insurance policies, letter of credit or other
credit support for a Series will not cover all potential losses or risks. A
Series of Securities may include a Class or multiple Classes of Subordinated
Securities
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as 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 applicable principal amount of the
Subordinated Securities or Subordination Amount will be limited and will decline
under certain circumstances. See "Description of the Securities" and "The
Trusts."
In addition, if distributions in reduction of the principal amount of
Securities of a Series are made in order of the respective Final Scheduled
Distribution Dates of the Classes, any limits with respect to the aggregate
amount of claims under any related Insurance Policy may be exhausted before the
principal of the later-maturing 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.
FHLMC AND FNMA GUARANTY. Payments of principal and interest on the FHLMC
Certificates or FNMA Certificates are backed only by the credit of FHLMC and
FNMA, respectively, and not by the full faith and credit of the United States.
See "Additional Information" for the availability of information respecting
FHLMC and FNMA.
DEFICIENCY ON SALE OF ASSETS. If the assets assigned to a Trust were to be
sold, there can be no assurance that the proceeds of any such sale would be
sufficient to distribute in full the outstanding principal amount of the related
Securities and accrued interest due thereon. The market value of the assets
generally will fluctuate with changes in prevailing rates of interest.
Consequently, the Mortgage Assets and any Permitted Investments in which the
funds deposited in the Asset Proceeds Account and any Reserve Funds for a Series
may be invested may be liquidated at a discount from par value or from their
purchase price, in which case the proceeds of liquidation might be less than the
aggregate outstanding principal amount and interest at the Pass-Through Rate
allocated to each Class of the Securities of that Series.
ENFORCEABILITY. As specified in the related Prospectus Supplement, the
Mortgage Loans 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 Premises or its interest in the Mortgaged
Premises. Such clauses are generally enforceable subject to certain exceptions.
See "Certain Legal Aspects of Mortgage Loans -- "Due on Sale' Clauses."
Multifamily 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. 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. In addition, if bankruptcy or similar proceedings are commenced
by or in respect of the obligor, the lender's ability to collect the rents may
be adversely affected.
Courts have imposed general equitable principles upon foreclosure. These
equitable principles are generally designed to relieve the borrower from the
legal effect of defaults under the loan documents. See "Certain Legal Aspects of
Mortgage Loans -- Equitable Limitations on Remedies."
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. See "Certain Legal Aspects of Mortgage Loans -- Anti-Deficiency
Legislation and Other Limitations on Lenders."
In some states, the Borrower, or any other person having a junior
encumbrance on the real estate, may, during a reinstatement or redemption
period, cure the default by paying the entire amount in arrears plus certain of
the costs and expenses incurred in enforcing the obligation. In some states,
after sale pursuant to a deed of trust or foreclosure of a mortgage, the
Borrower and certain foreclosed junior encumbrancers are given a statutory
period in which to redeem the property from the foreclosure sale. The effect of
a right of redemption is to diminish the ability of the lender to sell the
foreclosed property. The exercise of a right of redemption would defeat the
title of any purchaser at a foreclosure sale, or of any purchaser from the
lender subsequent to judicial foreclosure of sale under a deed of trust.
Consequently, the practical effect of the redemption right is to force the
lender to maintain the property and pay the expenses of ownership until the
redemption period has run. See "Certain Legal Aspects of Mortgage
Loans -- Rights of Reinstatement and Redemption."
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OTHER LEGAL CONSIDERATIONS. In addition to anti-deficiency and related
legislation, numerous other federal and state statutory provisions, including
the federal bankruptcy laws, the federal Soldiers' and Sailors' Civil Relief Act
of 1940 and state laws affording relief to debtors, may interfere with or affect
the ability of a secured mortgage lender to realize upon its security. The
Internal Revenue Code of 1986, as amended, provides priority to certain tax
liens over the lien of the mortgage or deed of trust. Other federal and state
laws provide priority to certain tax and other liens over the lien of the
mortgage or deed of trust. Numerous federal and some state consumer protection
laws impose substantive requirements upon mortgage lenders in connection with
the origination, servicing and the enforcement of mortgage loans. These 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 and state laws
impose specific statutory liabilities upon lenders who originate or service
mortgage loans and who fail to comply with the provisions of the law. In some
cases, this liability may affect assignees of the mortgage loans. See "Certain
Legal Aspects of Mortgage Loans -- Anti-Deficiency Legislation and Other
Limitations on Lenders."
ENVIRONMENTAL CONSIDERATIONS. Real property pledged as security to a lender
may be subject to certain environmental risks. Although federal law provides
secured lenders significant protection from federal liability if they foreclose
on contaminated Mortgaged Property, a secured lender may incur liability, as an
"owner" or "operator," for certain environmental clean-up costs required at the
Mortgaged Property if its agents or employees become sufficiently involved in
the operations of the Borrower, even if the environmental damage or threat was
caused by a prior owner. In addition, many states have environmental clean-up
statutes, and not all provide protection for a secured lender in the case of
foreclosure. See "Certain Legal Aspects of Mortgage Loans -- Environmental
Considerations."
Even if a foreclosing secured lender is protected by legislation from
liability for clean-up costs on a Mortgaged Property, the transferee from the
secured lender is not entitled to such protection. Thus, the presence of
environmental contamination may decrease the amount that prospective buyers are
willing to pay for a Mortgaged Property and thereby reduce the likelihood that
the Trust will recover fully on the related Mortgage Loan as a result of
foreclosure.
Under the laws of many states, contamination of a property may give rise to
a lien on the property for clean-up costs. In several states, such a lien has
priority over all existing liens, including those of existing security
instruments. In these states, the lien of a security instrument may lose its
priority to such a "superlien." See "Certain Legal Aspects of Mortgage
Loans -- Environmental Considerations."
Except as otherwise specified in the applicable Prospectus Supplement, at
the time the Mortgage Loans were originated, it is likely that no environmental
assessment or a very limited environmental assessment of the Mortgaged Premises
was conducted. In general, no representations or warranties have been made or
any liability assumed with respect to the absence or effect of hazardous wastes
or hazardous substances on any Mortgaged Premises or any casualty resulting from
the presence or effect of hazardous wastes or hazardous substances. Any loss or
liability resulting from the presence or effect of hazardous wastes or such
hazardous substances will reduce the amounts otherwise available to pay to the
holders of the Securities. See "Certain Legal Aspects of Mortgage
Loans -- Environmental Considerations."
TAX AND OTHER CONSIDERATIONS
ORIGINAL ISSUE DISCOUNT. Discount Securities generally will be treated as
issued with original issue discount for federal income tax purposes. In
addition, certain classes of Premium Securities may be treated by the Trustee
under applicable provisions of the Internal Revenue Code of 1986, as amended, as
stripped coupons issued in the original issue discount. The Trustee will report
original issue discount with respect to such Discount and Premium Securities on
the accrual basis, which may be prior to the receipt of cash associated with
such income. See "Certain Federal Income Tax Consequences."
TAX CONSIDERATIONS FOR RESIDUAL SECURITIES. Residual Securities are subject
to certain special tax considerations that differ from those applicable to REMIC
Regular Securities and of Securities in a Series for which a REMIC election is
not made. See "Certain Federal Income Tax Consequences."
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LIMITED LIQUIDITY. There can be no assurance that a secondary market will
develop for the Securities of any Series or, if it does develop, that it will
provide Securityholders of such Series with liquidity of investment or that it
will continue for the term of the Securities of such Series.
BOOK-ENTRY SECURITIES. The Prospectus Supplement for a Series may specify
that certain Classes of the Securities will be issued in book-entry form
("Book-Entry Securities"). As described under "Description of the
Securities -- Book-Entry Procedures," because transactions in Book-Entry
Securities can be effected only through The Depository Trust Company (the
"Depository") and certain Financial Intermediaries, the ability of a beneficial
owner of a Book-Entry Security (a "beneficial owner") to pledge such a Security
to persons or entities that do not participate in the Depository's system, or
otherwise to take actions in respect of such Securities, may be limited due to
lack of a physical certificate representing such Security. Issuance of the
Securities in book-entry form may reduce the liquidity of such Securities in the
secondary trading market since investors may be unwilling to purchase Securities
for which they cannot obtain physical certificates.
Beneficial owners may experience some delay in their receipt of
distributions of interest on and principal of the Securities because such
distributions will be forwarded by the Trustee to the Depository and the
Depository will be required to credit such distributions to the accounts of the
related Financial Intermediary which thereafter will be required to credit them
to the accounts of beneficial owners either directly or indirectly through
indirect participants. See "Description of the Securities -- Book-Entry
Procedures."
DESCRIPTION OF THE SECURITIES
GENERAL
The Mortgage Participation Securities described herein and in the related
Prospectus Supplements (the "Securities") will be issued from time to time in
Series pursuant to a Trust Agreement, the form of which has been filed as an
exhibit to the Registration Statement of which this Prospectus forms a part. The
Trust Agreement may incorporate by reference Standard Terms to Trust Agreement
("Standard Terms"). One or more Trusts will be established with the Trustee for
each Series of Securities. The Seller may sell to investors one or more Classes
of a Series of Securities in transactions not requiring registration under the
Securities Act of 1933.
The Seller will assign and transfer to the Trust for the benefit of the
holders of the Securities of each Series the Mortgage Assets, the Asset Proceeds
Account, and, to the extent specified in the related Prospectus Supplement, the
Reserve Fund or other funds, any Additional Assets, the Insurance Policies, and
the Servicing Agreements for such Series. See "The Trusts" and "The Trust
Agreements." The following summaries describe certain provisions common to each
Series of Securities. The summaries do not purport to be complete and are
subject to, and are qualified in their entirety by reference to, the Prospectus
Supplement and the provisions of the Trust Agreement relating to each such
Series of Securities. When particular provisions or terms used in the Trust
Agreement are referred to, the actual provisions (including definitions of
terms) are incorporated by reference.
The Trust Agreement for a Series will generally provide that Securities may
be issued thereunder up to the aggregate principal amount authorized from time
to time by the Seller. Each Series will consist of one or more Classes of
Securities and may include (i) one or more Classes of Senior Securities entitled
to certain preferential rights to distributions of principal and interest, (ii)
one or more Classes of Subordinated Securities, (iii) one or more Classes of
Securities representing an interest only in a specified portion of interest
payments on the Mortgage Assets in the related Trust and that may have no
principal balance, a nominal principal balance or a notional principal balance
("Strip Class"), (iv) one or more Classes of Securities representing an interest
only in payments of principal on the Mortgage Assets ("Principal Only Class"),
(v) one or more Classes of Securities upon which interest will accrue but will
not be distributed until certain other Classes of Securities of that Series have
received their final distribution ("Compound Interest Class" and "Capital
Appreciation Class" and, collectively "Accretion Classes"), (vi) one or more
Classes of Securities entitled to distributions from specified portions of the
Mortgage Assets in the related Trust, (vii) one or more Classes entitled to
fixed principal payments under certain conditions ("PAC Classes") and companion
classes thereto ("Companion Classes"), and (viii) one or more Classes of REMIC
Regular Securities and one Class of Residual Securities for each REMIC within a
Series for which a REMIC election is to be made.
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The Securities of each Series will be issued in fully registered
certificated or book-entry form in the authorized denominations for each Class
specified in the related Prospectus Supplement. The Securities of each Series in
certificated form may be transferred or exchanged at the corporate trust office
of the Trustee or such other office specified in the related Prospectus
Supplement without the payment of any service charge, other than any tax or
other governmental charge payable in connection therewith. Unless otherwise
specified in the Prospectus Supplement, distributions of principal and interest
will be made to each Class of Securities of a Series in certificated form by
check mailed to each person in whose name a Security is registered as of the
close of business on the Record Date specified in the related Prospectus
Supplement at the address appearing on the books and records of the Trust,
except that the final distributions in retirement of each Class of Securities of
a Series in certificated form will be made only upon presentation and surrender
of such Securities at the corporate trust office of the Trustee or such other
office specified in the related Prospectus Supplement. Distributions with
respect to Securities in book-entry form will be made as set forth below.
BOOK-ENTRY PROCEDURES
The Prospectus Supplement for a Series may specify that certain Classes of
the Securities will initially be issued in book-entry form ("Book-Entry
Securities") in the authorized denominations specified therein. Each such Class
will be represented by a single certificate registered in the name of the
nominee of the depository, which initially is expected to be The Depository
Trust Company ("DTC" and, together with any successor or other depository
selected by the Seller, the "Depository"). The Depository or its nominee will be
registered as the record holder of the Securities in the Security Register of
the Trust. No person acquiring a Book-Entry Security (a "beneficial owner") will
be entitled to receive a certificate representing such Security.
The beneficial owner's ownership of a Book-Entry Security will be recorded
on the records of the brokerage firm, bank, thrift institution or other
financial intermediary (each, a "Financial Intermediary") that maintains such
beneficial owner's account for such purpose. In turn, the Financial
Intermediary's ownership of such Book-Entry Security will be recorded on the
records of the Depository (or of a participating firm that acts as agent for the
Financial Intermediary whose interest in turn will be recorded on the records of
the Depository, if the beneficial owner's Financial Intermediary is not a
Depository participant). Therefore, the beneficial owner must rely on the
foregoing procedures to evidence its beneficial ownership of a Book-Entry
Security, and beneficial ownership of a Book-Entry Security may only be
transferred by compliance with the procedures of such Financial Intermediaries
and Depository participants.
DTC, which is a New York-chartered limited-purpose trust company, performs
services for its participants, some of whom (and/or their representatives) own
DTC. In accordance with its normal procedures, DTC is expected to record the
positions held by each DTC participant in the Book-Entry Securities, whether
held for its own account or as a nominee for another person. In general,
beneficial ownership of Book-Entry Securities will be subject to the rules,
regulations and procedures governing the Depository and Depository participants
as in effect from time to time.
Distributions of principal and interest on the Book-Entry Securities will
be made on each Distribution Date to the Depository. The Depository will be
responsible for crediting the amount of such distributions to the accounts of
the applicable Depository participants in accordance with the Depository's
normal procedures. Each Depository participant will be responsible for
disbursing such payments to the beneficial owners of the Book-Entry Securities
that it represents and to each Financial Intermediary for which it acts as
agent. Each such Financial Intermediary will be responsible for disbursing funds
to the beneficial owners of the Book-Entry Securities that it represents. As a
result of the foregoing procedures, beneficial owners of the Book-Entry
Securities may experience some delay in their receipt of payments.
Because transactions in Book-Entry Securities can be effected only through
the Depository, participating organizations, indirect participants and certain
banks, the ability of a beneficial owner of a Book-Entry Security to pledge such
Security to persons or entities that do not participate in the Depository, or
otherwise to take actions in respect of such Security, may be limited due to the
lack of a physical certificate representing such Security. Issuance of the
Book-Entry Securities in book-entry form may reduce the liquidity of such
Securities in the secondary trading market because investors may be unwilling to
purchase Book-Entry Securities for which they cannot obtain physical
certificates.
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The Book-Entry Securities will be issued in fully registered, certificated
form to beneficial owners of Book-Entry Securities or their nominees, rather
than to the Depository or its nominee, only if (i) the Seller advises the
Trustee in writing that the Depository is no longer willing or able to discharge
properly its responsibilities as depository with respect to the Book-Entry
Securities and the Seller is unable to locate a qualified successor within 30
days or (ii) the Seller, at its option, elects to terminate the book-entry sytem
through the Depository. Upon the occurrence of either event described in the
preceding sentence, the Trustee is required to notify the Depository, which in
turn will notify all beneficial owners of Book-Entry Securities through
Depository participants, of the availability of certificated Securities. Upon
surrender by the Depository of the certificates representing the Book-Entry
Securities and receipt of instructions for re-registration, the Trustee will
reissue the Book-Entry Securities as certificated Securities to the beneficial
owners of Book-Entry Securities.
Neither the Seller, the Master Servicer (or Securities Administrator) nor
the Trustee will have any liability for any aspect of the records relating to or
payment made on account of beneficial ownership interests of the Book-Entry
Securities held by the Depository, or for maintaining, supervising or reviewing
any records relating to such beneficial ownership interests.
ALLOCATION OF DISTRIBUTIONS FROM THE MORTGAGE ASSETS
The Prospectus Supplement for a Series will specify the Available
Distribution for such Series, which in general will be equal to the amount of
principal and interest actually collected, advanced or received during the
applicable Due Period or Prepayment Period, net of applicable servicing, master
servicing, administrative and guarantee fees, insurance premiums and amounts
required to reimburse any unreimbursed advances. The Available Distribution will
be allocated among the Classes of Securities in the proportion and order of
application set forth in the Trust Agreement and described in the related
Prospectus Supplement. The Available Distribution may be allocated so that
amounts paid as interest on the Mortgage Assets may be distributed as principal
on the Securities and amounts paid as principal on the Mortgage Assets may be
distributed as interest on the Securities.
A Class of Securities of a Series entitled to distributions of interest may
receive such interest at a specified rate (a "Pass-Through Rate"), which may be
fixed, variable or adjustable. Each such Class of Securities may have a
different Pass-Through Rate. The related Prospectus Supplement will specify the
Pass-Through Rate, or the method for determining the Pass-Through Rate, for each
applicable Class. Residual Securities offered hereby may or may not have a
Pass-Through Rate. Residual Securities will generally be entitled to receive
amounts remaining after allocation of scheduled distributions to all other
outstanding Classes of Securities of that Series entitled thereto. Certain
Classes of Securities may be represented by a notional principal amount. The
notional amount is used solely for purposes of determination of interest
distributions and certain other rights and obligations of holders of such
Securities and does not represent any beneficial interest in principal payments
on the Mortgage Assets in the related Trust. Interest distributions on the
Securities generally will include interest accrued through the Accounting Date
preceding the applicable Distribution Date or to another date specified in the
related Prospectus Supplement. Interest will be computed on the basis of a
360-day year consisting of twelve 30-day months, unless otherwise specified in
the related Prospectus Supplement.
With respect to a Series that includes one or more Classes of Subordinated
Securities, the Senior Securities will generally not bear any Realized Losses on
the Loans, except as otherwise specified in the related Prospectus Supplement,
until the Subordinated Securities of that Series have borne Realized Losses up
to a specified Subordination Amount or loss limit, or until the principal amount
of the Subordinated Securities has been reduced to zero, either through the
allocation of Realized Losses, the priority of distributions, or both.
Distributions of interest may be reduced to the extent of Shortfall on Mortgage
Loans comprising or underlying the Mortgage Assets of the related Trust. With
respect to a Series that includes a Class of Subordinated Securities, any
Shortfall may result in a reallocation of amounts otherwise distributable to
less senior Securities for distribution to more senior Securities.
Principal and interest distributable to the holders of a Class of
Securities will be distributed pro rata in the proportion that the outstanding
principal or notional amount of each Security of such Class bears to the
aggregate outstanding principal or notional amount of all Securities of such
Class, or in such other manner as may be specified in the related Prospectus
Supplement.
The Final Scheduled Distribution Date for each Class of Securities
generally will be determined on the basis of the assumptions set forth in the
related Prospectus Supplement. If no assumptions are set forth, the Final
Scheduled Distribution Date for a Class of Securities will be the date on which
the last distribution of the principal thereof
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is scheduled to occur, assuming no prepayments of principal with respect to the
Mortgage Assets included in the Trust for that Series.
VALUATION OF MORTGAGE ASSETS
The Mortgage Assets and other assets included in the Trust for each Series
of Securities will have an initial aggregate Asset Value, together with any
other assets included in the Trust underlying a Series of Securities, at least
equal to 100% of the initial principal amount of the Securities of such Series.
Unless otherwise specified in the related Prospectus Supplement, the Asset Value
of any Mortgage Asset in the Trust for a Series, to the extent applicable to
such Series, will generally equal (i) the Scheduled Principal Balance of such
Mortgage Asset or (ii) the lesser of (A) the present value of the stream of
remaining regularly scheduled payments of principal and interest due on such
Mortgage Asset (after taking into account charges for servicing, administration,
insurance and related matters) discounted at the Asset Value Discount Rate, if
any, for such Series specified in the Prospectus Supplement, and (B) the
Scheduled Principal Balance of such Mortgage Asset multiplied by the applicable
Asset Value Percentage. The Asset Value Percentage will be the percentage
limitation that, based upon the scheduled net payments on the Mortgage Assets
included in the Trust, is intended to assure the availability of sufficient
funds to make scheduled distributions on the Securities in the event of
substantial principal prepayments on the Mortgage Assets. In each case Asset
Value will be determined after the subtraction of applicable servicing, master
servicing, administrative and guarantee fees, and insurance premiums and the
addition, if the related Prospectus Supplement so specifies, of any Reinvestment
Income thereon. The Asset Value of a Liquidated Loan or Loan purchased from the
Trust pursuant to the Trust Agreement shall be zero.
If distributable to the Securityholders, Reinvestment Income for a Series
may be based on the applicable contractually specified interest rates pursuant
to guaranteed reinvestment agreements with an institution or institutions
acceptable to each Rating Agency rating the Series. Other specified interest
rates acceptable to each Rating Agency rating a Series may be set forth in the
related Prospectus Supplement for purposes of certain assumptions regarding
Reinvestment Income if required in the calculation of distributions to
Securityholders.
OPTIONAL REDEMPTION
To the extent and under the circumstances specified in the related
Prospectus Supplement, the Securities of any Series may be redeemed prior to
their Final Scheduled Distribution Date at the option of the Seller, the Master
Servicer (or Securities Administrator), the Servicer or such other party as may
be specified in the related Prospectus Supplement by purchase of the outstanding
Securities of such Series. Unless otherwise specified in the Prospectus
Supplement, the right so to redeem the Securities of any Series will be
conditioned upon the passage of a certain date specified in the Prospectus
Supplement and/or the Asset Value or Scheduled Principal Balance of the Mortgage
Assets in the Trust or the outstanding principal balance of a specified Class of
Securities at the time of purchase aggregating less than a percentage specified
in the related Prospectus Supplement, of the Asset Value or the Scheduled
Principal Balance of the Mortgage Assets in the Trust or the outstanding
principal balance of the applicable Class of Securities upon the issuance of the
Series of Securities. In the event the option to redeem the Securities of any
Series is exercised, the purchase price distributed with respect to each
Security offered hereby and by the related Prospectus Supplement will generally
equal 100% of its then outstanding principal amount, plus accrued and unpaid
interest thereon at the applicable Pass-Through Rate, net of any unreimbursed
advances and unrealized losses allocated to such Security. Notice of the
redemption of the Securities of any Series will be given to related
Securityholders as provided in the related Trust Agreement.
MATURITY AND PREPAYMENT CONSIDERATIONS
Unless otherwise specified in the related Prospectus Supplement, all of the
Mortgage Loans and the mortgage loans underlying the Mortgage Certificates
included in the Trust for a Series will consist of first lien residential
mortgages or deeds of trust. The mortgage loans underlying the GNMA Certificates
in the Trust for a Series will consist of FHA Loans, VA Loans, RHS Loans or
multifamily loans; the mortgage loans underlying the FNMA Certificates in the
Trust for a Series will consist of conventional loans, FHA Loans, VA Loans, RHS
Loans or multifamily loans; the mortgage loans underlying the FHLMC Certificates
in the Trust for a Series will consist of conventional loans, multifamily loans
or participations in either; and the Mortgage Loans in the Trust for a Series
will consist of conventional loans, FHA Loans, VA Loans or RHS Loans. See "The
Trusts."
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The prepayment experience on the Mortgage Assets will affect (i) the
average life of the Securities and each Class thereof issued by the related
Trust, (ii) the extent to which the final distribution for each Class occurs
prior to its Final Scheduled Distribution Date, and (iii) the effective yield on
each Class of such Securities. Because prepayments will be passed through to the
holders of Securities of each Series as distributions of principal on such
Securities, it is likely that in the event of such prepayments, the final
distributions on the Classes of Securities of a Series will occur prior to their
respective Final Scheduled Distribution Dates.
Prepayments on mortgages are commonly measured relative to a prepayment
standard or model, such as the FHA Prepayment Experience, the Single Monthly
Mortality ("SMM") prepayment model, the Constant Prepayment Rate ("CPR") model,
or some other prepayment assumption model ("PAM"). The Prospectus Supplement for
a Series of Securities may contain a table setting forth percentages of the
original principal amount of each Class of Securities of such Series anticipated
to be outstanding after each of the dates shown in the table. It is unlikely
that the prepayment of the Mortgage Assets of any Trust will conform to any of
the percentages of the prepayment assumption model described in any table set
forth in the related Prospectus Supplement.
FHA has compiled statistics relating to one- to four-family, fixed rate
level payment mortgage loans insured by the FHA under the National Housing Act
of 1934, as amended, at various interest rates, all of which permit assumption
by the new buyer if the home is sold. Such statistics indicate that while some
of such mortgage loans remain outstanding until their scheduled maturities, a
substantial number are paid prior to their respective stated maturities.
Moreover, although each of the FHA Loans included in the FHA statistics is
assumable, a number of Mortgage Loans and a number of mortgage loans backing
FHLMC Certificates and FNMA Certificates include "due-on-sale" clauses which
allow the holder of the mortgage loan to demand payment in full of the remaining
principal balance of the mortgage loan upon sale or certain other transfers of
the underlying Mortgaged Premises. The resulting acceleration of mortgage
payments upon transfer of the underlying Mortgaged Premises is another factor
affecting prepayment rates that is not reflected in the FHA statistics. See
"Certain Legal Aspects of Mortgage Loans -- "Due-on-Sale' Clauses."
The rate of principal payments on Mortgage Loans (or mortgage loans
underlying the Mortgage Certificates) will be affected by the amortization
schedules of the mortgage loans and by the rate of principal prepayments thereon
(including for this purpose payments resulting from refinancings, liquidations
due to defaults, casualties, condemnations, and purchases by or on behalf of the
Seller, the Servicers, the Master Servicer or the Participant, as the case may
be). NO ASSURANCE CAN BE GIVEN AS TO THE RATE OF PRINCIPAL PAYMENTS OR
PREPAYMENTS ON THE MORTGAGE LOANS. The rate of principal prepayments on pools of
mortgages is influenced by a variety of economic, geographic, social, tax, legal
and other factors. In general, however, if prevailing interest rates fall
significantly below the interest rates on the Mortgage Loans (or mortgage loans
underlying the Mortgage Certificates), 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 mortgage loans.
It should also be noted that certain Mortgage Certificates in the Trust for
a Series of Securities may be backed by mortgage loans with different interest
rates. Accordingly, the prepayment experience of such Mortgage Certificates will
to some extent be a function of the mix of interest rates of the underlying
mortgage loans. The stated certificate rate on certain Mortgage Certificates may
be up to 3% less than the stated interest rate on the underlying mortgage loans.
Other factors affecting the prepayment of Mortgage Loans (or mortgage loans
underlying the Mortgage Certificates) include changes in Borrowers' housing
needs, job transfers, unemployment, Borrowers' net equity in the Mortgaged
Premises and servicing decisions.
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YIELD CONSIDERATIONS
Distributions of interest on the Securities generally will include interest
accrued through the Accounting Date for the applicable Distribution Date.
Because distributions to the Securityholders generally will not be made until
the Distribution Date following the Accounting Date, the effective yield to the
holders of the Securities will be lower than the yield otherwise produced by the
applicable Pass-Through Rate and purchase price for the Security.
The yield to maturity of any Security will be affected by the rate and
timing of payment of principal of the Mortgage Loans. If the purchaser of a
Security offered at a discount from its Parity Price (as defined below)
calculates the anticipated yield to maturity of such Security based on an
assumed rate of payment of principal that is faster than that actually received
on the Mortgage Loans (or mortgage loans underlying the Mortgage Certificates),
the actual yield to maturity will be lower than that so calculated. Conversely,
if the purchaser of a Security offered at a premium over its Parity Price
calculates the anticipated yield to maturity of such Security on an assumed rate
of payment of principal that is slower than that actually received on the
Mortgage Loans (or mortgage loans underlying the Mortgage Certificates), the
actual yield to maturity will be lower than that so calculated. "Parity Price"
is the price at which a Security will yield its coupon, after giving effect to
any payment delay.
The timing of changes in the rate of prepayments on the Mortgage Loans (or
mortgage loans underlying the Mortgage Certificates) may significantly affect an
investor's actual yield to maturity, even if the average rate of principal
payments experienced over time is consistent with an investor's expectation. In
general, the earlier a prepayment of principal on the Mortgage Loans (or
mortgage loans underlying the Mortgage Certificates), the greater will be the
effect on the 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 Securities would not be fully offset by a
subsequent like reduction (or increase) in the rate of principal payments.
Because the rate of principal payments (including prepayments) on the Mortgage
Loans (or mortgage loans underlying the Mortgage Certificates) may significantly
affect the weighted average life and other characteristics of any Class of
Securities, prospective investors are urged to consider their own estimates as
to the anticipated rate of future prepayments on the mortgage loans and the
suitability of the Securities to their investment objectives. For factors
affecting principal prepayments on the mortgage loans, see "Maturity and
Prepayment Considerations" above.
The yield on each Class of Securities also will be affected by Realized
Losses or Shortfall allocated to such Class.
THE TRUSTS
GENERAL
The Seller will sell, assign and transfer to the Trust for the benefit of
the holders of the Securities thereof: (i) Mortgage Assets (which may include
Funding Agreements with various Finance Companies that are secured by Mortgage
Assets), together with the payments thereon, having an aggregate initial Unpaid
Principal Balance or Asset Value, as specified in the related Prospectus
Supplement, at least equal to 100% of the original principal amount of the
Securities of such Series, (ii) the Asset Proceeds Account for such Series,
(iii) to the extent applicable, the Reserve Fund and other funds and accounts
for such Series, (iv) to the extent applicable, certain rights to Additional
Assets, (v) to the extent applicable, all proceeds that may become due under the
Insurance Policies with respect to such Series, and (vi) to the extent
applicable, the Seller's rights under the Servicing Agreements and the
agreements pursuant to which it acquired the Mortgage Assets with respect to
such Series.
The assets for a Series will be assigned and transferred to a Trust for the
sole benefit of holders of the Securities of such Series, except that certain
credit enhancement items required by Rating Agencies in connection with Mortgage
Loans may also be assigned to Trusts for other Series of Securities or may
secure other mortgage-backed securities or collateralized mortgage obligations
issued by the Seller or other persons. Particular assets that might be assigned
to Trusts for other Series or that secure such other collateralized mortgage
obligations include Pool Insurance Policies, Special Hazard Insurance Policies,
Mortgagor Bankruptcy Insurance, Reserve Funds and Additional Assets.
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ASSIGNMENT OF MORTGAGE ASSETS
Pursuant to the applicable Trust Agreement, the Seller will cause the
Mortgage Assets (or its security interest therein) to be sold, assigned and
transferred to the Trustee, together with all principal and interest paid on
such Mortgage Assets from the date specified in the Prospectus Supplement. The
Trustee will, in exchange for the Mortgage Assets so transferred, deliver to the
order of the Seller Securities of that Series in authorized denominations
registered in such names as the Seller may request representing the beneficial
ownership interest in such Mortgage Assets. Each pool of Mortgage Assets will
constitute a trust or trusts held by the Trustee for the benefit of the holders
of the Series of Securities representing the ownership interest therein. Each
Mortgage Certificate or Loan included in a Trust will be identified in a
schedule appearing as an exhibit to the related Trust Agreement. Such schedule
will include information as to the Scheduled Principal Balance of each Mortgage
Certificate or Loan as of the date of issuance of the Securities and its
interest rate, original principal balance and certain other information.
In addition, such steps will be taken by the Seller as are necessary to
have the Trustee become the registered owner of each Mortgage Certificate which
is included in a Trust and to provide for all payments on each such Mortgage
Certificate to be made directly to the Trustee. The Seller will, likewise, as to
each Mortgage Loan, deliver or cause to be delivered to the Trustee the related
mortgage note (a "Note") endorsed to the order of the Trustee, evidence of
recording of the mortgage or deed of trust (a "Security Instrument"), an
assignment of such Security Instrument in recordable form naming the Trustee as
assignee, and certain other original documents evidencing or relating to the
Mortgage Loan. Within one year following the Closing Date for a Series, the
Seller will cause the assignments of the Mortgage Loans to be recorded in the
appropriate public office for real property records wherever necessary to
protect the Trustee's interest in the Mortgage Loans. In lieu of recording the
assignments of Mortgage Loans in a particular jurisdiction, the Seller may
deliver or cause to be delivered to the Trustee an opinion of local counsel to
the effect that such recording is not required to protect the right, title and
interest of the Trustee in such Mortgage Loans. The original mortgage documents
are to be held by the Trustee or a custodian acting on its behalf, except to the
extent released to the Servicer or the Master Servicer from time to time in
connection with servicing the Mortgage Loan.
The Seller or the Participant will make certain representations and
warranties in the Trust Agreement with respect to the Mortgage Assets, including
representations that it either is the owner of the Mortgage Assets or has a
first priority perfected security interest in the Mortgage Assets. In addition,
the Participant may make certain representations and warranties with respect to
the Mortgage Assets in the sales agreement pursuant to which the Mortgage Assets
are transferred to the Seller, or in a Funding Agreement. With respect to those
Mortgage Assets which are Mortgage Loans, the Servicer also may make certain
representations and warranties in the Servicing Agreement unless otherwise
provided in the Prospectus Supplement. See "Sale and Servicing of Mortgage
Loans -- Representations and Warranties." The Seller's right to enforce such
representations and warranties of a Participant or Servicer will be assigned to
the Trustee under the related Trust Agreement. To the extent that a Participant
or Servicer makes representations and warranties regarding the characteristics
of the Mortgage Assets, the Seller will generally not also make such
representations and warranties. In the event that the representations and
warranties of the Seller or Participant are breached, and such breach or
breaches adversely affect the interests of the Securityholders in the Mortgage
Assets, the Seller or Participant will be required to cure such breach or, in
the alternative, to substitute Mortgage Assets in accordance with the criteria
set forth herein, or to repurchase the affected Mortgage Assets, in general at a
price equal to the Unpaid Principal Balance of such Mortgage Assets, together
with accrued and unpaid interest thereon at the interest rate on such Note (the
"Note Rate"). In addition, unless otherwise provided in the Prospectus
Supplement, in the event a Servicer breaches its representations and warranties
with respect to a Mortgage Loan and such breach adversely affects the interests
of the Securityholders in the Mortgage Loans, the Servicer will be required to
cure such breach or to repurchase such Mortgage Loan for the purchase price
described above, net of any unreimbursed advances of principal made by the
Servicer and any outstanding servicing fees owed to the Servicer with respect to
such Mortgage Loan. Neither the Seller nor any Master Servicer will be obligated
to substitute Mortgage Assets or to repurchase Mortgage Assets if a Participant
or Servicer defaults upon its obligation to do so, and no assurance can be given
that Participants or Servicers will perform such obligations with respect to
Mortgage Assets.
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THE MORTGAGE ASSETS
The Prospectus Supplement for a Series will describe in general the type of
Mortgage Assets that will be transferred to the related Trust. The Mortgage
Assets may be composed of (i) GNMA Certificates, (ii) FHLMC Certificates, (iii)
FNMA Certificates, (iv) other Mortgage Certificates, (v) Mortgage Loans, (vi)
Contracts, (vii) certain other assets evidencing interests in loans secured by
residential property, and (viii) Funding Agreements with various Finance
Companies that are secured by Mortgage Certificates, Mortgage Loans or other
similar assets.
GNMA Certificates are mortgage pass-through certificates as to which the
timely payment of principal and interest is guaranteed by Government National
Mortgage Association, a wholly owned corporate instrumentality of the United
States within HUD. GNMA's obligations are guaranteed by the full faith and
credit of the United States. The mortgage loans underlying GNMA Certificates may
consist of FHA Loans secured by mortgages on one- to four-family residential
properties or multi-family residential properties, VA Loans partially guaranteed
by the VA, and other mortgage loans eligible for inclusion in mortgage pools
underlying GNMA Certificates.
FHLMC Certificates are mortgage pass-through certificates as to which the
Federal Home Loan Mortgage Corporation has guaranteed the timely payment of
interest and, generally, the ultimate collection of principal. FHLMC is a
federally chartered corporation whose obligations are not guaranteed by the
United States or any agency or instrumentality thereof. Each FHLMC Certificate
will represent an undivided interest in a group of mortgage loans or
participations in mortgage loans secured by a first lien on one-to-four family
residential properties or multi-family residential properties.
FNMA Certificates are mortgage pass-through certificates as to which the
Federal National Mortgage Association has guaranteed the timely payment of
principal and interest. FNMA is a federally chartered and privately owned
corporation whose obligations are not guaranteed by the United States or any
agency or instrumentality thereof. Each FNMA Certificate will represent an
undivided interest in a pool of mortgage loans formed by FNMA. Each such
mortgage loan will be secured by a first lien on one- to four-family residential
properties or multifamily residential properties.
Although payment of principal and interest on the GNMA Certificates, FHLMC
Certificates and FNMA Certificates, if any, assigned to the Trust for a Series
of Securities is guaranteed by GNMA, FHLMC and FNMA, respectively, the
Securities do not represent an obligation of or an interest in the Seller or any
affiliate thereof and are not guaranteed or insured by GNMA, FHLMC, FNMA, the
Seller or any of its affiliates, or any other person.
Unless otherwise specified in the related Prospectus Supplement, the
Mortgage Loans included in a Trust will be secured by first liens on one-family,
two- to four-family or multifamily residential property and may also include
Cooperative Loans evidenced by promissory notes secured by a lien or the shares
issued by private, non-profit, cooperative housing corporations and on the
related proprietary leases or occupancy agreements granting exclusive rights to
occupy specific Cooperative Dwellings. Regular monthly installments of principal
and interest on each Mortgage Loan or Contract ("Monthly Payments") paid by the
Borrower will be collected by the Servicer or Master Servicer and ultimately
remitted to the Trustee.
The Mortgaged Premises securing such Mortgage Loans may consist of (i)
detached homes, (ii) attached homes (units having a common wall), (iii) units
located in condominiums, and (iv) such other types of homes or units set forth
in the related Prospectus Supplement including but not limited to multifamily
residential complexes and cooperative units evidenced by a stock certificate.
Each such detached or attached home will be constructed on land owned in fee
simple by the Borrower or on land leased by the Borrower for a term at least one
year greater than the term of the applicable Mortgage Loan. Attached homes may
consist of duplexes, triplexes and fourplexes (multifamily structures where the
entire lot on which each structure is built is owned by the owners of the units)
or townhouses (multifamily structures in which each Borrower owns the land upon
which the unit is built with the remaining adjacent land owned in common). The
Mortgage Loans included in the Trust for a Series of Securities may be secured
by Mortgaged Premises that (i) are owner-occupied, (ii) are owned by investors
or (iii) serve as second residences or vacation homes.
The Mortgage Loans included in the Trust for a Series: may provide for the
payment of interest and full repayment of principal in level Monthly Payments
with a fixed rate of interest computed on the declining principal balance of the
Mortgage Loan ("Level Payment Mortgage Loans"); may provide for periodic
adjustments to the rate of interest on such Mortgage Loans ("ARM Loans") to
equal the sum (which may be rounded) of a fixed margin ("Gross Margin") and an
index ("Index"), all as described in the related Prospectus Supplement; may
consist of
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Mortgage Loans for which funds have been provided to reduce the Borrower's
Monthly Payments during the early period of such Mortgage Loans ("Buy-Down
Mortgage Loans"); may provide for the one-time reduction of the interest rate
payable thereon ("RIM Loans"); may provide for (i) Monthly Payments during the
first year that are at least sufficient to pay interest due on the Mortgage
Loan, and (ii) an increase in such Monthly Payment in subsequent years at a
predetermined rate resulting in full repayment over a shorter term than the
initial amortization schedule ("GEM Loans"); may include graduated payment
Mortgage Loans, which allow for payments during a portion of their term which
are or may be less than the amount of interest due on the Unpaid Principal
Balance of the Mortgage Loans, and which unpaid interest will be added to the
principal balance of such Mortgage Loan and will be paid, together with interest
thereon, in the later years ("GPM Loans"); may include Mortgage Loans on which
only interest is payable until maturity, as well as Mortgage Loans that provide
for the amortization of principal over a certain period, although all remaining
principal is due at the end of a shorter period ("Balloon Payment Mortgage
Loans"); may include Mortgage Loans that provide for Borrower payments to be
made on a bi-weekly basis ("Bi-Weekly Mortgage Loans"); and may include such
other types of mortgage loans as are described in the related Prospectus
Supplement. Buy-Down Mortgage Loans, GEM Loans, GPM Loans and Balloon Payment
Mortgage Loans also may be ARM Loans.
The Mortgage Assets may consist of Contracts secured by Manufactured Homes.
The Contracts typically will provide for regular Monthly Payments that will
amortize the principal amount thereof over the term of the Contract (typically
from ten to twenty years). Interest may be fixed or adjustable based upon an
Index. Unless the Manufactured Home is affixed to the real estate, the security
interest in the Manufactured Home will be governed by state motor vehicle
titling laws or the state's Uniform Commercial Code. Manufactured Homes may
consist of either "single-wide" or "double-wide" units. Additional information
about the Contracts and Manufactured Homes included in a Trust will be provided
in the related Prospectus Supplement.
The Trust for a Series may also include other Mortgage Assets consisting of
conventional mortgage pass-through certificates or collateralized mortgage
obligations as more fully described in the related Prospectus Supplement. Such
other Mortgage Assets must be in form and substance satisfactory to each Rating
Agency rating that Series of Securities.
REPURCHASE OF CONVERTED MORTGAGE LOANS
If so specified in the Prospectus Supplement for a Series, the related
Trust may include Mortgage Loans which are convertible to Converted Mortgage
Loans. Unless otherwise specified in the Prospectus Supplement, a Servicer will
be obligated to repurchase from the Trust any such Converted Mortgage Loan at a
purchase price equal to the Unpaid Principal Balance of such Mortgage Loan, plus
30 days of interest thereon at the applicable Note Rate. If a Servicer (other
than a successor servicer) does not have an obligation to purchase Converted
Mortgage Loans, the Master Servicer will be obligated to purchase such Converted
Mortgage Loans to the extent provided in the Prospectus Supplement. A Servicer
or the Master Servicer, as applicable, will be obligated to deposit the amount
of the purchase price in an account or accounts established for such purpose and
the purchase price will be treated as a prepayment of the related Mortgage Loan.
An obligation of a Servicer or the Master Servicer to repurchase Converted
Mortgage Loans may or may not be supported by cash, letters of credit, third
party guarantees or other similar arrangements.
SUBSTITUTION OF MORTGAGE ASSETS
Unless otherwise provided in the Prospectus Supplement for a Series, the
Seller or Participant may, within three months of the Closing Date, deliver to
the Trustee other Mortgage Assets in substitution for any one or more Mortgage
Assets initially included in the Trust for such Series. In general, any
substitute Mortgage Asset must, on the date of such substitution, (i) have an
Unpaid Principal Balance not greater than (and not more than $10,000 less than)
the Unpaid Principal Balance of the deleted Mortgage Asset, (ii) have a Note
Rate not less than (and not more than one percentage point in excess of) the
Note Rate of the deleted Mortgage Asset, (iii) have a Net Rate equal to the Net
Rate of the deleted Mortgage Asset, (iv) have a remaining term to maturity not
greater than (and not more than one year less than) that of the deleted Mortgage
Asset, and (v) comply with each representation and warranty relating to the
Mortgage Assets and, if the Participant is effecting the substitution, comply
with each representation and warranty set forth in the transfer agreement
conveying the Mortgage Loans to the Seller. In addition, only like-kind
collateral may be substituted except that Mortgage Certificates may be
substituted for Mortgage Loans. If Mortgage Loans are being substituted, the
substitute Mortgage Loan must have a loan-to-value ratio as of
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the first day of the month in which the substitution occurs equal to or less
than the loan-to-value ratio of the deleted Mortgage Loan as of such date (in
each case, using the value at origination, and after taking into account the
payment due on such date). Further, no ARM Loan may be substituted unless the
deleted Mortgage Loan is an ARM Loan, in which case, the substituted Mortgage
Loan must also (a) have a minimum lifetime Note Rate that is not less than the
minimum lifetime Note Rate on the deleted Mortgage Loan, (b) have a maximum
lifetime Note Rate that is not less than the maximum lifetime Note Rate on the
deleted Mortgage Loan, (c) provide for a lowest possible Net Rate that is not
lower than the lowest possible Net Rate for the deleted Mortgage Loan and a
highest possible Net Rate that is not lower than the highest possible Net Rate
for the deleted Mortgage Loan, (d) have a Gross Margin not less than the Gross
Margin of the deleted Mortgage Loan, (e) have a Periodic Rate Cap equal to the
Periodic Rate Cap on the deleted Mortgage Loan, (f) have a next Interest
Adjustment Date that is the same as the next Interest Adjustment Date for the
deleted Mortgage Loan or occurs not more than two months prior to the next
Interest Adjustment Date for the deleted Mortgage Loan, and (g) not be a
Mortgage Loan convertible from an adjustable rate to a fixed rate unless the
deleted Mortgage Loan is so convertible. In the event that more than one
Mortgage Asset is substituted for a deleted Mortgage Asset, one or more of the
foregoing characteristics may be applied on a weighted average basis as
described in the Trust Agreement.
FUNDING AGREEMENTS
If specified in the Prospectus Supplement for a Series, the Seller may
enter into a Funding Agreement with a limited-purpose subsidiary or affiliate of
a Participant (a "Finance Company"). No Finance Company will be authorized to
engage in any business activities other than the financing and sale of Mortgage
Assets.
Pursuant to a Funding Agreement (i) the Seller will lend a Finance Company
a portion of the proceeds from the sale of a Series of Securities and such
Finance Company will pledge to the Seller as security therefor Mortgage Assets
having an aggregate Unpaid Principal Balance or Asset Value equal to at least
the amount of the loan, and (ii) the Finance Company will agree to repay such
loan by causing payments on the Mortgage Assets to be made to the Trustee as
assignee of the Seller in such amounts as are necessary (together with payments
from the related Reserve Fund or other funds or accounts) to pay accrued
interest on such loan and to amortize the entire principal amount of such loan.
A Finance Company is not obligated to provide additional collateral to secure
the loan pursuant to a Funding Agreement subsequent to the issuance of the
Securities of the Series by the Trust.
Unless the Seller, the Servicer, the Master Servicer or other entity
designated in the Prospectus Supplement exercises its option to terminate the
Trust and retire the Securities of a Series, or a Finance Company defaults under
its Funding Agreement, such Finance Company's loan may not be prepaid other than
as a result of prepayments on the pledged Mortgage Assets. If the Finance
Company, nevertheless, were to attempt to prepay its loan, the loan would not be
deemed prepaid in full unless the Finance Company paid the Seller an amount
sufficient to enable the Seller to purchase other Mortgage Assets comparable in
yield and maturity to the Finance Company's Mortgage Assets pledged under the
Funding Agreement. The Trustee then could either (i) purchase such other
Mortgage Assets and substitute them for the Mortgage Assets pledged by the
Finance Company, to the extent that such purchase and substitution did not
adversely affect the tax treatment of the related Series, or (ii) deposit the
amount of the Finance Company's prepayment in the Asset Proceeds Account.
In the event of a default under a Funding Agreement, the Trustee will have
recourse to the related Finance Company for the benefit of the holders of the
Securities, including the right to foreclose upon the Mortgage Assets securing
that Funding Agreement. The participating Finance Companies will be
limited-purpose finance entities and, therefore, it is unlikely that a
defaulting Finance Company will have any significant assets except those pledged
to the Trust for the Series and those that secure other mortgage-backed
securities and collateralized mortgage obligations. The Trustee has no recourse
to assets pledged to secure other securities except to the limited extent that
funds generated by such assets exceed the amount required to pay those
securities and are released from the lien securing such other securities and
returned to a Finance Company. For that reason, prospective purchasers of
Securities should make their investment decisions on the basis that the
Securities of a Series have rights solely with respect to the assets transferred
to the Trust for that Series of Securities.
In the event of a default under a Funding Agreement and the sale by the
Trustee of the Mortgage Assets securing the obligations of the Finance Company
under the Funding Agreement, the Trustee may distribute principal in an amount
equal to the Unpaid Principal Balance of the Mortgage Assets so liquidated
ratably among all
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Classes of Securities within the Series, or in such other manner as may be
specified in the related Prospectus Supplement.
ASSET PROCEEDS ACCOUNT
Unless otherwise specified in the related Prospectus Supplement, payments
on the Mortgage Loans or Contracts included in the Trust for a Series will be
remitted to the Servicer Custodial Account or Master Servicer Custodial Account
and then to the Asset Proceeds Account for such Series, net of amounts required
to pay servicing fees and any amounts which are to be included in any Reserve
Fund. All payments received on Mortgage Certificates included in the Trust for a
Series will be remitted to the Asset Proceeds Account. All or a portion of the
amounts in such Asset Proceeds Account, together with Reinvestment Income
thereon if payable to the Securityholders, will be available, to the extent
specified in the related Prospectus Supplement, for the payment of master
servicing and administrative fees and distributions of principal and interest on
each Class of the Securities of such Series in accordance with the respective
allocations set forth in the related Prospectus Supplement.
RESERVE FUND OR ACCOUNTS
If stated in the Prospectus Supplement for a Series, the Seller will
deposit cash, certificates of deposit or letters of credit in one or more
Reserve Funds or accounts, which may be used by the Trustee to make any required
distributions of principal or interest on the Securities of the Series to the
extent funds are not otherwise available. The Reserve Funds will be maintained
in trust but may or may not constitute a part of the Trust for such Series. The
Seller may have certain rights on any Distribution Date to cause the Trustee to
make withdrawals from the Reserve Funds for a Series and to pay such amounts in
accordance with the instructions of the Seller as specified in the related
Prospectus Supplement to the extent that such funds are no longer required to be
maintained for the Securityholders.
MORTGAGE INSURANCE ON THE MORTGAGE LOANS
Conventional Mortgage Loans included in the Trust for a Series may be
covered by primary mortgage insurance policies ("Primary Mortgage Insurance
Policies") or one or more mortgage pool insurance policies (each, a "Pool
Insurance Policy") or any combination thereof (together, the "Mortgage Insurance
Policies"). To the extent provided in the related Prospectus Supplement, in lieu
of Mortgage Insurance Policies, Additional Assets may be delivered to the
Trustee to secure the timely payment of principal and interest on the Mortgage
Loans (See "The Trusts -- Delivery of Additional Assets" below). FHA Loans and
VA Loans included in the Trust for a Series will be covered by FHA insurance or
VA guarantees, respectively, and may be covered by a Pool Insurance Policy, if
any, for such Series.
Conventional Mortgage Loans that have initial loan-to-value ratios of
greater than 80% will, to the extent specified in the related Prospectus
Supplement, be covered by Primary Mortgage Insurance Policies providing coverage
on at least the amount of each such Mortgage Loan in excess of 75% of the
original fair market value of the Mortgaged Premises and remaining in force
until the principal balance of such Mortgage Loan is reduced to 80% of such
original fair market value or, with the consent of the Master Servicer and
Mortgage Insurer, after the policy has been in effect for more than two years if
the loan-to-value ratio with respect to such Mortgage Loan has declined to 80%
or less based upon its current fair market value. The initial loan-to-value
ratio of any Mortgage Loan represents the ratio of the principal amount of the
Mortgage Loan outstanding at the origination of such loan divided by the fair
market value of the Mortgaged Premises. The fair market value of the Mortgaged
Premises securing any Mortgage Loan is the lesser of the purchase price paid by
the Borrower or the appraised value of such Mortgaged Premises at origination.
Certain other Mortgage Loans may also be covered by Primary Mortgage Insurance
Policies and some Primary Mortgage Insurance Policies will, subject to their
provisions and certain conditions and exclusions described below, provide full
coverage against any loss sustained by reason of nonpayments by the Borrowers (a
"Full Coverage Insurance Policy").
The Pool Insurance Policy or Policies for a Series will generally be
designed to provide coverage for all conventional Mortgage Loans which are not
covered by Full Coverage Insurance Policies. However, the Mortgage Insurance
Policies will not insure against certain losses sustained in the event of a
personal bankruptcy of the Borrower under a Mortgage Loan. See "Certain Legal
Aspects of Mortgage Loans -- Anti-Deficiency Legislation and Other Limitations
on Lenders." Such losses may be covered by Mortgagor Bankruptcy Insurance to the
extent described below for such Series.
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The Mortgage Insurance Policies will not provide coverage against hazard
losses. Each Mortgage Loan will be covered by a Standard Hazard Insurance Policy
but such policies typically will exclude from coverage physical damage resulting
from a number of causes and, even when the damage is covered, may afford
recoveries that are significantly less than full replacement cost of such
losses. Further, to the extent that Mortgage Loans are covered by a Special
Hazard Insurance Policy, such Special Hazard Insurance Policy will not cover all
risks, and the coverage of such policy will be limited in amount. See "The
Trusts -- Hazard Insurance on the Mortgage Loans" below. Certain hazard risks
will, as a result, not be insured and losses related thereto may affect
distributions to holders of Securities of such Series.
To the extent necessary to restore or prevent a reduction of the rating
assigned by a Rating Agency to the Securities of a Series, the Servicer or the
Master Servicer will use its reasonable best efforts to replace a Mortgage
Insurance Policy with a new Mortgage Insurance Policy issued by an insurer whose
claims paying ability is acceptable to such Rating Agency.
Forms of a Primary Mortgage Insurance Policy and a Pool Insurance Policy
have been filed as exhibits to, or incorporated by reference into, the
Registration Statements of which this Prospectus forms a part. The following
descriptions of such policies and the coverage thereunder do not purport to be
complete and are qualified in their entirety by reference to such forms of
policies.
PRIMARY MORTGAGE INSURANCE
Each Primary Mortgage Insurance Policy covering Mortgage Loans included in
the Trust for a Series will be issued by a Mortgage Insurer pursuant to its
applicable master policy. The Seller and the Trustee, as assignee of the lender
under such Mortgage Loans, will generally be the insureds or assignees of
record, as their interests may appear, under each such Primary Mortgage
Insurance Policy. Each Servicing Agreement with respect to such Series will
require the Servicer to cause a Primary Mortgage Insurance Policy to be
maintained in full force and effect with respect to each related Mortgage Loan
requiring such insurance and to act on behalf of the insured with respect to all
actions required to be taken by the insured under each such Primary Mortgage
Insurance Policy.
Unless otherwise specified in the related Prospectus Supplement, the amount
of a claim for benefits under a Primary Mortgage Insurance Policy covering a
Mortgage Loan included in the Trust for a Series (herein referred to as the
"Loss") will consist of the insured portion of the unpaid principal amount of
the covered Mortgage Loan (as described herein) and accrued and unpaid interest
thereon and reimbursement of certain expenses, less (i) all rents or other
payments collected or received by the insured (other than the proceeds of hazard
insurance) that are derived from or are in any way related to such Mortgaged
Premises, (ii) hazard insurance proceeds in excess of the amount required to
restore such Mortgaged Premises and which have not been applied to the payment
of such Mortgage Loan, (iii) amounts expended but not approved by the mortgage
insurer, (iv) claim payments previously made by the Mortgage Insurer, and (v)
unpaid premiums.
Unless otherwise specified in the related Prospectus Supplement, as
conditions precedent to the filing of or payment of a claim under a Primary
Mortgage Insurance Policy covering a Mortgage Loan included in the Trust for a
Series, the insured will generally be required to, in the event of default by
the Borrower: (i) advance or discharge (a) all hazard insurance premiums and (b)
as necessary and approved in advance by the Mortgage Insurer, (1) real estate
property taxes, (2) all expenses required to preserve, repair and prevent waste
to the Mortgaged Premises so as to maintain such Mortgaged Premises in at least
as good a condition as existed at the effective date of such Primary Mortgage
Insurance Policy, ordinary wear and tear excepted, (3) property sales expenses,
(4) any outstanding liens (as defined in such Primary Mortgage Insurance Policy)
on the Mortgaged Premises, and (5) foreclosure costs, including court costs and
reasonable attorneys' fees; (ii) in the event of any physical loss or damages to
the Mortgaged Premises, have restored and repaired the Mortgaged Premises to at
least as good a condition as existed at the effective date of such Primary
Mortgage Insurance Policy, ordinary wear and tear excepted; and (iii) tender to
the Mortgage Insurer good and merchantable title to and possession of the
Mortgaged Premises. The Primary Mortgage Insurance Policy may not reimburse the
Insured for attorneys' fees on a foreclosed Mortgage Loan in excess of 3% of the
unpaid balance of that Mortgage Loan. As a result, legal expenses in excess of
such reimbursement limitation may be charged as a loss on the related
Securities.
Unless otherwise specified in the related Prospectus Supplement, other
provisions and conditions of each Primary Mortgage Insurance Policy covering a
Mortgage Loan included in the Trust for a Series generally will provide that:
(a) no change may be made in the terms of such Mortgage Loan without the consent
of the Mortgage
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Insurer; (b) written notice must be given to the Mortgage Insurer within 10 days
after the insured becomes aware that a Borrower is delinquent in the payment of
a sum equal to the aggregate of two scheduled payments due under such Mortgage
Loan or that any proceedings affecting the Borrower's interest in the Mortgaged
Premises securing such Mortgage Loan have been commenced, and thereafter, the
insured must report monthly to the Mortgage Insurer the status of any such
Mortgage Loan until such Mortgage Loan is brought current, such proceedings are
terminated or a claim is filed; (c) the Mortgage Insurer will have the right to
purchase such Mortgage Loan at any time subsequent to the 10 days' notice
described in (b) above and prior to the commencement of foreclosure proceedings,
at a price equal to the Unpaid Principal Balance of the Mortgage Loan plus
accrued and unpaid interest thereon and reimbursable amounts expended by the
insured for the real estate taxes and hazard insurance on the Mortgaged Premises
for a period not exceeding 12 months and less the sum of any claim previously
paid under the policy and any due and unpaid premium with respect to such
policy; (d) the insured must commence proceedings at certain times specified in
the policy and diligently proceed to obtain good and merchantable title to and
possession of the Mortgaged Premises; (e) the insured must notify the Mortgage
Insurer of the institution of such proceedings, provide it with copies of
documents relating thereto, notify the Mortgage Insurer of the price specified
in (c) above at least 15 days prior to the sale of the Mortgaged Premises by
foreclosure, and bid such amount unless the Mortgage Insurer specifies a lower
or higher amount; (f) the insured may accept a conveyance of the Mortgaged
Premises in lieu of foreclosure with written approval of the Mortgage Insurer,
provided that the ability of the insured to assign specified rights to the
Mortgage Insurer are not thereby impaired or the specified rights of the
Mortgage Insurer are not thereby adversely affected; (g) the insured agrees that
the Mortgage Insurer has issued the policy in reliance upon the correctness and
completeness of the statements contained in the application for the policy and
in the appraisal, plans and specifications and other exhibits and documentation
submitted therewith or at any time thereafter; (h) under certain policies, the
Mortgage Insurer will not pay claims involving or arising out of dishonest,
fraudulent, criminal or knowingly wrongful acts (including error or omission) by
certain persons, or claims involving or arising out of the negligence of certain
persons if such negligence is material either to the acceptance of the risk or
to the hazard assumed by the Mortgage Insurer; and (i) the insured must comply
with other notice provisions in the policy. As noted below, except as otherwise
provided in the Prospectus Supplement for a Series, a Participant and the
Servicer of Mortgage Loans must represent and warrant that (i) each Mortgage
Insurance Policy is the valid and binding obligation of the Mortgage Insurer and
(ii) that each mortgage insurance application was complete and accurate in all
material respects when made. See "Sale and Servicing of Mortgage
Loans -- Representations and Warranties" herein.
Unless otherwise specified in the related Prospectus Supplement, the
Mortgage Insurer will be required to pay to the insured either: (1) the insured
percentage of the Loss; or (2) at its option under certain of the Primary
Mortgage Insurance Policies, the sum of the delinquent scheduled payments plus
any advances made by the insured, both to the date of the claim payment, and
thereafter, scheduled payments in the amount that would have become due under
the Mortgage Loan if it had not been discharged plus any advances made by the
insured until the earlier of (A) the date the Mortgage Loan would have been
discharged in full if the default had not occurred, or (B) an approved sale. Any
rents or other payments collected or received by the insured which are derived
from or are in any way related to the Mortgaged Premises will be deducted from
any claim payment.
POOL INSURANCE
If any Mortgage Loan in the Trust for a Series is not covered by a Full
Coverage Insurance Policy or other credit enhancement, the Seller may obtain a
Pool Insurance Policy to cover any loss (subject to the limitations described
below) by reason of default by the Borrowers of the Mortgage Loans included in
the Trust for such Series to the extent not covered by any Primary Mortgage
Insurance Policy. The terms of the Trust Agreement with respect to a Series will
require the Master Servicer to maintain the Pool Insurance Policies, if any, for
such Series and to present or cause the Servicers to present claims thereunder
to the related insurer on behalf of the Seller, the Trustee and the holders of
Securities of such Series.
The amount of the Pool Insurance Policy (or Policies) for a Series, if any,
will be specified in the related Prospectus Supplement. A Pool Insurance Policy
for a Series, however, will not be a blanket policy against loss, because claims
thereunder may only be made for particular defaulted Mortgage Loans and only
upon satisfaction of certain conditions precedent as described below.
Unless otherwise specified in the related Prospectus Supplement, the Pool
Insurance Policy for a Series will provide that as a condition precedent to the
payment of any claim the insured will be required (a) to advance
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hazard insurance premiums on the Mortgaged Premises securing the defaulted
Mortgage Loan; (b) to advance, as necessary and approved in advance by the
related insurer, (1) real estate property taxes, (2) all expenses required to
preserve and repair the Mortgaged Premises, to protect the Mortgaged Premises
from waste, so that the Mortgaged Premises is in at least as good a condition as
existed on the date upon which coverage under the Pool Insurance Policy with
respect to such Mortgaged Premises first became effective, ordinary wear and
tear excepted, (3) property sales expenses, (4) any outstanding liens on the
Mortgaged Premises, and (5) foreclosure costs including court costs and
reasonable attorneys' fees; and (c) if there has been physical loss or damage to
the Mortgaged Premises, to restore the Mortgaged Premises to its condition
(ordinary wear and tear excepted) as of the issue date of the Pool Insurance
Policy. It also will be a condition precedent to the payment of any claim under
the Pool Insurance Policy that the insured maintain a Primary Mortgage Insurance
Policy that is acceptable to the Pool Insurer on all Mortgage Loans that have
loan-to-value ratios at the time of origination in excess of 80%. Assuming
satisfaction of these conditions, the Pool Insurer will pay to the insured the
amount of the Loss which will be: (a) the amount of the Unpaid Principal Balance
of the Mortgage Loan immediately prior to the Approved Sale of the Mortgaged
Premises; (b) the amount of the accumulated unpaid interest on such Mortgage
Loan to the date of claim settlement at the contractual rate of interest; and
(c) reimbursable amounts advanced by the insured as described above, less
certain payments (including the proceeds of any prior Approved Sale and any
Primary Insurance Policies). The Pool Insurance Policy may not reimburse the
Insured for attorneys' fees on a foreclosed Mortgage Loan in excess of 3% of the
unpaid balance of that Mortgage Loan. As a result, legal expenses in excess of
such reimbursement limitation may be charged as a loss on the related
Securities. An Approved Sale is (1) a sale of the Mortgaged Premises acquired by
the insured because of a default by the Borrower to which the Pool Insurer has
given prior approval, (2) a foreclosure or trustee's sale of the Mortgaged
Premises at a price exceeding the minimum amount specified by the Pool Insurer,
(3) the acquisition of the Mortgaged Premises under the Primary Mortgage
Insurance Policy by the related Mortgage Insurer, or (4) the acquisition of the
Mortgaged Premises by the Pool Insurer. If the Pool Insurer elects to take title
to the Mortgaged Premises, the insured must, as a condition precedent to the
payment of any such Loss, provide the Pool Insurer with good and merchantable
title to the Mortgaged Premises. If any property securing a defaulted Mortgage
Loan is damaged and the proceeds, if any, from the related Standard Hazard
Insurance Policy or the applicable Special Hazard Insurance Policy are
insufficient to restore the damaged property to a condition sufficient to permit
recovery under the Pool Insurance Policy, the Servicer or the Master Servicer of
the related Mortgage Loan will not be required to expend its own funds to
restore the damaged Mortgaged Premises unless it determines and the Master
Servicer agrees (A) that such restoration will increase the proceeds to the
Trust on liquidation of the Mortgage Loan after reimbursement of the Servicer or
the Master Servicer for its expenses and (B) that such expenses will be
recoverable by it through Liquidation Proceeds or Insurance Proceeds.
The Pool Insurance Policies will generally not insure (and many Primary
Insurance Policies may not insure) against loss sustained by reason of a default
arising from, among other things, (i) fraud or negligence in the origination or
servicing of a Mortgage Loan, including misrepresentation by the Borrower or the
Originator, (ii) failure to construct Mortgaged Premises in accordance with
plans and specifications and (iii) a claim in respect of a defaulted Mortgage
Loan occurring when the Servicer of such Mortgage Loan, at the time of default
or thereafter, was not approved by the Mortgage Insurer. A failure of coverage
attributable to one of the foregoing events might result in a breach of the
Participant's or Servicer's representations and warranties described under "Sale
and Servicing of Mortgage Loans -- Representations and Warranties" and in such
event, subject to the limitations described therein, might give rise to an
obligation on the part of the Participant or Servicer to purchase the defaulted
Mortgage Loan if the breach cannot be cured. See "Sale and Servicing of Mortgage
Loans -- Representations and Warranties." In addition, if a terminated Servicer
has failed to comply with its obligation under the Servicing Agreement to
purchase a Mortgage Loan upon which coverage under a Pool Insurance Policy has
been denied on the grounds of fraud, dishonesty or misrepresentation (or if the
Servicer has no such obligation), the Master Servicer may be obligated to
purchase the Mortgage Loan. See "Sale and Servicing of Mortgage Loans --
General" and " -- Maintenance of Insurance Policies; Claims Thereunder and Other
Realization Upon Defaulted Mortgage Loans."
The original amount of coverage under any Pool Insurance Policy assigned to
the Trust for a Series will be reduced over the life of the Securities of such
Series by the aggregate dollar amount of claims paid less the aggregate of the
net amounts realized by the Pool Insurer upon disposition of all foreclosed
Mortgaged Premises covered thereby. The amount of claims paid includes certain
expenses incurred by the Servicer or the Master Servicer of the defaulted
Mortgage Loan, as well as accrued interest on delinquent Mortgage Loans to the
date of payment
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of the claim. See "Certain Legal Aspects of Mortgage Loans -- Foreclosure." The
net amounts realized by the Pool Insurer will depend primarily on the market
value of the Mortgaged Premises securing the defaulted Mortgage Loan. The market
value of the Mortgaged Premises will be determined by a variety of economic,
geographic, social, environmental and other factors and may be affected by
matters that were unknown and could not reasonably be anticipated at the time
the original loan was made.
If aggregate net claims paid under a Pool Insurance Policy reach the
original policy limit, coverage under the Pool Insurance Policy will lapse and
any further losses may affect adversely distributions to holders of Securities
of such Series. In addition, unless the Servicer or Master Servicer could
determine that an advance in respect of a delinquent Mortgage Loan would be
recoverable to it from the proceeds of the liquidation of such Mortgage Loan or
otherwise, neither the Servicer nor the Master Servicer would be obligated to
make an advance respecting any such delinquency since the advance would not be
ultimately recoverable to it from either the Pool Insurance Policy or from any
other related source. See "Sale and Servicing of Mortgage Loans -- Advances."
The original amount of coverage under the Pool Insurance Policy assigned to the
Trust for a Series may also be reduced or canceled to the extent each Rating
Agency rating the Series confirms that such reduction will not result in the
lowering of the rating of the Securities of such Series.
Unless otherwise specified in the related Prospectus Supplement, a Pool
Insurance Policy may insure against losses on the Mortgage Loans assigned to
Trusts for other Series of Securities or that secure other mortgage-backed
securities or collateralized mortgage obligations issued by the Seller or one of
its affiliates, provided, however, that the extension of coverage (and
corresponding assignment of the Pool Insurance Policy) to any other Series or
such other Securities does not result in the downgrading of the credit rating of
any outstanding Securities of a Series offered hereby.
HAZARD INSURANCE ON THE MORTGAGE LOANS
A form of Standard Hazard Insurance Policy and a form of Special Hazard
Insurance Policy have been filed as exhibits to, or incorporated by reference
into, the Registration Statements of which this Prospectus forms a part. The
following descriptions do not purport to be complete and are qualified in their
entirety by reference to such forms of policies.
STANDARD HAZARD INSURANCE POLICIES
To the extent specified in the related Prospectus Supplement, the terms of
each Servicing Agreement relating to a Series will require each Servicer to
cause to be maintained a Standard Hazard Insurance Policy covering each
Mortgaged Premises underlying each Mortgage Loan covered by such Servicing
Agreement. The coverage amount of each Standard Hazard Insurance Policy will be
at least equal to the lesser of (a) the outstanding principal balance of the
Mortgage Loan, or (b) 100% of the replacement value of the improvements on the
Mortgaged Premises. All amounts collected by the Servicer or Master Servicer
under any Standard Hazard Insurance Policy (less amounts to be applied to the
restoration or repair of the Mortgaged Premises and other amounts necessary to
reimburse the Servicer or Master Servicer for previously incurred advances or
approved expenses, which may be retained by the Servicer or Master Servicer)
will be deposited to the applicable Custodial Account (as defined below under
"Sale and Servicing of Mortgage Loans -- Payments on Mortgage Loans") maintained
with respect to such Mortgage Loan or the Asset Proceeds Account.
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 Premises 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 included in the Trust for any Series of
Securities will be underwritten by different insurers and will cover Mortgaged
Premises located in various states, such policies will not contain identical
terms and conditions. The basic terms thereof, 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 the following: war,
revolution, governmental actions, floods and other water-related causes, earth
movement (including earthquakes, 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. When Mortgaged Premises
are located in a flood area identified by HUD pursuant to the National Flood
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Insurance Act of 1968, as amended, the applicable Servicing Agreement will
require that the Servicer or the Master Servicer, as the case may be, cause to
be maintained flood insurance with respect to such Mortgaged Premises.
The Standard Hazard Insurance Policies covering Mortgaged Premises securing
Mortgage Loans typically will contain a "coinsurance" clause which, in effect,
will require the insured at all times to carry insurance of a specified
percentage (generally 80% to 90%) of the full replacement value of the
dwellings, structures and other improvements on the Mortgaged Premises 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 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
dwellings, structures and other improvements damaged or destroyed or (ii) such
proportion of the loss, without deduction for depreciation, as the amount of
insurance carried bears to the specified percentage of the full replacement cost
of such dwellings, structures and other improvements.
Any losses incurred with respect to Mortgage Loans included in the Trust
for a Series due to uninsured risks (including earthquakes, mudflows and floods)
or insufficient hazard insurance proceeds may reduce the value of the assets
included in the Trust for such Series of Securities to the extent such losses
are not covered by the Special Hazard Insurance Policy for such Series and could
affect distributions to holders of Securities of such Series.
The Master Servicer will not require that a standard hazard or flood
insurance policy be maintained for any Cooperative Loan. Generally, the
cooperative itself is responsible for maintenance of hazard insurance for the
property owned by the cooperative and the tenant-stockholders of that
cooperative do not maintain individual hazard insurance policies. To the extent,
however, a cooperative and the related borrower on a Cooperative Note do not
maintain such insurance or do not maintain adequate coverage or any insurance
proceeds are not applied to the restoration of the damaged property, damage to
such borrower's Cooperative Dwelling or such cooperative's building could
significantly reduce the value of the collateral securing such Cooperative Note.
SPECIAL HAZARD INSURANCE POLICY
A special hazard policy ("Special Hazard Insurance Policy") may be obtained
with respect to the Mortgage Loans included in a Trust as specified in the
related Prospectus Supplement that, subject to the limitations described below,
will protect the holders of Securities of such Series from (i) loss by reason of
damage to Mortgaged Premises underlying defaulted Mortgage Loans included in the
Trust for such Series caused by certain hazards (including vandalism and
earthquakes and, except where the Borrower is required to obtain flood
insurance, floods and mudflows) not covered by the Standard Hazard Insurance
Policies with respect to such Mortgage Loans, and (ii) loss from partial damage
to the Mortgaged Premises securing such defaulted Mortgage Loans caused by
reason of the application of the coinsurance clause contained in the applicable
Standard Hazard Insurance Policies. Any Special Hazard Insurance Policy for a
Series, however, will not cover losses occasioned by war, nuclear reaction,
nuclear or atomic weapons, insurrection or normal wear and tear. Coverage under
the Special Hazard Insurance Policy with respect to a Series will be at least
equal to the amount specified in the related Prospectus Supplement.
Subject to the foregoing limitations, the Special Hazard Insurance Policy
with respect to a Series will provide that when there has been damage to
Mortgaged Premises securing a defaulted Mortgage Loan and such damage is not
covered by the Standard Hazard Insurance Policy maintained by the Borrower or
the Servicer or Master Servicer with respect to such Mortgage Loan, the special
hazard insurer will pay the lesser of (a) the cost of repair of such Mortgaged
Premises or (b) upon transfer of such property to it, the Unpaid Principal
Balance of such Mortgage Loan at the time of the acquisition of such Mortgaged
Premises, plus accrued interest to the date of claim settlement (excluding late
charges and penalty interest), and certain expenses incurred in respect of such
Mortgaged Premises. No claim may be validly presented under a Special Hazard
Insurance Policy unless (1) hazard insurance on the Mortgaged Premises securing
the defaulted Mortgage Loan has been kept in force and other reimbursable
protection, preservation and foreclosure expenses have been paid (all of which
must be approved in advance as necessary by the insurer), and (2) the insured
has acquired title to the Mortgaged Premises as a result of default by the
Borrower. If the sum of the unpaid principal amount plus accrued interest and
certain expenses is paid by the special hazard insurer, the amount of further
coverage under the Special Hazard Insurance Policy will be reduced by such
amount less any net proceeds from the sale of the Mortgaged Premises. Any amount
paid as the cost of repair of the Mortgaged Premises will reduce coverage by
such amount.
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The terms of the Trust Agreement with respect to a Series will require the
Master Servicer to maintain the Special Hazard Insurance Policy for such Series
in full force and effect throughout the term of such Trust Agreement, subject to
certain conditions contained therein. See "Sale and Servicing of Mortgage
Loans -- Maintenance of Insurance Policies; Claims Thereunder and Other
Realization Upon Defaulted Mortgage Loans." The Master Servicer is also required
to present claims, on behalf of the Trustee, for all losses not otherwise
covered by the applicable Standard Hazard Insurance Policies and take all
reasonable steps necessary to permit recoveries on such claims. See "Sale and
Servicing of Mortgage Loans."
To the extent provided in the Prospectus Supplement, partially or entirely
in lieu of a Special Hazard Insurance Policy, the Seller may deposit cash,
securities, a certificate of deposit, a letter of credit or any other instrument
acceptable to each Rating Agency rating the Series in an amount and for a term
acceptable to each such Rating Agency. Such a deposit will be credited to a
special hazard fund or similar fund, including a fund that may also provide
coverage for mortgagor bankruptcy losses, and the Trustee will be permitted to
draw on the fund to recover losses that would otherwise be covered by a Special
Hazard Insurance Policy. Such losses may also be allocated to the Subordinated
Securities of a Series on the terms and subject to the conditions and
limitations set forth in the related Prospectus Supplement. Unless otherwise
specified in the related Prospectus Supplement, a Special Hazard Insurance
Policy or special hazard fund may insure against losses on Mortgage Loans
assigned to Trusts for other Series of Securities or that secure other
mortgage-backed securities or collateralized mortgage obligations issued by the
Seller or one of its affiliates, provided, however, that the extension of
coverage (and corresponding assignment of the Special Hazard Insurance Policy)
to any other Series or such other securities does not result in the downgrading
of the credit rating of any outstanding Securities of a Series offered hereby.
The Seller may also elect to insure against special hazard losses by the
delivery of Additional Assets to the Trust rather than through a Special Hazard
Insurance Policy or special hazard fund.
MORTGAGOR BANKRUPTCY INSURANCE ON THE MORTGAGE LOANS
In the event of a personal bankruptcy of a Borrower, the bankruptcy court
may establish the value of the Mortgaged Premises of such Borrower at an amount
less than the then outstanding principal balance of the Mortgage Loan secured by
such Mortgaged Premises. The amount of the secured debt could be reduced to such
value, and the holder of such Mortgage Loan thus would become an unsecured
creditor to the extent the outstanding principal balance of such Mortgage Loan
exceeds the value so assigned to the Mortgaged Premises by the bankruptcy court.
In addition, certain other modifications of the terms of a Mortgage Loan can
result from a bankruptcy proceeding. See "Certain Legal Aspects of Mortgage
Loans -- Anti-Deficiency Legislation and Other Limitations on Lenders." Losses
resulting from a bankruptcy proceeding affecting Mortgage Loans included in the
Trust for a Series may be covered by mortgagor bankruptcy insurance for such
Series (or any other instrument that will not result in a down-grading of the
rating of the Series by any rating agency rating the Series) (the "Mortgagor
Bankruptcy Insurance"). The amount and term of any Mortgagor Bankruptcy
Insurance for a Series, which will be specified in the related Prospectus
Supplement, must be acceptable to each Rating Agency rating the Series. Subject
to the terms of the Mortgagor Bankruptcy Insurance, the issuer thereof may have
the right to purchase any Mortgage Loan with respect to which a payment or
drawing has been made or may be made for an amount equal to the outstanding
principal amount of such Mortgage Loan plus accrued and unpaid interest thereon.
In the alternative, partially or entirely in lieu of Mortgagor Bankruptcy
Insurance, to the extent specified in the related Prospectus Supplement, the
Seller may deposit cash, securities, a certificate of deposit, a letter of
credit or any other instrument acceptable to each Rating Agency rating the
Series in an initial amount acceptable to each such Rating Agency. Such a
deposit will be credited to a mortgagor bankruptcy fund or similar fund or
account, including a fund or account that may also provide coverage for special
hazard losses, and the Trustee will be able to draw on the fund or account to
recover losses that would be insured against by Mortgagor Bankruptcy Insurance.
The mortgagor bankruptcy fund or account may or may not constitute a part of the
Trust for a Series. The amount of the Mortgagor Bankruptcy Insurance for a
Series or deposit in lieu thereof may be reduced as long as any such reduction
will not result in a reduction of the then applicable rating of the Securities
of that Series offered hereby by any Rating Agency rating the Series. Unless
otherwise provided in the Prospectus Supplement, the Mortgagor Bankruptcy
Insurance or any mortgagor bankruptcy fund may insure against losses on Mortgage
Loans assigned to Trusts for other Series of Securities or that secure other
mortgage-backed securities or collateralized mortgage obligations issued by the
Seller or one of its affiliates, provided, however, that the extension of
coverage (and corresponding assignment of the Mortgagor Bankruptcy Insurance
Policy or mortgagor bankruptcy fund) to any other Series or such other
Securities does not result in the downgrading of the credit rating of any
outstanding
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Series of Securities offered hereby. The Seller may elect to deposit Additional
Assets to the Trust in lieu of obtaining Mortgagor Bankruptcy Insurance or
establishing a mortgagor bankruptcy fund.
A form of Mortgagor Bankruptcy Insurance policy has been filed as an
exhibit to, or incorporated by reference into, the Registration Statements of
which this Prospectus forms a part. The foregoing description does not purport
to be complete and is qualified in its entirety by reference to such form of
policy.
OTHER INSURANCE
If the Mortgage Assets for a Series include multifamily Mortgage Loans, the
Borrowers thereunder generally will be required to maintain additional types of
insurance, including but not limited to boiler explosion insurance and business
interruption insurance. Any such insurance policies will be described in the
Prospectus Supplement for such Series.
DELIVERY OF ADDITIONAL ASSETS
To the extent provided in the related Prospectus Supplement, in lieu of
providing Pool Insurance, Special Hazard Insurance, Mortgagor Bankruptcy
Insurance or other insurance, the Seller may assign to the Trust for a Series of
Securities non-recourse guaranties (each a "Guaranty") of the timely payment of
principal and interest on Mortgage Loans included in the Trust secured by other
assets satisfactory to each Rating Agency rating the Series. The Seller may also
assign or undertake to deliver such other assets to the Trust by such other
means as may be specified in the related Prospectus Supplement. Such other
assets may consist of additional Mortgage Loans, additional Mortgage
Certificates, letters of credit or other Eligible Investments ("Additional
Assets").
INVESTMENT OF FUNDS
Funds deposited in or remitted to the Asset Proceeds Account, any Reserve
Fund and any other funds and accounts for a Series are to be invested by the
Trustee, as directed by the Seller, in certain eligible investments ("Permitted
Investments"), which may include (i) obligations of the United States or any
agency thereof provided such obligations are backed by the full faith and credit
of the United States, (ii) within certain limitations, securities bearing
interest or sold at a discount issued by any corporation, which securities are
rated in the rating category required to support the then applicable rating
assigned to that Series, (iii) commercial paper which is then rated in the
commercial paper rating category required to support the then applicable rating
assigned to that Series, (iv) demand and time deposits, certificates of deposit,
bankers' acceptances and federal funds sold by any depository institution or
trust company incorporated under the laws of the United States or of any state
thereof, provided that either the senior debt obligations or commercial paper of
such depository institution or trust company (or provided that either the senior
debt obligations or commercial paper of the parent company of such depository
institution or trust company) are then rated in the security rating category
required to support the then applicable rating assigned to that Series, (v)
demand and time deposits and certificates of deposit issued by any bank or trust
company or savings and loan association and fully insured by the Federal Deposit
Insurance Corporation (the "FDIC"), (vi) guaranteed reinvestment agreements
issued by any insurance company, corporation or other entity acceptable to each
Rating Agency rating that Series at the time of issuance of the Series, and
(vii) certain repurchase agreements of United States government securities.
Permitted Investments with respect to a Series will include only
obligations or securities that mature on or before the date on which the Asset
Proceeds Account, Reserve Fund and other funds or accounts 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 income, gain or loss from such investments for a
Series will be credited or charged to the appropriate fund or account for such
Series. Reinvestment Income from Permitted Investments may be payable to the
Master Servicer or the Servicers as additional servicing compensation and, in
that event, will not accrue for the benefit of the Securityholders of that
Series.
If a reinvestment agreement is obtained with respect to a Series, the
related Trust Agreement will require the Trustee to invest funds deposited in
the Asset Proceeds Account and the Reserve Fund, if any, for that Series
pursuant to the terms of the reinvestment agreement.
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SALE AND SERVICING OF THE MORTGAGE LOANS
GENERAL
For each Series including Mortgage Loans, one or more Servicers will
provide certain customary servicing functions with respect to such Mortgage
Loans pursuant to separate servicing agreements ("Servicing Agreements"), which
will be assigned to the Trustee. The Master Servicer is deemed to be a Servicer
for purposes of the following discussion to the extent it is directly servicing
the Mortgage Loans in a Trust. The Servicers may be entitled to withhold their
servicing fees and certain other fees and charges from remittances of payments
received on Mortgage Loans serviced by them.
Each Servicer of Mortgage Loans generally will be approved by FNMA or FHLMC
as a servicer of mortgage loans and must be approved by the Master Servicer (if
any). In determining whether to approve a Servicer, the Master Servicer will
review the credit of the Servicer, including capitalization ratios, liquidity,
profitability and other similar items that indicate financial ability to perform
its obligations. In addition, the Master Servicer's mortgage servicing personnel
review the Servicer's servicing record and evaluate the ability of the Servicer
to conform with required servicing procedures. Generally, the Master Servicer
will not approve a Servicer unless the Servicer has serviced conventional
mortgage loans for a minimum of two years and maintains a loan servicing
portfolio of at least $500,000,000. Servicers approved by the Master Servicer
fall into three general categories: commercial banks, mortgage banks and thrift
institutions. The Master Servicer generally will not approve a commercial bank
as a Servicer unless the commercial bank maintains a capitalization ratio
(defined as total equity and subordinated debt to total assets) of at least 6%.
The Master Servicer generally will not approve a mortgage bank as a Servicer
unless the mortgage bank has stockholders' equity of at least $1,000,000 or at
least .20% of its loan servicing portfolio, whichever is greater. The Master
Servicer generally will not approve a thrift institution as a Servicer unless
the thrift institution maintains a capitalization ratio of at least 3% and a
liquidity ratio of at least 5%. Once a Servicer is approved, the Master Servicer
will continue to monitor on a regular basis the financial position and servicing
performance of the Servicer.
The duties to be performed by the Servicers include collection and
remittance of principal and interest payments on the Mortgage Loans,
administration of mortgage escrow accounts, collection of insurance claims,
foreclosure procedures, and, if necessary, the advance of funds to the extent
certain payments are not made by the Borrowers and are considered to be
recoverable under the applicable Insurance Policies with respect to such Series
or from proceeds of liquidation of such Mortgage Loans. Each Servicer also will
provide such accounting and reporting services as are necessary to enable the
Master Servicer to provide required information to the Seller and the Trustee
with respect to the Mortgage Loans included in the Trust for such Series. Each
Servicer is entitled to a periodic servicing fee equal to a specified percentage
of the outstanding principal balance of each Mortgage Loan serviced by such
Servicer. With the consent of the Master Servicer, certain servicing obligations
of a Servicer may be delegated to another person approved by the Master
Servicer.
Unless otherwise provided in the related Prospectus Supplement, the Master
Servicer will (i) administer and supervise the performance by the Servicers of
their duties and responsibilities under the Servicing Agreements, and (ii)
maintain Special Hazard Insurance, Mortgagor Bankruptcy Insurance and Pool
Insurance, if required. The Master Servicer or Securities Administrator will be
entitled to receive a portion of the interest payments on the Mortgage Loans
included in the Trust for the Series to cover its fees as Master Servicer or
Securities Administrator, as the case may be. The Master Servicer or the Trustee
may terminate a Servicer who has failed to comply with its covenants or breached
one of its representations contained in the Servicing Agreement. Upon
termination of a Servicer by the Master Servicer, the Master Servicer will
assume certain servicing obligations of the terminated Servicer, or, at its
option, may appoint a substitute Servicer acceptable to the Trustee to assume
the servicing obligations of the terminated Servicer.
With respect to a Series in which Mortgage Loans are covered by a Pool
Insurance Policy, if a terminated Servicer has failed to comply with its
obligation under the Servicing Agreement to purchase a Mortgage Loan upon which
Mortgage Insurance coverage has been denied on the grounds of fraud or
misrepresentation, the Master Servicer is obligated to purchase the Mortgage
Loan, subject to limitations, if any, described below under "Maintenance of
Insurance Policies; Claims Thereunder and Other Realization Upon Defaulted
Mortgage Loans" and as may be set forth in the related Prospectus Supplement. To
the extent required by the Rating Agency, the Master Servicer may secure its
performance of such obligation through cash, a letter of credit or any other
instrument
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acceptable to the Rating Agency in such amount as required by the Rating Agency.
Alternatively, a Pool Insurer may agree to waive its right to deny a claim under
its Pool Insurance Policy resulting from a loss sustained by reason of a default
arising from fraud, dishonesty or misrepresentation in connection with the
related Mortgage Loan, subject to the limitations applicable to the Master
Servicer's obligation to purchase such Mortgage Loan, as set forth below under
"Maintenance of Insurance Policies; Claims Thereunder and Other Realization Upon
Defaulted Mortgage Loans." To the extent there are limitations on the Master
Servicer's obligation to purchase Mortgage Loans included in a Trust for a
Series upon which Mortgage Insurance coverage has been denied on the grounds of
fraud or misrepresentation, payments to the holders of the Securities of such
Series could be affected if a Servicer and the Master Servicer fail to honor
their respective repurchase obligations.
Forms of Servicing Agreements have been filed as exhibits to, or
incorporated by reference into, the Registration Statements of which this
Prospectus forms a part. The Seller's rights under each Servicing Agreement with
respect to a Series will be assigned as assets to the Trust for such Series. The
descriptions contained herein do not purport to be complete and are qualified in
their entirety by reference to the form of the Servicing Agreement.
REPRESENTATIONS AND WARRANTIES
The Seller generally will acquire Mortgage Loans from Participants, or will
enter into a Funding Agreement with a Finance Company affiliated with a
Participant secured by Mortgage Loans acquired from such Participant. A
Participant or an affiliate may act as a Servicer of Mortgage Loans included in
the Trust or an unrelated entity may act as Servicer. The Participant will make
or will assign its rights in certain representations and warranties with respect
to such Mortgage Loans in the agreement by which such Participant transfers its
interest in such Mortgage Loans. In addition, unless otherwise provided in the
Prospectus Supplement, the Servicer (which may be the Participant) will make
certain representations and warranties with respect to the Mortgage Loans
serviced by the Servicer in the Servicing Agreement. Except as otherwise noted
in the Prospectus Supplement for a Series, a Participant and the Servicer will
each represent and warrant, among other things, as follows: (i) that each
Mortgage Loan has been originated in compliance with all applicable laws, rules
and regulations; (ii) that no Mortgage Loan is more than 30 days delinquent as
of the applicable Cut-off Date; (iii) that each Mortgage Insurance Policy is the
valid and binding obligation of the Mortgage Insurer; (iv) that each Mortgage
Insurance application was complete and accurate in all material respects when
made; (v) that each Security Instrument constitutes a good and valid first lien
on the Mortgaged Premises; and (vi) that the Borrower holds good and marketable
title to the Mortgaged Premises. Except as otherwise noted in the Prospectus
Supplement for a Series, the Participant is required to submit to the Trustee
with each Mortgage Loan a mortgagee title insurance policy, title insurance
binder, preliminary title report, or satisfactory evidence of title insurance.
If a preliminary title report is delivered initially, the Participant is
required to deliver a final title insurance policy or satisfactory evidence of
the existence of such a policy.
In the event the Participant or the Servicer breaches a representation or
warranty made with respect to a Mortgage Loan or if any principal document
executed by the Borrower relating to a Mortgage Loan is found to be defective in
any material respect and the breaching party cannot cure such breach or defect
within the number of days specified in the applicable agreement, the Trustee may
require such breaching party to purchase such Mortgage Loan from the Trust for
the applicable Series upon deposit with the Trustee of funds equal to the then
Unpaid Principal Balance of such Mortgage Loan plus accrued interest thereon at
the Note Rate through the end of the month in which the purchase occurs net, in
the case of a purchase by the Servicer, of any unreimbursed advances of
principal made by the Servicer and any outstanding servicing fees owed to the
Servicer with respect to such Mortgage Loan. In the event of a breach by the
Participant of a representation or warranty with respect to a Mortgage Loan or
the delivery by the Participant to the Trustee of a materially defective
document with respect to a Mortgage Loan, the Participant may under certain
circumstances, in lieu of repurchasing such Mortgage Loan, substitute a Mortgage
Loan having characteristics substantially similar to those of the defective
Mortgage Loan. See "The Trusts -- Substitution of Mortgage Assets."
Neither a Participant's nor a Servicer's obligation to purchase a Mortgage
Loan will be guaranteed by the Master Servicer or the Seller, unless otherwise
specified in the related Prospectus Supplement. If the Participant or a Servicer
defaults upon its obligation to purchase a Mortgage Loan and no one elects to
assume such obligation, distributions to the holders of the Securities could be
reduced to the extent payments are not made on the Mortgage Loan. See also "The
Trusts -- Assignment of Mortgage Assets" herein.
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ORIGINATION OF THE MORTGAGE LOANS
Unless otherwise provided in the Prospectus Supplement for a Series, each
Mortgage Loan included in the Trust for a Series will be originated by a savings
and loan association, savings bank, commercial bank, credit union, insurance
company, or similar institution which is supervised and examined by a federal or
state authority, or by a mortgagee approved by HUD. In originating a Mortgage
Loan, the loan originator (the "Originator") will follow its credit approval
process in order to assess the prospective Borrower's ability to repay and the
adequacy of the Mortgaged Premises as collateral. Each Originator's mortgage
credit approval process for single-family residential loans follows a standard
procedure which is intended to comply with applicable federal and state laws and
regulations. The Originator generally will review a detailed application of the
prospective Borrower designed to provide pertinent credit information, including
a current balance sheet describing assets and liabilities and a statement of
income and expenses, credit history with merchants and lenders, any record of
bankruptcy, employment history, current and anticipated salary and deposit
verification from financial institutions.
To the extent specified in the Prospectus Supplement, Mortgage Loans may
have been originated under a "limited documentation" underwriting program, where
the credit approval procedures may be minimal. Under "limited documentation"
programs, income and employment verifications generally need not be furnished
(other than the year-to-date paycheck stubs or a W-2 for employed individuals
and tax returns for two years for self-employed individuals) and deposit
verifications are only required for substantial accounts listed on application
forms for such programs. Participation in a limited documentation program
generally is limited to individuals with no adverse credit history and to loans
secured by owner-occupied residences with original loan-to-value ratios not in
excess of 80%.
An appraisal generally will be required to be made on each residence to be
financed. Such appraisal generally will be made by an appraiser who, at the time
the appraisal was conducted, met the minimum qualifications of FNMA or FHLMC for
appraisers of conventional residential mortgage loans. The appraisal generally
will be based on the appraiser's judgment of value, giving appropriate weight to
both the market value of comparable homes and the cost of replacing the
residence.
Based on the data provided, certain verifications and the appraisal, a
determination is made by the Originator whether the prospective Borrower has
sufficient monthly income available to meet the Borrower's monthly obligations
on the proposed loan and other expenses related to the residence (such as
property taxes, hazard and, if applicable, primary mortgage insurance
maintenance fees) and other financial obligations and monthly living expenses.
Each Originator's lending guidelines for conventional single-family Mortgage
Loans generally will specify that mortgage payments plus taxes and insurance and
all monthly payments extending beyond 10 months (including those mentioned above
and other fixed obligations, such as car payments) would equal no more than
specified percentages of the Borrower's gross income. These guidelines will be
applied only to the payments to be made during the first year of the loan. Other
credit considerations may cause an Originator to depart from these guidelines.
When two individuals co-sign the loan documents, the incomes and expenses of
both individuals may be included in the computation.
With respect to a Series, the underwriting practices described in the
Prospectus Supplement may vary from those described in general herein, and with
respect to the Borrower's credit standing and ability to repay the loan, may be
less stringent than the underwriting standards generally acceptable to FNMA and
FHLMC. In these instances, the underwriting standards are primarily intended to
evaluate the value and adequacy of the Mortgaged Premises as collateral for the
Mortgage Loans.
PAYMENTS ON MORTGAGE LOANS
Pursuant to the applicable Servicing Agreements, each Servicer will be
required to establish and maintain one or more separate, insured (to the
available limits) custodial accounts (collectively, the "Custodial Account")
into which the Servicer will be required to deposit on a daily basis payments of
principal and interest received with respect to Mortgage Loans serviced by such
Servicer included in the Trust for the Securities of such Series. Such amounts
will include principal prepayments, Insurance Proceeds and Liquidation Proceeds,
any advances by such Servicer as described herein, and proceeds of any Mortgage
Loans withdrawn from the Trust for such Series, as provided in the Trust
Agreement, for defects in documentation, breach of representations or warranties
or otherwise.
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To the extent deposits in each Custodial Account are required to be insured
by the FDIC, if at any time the sums in any Custodial Account exceed the limits
of insurance on such account, the Servicer will be required within one business
day to withdraw such excess funds from such account and remit such amounts to a
"Servicer Custodial Account," which shall be a custodial account maintained by
the Trustee, or to the Trustee or the Master Servicer for deposit in either the
Asset Proceeds Account for such Series or the "Master Servicer Custodial
Account" which shall be a custodial account maintained by the Master Servicer.
The amount on deposit in any Servicer Custodial Account, Master Servicer
Custodial Account or Asset Proceeds Account will be invested in or
collateralized by Permitted Investments as described herein.
Not later than the 24th calendar day of each month or such other day or
days as may be specified in the Servicing Agreement (the "Remittance Date"),
each Servicer will be required to remit to the Servicer Custodial Account or the
Master Servicer Custodial Account amounts representing scheduled installments of
principal and interest on the Mortgage Loans included in the Trust for such
Series received or advanced by the Servicer that were due during the applicable
Due Period, principal prepayments, Insurance Proceeds or guarantee proceeds, and
the proceeds of liquidations of Mortgaged Premises, including funds paid by the
Servicer for any such Mortgage Loans withdrawn from the Trust for such Series
received during the applicable Prepayment Period, with interest to the date of
prepayment or liquidation (subject to certain limitations), less applicable
servicing fees, insurance premiums and amounts representing reimbursement of
advances made by the Servicer. On or before the Distribution Date, the Trustee
will withdraw from the Servicer Custodial Account or the Master Servicer
Custodial Account and remit to the Asset Proceeds Account those amounts
allocable to the Available Distribution for such Distribution Date. In addition,
there will be deposited in the Asset Proceeds Account for such Series of
Securities any advances of principal and interest made by the Servicer, the
Master Servicer or the Trustee pursuant to the terms of the Servicing Agreement
or Trust Agreement for such Series and any Insurance, guarantee or Liquidation
Proceeds (including amounts paid in connection with the withdrawal of defective
Mortgage Loans from the Trust for such Series) to the extent such amounts were
not deposited in the related Custodial Account or received and applied by such
Servicer.
Prior to each Distribution Date for a Series (or the next preceding
business day if such day is not a business day), the Master Servicer will
furnish to the Trustee a statement setting forth certain information with
respect to the Mortgage Loans included in the Trust for such Series.
ADVANCES
Unless otherwise provided in the related Prospectus Supplement for a
Series, the Servicing Agreements generally will provide that each Servicer will
be required to advance funds to cover, to the extent that such amounts are
deemed to be recoverable from any subsequent payments on that Mortgage Loan, (i)
delinquent payments of principal and interest on such Mortgage Loans, (ii)
delinquent payments of taxes, insurance premiums, and other escrowed items, and
(iii) foreclosure costs, including reasonable attorneys' fees. The failure of
the Servicer to make any required advances under a Servicing Agreement
constitutes a default under such Agreement for which the Servicer will be
terminated. Upon a default by the Servicer, the Master Servicer or the Trustee
may, if so provided in the Trust Agreement, be required to make advances to the
extent necessary to make required distributions on certain Securities, provided
that such party deems such amounts to be recoverable. Alternatively, the Seller
may obtain an endorsement to the Pool Insurance Policy which obligates the
Mortgage Insurer to advance delinquent payments of principal and interest. The
Pool Insurer would only be obligated under such endorsement to the extent the
Borrower fails to make such payment and the Servicer and the Master Servicer
fail to make a required advance. The Master Servicer may agree to reimburse the
Pool Insurer for any sums the Pool Insurer pays under such endorsement.
The advance obligation of the Trustee, the Master Servicer or the Pool
Insurer may be further limited to an amount specified by the Rating Agency
rating the Securities. Any such advances by the Servicers, the Master Servicer,
the Trustee or the Pool Insurer, as the case may be, must be deposited into the
applicable Custodial Account or Servicer Custodial Account or into the Asset
Proceeds Account and will be due not later than the Distribution Date to which
such delinquent payment relates. Amounts so advanced by the Servicers, the
Master Servicer or the Trustee, as the case may be, will be reimbursable out of
future payments on the Mortgage Loans, Insurance Proceeds, Additional Assets,
Liquidation Proceeds of the Mortgage Loans for which such amounts were advanced.
If an advance made by a Servicer, the Master Servicer or the Trustee later
proves to be unrecoverable,
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such Servicer, the Master Servicer or the Trustee, as the case may be, will be
entitled to reimbursement from funds in the Asset Proceeds Account prior to the
distribution of payments to the Securityholders.
Any advances made by a Servicer, the Master Servicer or the Trustee with
respect to Mortgage Loans included in the Trust for any Series are intended to
enable the Trustee to make timely payment of the scheduled distributions of
principal and interest on the Securities of such Series. However, neither the
Master Servicer, the Trustee nor any Servicer will insure or guarantee the
Securities of any Series or the Mortgage Loans included in the Trust for any
Series.
COLLECTION AND OTHER SERVICING PROCEDURES
The Servicing Agreements with respect to a Series will require each
Servicer to make reasonable efforts to collect all payments called for under the
Mortgage Loans included in the Trust for the Series and, consistent with the
Servicing Agreement and the applicable Insurance Policies with respect to each
Mortgage Loan, to follow such collection procedures as it normally would follow
with respect to mortgage loans serviced for FNMA.
The Note or Security Instrument used in originating a conventional Mortgage
Loan may contain a "due-on-sale" clause. See "Certain Legal Aspects of Mortgage
Loans -- "Due-On-Sale' Clauses." The Servicer will be required to use reasonable
efforts to enforce "due-on-sale" clauses with respect to any Note or Security
Instrument containing such a clause, provided that the coverage of any
applicable Insurance Policy will not be adversely affected thereby. In any case
in which Mortgaged Premises have been or are about to be conveyed by the
Borrower and the due-on-sale clause has not been enforced or the related Note is
by its terms assumable, the Servicer will be authorized, on behalf of the
Trustee, to enter into an assumption agreement with the person to whom such
Mortgaged Premises have been or are about to be conveyed, if such person meets
certain loan underwriting criteria, including the criteria necessary to maintain
the coverage provided by the applicable Mortgage Insurance Policies or otherwise
required by law. In the event that the Servicer enters into an assumption
agreement in connection with the conveyance of any such Mortgaged Premises, the
Servicer, on behalf of the Trustee as holder of the related Note, will release
the original Borrower from liability upon the Mortgage Loan and substitute the
new Borrower as obligor thereon. In no event can the assumption agreement permit
a decrease in the Note Rate or an increase in the term of the Mortgage Loan.
Fees collected for entering into an assumption agreement will be retained by the
Servicer as additional servicing compensation.
Under the applicable Servicing Agreements with respect to a Series, each
Servicer will, to the extent permitted by law, establish and maintain a
custodial account or accounts (the "Escrow Account") into which certain
Borrowers will be required to deposit amounts sufficient to pay taxes,
assessments, Primary Mortgage and Standard Hazard Insurance premiums and other
comparable items, except that certain Servicers may provide insurance coverage
acceptable to the Master Servicer for such Series against loss occasioned by the
failure to escrow insurance premiums rather than causing such escrows to be
made. Withdrawals from the Escrow Account maintained for Borrowers may be made
to effect timely payment of taxes, assessments, Primary Mortgage and Standard
Hazard premiums or comparable items, to reimburse the Servicer for maintaining
Primary Mortgage and Standard Hazard insurance, to refund to Borrowers amounts
determined to be overages, to pay interest to Borrowers on balances in the
Escrow Account, if required, to repair or otherwise protect the Mortgaged
Premises and to clear and terminate such account. The Servicer will be
responsible for the administration of the Escrow Account and will be obligated
to make advances to such account when a deficiency exists therein.
MAINTENANCE OF INSURANCE POLICIES; CLAIMS THEREUNDER AND
OTHER REALIZATION UPON DEFAULTED MORTGAGE LOANS
To the extent specified in the related Prospectus Supplement, the Servicer
will be required to maintain a Standard Hazard Insurance Policy with respect to
each Mortgaged Premises in full force and effect as long as such coverage is
required under the Servicing Agreement and to pay the premium therefor on a
timely basis. Unless otherwise provided in the Prospectus Supplement, each
Servicing Agreement with respect to a Series will also require the Servicer to
maintain a Primary Mortgage Insurance Policy for each single-family Mortgage
Loan with a loan-to-value ratio in excess of 80% included in the Trust unless
such insurance is waived by the Master Servicer.
The Master Servicer with respect to a Series may be required to maintain
any Special Hazard Insurance Policy, any Mortgagor Bankruptcy Insurance and any
Pool Insurance Policy for such Series in full force and effect
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throughout the term of the Trust, subject to payment of the applicable premiums
by the Trustee. The Master Servicer will be required to notify the Trustee to
pay from amounts in the Trust the premiums for any such Special Hazard Insurance
Policy, any such Mortgagor Bankruptcy Insurance and any such Pool Insurance
Policy for such Series on a timely basis. Any such premiums may be payable on a
monthly basis in advance, or pursuant to any other payment schedule acceptable
to the applicable insurer. In the event that such Special Hazard Insurance
Policy, such Mortgagor Bankruptcy Insurance or such Pool Insurance Policy for
such Series is canceled or terminated for any reason (other than the exhaustion
of total policy coverage), the Master Servicer will be obligated to obtain from
another insurer a comparable replacement policy with a total coverage which is
equal to the then existing coverage (or such lesser amount if the Master
Servicer confirms in writing with the Rating Agency rating the Securities that
such lesser amount will not impair the rating on the Securities) of such Special
Hazard Insurance Policy, such Mortgagor Bankruptcy Insurance or such Pool
Insurance Policy. However, if the cost of any such replacement policy or bond is
greater than the cost of the policy or bond which has been terminated, then the
amount of the coverage will be reduced to a level such that the applicable
premium will not exceed the cost of the premium for the policy or bond that was
terminated.
The Master Servicer will not require that a standard hazard or flood
insurance policy be maintained on the Cooperative Dwelling relating to any
Cooperative Loan. Generally, the Cooperative itself is responsible for
maintenance of hazard insurance for the property owned by the cooperative and
the tenant-stockholders of that cooperative do not maintain individual hazard
insurance policies. To the extent, however, that a Cooperative and the related
borrower on a Cooperative Loan do not maintain such insurance or do not maintain
adequate coverage or any insurance proceeds are not applied to the restoration
of damaged property, any damage to such borrower's Cooperative Dwelling or such
Cooperative's building could significantly reduce the value of the collateral
securing such Cooperative Loan to the extent not covered by other credit
support.
Each Servicing Agreement and Trust Agreement with respect to a Series will
require the Servicer or the Master Servicer, as the case may be, to present
claims to the insurer under any Insurance Policy applicable to the Mortgage
Loans included in the Trust for such Series and to take such reasonable steps as
are necessary to permit recovery under such Insurance Policies with respect to
defaulted Mortgage Loans, or losses on the Mortgaged Premises securing the
Mortgage Loans.
If any Mortgaged Premises securing a defaulted Mortgage Loan included in
the Trust for a Series are damaged and the proceeds, if any, from the related
Standard Hazard Insurance Policy or any Special Hazard Insurance Policy are
insufficient to restore the damaged Mortgaged Premises to the condition to
permit recovery under the related Mortgage Insurance Policy, the Servicer will
not be required to expend its own funds to restore the damaged Mortgaged
Premises unless it determines that such expenses will be recoverable to it
through Liquidation Proceeds or Insurance Proceeds.
Unless otherwise provided in the Prospectus Supplement, the Servicing
Agreements require each Servicer to make representations with respect to each
Mortgage Loan that it services, including, among other things, that the related
title insurance, standard hazard insurance, flood insurance and mortgage
insurance policies are legal and valid obligations of the respective insurers
and that the applications submitted for such insurance, as well as the
application for the inclusion of a Mortgage Loan under a Pool Insurance Policy,
are accurate and complete in all material respects. If any of these
representations proves to be incorrect and the Servicer fails to cure it, the
Servicer will be obligated to purchase the affected Mortgage Loan at a price
equal to its Unpaid Principal Balance, plus accrued and uncollected interest on
that Unpaid Principal Balance to the date on which the purchase is made. For
instance, if it is determined that coverage under a Mortgage Insurance Policy is
not available on a defaulted Mortgage Loan because of fraud or misrepresentation
in the application, a Servicer will be obligated to purchase the defaulted
Mortgage Loan unless otherwise provided in the Prospectus Supplement. As noted
above under "General," upon termination for cause of a Servicer by the Master
Servicer, the Master Servicer will assume the servicing obligations of a
terminated Servicer, or the Master Servicer, at its option, may appoint a
substitute Servicer acceptable to the Trustee to assume the servicing
obligations of the terminated Servicer.
If a Servicer who is obligated fails to comply with its obligation under
the Servicing Agreement to purchase a Mortgage Loan as to which coverage under a
Mortgage Insurance Policy has been denied on the grounds of fraud or
misrepresentation (or if the Servicer has no such obligation), the Master
Servicer will be obligated to purchase the Mortgage Loan, up to an aggregate
amount and for the time period specified in the Prospectus Supplement for a
Series. The Master Servicer may provide a fund, insurance policy or other
security to support its obligation. To
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the extent that a Servicer or Master Servicer fails, or is not required to,
repurchase Mortgage Loans with respect to which coverage under a Mortgage
Insurance Policy has been denied on the grounds of fraud or misrepresentation,
distributions to the holders of the Securities could be reduced.
The obligation of the Master Servicer to assume other unfulfilled past
obligations of a terminated Servicer may be limited to the extent such
limitation does not result in a downgrading of the Series secured by the related
Servicing Agreement. As and to the extent required by the Rating Agency in order
to rate the Securities, certain of the obligations of the Master Servicer under
the Trust Agreement will be secured by cash, letters of credit, insurance
policies or other instruments in an amount acceptable to the Rating Agency.
If recovery under an applicable Mortgage Insurance Policy or from
Additional Assets is not available and the Servicer or the Master Servicer is
not obligated to purchase a defaulted Mortgage Loan, the Servicer or the Master
Servicer nevertheless will be obligated to follow standard practice and
procedures to realize upon the defaulted Mortgage Loan. See "Certain Legal
Aspects of Mortgage Loans -- Environmental Considerations." In this regard, the
Servicer or the Master Servicer will sell the Mortgaged Premises pursuant to
foreclosure, trustee's sale or, in the event a deficiency judgment is available
against the Borrower or other person (see "Certain Legal Aspects of Mortgage
Loans -- Anti-Deficiency Legislation and Other Limitations on Lenders" for a
description of the limited availability of deficiency judgments), proceed to
seek recovery of the deficiency against the appropriate person. To the extent
that the proceeds of any such liquidation proceedings are less than the Unpaid
Principal Balance or Asset Value of the defaulted Mortgage Loan, there will be a
reduction in the value of the assets of the Trust for the related Series such
that holders of Securities of that Series may not receive distributions of
principal and interest on those Securities in full.
EVIDENCE AS TO SERVICING COMPLIANCE
Within 90 days of the end of each of its fiscal years the Servicer must
provide the Master Servicer (or the Securities Administrator) with a copy of its
audited financial statements for the year and a statement from the firm of
independent public accountants that prepared the financial statements to the
effect that, in preparing such statements, it reviewed the results of the
Servicer's servicing operations in accordance with the Uniform Single-Audit
Procedures for mortgage banks developed by the Mortgage Bankers Association. In
addition, the Servicer will be required to deliver an officer's certificate to
the effect that it has fulfilled its obligations under the Servicing Agreement
during the preceding fiscal year or identifying any ways in which it has failed
to fulfill its obligations during the fiscal year and the steps that have been
taken to correct such failure. The Master Servicer (or the Securities
Administrator) will be required to promptly make available to the Trustee any
compliance reporting that it receives from a Servicer.
Each year the Master Servicer (if any) will review each Servicer's
performance under its Servicing Agreement and the status of any fidelity bond
and errors and omissions policy required to be maintained by the Servicer under
the Servicing Agreement.
THE TRUST AGREEMENTS
The following summaries describe certain provisions of the Trust Agreement,
including any Standard Terms to Trust Agreement to be incorporated by reference
therein. 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 for each Series. When particular provisions or terms used in the Trust
Agreement are referred to, the actual provisions are incorporated by reference
as part of such summaries.
MASTER SERVICER OR SECURITIES ADMINISTRATOR
Unless otherwise specified in the Prospectus Supplement, the Master
Servicer or Securities Administrator will be responsible under the Trust
Agreement for providing general administrative services to a Trust including,
among other things, (i) oversight of payments received on Mortgage Assets, (ii)
monitoring the amounts on deposit in various trust accounts, (iii) calculation
of the amounts payable to Securityholders on each Distribution Date, (iv)
preparation of periodic reports to the Trustee or the Securityholders with
respect to the foregoing matters, (v) preparation of federal and state tax and
information returns, and (vi) preparation of reports, if any, required under the
Securities Exchange Act of 1934, as amended. In addition, with respect to a
Trust that includes single-family Mortgage Loans, the Master Servicer will be
required by the Trust Agreement to supervise and administer the
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performance of Servicers, to make advances of delinquent payments of principal
and interest on the Mortgage Loans to the limited extent described herein under
the heading "Sale and Servicing of Mortgage Loans -- Advances," if such amounts
are not advanced by a Servicer, and to perform the servicing obligations of a
terminated Servicer. The Master Servicer's obligations to act as a servicer
following the termination of a Servicing Agreement will not, however, require
the Master Servicer to (i) purchase Mortgage Loans from the Trust due to a
breach by the Servicer of a representation or warranty under the Servicing
Agreement, (ii) purchase from the Trust any Converted Mortgage Loan or (iii)
advance payments of principal and interest on a delinquent Mortgage Loan in
excess of the Master Servicer's independent advance obligation under the Trust
Agreement. The Master Servicer may delegate its responsibilities under the Trust
Agreement; provided, however, that no such delegation shall release the Master
Servicer from its responsibilities or liabilities arising under the Trust
Agreement.
The Master Servicer or Securities Administrator for a Series may resign
from its obligations and duties under the Trust Agreement with respect to such
Series, but no such resignation will become effective until the Trustee or a
successor master servicer or securities administrator has assumed the Master
Servicer's or Securities Administrator's obligations and duties. If specified in
the Prospectus Supplement for a Series, the Seller may appoint a stand-by Master
Servicer, which will assume the obligations of the Master Servicer upon a
default by the Master Servicer.
THE TRUSTEE
The Trustee under each Trust Agreement will be named in the related
Prospectus Supplement. The Trustee must be a corporation or a national banking
association organized under the laws of the United States or any state and
authorized under the laws of the jurisdiction in which it is organized to have
corporate trust powers. It must also have combined capital and surplus of at
least $50,000,000 and be subject to regulation and examination by state or
federal regulatory authorities. Although the Trustee may not be an affiliate of
the Seller or the Master Servicer, either the Seller or the Master Servicer may
maintain normal banking relations with the Trustee if the Trustee is a
depository institution.
The Trustee may resign at any time, in which event the Seller will be
obligated to appoint a successor Trustee. The Seller will also remove the
Trustee if the Trustee ceases to be eligible to continue as such under the Trust
Agreement or if the Trustee becomes insolvent. The Trustee may also be removed
at any time by the holders of Securities entitled to at least 51% of the Voting
Rights of such Series. 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
Generally, unless otherwise specified in the related Prospectus Supplement,
the Trust Agreement may be amended by the parties thereto with the consent of
the holders of outstanding Securities holding at least 66% of the Voting Rights
of a Series. However, no amendment that (i) reduces in any manner or delays the
timing of payments on the Mortgage Assets or distributions to the
Securityholders or (ii) reduces the percentage of Securityholders required to
authorize an amendment to the Trust Agreement may be made unless each holder of
a Security affected by such amendment consents. The Trust Agreement may also be
amended by the parties thereto without the consent of Securityholders, for the
purpose of, among other things, (i) curing any ambiguity, (ii) correcting or
supplementing any provisions thereof which may be inconsistent with any other
provision therein, (iii) modifying, eliminating or adding to any of its
provisions to such extent as shall be necessary or appropriate to maintain the
qualification of the Trust as a REMIC under the Code at all times that any REMIC
Securities are outstanding or (iv) making any other provisions with respect to
matters or questions arising under the Trust Agreement or matters arising with
respect to the Trust which are not covered by the Trust Agreement and which
shall not be inconsistent with the provisions of the Trust Agreement, provided
that such action shall not adversely affect in any material respect the
interests of any Securityholder. Any such amendment or supplement shall be
deemed not to adversely affect in any material respect any Securityholder if
there is delivered to the Trustee written notification from each Rating Agency
that rated the applicable Securities to the effect that such amendment or
supplement will not cause that Rating Agency to reduce the then current rating
assigned to such Securities.
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EVENTS OF DEFAULT
Unless otherwise provided in the Prospectus Supplement for a Series, Events
of Default under the Trust Agreement in respect of a Series of Securities will
consist of (i) any default in the performance or breach of any covenant or
warranty of the Master Servicer (or the Securities Administrator, as the case
may be) under the Trust Agreement with respect to such Series of Securities
which continues unremedied for a specified period after the giving of written
notice of such failure to the Master Servicer or Securities Administrator by the
Trustee or by the holders of Securities entitled to at least 25% of the
aggregate Voting Rights; (ii) any failure by the Master Servicer (or the
Securities Administrator, as the case may be) to make required advances with
respect to delinquent Mortgage Loans in a Trust; and (iii) certain events of
insolvency, readjustment of debt, marshalling of assets and liabilities or
similar proceedings regarding the Master Servicer (or the Securities
Administrator, as the case may be), if any, and certain actions by or on behalf
of the Master Servicer or Securities Administrator indicating its insolvency or
inability to pay its obligations.
RIGHTS UPON EVENT OF DEFAULT
So long as an Event of Default remains unremedied, the Trustee may, and at
the direction of the holders of a Series of Securities entitled to a certain
percentage of the Voting Rights, as specified in the Trust Agreement, the
Trustee shall, terminate all of the rights and obligations of the Master
Servicer under the Trust Agreement covering the related Trust except that the
Trustee may elect not to terminate the Master Servicer for its failure to make
advances. Upon termination, the Trustee will succeed to all the
responsibilities, duties and liabilities of the Master Servicer under such
Agreement (except that if the Trustee is to so succeed the Master Servicer but
is prohibited by law from obligating itself to make advances regarding
delinquent Mortgage Loans, then the Trustee will not be so obligated) and will
be entitled to similar compensation arrangements. In the event that the Trustee
would be obligated to succeed the Master Servicer but is unwilling or unable so
to act, it may appoint or, if the holders of Securities representing a certain
percentage of the Voting Rights, as specified in the Trust Agreement, so request
in writing, it shall appoint, or petition a court of competent jurisdiction for
the appointment of, a mortgage loan servicing or other housing and home finance
institution with a net worth of at least $15,000,000 to act as successor to the
Master Servicer under the Trust Agreement or may provide cash, a letter of
credit, a standby master servicing agreement or another arrangement consistent
with the then-current rating of the Securities of the related Series. The
Trustee and such successor may agree upon the servicing compensation to be paid,
which in no event may be greater than the compensation to the Master Servicer
under the Trust Agreement.
The Trustee will be under no obligation to exercise any of the trusts or
powers vested in it by the Trust Agreement or to make any investigation of
matters arising thereunder or to institute, conduct or defend any litigation
thereunder or in relation thereto at the request, order or direction of any of
the holders of Securities covered by such Trust Agreement, unless such
Securityholders have offered to the Trustee reasonable security or indemnity
against the costs, expenses and liabilities which may be incurred therein or
thereby.
REPORTS TO SECURITYHOLDERS
The Trustee will furnish the Securityholders with monthly statements
containing information with respect to principal and interest distributions,
Realized Losses and the assets of the Trust. Any financial information contained
in such reports will not have been examined or reported upon by an independent
public accountant. Copies of such monthly statements and any annual reports
prepared by a Servicer or the Master Servicer or Securities Administrator with
respect to compliance with the provisions of a Servicing Agreement or the Trust
Agreement, as applicable, will be furnished to Securityholders upon request
addressed to Financial Asset Securitization Inc., 901 East Byrd Street,
Richmond, Virginia 23219.
TERMINATION
Each Trust Agreement and the respective obligations and responsibilities
created thereby shall terminate upon the distribution to Securityholders of all
amounts required to be paid to them pursuant to the Trust Agreement following
(i) the purchase of all the Mortgage Assets in the Trust and all Mortgaged
Premises or Manufactured Homes acquired in respect thereof, if the related
Prospectus Supplement so provides, or (ii) the later of the final payment or
other liquidation of the last Mortgage Asset remaining in the Trust or the
disposition of all Mortgaged Premises acquired in respect thereof. See
"Description of the Securities -- Optional Redemption." In no event, however,
will the trust created by any Trust Agreement continue beyond the expiration of
21 years from the death
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of the survivor of certain persons described in such Trust Agreement. Written
notice of termination of the Trust Agreement will be given to each
Securityholder, and the final distribution will be made only upon surrender and
cancellation of the Securities at the corporate trust office of the Trustee or
its agent.
CERTAIN LEGAL ASPECTS OF MORTGAGE LOANS
The following discussion contains summaries of certain legal aspects of
mortgage loans which 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
Premises securing the Mortgage Loans is situated. The summaries are qualified in
their entirety by reference to the applicable federal and state laws governing
the Mortgage Loans. In this regard, the following discussion does not reflect
federal regulations with respect to FHA Loans, VA Loans and RHS Loans.
The following discussion is not applicable to security interests in
Contracts and the repossession of Manufactured Homes. Such activity is typically
not governed by a state's real estate laws, but by its motor vehicle titling
statutes and Uniform Commercial Code. A general discussion of these laws will be
included in the Prospectus Supplement for any Series that has Contracts as part
of the Trust.
GENERAL
The Mortgage Loans will be secured by either first mortgages or deeds of
trust, depending upon the prevailing practice in the state in which the
underlying property is located. A mortgage creates a lien upon the real property
encumbered by the mortgage. It is not prior to the lien for real estate taxes
and assessments. Priority between mortgages depends on their terms and,
generally, on the order of filing with a state or county office. There are two
parties to a mortgage: the mortgagor, who is the Borrower and owner of the
property; and the mortgagee, who is the lender. Under the mortgage instrument,
the mortgagor delivers to the mortgagee a Note or bond evidencing the loan and
the mortgage. Although a deed of trust is similar to a mortgage, a deed of trust
formally has three parties: the Borrower-property owner called the trustor
(similar to a mortgagor); a lender called the beneficiary (similar to a
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 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, applicable law, and, in some cases, with respect to the deed of trust,
the directions of the beneficiary.
COOPERATIVE LOANS
If specified in the Prospectus Supplement relating to a Series of
Securities, the Mortgage Loans may also contain Cooperative Loans evidenced by
promissory notes secured by security interests in shares issued by private
corporations which are entitled to be treated as housing cooperatives under the
Code and in the related proprietary leases or occupancy agreements granting
exclusive rights to occupy specific dwelling units in the corporations'
buildings. The security agreement will create a lien upon, or grant a title
interest in, the property which it covers, the priority of which will depend on
the terms of the particular security agreement as well as the order of
recordation of the agreement in the appropriate recording office. Such a lien or
title interest is not prior to the lien for real estate taxes and assessments
and other charges imposed under governmental police powers.
Unless otherwise specified in the related Prospectus Supplement, all
cooperative apartments relating to the Cooperative Loans are located in the
State of New York. A corporation which is entitled to be treated as a housing
cooperative under the Code owns all the real property or some interest therein
sufficient to permit it to own the building and all separate dwelling units
therein. The Cooperative is directly responsible for property management and, in
most cases, payment of real estate taxes and hazard and liability insurance. If
there is a blanket mortgage or mortgages on the cooperative apartment building
and/or underlying land, as is generally the case, or an underlying lease of the
land, as is the case in some instances, the Cooperative, as property mortgagor,
is also responsible for meeting these mortgage or rental obligations. The
interest of the occupant under proprietary leases or occupancy agreements as to
which that Cooperative is the landlord is generally subordinate to the interest
of the holder of a blanket mortgage and to the interest of the holder of a land
lease. If the Cooperative is unable to meet the
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payment obligations (i) arising under a blanket mortgage, the mortgagee holding
a blanket mortgage could foreclose on that mortgage and terminate all
subordinate proprietary leases and occupancy agreements or (ii) arising under
its land lease, the holder of the land lease could terminate it and all
subordinate proprietary leases and occupancy agreements. Also, a blanket
mortgage on a Cooperative may provide financing in the form of a mortgage that
does not fully amortize, with a significant portion of principal being due in
one final payment at maturity. The inability of the Cooperative to refinance a
mortgage and its consequent inability to make such final payment could lead to
foreclosure by the mortgagee. Similarly, a land lease has an expiration date,
and the inability of the Cooperative to extend its term or, in the alternative,
to purchase the land could lead to termination of the Cooperative's interest in
the property and termination of all proprietary leases and occupancy agreements.
A foreclosure by the holder of a blanket mortgage could eliminate or
significantly diminish the value of any collateral held by the lender who
financed an individual tenant-stockholder of Cooperative shares or, in the case
of the Mortgage Loans, the collateral securing the Cooperative Loans. Similarly,
the termination of the land lease by its holder could eliminate or significantly
diminish the value of any collateral held by the lender who financed an
individual tenant-stockholder of the Cooperative shares or, in the case of the
Mortgage Loans, the collateral securing the Cooperative Loans.
The Cooperative is owned by tenant-stockholders who, through ownership of
stock or shares in the corporation, receive proprietary leases or occupancy
agreements which confer exclusive rights to occupy specific units. Generally, a
tenant-stockholder of a Cooperative must make a monthly payment to the
Cooperative representing such tenant-stockholder's pro rata share of the
Cooperative's payments for its blanket mortgage, real property taxes,
maintenance expenses and other capital or ordinary expenses. An ownership
interest in a Cooperative and accompanying occupancy rights are financed through
a Cooperative share loan evidenced by a promissory note and secured by a
security interest in the occupancy agreement or proprietary lease and in the
related Cooperative shares. The lender takes possession of the share certificate
and a counterpart of the proprietary lease or occupancy agreement and a
financing statement covering the proprietary lease or occupancy agreement and
the Cooperative shares is filed in the appropriate state and local offices to
perfect the lender's interest in its collateral. Subject to the limitations
discussed below, upon default of the tenant-stockholder, the lender may sue for
judgment on the promissory note, dispose of the collateral at a public or
private sale or otherwise proceed against the collateral or tenant-stockholder
as an individual as provided in the security agreement covering the assignment
of the proprietary lease or occupancy agreement and the pledge of cooperative
shares. See "Realizing on Cooperative Loan Security" below.
TAX ASPECTS OF COOPERATIVE OWNERSHIP. In general, a "tenant-stockholder"
(as defined in Section 216(b)(2) of the Code) of a corporation that qualifies as
a "cooperative housing corporation" within the meaning of Section 216(b)(1) of
the Code is allowed a deduction for amounts paid or accrued within his taxable
year to the corporation representing his proportionate share of certain interest
expenses and certain real estate taxes allowable as a deduction under Section
216(a) of the Code to the corporation under Sections 163 and 164 of the Code. In
order for a corporation to qualify under Section 216(b)(1) of the Code for its
taxable year in which such items are allowable as a deduction to the
corporation, such section requires, among other things, that at least 80% of the
gross income of the corporation be derived from its tenant-stockholders. By
virtue of this requirement, the status of a corporation for purposes of Section
216(b)(1) of the Code must be determined on a year-to-year basis. Consequently,
there can be no assurance that cooperatives relating to the Cooperative Loans
will qualify under such section for any particular year. In the event that such
a cooperative fails to qualify for one or more years, the value of the
collateral securing any related Cooperative Loans could be significantly
impaired because no deduction would be allowable to tenant-stockholders under
Section 216(a) of the Code with respect to those years. In view of the
significance of the tax benefits accorded tenant-stockholders of a corporation
that qualifies under Section 216(b)(1) of the Code, the likelihood that such a
failure would be permitted to continue over a period of years appears remote.
FORECLOSURE
Foreclosure of a mortgage is generally accomplished by judicial action.
Generally, the action is initiated by the service of legal pleadings upon the
Borrower and any party having a subordinate interest in the real estate
including any holder of a junior encumbrance on the real estate. Delays in
completion of the foreclosure occasionally may result from difficulties in
locating necessary parties defendant. Judicial foreclosure proceedings are often
not contested by any of the parties defendant. However, when the mortgagee's
right to foreclosure is contested, the
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legal proceedings necessary to resolve the issue can be time-consuming. After
the completion of a judicial foreclosure proceeding, the court may issue a
judgment of foreclosure and appoint a receiver or other officer to conduct the
sale of the Mortgaged Premises. In some states, mortgages may also be foreclosed
by advertisement, pursuant to a power of sale provided in the mortgage.
Foreclosure of a mortgage by advertisement is essentially similar to foreclosure
of a deed of trust by non-judicial power of sale.
Foreclosure of a deed of trust is generally accomplished by a non-judicial
trustee's sale under a specific provision in the deed of trust that authorizes
the trustee to sell the Mortgaged Premises to a third party upon any default by
the Borrower under the terms of the Note or deed of trust. In certain states,
such foreclosure also may be accomplished by judicial action in the manner
provided for foreclosure of mortgages. In some states, the trustee must record a
notice of default and send a copy to the Borrower 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 must provide notice in some states to any other party
having a subordinate interest in the real estate, including any holder of a
junior encumbrance on the real estate. If the deed of trust is not reinstated
within any applicable cure period, 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 and sent to all parties having an interest of
record in the property. When the beneficiary's right to foreclosure is
contested, the legal proceedings necessary to resolve the issue can be
time-consuming.
In case of foreclosure under either a mortgage or a deed of trust, the sale
by the receiver or other designated officer, or by the trustee, is a public
sale. However, because of the difficulty a potential buyer at the sale would
have in determining the exact status of title and because the physical condition
of the Mortgaged Premises may have deteriorated during the foreclosure
proceedings, it is uncommon for a third party to purchase the Mortgaged Premises
at the foreclosure sale. Rather, it is common for the lender to purchase the
Mortgaged Premises from the trustee or receiver for an amount which may be as
great as the Unpaid Principal Balance of the Note, accrued and unpaid interest
and the expenses of foreclosure. Thereafter, subject to the right of the
Borrower in some states to remain in possession during the redemption period,
the lender will assume the burdens of ownership, including obtaining hazard
insurance and making such repairs at its own expense as are necessary to render
the Mortgaged Premises suitable for sale. The lender commonly will obtain the
services of a real estate broker and pay the broker a commission in connection
with the sale of the Mortgaged Premises. Depending upon market conditions, the
ultimate proceeds of the sale of the Mortgaged Premises may not equal the
lender's investment therein. Any loss may be reduced by the receipt of Insurance
Proceeds. See "The Trust -- Mortgage Insurance on the Mortgage Loans" and "The
Trust -- Hazard Insurance on the Mortgage Loans." Mortgaged Premises that are
acquired through foreclosure generally must be sold by the Trustee within two
years of the date on which it is acquired in order to satisfy certain federal
income tax requirements. See "Certain Federal Income Tax Consequences."
REALIZING UPON COOPERATIVE LOAN SECURITY
The Cooperative shares and proprietary lease or occupancy agreement owned
by the tenant-stockholder and pledged to the lender are, in almost all cases,
subject to restrictions on transfer as set forth in the Cooperative's
certificate of incorporation and by-laws, as well as in the proprietary lease or
occupancy agreement. The proprietary lease or occupancy agreement, even while
pledged, may be canceled by the Cooperative for failure by the
tenant-stockholder to pay rent or other obligations or charges owed by such
tenant-stockholder, including mechanics' liens against the Cooperative apartment
building incurred by such tenant-stockholder. Commonly, rent and other
obligations and charges arising under a proprietary lease or occupancy agreement
which are owed to the Cooperative are made liens upon the shares to which the
proprietary lease or occupancy agreement relates. In addition, the proprietary
lease or occupancy agreement generally permits the Cooperative to terminate such
lease or agreement in the event the borrower defaults in the performance of
covenants thereunder. Typically, the lender and the Cooperative enter into a
recognition agreement which establishes the rights and obligations of both
parties in the event of a default by the tenant-stockholder on its obligations
under the proprietary lease or occupancy agreement. A default by the
tenant-stockholder under the proprietary lease or occupancy agreement will
usually constitute a default under the security agreement between the lender and
the tenant-stockholder.
The recognition agreement generally provides that, in the event that the
tenant-stockholder has defaulted under the proprietary lease or occupancy
agreement, the Cooperative will take no action to terminate such lease or
agreement until the lender has been provided with an opportunity to cure the
default. The recognition agreement
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typically provides that if the proprietary lease or occupancy agreement is
terminated, the Cooperative will recognize the lender's lien against proceeds
from a sale of the Cooperative apartment, subject, however, to the Cooperative's
right to sums due under such proprietary lease or occupancy agreement or which
have become liens on the shares relating to the proprietary lease or occupancy
agreement. The total amount owed to the Cooperative by the tenant-stockholder,
which the lender generally cannot restrict and does not monitor, could reduce
the value of the collateral below the outstanding principal balance of the
Cooperative Loan and accrued and unpaid interest thereon.
Recognition agreements also provide that in the event the lender succeeds
to the tenant-shareholder's shares and proprietary lease or occupancy agreement
as the result of realizing upon its collateral for a Cooperative Loan, the
lender must obtain the approval or consent of the Cooperative as required by the
proprietary lease before transferring the Cooperative shares or assigning the
proprietary lease. Generally, the lender is not limited in any rights it may
have to dispossess the tenant-stockholder.
In New York, lenders generally have realized upon the pledged shares and
proprietary lease or occupancy agreement given to secure a Cooperative Loan by
public sale in accordance with the provisions of Article 9 of the New York
Uniform Commercial Code (the "NY UCC") and the security agreement relating to
those shares. Article 9 of the NY UCC requires that a sale be conducted in a
"commercially reasonable" manner. Whether a sale has been conducted in a
"commercially reasonable" manner will depend on the facts in each case. In
determining commercial reasonableness, a court will look to the notice given the
debtor and the method, manner, time, place and terms of the sale. Generally, a
sale conducted according to the usual practice of banks selling similar
collateral will be considered reasonably conducted.
Article 9 of the NY UCC provides that the proceeds of the sale will be
applied first to pay the costs and expenses of the sale and then to satisfy the
indebtedness secured by the lender's security interest. The recognition
agreement, however, generally provides that the lender's right to reimbursement
is subject to the right of the Cooperative corporation to receive sums due under
the proprietary lease or occupancy agreement. If there are proceeds remaining,
the lender must account to the tenant-stockholder for the surplus. Conversely,
if a portion of the indebtedness remains unpaid, the tenant-stockholder is
generally responsible for the deficiency. See " -- Anti-Deficiency Legislation
and Other Limitations on Lenders" below.
RIGHTS OF REINSTATEMENT AND REDEMPTION
In some states, the Borrower, or any other person having a junior
encumbrance on the real estate, may, during a reinstatement or redemption
period, cure the default by paying the entire amount in arrears plus certain of
the costs and expenses incurred in enforcing the obligation. Certain state laws
control the amount of foreclosure expenses and costs, including attorneys' fees,
which may be recovered by a lender. In some states, the Borrower has the right
to reinstate the loan at any time following default until shortly before the
foreclosure sale.
In some states, after sale pursuant to a deed of trust or foreclosure of a
mortgage, the Borrower and certain foreclosed junior encumbrancers are given a
statutory period in which to redeem the Mortgaged Premises from the foreclosure
sale. Depending upon state law, the right of redemption may apply to sale
following judicial foreclosure, or to sale pursuant to a non-judicial power of
sale. Where the right of redemption is available, in some states statutory
redemption may occur only upon payment of the foreclosure purchase price,
accrued interest and taxes and certain of the costs and expenses incurred in
enforcing the obligation. In other states, redemption may be authorized if the
former Borrower pays only a portion of the sums due. In some states, the right
to redeem is a statutory right and in others it is a contractual right. The
effect of a right of redemption is to diminish the ability of the lender to sell
the foreclosed Mortgaged Premises, while such right of redemption is
outstanding. The exercise of a right of redemption would defeat the title of any
purchaser at a foreclosure sale, or of any purchaser from the lender subsequent
to judicial foreclosure or sale under a deed of trust. Consequently, the
practical effect of the redemption right is to force the lender to maintain the
property and pay the expenses of ownership until the redemption period has run.
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LEASES AND RENTS
Multifamily 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. 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 greater of the net amount realized upon the foreclosure sale and the
market value of the Mortgaged Premises.
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 Mortgaged Premises 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 foreclosure sale.
Some state 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 other states, the lender has the option of bringing a personal action against
the Borrower on the debt without first exhausting such security; however, in
some of these states, the lender, following judgment on such personal action,
may be deemed to have elected a remedy and may be precluded from exercising
remedies with respect to the security. Consequently, the practical effect of the
election requirement, when applicable, is that lenders will usually proceed
first against the security rather than bringing a personal action against the
Borrower.
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
Mortgaged Premises.
Generally, lenders realize on cooperative shares and the accompanying
proprietary lease given to secure a Cooperative Loan under Article 9 of the UCC.
Some courts have interpreted section 9-504 of the UCC to prohibit a deficiency
award unless the creditor establishes that the sale of the collateral (which, in
the case of a Cooperative Loan, would be the shares of the Cooperative and the
related proprietary lease or occupancy agreement) was conducted in a
commercially reasonable manner.
In addition to anti-deficiency and related legislation, numerous federal
and state statutory provisions, including the federal bankruptcy laws, the
federal Soldiers' and Sailors' Civil Relief Act of 1940 and state laws affording
relief to debtors, may interfere with or affect the ability of a secured
mortgage lender to realize upon its security 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 for collection of a
debt.
In a Chapter 13 proceeding under the federal Bankruptcy Code, when a court
determines that the value of a home is less than the principal balance of the
loan, the court may prevent a lender from foreclosing on the home, and, as part
of the rehabilitation plan, reduce the amount of the secured indebtedness to the
value of the home as it exists at the time of the proceeding, leaving the lender
as a general unsecured creditor for the difference between that value and the
amount of outstanding indebtedness. A bankruptcy court may grant the debtor a
reasonable time to cure a payment default, and in the case of a mortgage loan
not secured by the debtor's principal residence, also may reduce the periodic
payments due under such mortgage loan, change the rate of interest and alter the
mortgage loan repayment schedule. Certain court decisions have applied such
relief to claims secured by the debtor's principal residence. If a court
relieves a Borrower's obligation to repay amounts otherwise due on a Mortgage
Loan, the Servicer will not be required to advance such amounts, and any loss in
respect thereof may reduce the amounts available to be paid to the holders of
the Securities.
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In a Chapter 11 case under the Bankruptcy Code, the lender is precluded
from foreclosing without authorization from the bankruptcy court. 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, in effect, invalidate
due-on-sale clauses through confirmed Chapter 11 plans of reorganization.
The Internal Revenue Code of 1986, as amended provides priority to certain
tax liens over the lien of the mortgage or deed of trust. Other federal and
state laws provide priority to certain tax and other liens over the lien of the
mortgage or deed of trust. Numerous federal and some state consumer protection
laws impose substantive requirements upon mortgage lenders in connection with
the origination, servicing and the enforcement of mortgage loans. These 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 and state laws
impose specific statutory liabilities upon lenders who originate or service
mortgage loans and who fail to comply with the provisions of the law. In some
cases, this liability may affect assignees of the mortgage loans.
SOLDIERS' AND SAILORS' CIVIL RELIEF ACT OF 1940
Under the Soldiers' and Sailors' Civil Relief Act of 1940, members of all
branches of the military on active duty, including draftees and reservists in
military service, (i) are entitled to have interest rates reduced and capped at
6% per annum on obligations (including mortgage loans) incurred PRIOR to the
commencement of military service for the duration of military service, (ii) may
be entitled to a stay of proceedings on any kind of foreclosure or repossession
action in the case of defaults on such obligations entered into prior to
military service and (iii) may have the maturity of such obligations incurred
prior to military service extended, the payments lowered and the payment
schedule readjusted for a period of time after the completion of military
service. However, the benefits of (i), (ii), or (iii) above are subject to
challenge by creditors and if, in the opinion of the court, the ability of a
person to comply with such obligations is not materially impaired by military
service, the court may apply equitable principles accordingly. If a Borrower's
obligation to repay amounts otherwise due on a Mortgage Loan included in a Trust
for a Series is relieved pursuant to the Soldiers' and Sailors' Civil Relief Act
of 1940, neither the Servicer, the Master Servicer nor the Trustee will be
required to advance such amounts, and any loss in respect thereof may reduce the
amounts available to be paid to the holders of the Securities of such Series.
Unless otherwise provided in the Prospectus Supplement for a Series, any
shortfalls in interest collections on Mortgage Loans included in a Trust for a
Series resulting from application of the Soldiers' and Sailors' Civil Relief Act
of 1940 will be allocated to each Class of Securities of such Series that is
entitled to receive interest in respect of such Mortgage Loans in proportion to
the interest that each such Class of Securities would have otherwise been
entitled to receive in respect of such Mortgage Loans had such interest
shortfall not occurred.
ENVIRONMENTAL CONSIDERATIONS
The federal Comprehensive Environmental Response Compensation and Liability
Act, as amended, ("CERCLA") imposes strict liability on present and past
"owners" and "operators" of contaminated real property for the costs of
clean-up. A secured lender may be liable as an "owner" or "operator" of a
contaminated mortgaged property if agents or employees of the lender have become
sufficiently involved in the management of such mortgaged property or the
operations of the borrower. Such liability may exist even if the lender did not
cause or contribute to the contamination and regardless of whether the lender
has actually taken possession of a mortgaged property through foreclosure, deed
in lieu of foreclosure or otherwise. The magnitude of the CERCLA liability at
any given contaminated site is a function of the actions required to address
adequately the risks to human health and the environment posed by the particular
conditions at the site. As a result, such liability is not constrained by the
value of the property or the amount of the original or unamortized principal
balance of any loans secured by the property. Moreover, under certain
circumstances, liability under CERCLA may be joint and several -- I.E., any
liable party may be obligated to pay the entire cleanup costs regardless of its
relative contribution to the contamination. If a lender is found to be liable,
it is entitled to bring an action for contribution against other liable parties,
such as the present or past owners and operators of the property. The lender
nonetheless may have to bear a disproportionate share of the liability if such
other parties are defunct or without substantial assets.
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Until recent legislation was adopted, it was uncertain what actions could
be taken by a secured lender in the event of a loan default without it incurring
exposure under CERCLA in the event the property was environmentally
contaminated. The Asset Conservation, Lender Liability and Deposit Insurance Act
of 1996 (the "1996 Lender Liability Act") provides for a safe harbor for secured
lenders from CERCLA liability even though the lender forecloses and sells the
real estate securing the loan, provided the secured lender sells "at the
earliest practicable, commercially reasonable time, at commercially reasonable
terms, taking into account market conditions and legal and regulatory
requirements." Although the 1996 Lender Liability Act provides significant
protection to secured lenders, it has not been construed by the courts, and
there are circumstances in which actions taken could expose a secured lender to
CERCLA liability. And, the transferee from the secured lender is not entitled to
the protections enjoyed by a secured lender. Thus, contamination may decrease
the amount that prospective buyers are willing to pay for a Mortgaged Property
and, thus, decrease the likelihood that the Trust will recover fully on the
Mortgage Loan through foreclosure.
Many states have environmental clean-up statutes similar to CERCLA, and not
all those statutes provide for a secured creditor exemption. In addition,
underground storage tanks are commonly found on a wide variety of commercial and
industrial properties. Federal and state laws impose liability on the owners and
operators of underground storage tanks for any cleanup that may be required as a
result of releases from such tanks. These laws also impose certain compliance
obligations on the tank owners and operators, such as regular monitoring for
leaks and upgrading of older tanks. A lender may become a tank owner or
operator, and subject to compliance obligations and potential cleanup
liabilities, either as a result of becoming involved in the management of a site
at which a tank is located or, more commonly, by taking title to such a
property. Federal and state laws also obligate property owners and operators to
maintain and, under some circumstances, to remove asbestos-containing building
materials and lead based paint. As a result, the presence of these materials can
increase the cost of operating a property and thus diminish its value. In a few
states, transfers of some types of properties are conditioned upon cleanup of
contamination prior to transfer. In these cases, a lender that becomes the owner
of a property through foreclosure, deed in lieu of foreclosures or otherwise may
be required to clean up the contamination before selling or otherwise
transferring the property.
Beyond statute-based environmental liability, there exist common law causes
of action (for example, actions based on nuisance or on toxic tort resulting in
death, personal injury or damage to property) related to hazardous environmental
conditions on a property. While it may be more difficult to hold a lender liable
in such cases, unanticipated or uninsured liabilities of the borrower may
jeopardize the borrower's ability to meet its loan obligations.
Under the laws of many states, contamination of a property may give rise to
a lien on the property for clean-up costs. In several states, such a lien has
priority over all existing liens, including those of existing security
instruments. In these states, the lien of a security instrument may lose its
priority to such a "superlien."
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 Premises was conducted. Unless otherwise specified in the related
Prospectus Supplement, no representations or warranties are made by the
Participant or Seller as to the absence or effect of hazardous wastes or
hazardous substances on any of the Mortgaged Premises. In addition, the
Servicers have not made any representations or warranties or assumed any
liability with respect to the absence or effect of hazardous wastes or hazardous
substances on any Mortgaged Premises or any casualty resulting from the presence
or effect of hazardous wastes or hazardous substances and any loss or liability
resulting from the presence or effect of such hazardous wastes or hazardous
substances will reduce the amounts otherwise available to pay to the holders of
the Securities.
Unless otherwise specified in the related Prospectus Supplement, the
Servicers are not permitted to foreclose on any Mortgaged Premises without the
approval of the Master Servicer. The Master Servicer is not permitted to approve
foreclosure on any property which it knows or has reason to know is contaminated
with or affected by hazardous wastes or hazardous substances. The Master
Servicer is required to inquire of any Servicer requesting approval of
foreclosure whether the property proposed to be foreclosed upon is so
contaminated. If a Servicer does not foreclose on Mortgaged Premises, the
amounts otherwise available to pay to the holders of the Securities may be
reduced. A Servicer will not be liable to the holders of the Securities if it
fails to foreclose on Mortgaged Premises that it reasonably believes may be so
contaminated or affected, even if such Mortgaged Premises are, in fact, not so
contaminated or affected. Similarly, a Servicer will not be liable to the
holders of the Securities if based
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on its reasonable belief that no such contamination or effect exists, the
Servicer forecloses on Mortgaged Premises and takes title to such Mortgaged
Premises, and thereafter such Mortgaged Premises are determined to be so
contaminated or affected.
"DUE-ON-SALE" CLAUSES
The forms of Note, mortgage and deed of trust relating to conventional
Mortgage Loans may contain a "due-on-sale" clause permitting acceleration of the
maturity of a loan if the Borrower transfers its interest in the Mortgaged
Premises. In recent years, court decisions and legislative actions placed
substantial restrictions on the right of lenders to enforce such clauses in many
states. However, effective October 15, 1982, Congress enacted the Garn-St
Germain Depository Institutions Act of 1982 (the "Act"), which, after a 3-year
grace period, preempted state laws which prohibit the enforcement of due-on-sale
clauses by providing, among other matters, that "due-on-sale" clauses in certain
loans (which loans include the conventional Mortgage Loans) made after the
effective date of the Act are enforceable within certain limitations as set
forth in the Act and the regulations promulgated thereunder.
By virtue of the Act, the mortgage lender generally may be permitted to
accelerate any conventional Mortgage Loan which contains a "due-on-sale" clause
upon transfer of an interest in the Mortgaged Premises. With respect to any
Mortgage Loan secured by a residence occupied or to be occupied by the Borrower,
this ability to accelerate will not apply to certain types of transfers,
including (i) the granting of a leasehold interest which has a term of three
years or less and which does not contain an option to purchase, (ii) a transfer
to a relative resulting from the death of a Borrower, or a transfer where the
spouse or child(ren) becomes an owner of the Mortgaged Premises in each case
where the transferee(s) will occupy the Mortgaged Premises, (iii) a transfer
resulting from a decree of dissolution of marriage, legal separation agreement
or from an incidental property settlement agreement by which the spouse becomes
an owner of the Mortgaged Premises, (iv) the creation of a lien or other
encumbrance subordinate to the lender's security instrument which does not
relate to a transfer of rights of occupancy in the Mortgaged Premises (provided
that such lien or encumbrance is not created pursuant to a contract for deed),
(v) a transfer by devise, descent or operation of law on the death of a joint
tenant or tenant by the entirety, and (vi) other transfers as set forth in the
Act and the regulations thereunder. As a result, a lesser number of Mortgage
Loans which contain "due-on-sale" clauses may extend to full maturity than
earlier experience would indicate with respect to single-family mortgage loans.
The extent of the effect of the Act on the average lives and delinquency rates
of the Mortgage Loans, however, cannot be predicted. FHA and VA Loans do not
contain due-on-sale clauses. See "Maturity and Prepayment Considerations."
ENFORCEABILITY OF PREPAYMENT AND LATE PAYMENT FEES
The standard form of Note, mortgage and deed 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 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. 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. Unless otherwise provided in the related Prospectus Supplement,
late charges and prepayment fees (to the extent permitted by law and not waived
by the Servicers) will be retained by the Servicers as additional servicing
compensation.
EQUITABLE LIMITATIONS ON REMEDIES
Courts have imposed general equitable principles upon foreclosure. These
equitable principles are generally designed to relieve the Borrower from the
legal effect of defaults under the loan documents. Examples of judicial remedies
that may be 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
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required lenders to reinstate loans or recast payment schedules to accommodate
Borrowers who are suffering from temporary financial disability. In other cases,
courts have limited the right of lenders to foreclose if the default under the
Security Instrument is not monetary, such as the Borrower failing to adequately
maintain the Mortgaged Premises or the Borrower executing a second mortgage or
deed of trust affecting the Mortgaged Premises. Finally, some courts have been
faced with the issue whether federal or state constitutional provisions
reflecting due process concerns for adequate notice require that Borrowers under
the deeds of trust receive notices in addition to the statutorily-prescribed
minimum requirements. For the most part, these cases have upheld the notice
provisions as being reasonable or have found that the sale by a trustee under a
deed of trust or under a mortgage having a power of sale does not involve
sufficient state action to afford constitutional protections to the Borrower.
The Mortgage Loans may include a debt-acceleration clause, which permits
the lender to accelerate the debt upon a monetary default of the Borrower, after
the applicable cure period. The courts of all states will enforce clauses
providing for acceleration in the event of a material payment default. However,
courts of any state, exercising equity jurisdiction, may refuse to allow a
lender to foreclose a mortgage or deed of trust when an acceleration of the
indebtedness would be inequitable or unjust and the circumstances would render
the acceleration unconscionable.
SECONDARY FINANCING; DUE-ON-ENCUMBRANCE PROVISIONS
Certain of the Mortgage Loans may not restrict secondary financing, thereby
permitting the borrower to use the Mortgaged Property as security for one or
more additional loans. Certain of the Mortgage Loans may preclude secondary
financing (by permitting the first lender to accelerate the maturity of its loan
if the borrower further encumbers the Mortgaged Premises 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 Premises 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.
THE SELLER
Financial Asset Securitization, Inc. was incorporated in Virginia under the
name Ryland Mortgage Securities Corporation on April 22, 1986, as a wholly
owned, limited-purpose financing subsidiary of Ryland Mortgage Company. On
August 31, 1995, the Seller was sold to JST and is now a wholly owned subsidiary
of JST. The Seller changed its name from Ryland Mortgage Securities Corporation
to Financial Asset Securitization, Inc. by filing Articles of Amendment to its
Amended and Restated Articles of Incorporation with the State Corporation
Commission of the Commonwealth of Virginia on September 21, 1995. JST was
organized in Virginia on August 22, 1995. The Seller's principal office is
located at 901 East Byrd Street, Richmond, Virginia 23219, telephone (804) 344-
6575. The Seller was formed solely for the purpose of facilitating the financing
and sale of financial assets. It does not intend to engage in any business or
investment activities other than issuing and selling securities secured
primarily by, or evidencing interests in, financial assets and taking certain
actions with respect thereto. The Seller's Articles of Incorporation, which have
been filed as an Exhibit to, or incorporated by reference into, the Registration
Statement of which this Prospectus forms a part, limit the Seller's business to
the foregoing and place certain other restrictions on the Seller's activities.
The Seller has authorized capital stock consisting of 10,000 shares of Common
Stock. All 10,000 of such authorized shares are held by JST.
JST has agreed not to file a petition in bankruptcy with respect to the
Seller.
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USE OF PROCEEDS
Substantially all of the net proceeds from the sale of each Series of
Securities will be applied by the Seller to purchase the Mortgage Assets
assigned to the Trust underlying such Series or to fund loans to Finance
Companies secured by the pledge of Mortgage Assets to the Trust for such Series.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
The following discussion is a summary of the anticipated material federal
income tax consequences of the purchase, ownership, and disposition of the
Securities offered hereunder. The summary is based upon laws, regulations,
rulings, and decisions now in effect, all of which are subject to change.
Because REMIC status may be elected with respect to certain Series, this
discussion includes a summary of the federal income tax consequences to holders
of REMIC Securities. The discussion does not purport to deal with the federal
income tax consequences to all categories of investors (such as banks, insurance
companies and foreign investors), some of which may be subject to special rules.
The discussion focuses primarily on investors who will hold the Securities as
"capital assets" (generally, property held for investment) within the meaning of
Section 1221 of the Internal Revenue Code, although much of the discussion is
applicable to other investors as well. Investors should note that, although
final regulations under the REMIC provisions of the Code (the "REMIC
Regulations") have been issued by the Treasury, no currently effective
regulations or other administrative guidance has been issued with respect to
certain provisions of the Code that are or may be applicable to Securityholders,
particularly the provisions dealing with market discount and stripped debt
securities. Although the Treasury recently issued final regulations dealing with
original issue discount and premium, those regulations do not address directly
the treatment of REMIC Regular Securities and certain other types of securities.
Furthermore, the REMIC Regulations do not address many of the issues that arise
in connection with the formation and operation of a REMIC. Hence, definitive
guidance cannot be provided with respect to many aspects of the tax treatment of
Securityholders, particularly Residual Securityholders (as described below).
Moreover, this summary and the opinion referred to below are based on current
law, and there can be no assurance that the Service will not take positions that
would be materially adverse to investors. Finally, the summary does not purport
to address the anticipated state income tax consequences to investors of owning
and disposing of the Securities. Consequently, Investors should consult their
own tax advisors in determining the federal, state, foreign, and any other tax
consequences to them of the purchase, ownership, and disposition of the
Securities.
GENERAL
Many aspects of the federal income tax treatment of the Securities of a
particular Series will depend upon whether an election is made to treat the
Trust, or one or more segregated pools of Trust assets, as a REMIC. The
Prospectus Supplement for each Series will indicate whether a REMIC election or
elections will be made with respect to the related Trust. For each Series with
respect to which one or more REMIC elections are to be made, Hunton & Williams,
counsel to the Seller, will deliver a separate opinion generally to the effect
that, assuming timely filing of a REMIC election or elections and compliance
with the relevant Trust Agreement and certain other documents specified in the
opinion, the Trust (or one or more segregated pools of Trust assets) will
qualify as one or more REMICs (each, a "Series REMIC"). For each Series with
respect to which a REMIC election is not to be made, Hunton & Williams will
deliver a separate opinion generally to the effect that, assuming compliance
with the relevant Trust Agreement and certain other documents, the Trust 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. Those opinions will be based
on existing law, but there can be no assurance that the law will not change or
that contrary positions will not be taken by the Service.
REMIC SECURITIES
REMIC Securities will be classified as either REMIC Regular Securities,
which generally are treated as debt for federal income tax purposes, or Residual
Securities, which generally are not treated as debt for such purposes, but
rather as representing rights and responsibilities with respect to the taxable
income or loss of the related REMIC. The Prospectus Supplement for each Series
of REMIC Securities will indicate which of the Securities of such Series will be
classified as REMIC Regular Securities and which will be classified as Residual
Securities.
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REMIC Securities held by a thrift institution taxed as a "domestic building
and loan association" will constitute a "regular or residual interest in a
REMIC," as the case may be, within the meaning of Section 7701(a)(19)(C)(xi) of
the Code; REMIC Securities held by a real estate investment trust ("REIT") will
constitute "real estate assets" within the meaning of Section 856(c)(5)(A) of
the Code; and interest on such Securities will be considered "interest on
obligations secured by mortgages on real property" within the meaning of Section
856(c)(3)(B), all in the same proportion that the related REMIC's assets would
so qualify. If 95 percent or more of the assets of a given Series REMIC
constitute qualifying assets for Thrift Institutions and REITs, the related
REMIC Securities and the income thereon will be treated entirely as qualifying
assets and income for such purposes. REMIC Regular and Residual Securities held
by a financial institution to which Section 585 of the Code applies will be
treated as evidences of indebtedness for purposes of Section 582(c)(1) of the
Code. The REMIC Regular Securities generally will be "qualified mortgages"
within the meaning of Section 860G(a)(3) of the Code with respect to other
REMICs. Effective September 1, 1997, REMIC Regular Securities held by a
financial asset securitization investment trust (a "FASIT") will qualify for
treatment as "permitted assets" within the meaning of Section 860L(c)(1)(G) of
the Code. In the case of a Series for which two or more Series REMICs will be
created, all Series REMICs will be treated as a single REMIC for purposes of
determining the extent to which the related Securities and the income thereon
will be treated as qualifying assets and income for such purposes. However,
REMIC Securities will not qualify as government securities for REITs and
regulated investment companies ("RICs") in any case.
TAX TREATMENT OF REMIC REGULAR SECURITIES
Payments received by holders of REMIC Regular Securities generally should
be accorded the same tax treatment under the Code as payments received on
ordinary taxable corporate debt instruments. Except as described below for REMIC
Regular Securities issued with original issue discount or acquired with market
discount or premium, interest paid or accrued on REMIC Regular Securities will
be treated as ordinary income to the Securityholder and a principal payment on
such Securities will be treated as a return of capital to the extent that the
Securityholder's basis in the Security is allocable to that payment. Holders of
REMIC Regular (or Residual) Securities must report income from such Securities
under an accrual method of accounting, even if they otherwise would have used
the cash receipts and disbursements method. The Trustee or the Master Servicer
will report annually to the Service and to Securityholders of record with
respect to interest paid or accrued and original issue discount, if any, accrued
on the Securities.
Under temporary Treasury regulations, holders of REMIC Regular Securities
issued by "single-class REMICs" who are individuals, trusts, estates, or
pass-through entities in which such investors hold interests may be required to
recognize certain amounts of income in addition to interest and discount income.
A single-class REMIC, in general, is a REMIC that (i) would be classified as an
investment trust in the absence of a REMIC election or (ii) is substantially
similar to an investment trust. Under the temporary Treasury regulations, each
holder of a regular or residual interest in a single-class REMIC is allocated
(i) a share of the REMIC's "allocable investment expenses" (i.e., expenses
normally allowable under Section 212 of the Code, which may include servicing
and administrative fees and insurance premiums) and (ii) a corresponding amount
of additional income. Section 67 of the Code permits an individual, trust or
estate to deduct miscellaneous itemized expenses (including Section 212
expenses) only to the extent that such expenses, in the aggregate, exceed 2% of
its adjusted gross income. Consequently, an individual, trust or estate that
holds a regular interest in a single-class REMIC (either directly or through a
pass-through entity) will recognize additional income with respect to such
regular interest to the extent that its share of allocable investment expenses,
when combined with its other miscellaneous itemized deductions for the taxable
year, fails to exceed 2% of its adjusted gross income. Any such additional
income will be treated as interest 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
($100,000, or $50,000 in the case of a separate return by a married individual
within the meaning of Code Section 7703 for taxable year 1991 and adjusted for
inflation each year thereafter) will be reduced by the lesser of (i) 3% of the
excess of adjusted gross income over the applicable amount, and (ii) 80% of the
amount of itemized deductions otherwise allowable for such taxable year. The
amount of such additional taxable income recognized by holders who are subject
to the limitations of either Section 67 or Section 68 may be substantial and may
reduce or eliminate the after-tax yield to such holders of an investment in the
Securities of an affected Series. Where appropriate, the Prospectus Supplement
for a particular REMIC Series will indicate that the holders of Securities of
such Series may be required to recognize additional income as a result of the
application of the limitations of either Section 67 or Section 68 of the Code.
Non-corporate holders of REMIC Regular Securities evidencing an interest in a
single-
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class REMIC also should be aware that miscellaneous itemized deductions,
including allocable investment expenses attributable to such REMIC, are not
deductible for purposes of the alternative minimum tax ("AMT").
ORIGINAL ISSUE DISCOUNT
Certain Classes of REMIC Regular Securities may be issued with "original
issue discount" within the meaning of Section 1273(a) of the Code. In general,
such original issue discount, if any, will equal the difference between the
"stated redemption price at maturity" of the REMIC Regular Security (generally,
its principal amount) and its issue price. Holders of REMIC Regular Securities
as to which there is original issue discount should be aware that they generally
must include original issue discount in income for federal income tax purposes
on an annual basis under a constant yield accrual method that reflects
compounding. In general, original issue discount is treated as ordinary income
and must be included in income in advance of the receipt of the cash to which it
relates.
The amount of original issue discount required to be included in a REMIC
Regular Securityholder's income in any taxable year will be computed in
accordance with Section 1272(a)(6) of the Code, which provides for the accrual
of original issue discount under a constant yield method for certain debt
instruments, such as the REMIC Regular Securities, that are subject to
prepayment by reason of prepayments of underlying obligations. Under Section
1272(a)(6), the amount and rate of accrual of original issue discount on a REMIC
Regular Security generally is to be calculated based on (i) a single constant
yield to maturity and (ii) the prepayment rate for the related mortgage
collateral and the reinvestment rate on amounts held pending distribution that
were assumed in pricing the REMIC Regular Security (the "Pricing Prepayment
Assumptions"). No regulatory guidance currently exists under Code Section
1272(a)(6). Accordingly, until the Treasury issues guidance to the contrary, the
Master Servicer or other person responsible for computing the amount of original
issue discount to be reported to a REMIC Regular Securityholder each taxable
year (the "Tax Administrator") will, except as otherwise provided herein, base
its computations on Code Section 1272(a)(6), final regulations governing the
accrual of original issue discount on debt instruments that were issued by the
Treasury on January 27, 1994, but that do not address directly the treatment of
instruments that are subject to Code Section 1272(a)(6) (the "OID Regulations"),
and certain other guidance, all as described below. However, there can be no
assurance that such methodology represents the correct manner of calculating
original issue discount on the REMIC Regular Securities. The Tax Administrator
will account for income on certain REMIC Regular Securities that provide for one
or more contingent payments as described in "Certain Federal Income Tax
Consequences -- Original Issue Discount -- Interest Weighted Securities and Non-
VRDI Securities" herein. Prospective purchasers should be aware that none of the
Seller, the Master Servicer, any Servicer or the Trustee will make any
representation that the Mortgage Assets underlying a Series will in fact prepay
at a rate conforming to the related Pricing Prepayment Assumptions or at any
other rate.
The amount of original issue discount on a REMIC Regular Security is the
excess, if any, of the Security's "stated redemption price at maturity" over its
"issue price." Under the OID Regulations, a debt instrument's stated redemption
price at maturity is the sum of all payments provided by the instrument other
than "qualified stated interest" ("Deemed Principal Payments"). Qualified stated
interest, in general, is stated interest that is unconditionally payable in cash
or property (other than debt instruments of the issuer) at least annually at (i)
a single fixed rate or (ii) a variable rate that meets certain requirements set
out in the OID Regulations. See "Certain Federal Income Tax
Consequences -- REMIC Securities -- Original Issue Discount -- Variable Rate
Securities" below. Thus, in the case of any REMIC Regular Security, the stated
redemption price at maturity will equal the total amount of all Deemed Principal
Payments due on that Security. In the case of any REMIC Regular Security that
does not require unconditional payments of interest at least annually, the
stated redemption price at maturity of such Security will equal the aggregate of
all payments due, whether designated as principal, accrued interest, or current
interest. The issue price of a REMIC Regular Security generally will equal the
initial price at which a substantial amount of Securities of the same Class is
sold to the public.
The OID Regulations contain an aggregation rule (the "Aggregation Rule")
under which two or more debt instruments issued in connection with the same
transaction or related transactions (determined based on all the facts and
circumstances) generally are treated as a single debt instrument for federal
income tax accounting purposes if issued by a single issuer to a single holder.
The Aggregation Rule, however, does not apply if the debt instrument is part of
an issue (i) a substantial portion of which is traded on an established market
or (ii) a substantial portion of which is issued for cash (or property traded on
an established market) to parties who are not related to the issuer or holder
and who do not purchase other debt instruments of the same issuer in connection
with the same transaction or related transactions. In most cases, the
Aggregation Rule will not apply to REMIC Regular
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Securities of different Classes because one or both of the exceptions to the
Aggregation Rule will have been met. Although the Tax Administrator currently
intends to apply the Aggregation Rule to all REMIC regular interests in a Series
REMIC that are held by a related Series REMIC, it generally will not apply the
Aggregation Rule to REMIC Regular Securities for purposes of reporting to
Securityholders.
Under a DE MINIMIS rule, a REMIC Regular Security will be considered to
have no original issue discount if the amount of original issue discount is less
than 0.25% of the Security's stated redemption price at maturity multiplied by
the weighted average maturity ("WAM") of all Deemed Principal Payments. For that
purpose, the WAM of a REMIC Regular Security is the sum of the amounts obtained
by multiplying the amount of each Deemed Principal Payment by a fraction, the
numerator of which is the number of complete years from the Security's issue
date until the payment is made, and the denominator of which is the Security's
stated redemption price at maturity. Although no Treasury regulations have been
issued under the relevant provisions of the 1986 Act, it is expected that the
WAM of a REMIC Regular Security will be computed using the Pricing Prepayment
Assumptions. A REMIC Regular Securityholder will include DE MINIMIS original
issue discount in income on a PRO RATA basis as stated principal payments on the
Security are received or, if earlier, upon disposition of the Security, unless
the Securityholder makes the "All OID Election" (as defined below).
REMIC Regular Securities of certain Series may bear interest under terms
that provide for a teaser rate period, interest holiday, or other period during
which the rate of interest payable on the Securities is lower than the rate
payable during the remainder of the life of the Securities ("Teaser
Securities"). Under certain circumstances, a Teaser Security may be considered
to have a DE MINIMIS amount of original issue discount even though the amount of
original issue discount on the Security would be more than DE MINIMIS as
determined as described above if the stated interest on a Teaser Security would
be qualified stated interest but for the fact that during one or more accrual
periods its interest rate is below the rate applicable for the remainder of its
term, the amount of original issue discount on such Security that is measured
against the DE MINIMIS amount of original issue discount allowable on the
Security is the greater of (i) the excess of the stated principal amount of such
Security over its issue price ("True Discount") and (ii) the amount of interest
that would be necessary to be payable on such Security in order for all stated
interest to be qualified stated interest.
The holder of a REMIC Regular Security generally must include in gross
income the sum, for all days during his taxable year on which he holds the REMIC
Regular Security, of the "daily portions" of the original issue discount on such
Security. In the case of an original holder of a REMIC Regular Security, the
daily portions of original issue discount with respect to such Security
generally will be determined by allocating to each day in any accrual period the
Security's ratable portion of the excess, if any, of (i) the sum of (a) the
present value of all payments under the Security yet to be received as of the
close of such period plus (b) the amount of any Deemed Principal Payments
received on the Security during such period over (ii) the Security's "adjusted
issue price" at the beginning of such period. The present value of payments yet
to be received on a REMIC Regular Security is to be computed using the Pricing
Prepayment Assumptions and the Security's original yield to maturity (adjusted
to take into account the length of the particular accrual period), and taking
into account Deemed Principal Payments actually received on the Security prior
to the close of the accrual period. The adjusted issue price of a REMIC Regular
Security at the beginning of the first period is its issue price. The adjusted
issue price at the beginning of each subsequent period is the adjusted issue
price of the Security at the beginning of the preceding period increased by the
amount of original issue discount allocable to that period and reduced by the
amount of any Deemed Principal Payments received on the Security during that
period. Thus, an increased (or decreased) rate of prepayments received with
respect to a REMIC Regular Security will be accompanied by a correspondingly
increased (or decreased) rate of recognition of original issue discount by the
holder of such Security.
The yield to maturity of a Regular Security is calculated based on (i) the
Pricing Prepayment Assumptions and (ii) any contingencies not already taken into
account under the Pricing Prepayment Assumptions that, considering all of the
facts and circumstances as of the issue date, are more likely than not to occur.
Contingencies, such as the exercise of "mandatory redemptions," that are taken
into account by the parties in pricing the Regular Security typically will be
subsumed in the Pricing Prepayment Assumptions and thus will be reflected in the
Security's yield to maturity. The Tax Administrator's determination of whether a
contingency relating to a Class of Regular Securities is more likely than not to
occur is binding on each holder of a Regular Security of such Class unless the
holder explicitly discloses on its federal income tax return that its
determination of the yield and maturity of the Security is different from that
of the Tax Administrator.
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In many cases, REMIC Regular Securities will be subject to optional
redemption before their stated maturity dates. Under the OID Regulations, the
Seller will be presumed to exercise its option to redeem for purposes of
computing the accrual of original issue discount if, and only if, by using the
optional redemption date as the maturity date and the optional redemption price
as the stated redemption price at maturity, the yield to maturity of the
Security is lower than it would be if the Security were not redeemed early. If
the Seller is presumed to exercise its option to redeem the Securities, original
issue discount on such Securities will be calculated as if the redemption date
were the maturity date and the optional redemption price were the stated
redemption price at maturity. In cases in which all of the Securities of a
particular Series are issued at par or at a discount, the Seller will not be
presumed to exercise its option to redeem the Securities because a redemption by
the Seller would not lower the yield to maturity of the Securities. If, however,
some Securities of a particular Series are issued at a premium, the Seller may
be able to lower the yield to maturity of the Securities by exercising its
redemption option. In determining whether the Seller will be presumed to
exercise its option to redeem Securities when one or more Classes of the
Securities is issued at a premium, the Tax Administrator will take into account
all Classes of Securities that are subject to the optional redemption to the
extent that they are expected to remain outstanding as of the optional
redemption date, based on the Pricing Prepayment Assumptions. If, determined on
a combined weighted average basis, the Securities of such Classes were issued at
a premium, the Tax Administrator will presume that the Seller will exercise its
option. However, the OID Regulations are unclear as to how the redemption
presumption rules should apply to instruments such as the Securities, and there
can be no assurance that the Service will agree with the Tax Administrator's
position.
A REMIC Regular Security having original issue discount may be acquired
subsequent to its issuance for more than its adjusted issue price. If the
subsequent holder's adjusted basis in such a Security, immediately after its
acquisition, exceeds the sum of all Deemed Principal Payments to be received on
the Security after the acquisition date, the Security will no longer have
original issue discount, and the holder may be entitled to reduce the amount of
interest income recognized on the Security by the amount of amortizable premium.
See "Certain Federal Income Tax Consequences -- REMIC Securities -- Amortizable
Premium." If the subsequent holder's adjusted basis in the Security, immediately
after the acquisition, exceeds the adjusted issue price of the Security, but is
less than or equal to the sum of the Deemed Principal Payments to be received on
the Security after the acquisition date, the amount of original issue discount
on the Security will be reduced by a fraction, the numerator of which is the
excess of the Security's adjusted basis immediately after its acquisition over
the adjusted issue price of the Security and the denominator of which is the
excess of the sum of all Deemed Principal Payments to be received on the
Security after the acquisition date over the adjusted issue price of the
Security. For that purpose, the adjusted basis of a REMIC Regular Security
generally is reduced by the amount of any qualified stated interest that is
accrued but unpaid as of the acquisition date. Alternatively, the subsequent
holder of a REMIC Regular Security having original issue discount may make an
All OID Election (as defined below) with respect to the Security.
The OID Regulations provide that a Securityholder generally may make an
election (an "All OID Election") to include in gross income all stated interest,
original issue discount, DE MINIMIS original issue discount, market discount (as
described below under "Certain Federal Income Tax Consequences -- REMIC
Securities -- Market Discount"), and DE MINIMIS market discount that accrues on
a REMIC Regular Security (reduced by any acquisition premium or amortizable
premium, as described below under "Certain Federal Income Tax Consequences --
REMIC Securities -- Amortizable Premium") under the constant yield method used
to account for original issue discount. To make the All OID Election, the holder
of the Security must attach a statement to its timely filed federal income tax
return for the taxable year in which the holder acquired the Security. The
statement must identify the instruments to which the election applies. An All
OID Election is irrevocable unless the holder obtains the consent of the
Service. If an All OID Election is made for a debt instrument with market
discount, the holder is deemed to have made an election to include in income
currently the market discount on all of the holder's other debt instruments with
market discount, as described in "Certain Federal Income Tax
Consequences -- REMIC Securities -- Market Discount" below. In addition, if an
All OID Election is made for a debt instrument with amortizable bond premium,
the holder is deemed to have made an election to amortize the premium on all of
the holder's other debt instruments with amortizable premium under the constant
yield method. See "Certain Federal Income Tax Consequences -- REMIC
Securities -- Amortizable Premium." Securityholders should be aware that the law
is unclear as to whether an All OID Election is effective for a Security that is
subject to the contingent payment rules. See "Certain Federal Income Tax
Consequences -- REMIC Securities -- Original Issue Discount -- Interest Weighted
Securities and Non-VRDI Securities."
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If the interval between the issue date of a Current Interest Security and
the first Distribution Date (the "First Distribution Period") contains more days
than the number of days of stated interest that are payable on the first
Distribution Date, the effective interest rate received by the Securityholder
during the First Distribution Period will be less than the Security's stated
interest rate, making such Security a Teaser Security. If the amount of original
issue discount on the Security measured under the expanded DE MINIMIS test
exceeds the DE MINIMIS amount of original issue discount allowable on the
Security, the amount by which the stated interest on the Security exceeds the
interest that would be payable on the Security at the effective rate of interest
for the First Distribution Period would be treated as part of the Security's
stated redemption price at maturity. Accordingly, the holder of a Teaser
Security may be required to recognize ordinary income arising from original
issue discount in the First Distribution Period in addition to any qualified
stated interest that accrues in that period.
Similarly, if the First Distribution Period is shorter than the interval
between subsequent Distribution Dates, the effective rate of interest payable on
a Security during the First Distribution Period will be higher than the stated
rate of interest if a Securityholder receives interest on the first Distribution
Date based on a full accrual period. Unless the "Pre-Issuance Accrued Interest
Rule" described below applies, such Security (a "Rate Bubble Security") would be
issued with original issue discount unless the amount of original issue discount
is DE MINIMIS. The amount of original issue discount on a Rate Bubble Security
attributable to the First Distribution Period would be the amount by which the
interest payment due on the first Distribution Date exceeds the amount that
would have been payable had the effective rate for that Period been equal to the
stated interest rate. However, under the "Pre-Issuance Accrued Interest Rule,"
if, (i) a portion of the initial purchase price of a Rate Bubble Security is
allocable to interest that has accrued under the terms of the Security prior to
its issue date ("Pre-Issuance Accrued Interest") and (ii) the Security provides
for a payment of stated interest on the First Distribution Date within one year
of the issue date that equals or exceeds the amount of the Pre-Issuance Accrued
Interest, the Security's issue price may be computed by subtracting from the
issue price the amount of Pre-Issuance Accrued Interest. If the Securityholder
opts to apply the Pre-Issuance Accrued Interest Rule, the portion of the
interest received on the first Distribution Date equal to the Pre-Issuance
Accrued Interest would be treated as a return of such Interest and would not be
treated as a payment on the Security. Thus, where the Pre-Issuance Accrued
Interest Rule applies, a Rate Bubble Security will not have original issue
discount attributable to the First Distribution Period, provided that the
increased effective interest rate for that Period is attributable solely to
Pre-Issuance Accrued Interest, as typically will be the case. The Tax
Administrator intends to apply the Pre-Issuance Accrued Interest Rule to each
Rate Bubble Security for which it is available if the Security's stated interest
otherwise would be qualified stated interest. If, however, the First
Distribution Period of a Rate Bubble Security is longer than subsequent Payment
Periods, the application of the Pre-Issuance Accrued Interest Rule typically
will not prevent disqualification of the Security's stated interest because its
effective interest rate during the First Distribution Period will be less than
its stated interest rate. Thus, a REMIC Regular Security with a long First
Distribution Period typically will be a Teaser Security, as discussed above. The
Pre-Issuance Accrued Interest Rule will not apply to any amount paid at issuance
for such a Teaser Security that is nominally allocable to interest accrued under
the terms of such Security before its issue date. All amounts paid for such a
Teaser Security at issuance, regardless of how designated, will be included in
the issue price of such Security for federal income tax accounting purposes.
It is not entirely clear how income should be accrued with respect to a
REMIC Regular Security, the payments on which consist entirely or primarily of a
specified nonvarying portion of the interest payable on one or more of the
qualified mortgages held by the REMIC (an "Interest Weighted Security"). Unless
and until the Service provides contrary administrative guidance on the income
tax treatment of an Interest Weighted Security, the Tax Administrator will take
the position that an Interest Weighted Security does not bear qualified stated
interest, and will account for the income thereon as described in "Certain
Federal Income Tax Consequences -- REMIC Securities -- Original Issue
Discount -- Interest Weighted Securities and Non-VRDI Securities," herein. Some
Interest Weighted Securities may provide for a relatively small amount of
principal and for interest that can be expressed as qualified stated interest at
a very high fixed rate with respect to that principal ("Superpremium
Securities"). Superpremium Securities technically are issued with amortizable
premium. However, because of their close similarity to other Interest Weighted
Securities it appears more appropriate to account for Superpremium Securities in
the same manner as for other Interest Weighted Securities. Consequently, in the
absence of further administrative guidance, the Tax Administrator intends to
account for Superpremium Securities in the same manner as other Interest
Weighted Securities. However, there can be no assurance that the Service will
not assert a position contrary to that taken by the Tax Administrator, and,
therefore, holders of Superpremium Securities should consider making a
protective election to amortize premium on such Securities.
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In view of the complexities and current uncertainties as to the manner of
inclusion in income of original issue discount on the REMIC Regular Securities,
each investor should consult his own tax advisor to determine the appropriate
amount and method of inclusion in income of original issue discount on such
Securities for federal income tax purposes.
VARIABLE RATE SECURITIES
A REMIC Regular Security may pay interest at a variable rate (a "Variable
Rate Security"). A Variable Rate Security that qualifies as a "variable rate
debt instrument" as that term is defined in the OID Regulations (a "VRDI") will
be governed by the rules applicable to VRDIs in the OID Regulations, which are
described below. A Variable Rate Security qualifies as a VRDI under the OID
Regulations if (i) the Security is not issued at a premium to its noncontingent
principal amount in excess of the lesser of (a) .015 multiplied by the product
of such noncontingent principal amount and the WAM (as that term is defined
above in the discussion of the DE MINIMIS rule) of the Security and (b) 15
percent of such noncontingent principal amount (an "Excess Premium"); (ii)
stated interest on the Security compounds or is payable unconditionally at least
annually at (a) one or more "qualified floating rates,"(b) a single fixed rate
and one or more qualified floating rates, (c) a single "objective rate," or (d)
a single fixed rate and a single objective rate that is a "qualified inverse
floating rate"; (iii) the qualified floating rate or the objective rate in
effect during an accrual period is set at a current value of that rate (I.E.,
the value of the rate on any day occurring during the interval that begins three
months prior to the first day on which that value is in effect under the
Security and ends one year following that day); and (iv) the Security does not
provide for contingent principal payments.
Under Treasury regulations issued on June 12, 1996, a rate is a qualified
floating rate if variations in the rate reasonably can be expected to measure
contemporaneous variations in the cost of newly borrowed funds in the currency
in which the debt instrument is denominated. A qualified floating rate may
measure contemporaneous variations in borrowing costs for the issuer of the debt
instrument or for issuers in general. A multiple of a qualified floating rate is
considered a qualified floating rate only if the rate is equal to either (a) the
product of a qualified floating rate and a fixed multiple that is greater than
.65 but not more than 1.35 or (b) the product of a qualified floating rate and a
fixed multiple that is greater than .65 but not more than 1.35, increased or
decreased by a fixed rate. If a REMIC Regular Security provides for two or more
qualified floating rates that reasonably can be expected to have approximately
the same values throughout the term of the Security, the qualified floating
rates together will constitute a single qualified floating rate. Two or more
qualified floating rates conclusively will be presumed to have approximately the
same values throughout the term of a Security if the values of all rates on the
issue date of the Security are within 25 basis points of each other.
A variable rate will be considered a qualified floating rate if it is
subject to a restriction or restrictions on the maximum stated interest rate (a
"Cap"), a restriction or restrictions on the minimum stated interest rate (a
"Floor"), a restriction or restrictions on the amount of increase or decrease in
the stated interest rate (a "Governor"), or other similar restriction only if:
(a) the Cap, Floor, Governor, or similar restriction is fixed throughout the
term of the related Security or (b) the Cap, Floor, Governor, or similar
restriction is not reasonably expected, as of the issue date, to cause the yield
on the Security to be significantly less or significantly more than the expected
yield on the Security determined without such Cap, Floor, Governor, or similar
restriction, as the case may be. Although the OID Regulations are unclear, it
appears that a VRDI, the principal rate on which is subject to a Cap, Floor, or
Governor that itself is a qualified floating rate, bears interest at an
objective rate.
An objective rate is a rate (other than a qualified floating rate) that (i)
is determined using a single fixed formula, (ii) is based on objective financial
or economic information, and (iii) is not based on information that either is
within the control of the issuer (or a related party) or is unique to the
circumstances of the issuer (or related party), such as dividends, profits, or
the value of the issuer's (or related party's) stock. That definition would
include, in addition to a rate that is based on one or more qualified floating
rates or on the yield of actively traded personal property, a rate that is based
on changes in a general inflation index. In addition, a rate would not fail to
be an objective rate merely because it is based on the credit quality of the
issuer. An objective rate is a qualified inverse floating rate if (i) the rate
is equal to a fixed rate minus a qualified floating rate and (ii) the variations
in the rate can reasonably be expected to inversely reflect contemporaneous
variations in the qualified floating rate (disregarding certain Caps, Floors,
and Governors).
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If interest on a Variable Rate Security is stated at a fixed rate for an
initial period of less than one year followed by a variable rate that is either
a qualified floating rate or an objective rate for a subsequent period, and the
value of the variable rate on the issue date is intended to approximate the
fixed rate, the fixed rate and the variable rate together constitute a single
qualified floating rate or objective rate. A variable rate conclusively will be
presumed to approximate an initial fixed rate if the value of the variable rate
on the issue date does not differ from the value of the fixed rate by more than
25 basis points.
All interest payable on a Variable Rate Security that qualifies as a VRDI
and provides for stated interest unconditionally payable in cash or property at
least annually at a single qualified floating rate or a single objective rate (a
"Single Rate VRDI Security") is treated as qualified stated interest. The amount
and accrual of original issue discount on a Single Rate VRDI Security is
determined, in general, by converting such Security into a hypothetical fixed
rate security and applying the rules applicable to fixed rate securities
described under "Certain Federal Income Tax Consequences -- REMIC
Securities -- Original Issue Discount" above to such hypothetical fixed rate
security. Qualified stated interest or original issue discount allocable to an
accrual period with respect to a Single Rate VRDI Security also must be
increased (or decreased) if the interest actually accrued or paid during such
accrual period exceeds (or is less than) the interest assumed to be accrued or
paid during such accrual period under the related hypothetical fixed rate
security.
Except as provided below, the amount and accrual of original issue discount
on a Variable Rate Security that qualifies as a VRDI but is not a Single Rate
VRDI Security (a "Multiple Rate VRDI Security") is determined by converting such
Security into a hypothetical equivalent fixed rate security that has terms that
are identical to those provided under the Multiple Rate VRDI Security, except
that such hypothetical equivalent fixed rate security will provide for fixed
rate substitutes in lieu of the qualified floating rates or objective rate
provided for under the Multiple Rate VRDI Security. A Multiple Rate VRDI
Security that provides for a qualified floating rate or rates or a qualified
inverse floating rate is converted to a hypothetical equivalent 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 Multiple Rate
VRDI Security that provides for an objective rate or rates is converted to a
hypothetical equivalent fixed rate security by assuming that each objective rate
will equal a fixed rate that reflects the yield that reasonably is expected for
the Multiple Rate VRDI Security. Qualified stated interest or original issue
discount allocable to an accrual period with respect to a Multiple Rate VRDI
Security must be increased (or decreased) if the interest actually accrued or
paid during such accrual period exceeds (or is less than) the interest assumed
to be accrued or paid during such accrual period under the hypothetical
equivalent fixed rate security.
The amount and accrual of original issue discount on a Multiple Rate VRDI
Security that provides for stated interest at either one or more qualified
floating rates or at a qualified inverse floating rate and in addition provides
for stated interest at a single fixed rate (other than an initial fixed rate
that is intended to approximate the subsequent variable rate) is determined
using the method described above for all other Multiple Rate VRDI Securities
except that prior to its conversion to a hypothetical equivalent fixed rate
security, such Multiple Rate VRDI Security is treated as if it provided for a
qualified floating rate (or a qualified inverse floating rate), rather than the
fixed rate. The qualified floating rate (or qualified inverse floating rate)
replacing the fixed rate must be such that the fair market value of the Multiple
Rate VRDI Security as of its issue date would be approximately the same as the
fair market value of an otherwise identical debt instrument that provides for
the qualified floating rate (or qualified inverse floating rate), rather than
the fixed rate.
REMIC Regular 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
or regular interests in a second REMIC held subject to the related Trust
Agreement ("Weighted Average Securities"). Under the OID Regulations, it appears
that Weighted Average Securities relating to a REMIC whose assets consist
exclusively of ARM Loans bear interest at an "objective rate," provided the ARM
Loans themselves bear interest at qualified floating rates. However, under the
OID Regulations, Weighted Average Securities relating to a REMIC whose assets do
not bear interest at qualified floating rates ("Non-Objective Weighted Average
Securities" or "NOWA Securities") do not bear interest at an objective or a
qualified floating rate and, consequently, do not qualify as VRDIs. Accordingly,
unless and until the Service provides contrary administrative guidance on the
income tax treatment of NOWA Securities, the Tax Administrator intends to treat
such Securities as debt obligations that provide for one or more contingent
payments, and will account for the income thereon as described in "Certain
Federal Income Tax Consequences -- REMIC Securities -- Original Issue
Discount -- Interest Weighted Securities and Non-VRDI Securities."
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REMIC Regular Securities of certain Series may provide for the payment of
interest at a rate determined as the difference between two interest rate
parameters, one of which is a variable rate and the other of which is a fixed
rate or a different variable rate ("Inverse Floater Securities"). Under the OID
Regulations, Inverse Floater Securities generally bear interest at objective
rates, because their rates either constitute "qualified inverse floating rates"
under those Regulations or, although not qualified floating rates themselves,
are based on one or more qualified floating rates. Consequently, if such
Securities are not issued at an Excess Premium and their interest rates
otherwise meet the test for qualified stated interest, the income on such
Securities will be accounted for under the rules applicable to VRDIs described
above. However, an Inverse Floater Security may have an interest rate parameter
equal to the weighted average of the interest rates on some or all of the
Mortgage Assets (or other interest bearing assets) held by the related REMIC in
a case where one or more of those rates is a fixed rate or otherwise may not
qualify as a VRDI. Unless and until the Service provides contrary administrative
guidance on the income tax treatment of such Inverse Floater Securities, the Tax
Administrator intends to treat such Securities as debt obligations that provide
for one or more contingent payments, and will account for the income thereon as
described in "Certain Federal Income Tax Consequences -- REMIC
Securities -- Original Issue Discount -- Interest Weighted Securities and
Non-VRDI Securities" herein.
INTEREST WEIGHTED SECURITIES AND NON-VRDI SECURITIES
The treatment of a NOWA Security, a Variable Rate Security that is issued
at an Excess Premium, any other Variable Rate Security that does not qualify as
a VRDI (each a "Non-VRDI Security") or an Interest Weighted Security is unclear
under current law. The OID Regulations contain provisions (the "Contingent
Payment Regulations") that address the federal income tax treatment of debt
obligations that provide for one or more contingent payments ("Contingent
Payment Obligations"). Under the Contingent Payment Regulations, any variable
rate debt instrument that is not a VRDI is classified as a Contingent Payment
Obligation. However, the Contingent Payment Regulations, by their terms, do not
apply to REMIC regular interests and other instruments that are subject to
Section 1272(a)(6) of the Code. In the absence of further guidance, the Tax
Administrator will account for Non-VRDI Securities, Interest Weighted
Securities, and other REMIC Regular Securities that are Contingent Payment
Obligations in accordance with Code Section 1272(a)(6) and the accounting
methodology described in this paragraph. Income will be accrued on such
securities based on a constant yield that is derived from a projected payment
schedule as of the Closing Date. The projected payment schedule will take into
account the related Pricing Prepayment Assumptions and the interest payments
that are expected to be made on such Securities based on the value of any
relevant indices on the issue date. To the extent that actual payments differ
from projected payments for a particular taxable year, appropriate adjustments
to interest income and expense accruals will be made for that year. In the case
of a Weighted Average Security, the projected payments schedule will be derived
based on the assumption that the principal balances of the Mortgage Loans that
collateralize the Security pay down pro rata.
The method described in the foregoing paragraph for accounting for Interest
Weighted Securities and Non-VRDI Securities is consistent with Code section
1272(a)(6) and the legislative history thereof. Because of the uncertainty with
respect to the treatment of such Securities under the OID Regulations, however,
there can be no assurance that the Service will not assert successfully that a
method less favorable to Securityholders will apply. In view of the complexities
and the current uncertainties as to income inclusions with respect to Non-VRDI
Securities and Interest Weighted Securities, particularly with respect to the
method that should be used to account for the income on such Securities, each
investor should consult his or her own tax advisor to determine the appropriate
amount and method of income inclusion on such Securities for federal income tax
purposes.
ANTI-ABUSE RULE
Concerned that taxpayers might be able to structure debt instruments or
transactions, or to apply the bright-line or mechanical rules of the OID
Regulations, in a way that produce unreasonable tax results, the Treasury issued
regulations containing an anti-abuse rule on the same date as the issuance of
the OID Regulations. The regulations provide that if a principal purpose in
structuring a debt instrument, engaging in a transaction, or applying the OID
Regulations is to achieve a result that is unreasonable in light of the purposes
of the applicable statutes, the Service can apply or depart from the OID
Regulations as necessary or appropriate to achieve a reasonable result. A result
is not considered unreasonable under the regulations, however, in the absence of
a substantial effect on the present value of a taxpayer's tax liability.
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MARKET DISCOUNT
A subsequent purchaser of a REMIC Regular Security at a discount from its
outstanding principal amount (or, in the case of a REMIC Regular Security having
original issue discount, its adjusted issue price) will acquire such Security
with "market discount." The purchaser generally will be required to recognize
the market discount (in addition to any original issue discount remaining with
respect to the Security) as ordinary income. A person who purchases a REMIC
Regular Security at a price lower than the remaining outstanding Deemed
Principal Payments but higher than its adjusted issue price does not acquire the
Security with market discount, but will be required to report original issue
discount, appropriately adjusted to reflect the excess of the price paid over
the adjusted issue price. See "Certain Federal Income Tax Consequences -- REMIC
Securities -- Original Issue Discount." A REMIC Regular Security will not be
considered to have market discount if the amount of such market discount is DE
MINIMIS, I.E., less than the product of (i) 0.25% of the remaining principal
amount of the Security (or, in the case of a REMIC Regular Security having
original issue discount, the adjusted issue price of such Security), multiplied
by (ii) the weighted average maturity of the Security (determined as for
original issue discount) remaining after the date of purchase. Regardless of
whether the subsequent purchaser of a REMIC Regular Security with more than a DE
MINIMIS amount of market discount is a cash-basis or accrual-basis taxpayer,
market discount generally will be taken into income as principal payments
(including, in the case of a REMIC Regular Security having original issue
discount, any Deemed Principal Payments) are received, in an amount equal to the
lesser of (i) the amount of the principal payment received or (ii) the amount of
market discount that has "accrued" (as described below), but that has not yet
been included in income. The purchaser may make a special election, which
generally applies to all market discount instruments held or acquired by the
purchaser in the taxable year of election or thereafter, to recognize market
discount currently on an uncapped accrual basis (the "Current Recognition
Election"). The Service has set forth in Revenue Procedure 92-67 the manner in
which a Current Recognition Election may be made. In addition, a purchaser may
make an All OID Election with respect to a REMIC Regular Security purchased with
market discount. See "Certain Federal Income Tax Consequences -- REMIC
Securities -- Original Issue Discount" above.
Until the Treasury promulgates applicable regulations, the purchaser of a
REMIC Regular Security with market discount generally may elect to accrue the
market discount either: (i) on the basis of a constant interest rate; (ii) in
the case of a REMIC Regular Security not issued with original issue discount, in
the ratio of stated interest payable in the relevant period to the total stated
interest remaining to be paid from the beginning of such period; or (iii) in the
case of a REMIC Regular Security issued with original issue discount, in the
ratio of original issue discount accrued for the relevant period to the total
remaining original issue discount at the beginning of such period. The Service
indicated in Revenue Procedure 92-67 the manner in which an election may be made
to accrue market discount on a REMIC Regular Security on the basis of a constant
interest rate. Regardless of which computation method is elected, the Pricing
Prepayment Assumptions must be used to calculate the accrual of market discount.
A Securityholder who has acquired any REMIC Regular Security with market
discount generally will be required to treat a portion of any gain on a sale or
exchange of the Security as ordinary income to the extent of the market discount
accrued to the date of disposition under one of the foregoing methods, less any
accrued market discount previously reported as ordinary income as partial
principal payments were received. Moreover, such Securityholder generally must
defer interest deductions attributable to any indebtedness incurred or continued
to purchase or carry the Security to the extent they exceed income on the
Security. Any such deferred interest expense, in general, is allowed as a
deduction not later than the year in which the related market discount income is
recognized. If a Regular Securityholder makes a Current Recognition Election or
an All OID Election, the interest deferral rule will not apply. Under the
Contingent Payment Regulations, a secondary market purchaser of a Non-VRDI
Security or an Interest Weighted Security at a discount generally would continue
to accrue interest and determine adjustments on such Security based on the
original projected payment schedule devised by the issuer of such Security. See
"Certain Federal Income Tax Consequences -- REMIC Securities -- Original Issue
Discount -- Interest Weighted Securities and Non-VRDI Securities" herein. The
holder of such a Security would be required, however, to allocate the difference
between the adjusted issue price of the Security and its basis in the Security
as positive adjustments to the accruals or projected payments on the Security
over the remaining term of the Security in a manner that is reasonable (e.g.,
based on a constant yield to maturity).
Treasury regulations implementing the market discount rules have not yet
been issued, and uncertainty exists with respect to many aspects of those rules.
For example, the treatment of a REMIC Regular Security subject to
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redemption at the option of the Seller that is acquired at a market discount is
unclear. It appears likely, however, that the market discount rules applicable
in such a case would be similar to the rules pertaining to original issue
discount. Due to the substantial lack of regulatory guidance with respect to the
market discount rules, it is unclear how those rules will affect any secondary
market that develops for a given Class of REMIC Regular Securities. Prospective
investors in REMIC Regular Securities should consult their own tax advisors as
to the application of the market discount rules to those Securities.
AMORTIZABLE PREMIUM
A purchaser of a REMIC Regular Security who purchases the Security at a
premium over the total of its Deemed Principal Payments may elect to amortize
such premium under a constant yield method that reflects compounding based on
the interval between payments on the Securities. The legislative history of the
1986 Act indicates that premium is to be accrued in the same manner as market
discount. Accordingly, it appears that the accrual of premium on a REMIC Regular
Security will be calculated using the Pricing Prepayment Assumptions. Under the
Code, except as otherwise provided in Treasury regulations to be issued,
amortized premium would be treated as an offset to interest income on a REMIC
Regular Security and not as a separate deduction item. If a holder makes an
election to amortize premium on a REMIC Regular 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 Service. Purchasers who pay a
premium for the REMIC Regular Securities should consult their tax advisors
regarding the election to amortize premium and the method to be employed.
Amortizable premium on a REMIC Regular Security that is subject to
redemption at the option of the Trust generally must be amortized as if the
optional redemption price and date were the Security's principal amount and
maturity date if doing so would result in a smaller amount of premium
amortization during the period ending with the optional redemption date. Thus, a
Securityholder would not be able to amortize any premium on a REMIC Regular
Security that is subject to optional redemption at a price equal to or greater
than the Securityholder's acquisition price unless and until the redemption
option expires. In cases where premium must be amortized on the basis of the
price and date of an optional redemption, the Security will be treated as having
matured on the redemption date for the redemption price and then having been
reissued on that date for that price. Any premium remaining on the Security at
the time of the deemed reissuance will be amortized on the basis of (i) the
original principal amount and maturity date or (ii) the price and date of any
succeeding optional redemption, under the principles described above.
Under the Contingent Payment Regulations, a secondary market purchaser of a
Non-VRDI Security or an Interest Weighted Security at a premium generally would
continue to accrue interest and determine adjustments on such Security based on
the original projected payment schedule devised by the issuer of such Security.
See "Certain Federal Income Tax Consequences -- REMIC Securities -- Original
Issue Discount -- Interest Weighted Securities and Non-VRDI Securities" herein.
The holder of such a Security would allocate the difference between its basis in
the Security and the adjusted issue price of the Security as negative
adjustments to the accruals or projected payments on the Security over the
remaining term of the Security in a manner that is reasonable (e.g., based on a
constant yield to maturity).
CONSEQUENCES OF REALIZED LOSSES
Under section 166 of the Code, both corporate holders of REMIC Regular
Securities and noncorporate holders that acquire REMIC Regular Securities in
connection with a trade or business should be allowed to deduct, as ordinary
losses, any losses sustained during a taxable year in which their REMIC Regular
Securities become wholly or partially worthless as the result of one or more
Realized Losses on the underlying Assets. However, a noncorporate holder that
does not acquire a REMIC Regular Security in connection with its trade or
business will not be entitled to deduct a loss under Code Section 166 until its
REMIC Regular Security becomes wholly worthless (i.e., until its outstanding
principal balance has been reduced to zero), and the loss will be characterized
as short-term capital loss).
Each holder of a REMIC Regular Security will be required to accrue original
issue discount income with respect to such Certificate without giving effect to
any reduction in distributions attributable to a default or delinquency on the
underlying Assets until a Realized Loss is allocated to such Security or until
such earlier time as it can be established that any such reduction ultimately
will not be recoverable. As a result, the amount of original
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issue discount reported in any period by the holder of a REMIC Regular Security
could exceed significantly the amount of economic income actually realized by
the holder in such period. Although the holder of a REMIC Regular Security
eventually will recognize a loss or a reduction in income attributable to
previously included original issue discount that, as a result of a Realized
Loss, ultimately will not be realized, the law is unclear with respect to the
timing and character of such loss or reduction in income. Accordingly, holders
of REMIC Regular Securities should consult with their own tax advisors with
respect to the federal income tax consequences of Realized Losses on original
issue discount.
The Tax Administrator will adjust the accrual of original issue discount on
REMIC Regular Securities in a manner that it believes to be appropriate to
reflect Realized Losses. However, there can be no assurance that the Service
will not contend successfully that a different method of accounting for the
effect of Realized Losses is correct and that such method will not have an
adverse effect upon the holders of REMIC Regular Securities.
GAIN OR LOSS ON DISPOSITION
If a REMIC Regular Security is sold, the Securityholder will recognize gain
or loss equal to the difference between the amount realized on the sale and his
adjusted basis in the Security. The adjusted basis of a REMIC Regular Security
generally will equal the cost of the Security to the Securityholder, increased
by any original issue discount or market discount previously includable in the
Securityholder's gross income with respect to the Security, and reduced by the
portion of the basis of the Security allocable to payments on the Security
(other than qualified stated interest) previously received by the Securityholder
and by any amortized premium. Similarly, a Securityholder who receives a
scheduled or prepaid principal payment with respect to a REMIC Regular Security
will recognize gain or loss equal to the difference between the amount of the
payment and the allocable portion of his adjusted basis in the Security. Except
to the extent that the market discount rules apply and except as provided below,
any gain or loss on the sale or other disposition of a REMIC Regular Security
generally will be capital gain or loss. Such gain or loss will be long-term gain
or loss if the Security is held as a capital asset for more than the applicable
holding period.
The Taxpayer Relief Act of 1997 reduces the maximum rates on long-term
capital gains recognized on capital assets held by individual taxpayers for more
than eighteen months as of the date of disposition (and would further reduce the
maximum rates on such gains in the year 2001 and thereafter for certain
individual taxpayers who meet specified conditions). Prospective investors
should consult their own tax advisors concerning these tax law changes.
If the holder of a REMIC Regular Security is a bank, thrift, or similar
institution described in Section 582 of the Code, any gain or loss on the sale
or exchange of the REMIC Regular Security will be treated as ordinary income or
loss. In the case of other types of holders, gain from the disposition of a
REMIC Regular Security that otherwise would be capital gain will be treated as
ordinary income to the extent that the amount actually includable in income with
respect to the Security by the Securityholder during his holding period is less
than the amount that would have been includable in income if the yield on that
Security during the holding period had been 110% of a specified U.S. Treasury
borrowing rate as of the date that the Securityholder acquired the Security.
Although the legislative history to the 1986 Act indicates that the portion of
the gain from disposition of a REMIC Regular Security that will be
recharacterized as ordinary income is limited to the amount of original issue
discount (if any) on the Security that was not previously includable in income,
the applicable Code provision contains no such limitation.
A portion of any gain from the sale of a REMIC Regular Security that might
otherwise be capital gain may be treated as ordinary income to the extent that
such Security is held as part of a "conversion transaction" within the meaning
of Section 1258 of the Code. A conversion transaction generally is one in which
the taxpayer has taken two or more positions in Securities or similar property
that reduce or eliminate market risk, if substantially all of the taxpayer's
return is attributable to the time value of the taxpayer's net investment in
such transaction. The amount of gain realized in a conversion transaction that
is recharacterized as ordinary income generally will not exceed the amount of
interest that would have accrued on the taxpayer's net investment at 120% of the
appropriate "applicable federal rate" (which rate is computed and published
monthly by the Service) at the time the taxpayer entered into the conversion
transaction, subject to appropriate reduction for prior inclusion of interest
and other ordinary income from the transaction.
Currently, the highest marginal individual income tax bracket is 36%, and a
10% surtax is imposed on taxpayers whose taxable income for 1993 and later years
exceeds $250,000 (resulting in a 39.6% marginal rate). The
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alternative minimum tax ("AMT") rate for individuals is 26% with respect to AMT
income up to $175,000 and 28% with respect to AMT income over $175,000. The
recently enacted Taxpayer Relief Act of 1997 (the "Relief Act") established a
three-tier rate structure with respect to the net capital gain of individuals.
Under the Relief Act, the highest marginal federal tax rate on net capital gains
for individuals with respect to assets held for 18 months or less is 28%, as
under prior law. However, the Relief Act reduces the highest marginal federal
tax rate with respect to net capital gain on assets held by individuals for more
than 18 months from 28% to 20%, and, for taxable years beginning after December
31, 2000 and with respect to assets held for more than 5 years, to 18%.
TAX TREATMENT OF RESIDUAL SECURITIES
OVERVIEW
Residual Securities will be considered residual interests in the Series
REMIC to which they relate. A REMIC is an entity for federal income tax purposes
consisting of a fixed pool of mortgages or other mortgage-backed assets in which
investors hold multiple classes of interests. To be treated as a REMIC, the
Trust (or one or more segregated pools of Trust assets) underlying a Series must
meet certain continuing qualification requirements, and a REMIC election must be
in effect. See "REMIC Qualification." A Series REMIC generally will be treated
as a pass-through entity for federal income tax purposes, I.E., as not subject
to entity-level tax. All interests in a Series REMIC other than the Residual
Securities must be regular interests, I.E., REMIC Regular Securities. As
described in "Tax Treatment of Regular Securities" above, a regular interest
generally is an interest whose terms are analogous to those of a debt instrument
and it generally is treated as such an instrument for federal income tax
purposes. REMIC Regular Securities will generate interest and original issue
discount deductions for the REMIC. As a residual interest, a Residual Security
represents the right to (i) stated principal and interest on such Security, if
any, and (ii) the income generated by the REMIC assets in excess of the amount
necessary to service the regular interests and pay the REMIC's expenses. In a
manner similar to that employed in the taxation of partnerships, REMIC taxable
income or loss will be determined at the REMIC level, but passed through to the
Residual Securityholders. Thus, REMIC taxable income or loss will be allocated
pro rata to the Residual Securityholders, and each Residual Securityholder will
report his share of REMIC taxable income or loss on his own federal income tax
return. Prospective investors in Residual Securities should be aware that the
obligation to account for the REMIC's income or loss will continue until all of
the REMIC Regular Securities have been retired, which may not occur until well
beyond the date on which the last payments on Residual Securities are made. In
addition, because of the way in which REMIC taxable income is calculated, a
Residual Securityholder may recognize "phantom" income (I.E., income recognized
for tax purposes in excess of income as determined under financial accounting or
economic principles) which will be matched in later years by a corresponding tax
loss or reduction in taxable income, but which could lower the yield to Residual
Securityholders due to the lower present value of such loss or reduction.
A portion of the income of Residual Securityholders in certain Series
REMICs will be treated unfavorably in three contexts: (i) it may not be offset
by current or net operating loss deductions (except in the case of Thrift
Institutions holding Residual Securities with significant value); (ii) it will
be considered unrelated business taxable income ("UBTI") to tax-exempt entities;
and (iii) it is ineligible for any statutory or treaty reduction in the 30
percent withholding tax otherwise available to a foreign Residual
Securityholder.
The concepts presented in this overview are discussed more fully below.
TAXATION OF RESIDUAL SECURITYHOLDERS
A Residual Securityholder will recognize his share of REMIC taxable income
or loss for each day during his taxable year on which he holds the Residual
Security. The amount so recognized will be characterized as ordinary income or
loss and generally will not be taxed separately to the REMIC. If a Residual
Security is transferred during a calendar quarter, REMIC taxable income or loss
for that quarter will be prorated between the transferor and the transferee on a
daily basis.
A REMIC generally determines its taxable income or loss in a manner similar
to that of an individual using a calendar year and the accrual method of
accounting. REMIC taxable income or loss will be characterized as ordinary
income or loss and will consist of the REMIC's gross income, including interest,
original issue discount, and market discount income, if any, on the REMIC's
assets (including temporary cash flow investments) premium amortization on the
REMIC Regular Securities, income from foreclosure property, and any cancellation
of indebtedness income due to the allocation of realized losses to REMIC Regular
Securities, reduced by the REMIC's
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deductions, including deductions for interest and original issue discount
expense on the REMIC Regular Securities, premium amortization and servicing fees
on such assets, the administration expenses of the REMIC and the REMIC Regular
Securities, any tax imposed on the REMIC's income from foreclosure property, and
any bad debt deductions with respect to the Mortgage Loans. However, the REMIC
may not take into account any items allocable to a "prohibited transaction." See
"Certain Federal Income Tax Consequences -- REMIC Securities -- REMIC-Level
Taxes." The deduction of REMIC expenses by Residual Securityholders who are
individuals is subject to certain limitations as described below in "Certain
Federal Income Tax Consequences -- REMIC Securities -- Special Considerations
for Certain Types of Investors -- Individuals and Pass-Through Entities."
The amount of the REMIC's net loss with respect to a calendar quarter that
may be deducted by a Residual Securityholder is limited to such Securityholder's
adjusted basis in the Residual Security as of the end of that quarter (or time
of disposition of the Residual Security, if earlier), determined without taking
into account the net loss for that quarter. A Residual Securityholder's basis in
its Residual Security initially is equal to the price paid for such Security.
Such basis is increased by the amount of income recognized with respect to the
Residual Security and decreased (but not below zero) by the amount of
distributions made and the amount of net losses recognized with respect to that
Security. The amount of the REMIC's net loss allocable to a Residual
Securityholder that is disallowed under the basis limitation may be carried
forward indefinitely, but may be used only to offset income with respect to the
related Residual Security. The ability of Residual Securityholders to deduct net
losses with respect to a Residual Security may be subject to additional
limitations under the Code, as to which Securityholders should consult their tax
advisors. A distribution with respect to a Residual Security is treated as a
non-taxable return of capital up to the amount of the Residual Securityholder's
adjusted basis in his Residual Security. If a distribution exceeds the adjusted
basis of the Residual Security, the excess is treated as gain from the sale of
such Residual Security.
Although the law is unclear in certain respects, a Residual Securityholder
effectively should be able to recover some or all of the basis in his Residual
Security as the REMIC recovers the basis of its assets through either the
amortization of premium on such assets or the allocation of basis to principal
payments received on such assets. The REMIC's initial aggregate basis in its
assets will equal the sum of the issue prices of all Residual Securities and
REMIC Regular Securities. In general, the issue price of a REMIC Regular
Security of a particular Class is the initial price at which a substantial
amount of the Securities of such Class is sold to the public. In the case of a
REMIC Regular Security of a Class not offered to the public, the issue price is
either the price paid by the first purchaser of such Security or the fair market
value of the property received in exchange for such Security, as appropriate.
The REMIC's aggregate basis will be allocated among its assets in proportion to
their respective fair market values.
The assets of certain Series REMICs may have bases that exceed their
principal amounts. Except as indicated in "Certain Federal Income Tax
Consequences -- REMIC Securities -- Treatment by the REMIC of Original Issue
Discount, Market Discount, and Amortizable Premium," the premium on such assets
will be amortizable under the constant yield method and the same prepayment
assumptions used in pricing the Securities. The amortized premium will reduce
the REMIC's taxable income or increase its tax loss for each year which will
offset a corresponding amount of the stated interest or other residual cash
flow, if any, allocable to the Residual Securityholders. It should be noted,
however, that the law concerning the amortization of premium on mortgage loans
and Mortgage Certificates is unclear in certain respects. If the Service were to
contend successfully that part or all of the premium on the REMIC's assets
underlying certain Series REMICs is not amortizable, the Residual
Securityholders would recover the basis attributable to the unamortizable
premium only as principal payments are received on such assets or upon the
disposition or worthlessness of their Residual Securities. The inability to
amortize part or all of the premium could give rise to timing differences
between the REMIC's income and deductions, creating phantom income. Because
phantom income arises from timing differences, it will be matched by a
corresponding loss or reduction in taxable income in later years, during which
economic or financial income will exceed REMIC taxable income. Any acceleration
of taxable income, however, could lower the yield to a Residual Securityholder,
since the present value of the tax paid on that income will exceed the present
value of the corresponding tax reduction in the later years. The amount and
timing of any phantom income are dependent upon (i) the structure of the
particular Series REMIC and (ii) the rate of prepayment on the mortgage loans
comprising or underlying the REMIC's assets and, therefore, cannot be predicted
without reference to a particular Series REMIC.
The assets of certain Series REMICs may have bases that are less than their
principal amounts. In such a case, a Residual Securityholder will recover the
basis in his Residual Security as the REMIC recovers the portion
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of its basis in the assets that is attributable to the residual interest. The
REMIC's basis in the assets is recovered as it is allocated to principal
payments received by the REMIC.
A portion of the REMIC's taxable income may be subject to special
treatment. That portion ("excess inclusion income") generally is any taxable
income beyond that which the Residual Securityholder would have recognized had
the Residual Security been a conventional debt instrument bearing interest at
120 percent of the applicable long-term federal rate (based on quarterly
compounding) as of the date on which the Residual Security was issued. Excess
inclusion income generally is intended to approximate phantom income and may
result in unfavorable tax consequences for certain investors. See "Certain
Federal Income Tax Consequences -- REMIC Securities -- Taxation of Residual
Securityholders Limitations on Offset or Exemption of REMIC Income" and "Certain
Federal Income Tax Consequences -- REMIC Securities -- Special Considerations
for Certain Types of Investors."
LIMITATIONS ON OFFSET OR EXEMPTION OF REMIC INCOME
Generally, a Residual Securityholder's taxable income for any taxable year
may not be less than such Securityholder's excess inclusion income for that
taxable year. Excess inclusion income is equal to the excess of REMIC taxable
income for the quarterly period for the Residual Securities over the product of
(i) 120% of the long-term applicable federal rate that would have applied to the
Residual Securities if they were debt instruments for federal income tax
purposes on the date of their issuance and (ii) the adjusted issue price of such
Residual Securities at the beginning of such quarterly period. For this purpose,
the adjusted issue price of a Residual Security at the beginning of a quarter is
the issue price of the Residual Security, increased by the amount of the daily
accruals of REMIC income for all prior quarters, decreased by any distributions
made with respect to such Residual Security prior to the beginning of such
quarterly period. If the Residual Securityholder is an organization subject to
the tax on UBTI imposed by Code Section 511, the Residual Securityholder's
excess inclusion income will be treated as UBTI. In addition, under Treasury
regulations yet to be issued, if a REIT or a RIC owns a Residual Security that
generates excess inclusion income, a pro rata portion of the dividends paid by
the REIT or the RIC generally will constitute excess inclusion income for its
shareholders. Finally, Residual Securityholders that are foreign persons will
not be entitled to any exemption from the 30% withholding tax or a reduced
treaty rate with respect to their excess inclusion income from the REMIC. See
"Certain Federal Income Tax Consequences -- REMIC Securities -- Taxation of
Certain Foreign Holders of REMIC Securities -- Residual Securities" below.
NON-RECOGNITION OF CERTAIN TRANSFERS FOR FEDERAL INCOME TAX PURPOSES
In addition to the limitations specified above, the REMIC Regulations
provide that the transfer of a "noneconomic residual interest" to a United
States person will be disregarded for tax purposes unless no significant purpose
of the transfer was to impede the assessment or collection of tax. A Residual
Security will constitute a noneconomic residual interest unless, at the time the
interest is transferred, (i) the present value of the expected future
distributions with respect to the Residual Security equals or exceeds the
product of the present value of the anticipated excess inclusion income and the
highest corporate tax rate for the year in which the transfer occurs, and (ii)
the transferor reasonably expects that the transferee will receive distributions
from the REMIC in amounts sufficient to satisfy the taxes on excess inclusion
income as they accrue. If a transfer of a residual interest is disregarded, the
transferor would continue to be treated as the owner of the Residual Security
and thus would continue to be subject to tax on its allocable portion of the net
income of the related REMIC. A significant purpose to impede the assessment or
collection of tax exists if the transferor, at the time of the transfer, either
knew or should have known that the transferee would be unwilling or unable to
pay taxes due on its share of the taxable income of the REMIC, (I.E., the
transferor has "improper knowledge"). Under the REMIC Regulations, a transferor
is presumed not to have such improper knowledge if (i) the transferor conducted,
at the time of the transfer, a reasonable investigation of the financial
condition of the transferee and, as a result of the investigation, the
transferor found that the transferee had historically paid its debts as they
came due and found no significant evidence to indicate that the transferee would
not continue to pay its debts as they come due and (ii) the transferee
represents to the transferor that it understands that, as the holder of a
noneconomic residual interest, it may incur tax liabilities in excess of any
cash flows generated by the interest and that it intends to pay the taxes
associated with holding the residual interest as they become due. A similar
limitation exists with respect to transfers of certain residual interests to
foreign investors. See "Certain Federal Income Tax Consequences -- REMIC
Securities -- Taxation of Certain Foreign Holders of REMIC
Securities -- Residual Securities" herein.
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OWNERSHIP OF RESIDUAL INTERESTS BY DISQUALIFIED ORGANIZATIONS
The Code contains three sanctions that are designed to prevent or
discourage the direct or indirect ownership of a REMIC residual interest (such
as a Residual Security) by the United States, any state or political subdivision
thereof, any foreign government, any international organization, any agency or
instrumentality of any of the foregoing, any tax-exempt organization (other than
a farmers' cooperative described in section 521 of the Code) that is not subject
to the tax on UBTI, or any rural electrical or telephone cooperative (each a
"Disqualified Organization"). A corporation is not treated as an instrumentality
of the United States or any state or political subdivision thereof if all of its
activities are subject to tax and, with the exception of FHLMC, a majority of
its board of directors is not selected by such governmental unit.
First, the REMIC status of any REMIC created after March 31, 1988 is
dependent upon the presence of reasonable arrangements designed to prevent a
Disqualified Organization from acquiring record ownership of a residual
interest. Residual interests in Series REMICs (including Residual Securities)
are not offered for sale to Disqualified Organizations. Furthermore, (i)
residual interests in Series REMICs will be registered as to both principal and
any stated interest with the Trustee (or its agent) and transfer of a residual
interest may be effected only (A) by surrender of the old residual interest
instrument and reissuance by the Trustee of a new residual interest instrument
to the new holder or (B) through a book entry system maintained by the Trustee,
(ii) the applicable Trust Agreement will prohibit the ownership of residual
interests by Disqualified Organizations, and (iii) each residual interest
instrument will contain a legend providing notice of that prohibition.
Consequently, each Series REMIC should be considered to have made reasonable
arrangements designed to prevent the ownership of residual interests by
Disqualified Organizations.
Second, the Code imposes a one-time tax on the transferor of a residual
interest (including a Residual Security or an interest therein) to a
Disqualified Organization. The one-time tax equals the product of (i) the
present value of the total anticipated excess inclusions with respect to the
transferred residual interest for periods after the transfer and (ii) the
highest marginal federal income tax rate applicable to corporations. Under the
REMIC Regulations, the anticipated excess inclusions with respect to a
transferred residual interest must be based on (i) both actual prior prepayment
experience and the prepayment assumptions used in pricing the related REMIC's
interests and (ii) any required or permitted clean up calls or required
qualified liquidation provided for in the REMIC's organizational documents. The
present value of anticipated excess inclusions is determined using a discount
rate equal to the applicable federal rate that would apply to a debt instrument
that was issued on the date the Disqualified Organization acquired the residual
interest and whose term ends on the close of the last quarter in which excess
inclusions are expected to accrue with respect to the residual interest. Where a
transferee is acting as an agent for a Disqualified Organization, the transferee
is subject to the one-time tax. Upon the request of such transferee or the
transferor, the REMIC must furnish to the requesting party and to the Service
information sufficient to permit the computation of the present value of the
anticipated excess inclusions. For that purpose, the term "agent" includes a
broker, nominee, or other middleman. The transferor of a residual interest
(including a Residual Security or interest therein) will not be liable for the
one-time tax if the transferee furnishes to the transferor an affidavit that
states, under penalties of perjury, that the transferee is not a Disqualified
Organization, and, as of the time of the transfer, the transferor does not have
actual knowledge that such affidavit is false. The one-time tax must be paid by
the later of March 24, 1993 and April 15th of the year following the calendar
year in which the residual interest is transferred to a Disqualified
Organization. The one-time tax may be waived by the Secretary of the Treasury
if, upon discovery that a transfer is subject to the one-time tax, the
Disqualified Organization promptly disposes of the residual interest and the
transferor pays such amounts as the Secretary may require.
Third, the Code imposes an annual tax on any pass-through entity (I.E.,
RIC, REIT, common trust fund, partnership, trust, estate or cooperative
described in Code section 1381) that owns a direct or indirect interest in a
residual interest (including a Residual Security), if record ownership of an
interest in the pass-through entity is held by one or more Disqualified
Organizations. The tax imposed equals the highest corporate rate multiplied by
the share of any excess inclusion income of the pass-through entity for the
taxable year that is allocable to the interests in the pass-through entity held
by Disqualified Organizations. The same tax applies to a nominee who acquires an
interest in a residual interest (including a Residual Security) on behalf of a
Disqualified Organization. For example, a broker that holds an interest in a
Residual Security in "street name" for a Disqualified Organization is subject to
the tax. The tax due must be paid by the later of March 24, 1993 and the
fifteenth day of the fourth month following the close of the taxable year of the
pass-thru entity in which the Disqualified Organization is a record holder. Any
such tax imposed on a pass-through entity would be deductible against that
entity's ordinary
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income in determining the amount of its required distributions. In addition,
dividends paid by a RIC or a REIT are not considered preferential dividends
within the meaning of Section 562(c) of the Code solely because the RIC or REIT
allocates such tax expense only to the shares held by Disqualified
Organizations. A pass-through entity will not be liable for the annual tax if
the record holder of the interest in the pass-through entity furnishes to the
pass-through entity an affidavit that states, under penalties of perjury, that
the record holder is not a Disqualified Organization, and the pass-through
entity does not have actual knowledge that such affidavit is false.
The Code and the REMIC Regulations also require that reasonable
arrangements be made with respect to each REMIC to enable the REMIC to provide
the Treasury and the transferor with information necessary for the application
of the one-time tax described above. Consequently, the applicable Trust
Agreement will provide for an affiliate to perform such information services as
may be required for the application of the one-time tax. If a Residual
Securityholder transfers an interest in a Residual Security in violation of the
relevant transfer restrictions and triggers the information requirement, the
affiliate may charge such Residual Securityholder a reasonable fee for providing
the information.
SPECIAL CONSIDERATIONS FOR CERTAIN TYPES OF INVESTORS
DEALERS IN SECURITIES. Residual Securityholders that are dealers in
securities should be aware that under Treasury regulations (the "Mark-to-Market
Regulations") relating to the requirement under section 475 of the Code that
dealers in securities use mark-to-market accounting for federal income tax
purposes, dealers in securities are not permitted to mark to market any REMIC
residual interests acquired on or after January 4, 1995. Prospective purchasers
of Residual Securities should consult with their tax advisors regarding the
possible application of the Mark-to-Market Regulations.
TAX-EXEMPT ENTITIES. Any excess inclusion income with respect to a Residual
Security held by a tax-exempt entity, including a qualified profit-sharing,
pension, or other employee benefit plan, will be treated as UBTI. Although the
legislative history and statutory provisions imply otherwise, the Treasury
conceivably could take the position that, under pre-existing Code provisions,
substantially all income on a Residual Security (including non-excess inclusion
income) is to be treated as UBTI. See "Certain Federal Income Tax
Consequences -- REMIC Securities -- Taxation of Residual Securityholders."
INDIVIDUALS AND PASS-THROUGH ENTITIES. A Residual Securityholder who is an
individual, trust, or estate will be able to deduct its allocable share of the
fees or expenses relating to servicing the assets assigned to a Trust or
administering the Series REMIC under Section 212 of the Code only to the extent
that the amount of such fees or expenses, when combined with the
Securityholder's other miscellaneous itemized deductions for the taxable year,
exceeds 2% of the holder's adjusted gross income. That same limitation will
apply to individuals, trusts, or estates that hold Residual Securities
indirectly through a grantor trust, a partnership, an S corporation, a common
trust fund, a REMIC, or a nonpublicly offered RIC. A nonpublicly offered RIC is
a RIC other than one whose shares are (i) continuously offered pursuant to a
public offering, (ii) regularly traded on an established securities market, or
(iii) held by no fewer than 500 persons at all times during the taxable year. In
addition, that limitation will apply to individuals, trusts, or estates that
hold Residual Securities through any other person (i) that is not generally
subject to federal income tax and (ii) the character of whose income may affect
the character of the income generated by that person for its owners or
beneficiaries. 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 ($100,000, or $50,000 in the
case of a separate return by a married individual within the meaning of Code
Section 7703 for taxable year 1991 and adjusted for inflation each year
thereafter) 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. In some cases, the amount
of additional income that would be recognized as a result of the foregoing
limitations by a Residual Securityholder who is an individual, trust, or estate
could be substantial. Non-corporate holders of REMIC Residual Securities also
should be aware that miscellaneous itemized deductions, including allocable
investment expenses attributable to a REMIC, are not deductible for purposes of
the AMT. Finally, persons holding an interest in a Residual Security indirectly
through an interest in a RIC, common trust fund or one of certain corporations
doing business as a cooperative generally will recognize a share of any excess
inclusion allocable to that Residual Security.
EMPLOYEE BENEFIT PLANS. See "Certain Federal Income Tax
Consequences -- Residual Securities -- Special Considerations for Certain Types
of Investors -- Tax-exempt entities" and "ERISA Considerations."
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REITS AND RICS. If the Residual Securityholder is a REIT and the REMIC
generates excess inclusion income, a portion of REIT dividends will be treated
as excess inclusion income for the REIT's shareholders, in a manner to be
provided by regulations. Thus, shareholders in a REIT that invests in Residual
Securities could face unfavorable treatment of a portion of their REIT dividend
income for purposes of (i) using current deductions or NOL carryovers or
carrybacks, (ii) UBTI in the case of tax-exempt shareholders, and (iii)
withholding tax in the case of foreign shareholders (see "Certain Federal Income
Tax Consequences -- Residual Securities -- Special Considerations for Certain
Types of Investors -- Foreign Residual Securityholders" below). Moreover,
because Residual Securityholders may recognize phantom income (see "Certain
Federal Income Tax Consequences -- REMIC Securities -- Taxation of Residual
Securityholders"), a REIT contemplating an investment in Residual Securities
should consider carefully the effect of any phantom income upon its ability to
meet its income distribution requirements under the Code. The same rules
regarding excess inclusion will apply to a Residual Securityholder that is a
RIC, common trust fund, or one of certain corporations doing business as a
cooperative.
A Residual Security held by a REIT will be treated as a real estate asset
for purposes of the REIT qualification requirements in the same proportion that
the REMIC's assets would be treated as real estate assets if held directly by
the REIT, and interest income derived from such Residual Security will be
treated as qualifying interest income for REIT purposes ("Qualifying REIT
Interest") to the same extent. If 95% or more of a REMIC's assets qualify as
real estate assets for REIT purposes, 100% of that REMIC's regular and residual
interests (including Residual Securities) will be treated as real estate assets
for REIT purposes, and all of the income derived from such interests will be
treated as Qualifying REIT Interest. The REMIC Regulations provide that payments
of principal and interest on Mortgage Loans that are reinvested pending
distribution to the holders of the REMIC Securities constitute real estate
assets for REIT purposes. Two REMICs that are part of a tiered structure will be
treated as one REMIC for purposes of determining the percentage of assets of
each REMIC that constitutes real estate assets. It is expected that at least 95
percent of the assets of a Series REMIC will be real estate assets throughout
the REMIC's life. The amount treated as a real estate asset in the case of a
Residual Security apparently is limited to the REIT's adjusted basis in the
Security. REITs should be aware that 100% of the interest income derived by a
REIT from a residual interest in such REMIC may not be treated as Qualifying
REIT Interest if the REMIC holds Mortgage Loans that provide for interest that
is contingent on mortgagor profits or property appreciation.
Significant uncertainty exists with respect to the treatment of a Residual
Security for purposes of the various asset composition requirements applicable
to RICs. A Residual Security should be treated as a "security," but probably
will not be considered a "government security" for purposes of section 851(b)(4)
of the Code. Moreover, it is unclear whether a Residual Security will be treated
as a "voting security" under that Code section. Finally, because the REMIC will
be treated as the "issuer" of the Residual Security for purposes of that
section, a RIC would be unable to invest more than 25% of the value of its total
assets in Residual Securities.
PARTNERSHIPS. Partners in a partnership that acquires a Residual Security
generally must take into account their allocable share of any income, including
excess inclusion income, that is produced by the Residual Security. The
partnership itself is not subject to tax on income from the Residual Security
other than excess inclusion income that is allocable to partnership interests
owned by Disqualified Organizations.
FOREIGN RESIDUAL SECURITYHOLDERS. Certain adverse tax consequences may be
associated with the holding of certain Residual Securities by a foreign person
or with the transfer of such Securities to or from a foreign person. See
"Certain Federal Income Tax Consequences -- REMIC Securities -- Taxation of
Certain Foreign Holders of REMIC Securities -- Residual Securities" herein.
THRIFT INSTITUTIONS, BANKS, AND CERTAIN OTHER FINANCIAL INSTITUTIONS.
Residual Securities will be treated as qualifying real property loans and loans
secured by interests in real property for Thrift Institutions in the same
proportion that the assets of the REMIC would be so treated. However, if 95% or
more of the assets of a given Series REMIC are qualifying assets for Thrift
Institutions, 100% of that REMIC's regular and residual interests (including
Residual Securities) would be treated as qualifying assets. In addition, the
REMIC Regulations provide that payments of principal and interest on Mortgage
Loans that are reinvested pending their distribution to the holders of the REMIC
Securities will be treated as qualifying real property loans for Thrift
Institutions. Moreover, two REMICs that are part of a tiered structure will be
treated as one REMIC for purposes of determining the percentage of assets of
each REMIC that constitutes qualifying assets for Thrift Institution purposes.
It is expected that at least 95% of the assets of any Series REMIC will be
qualifying assets for Thrift Institutions throughout the REMIC's life. The
amount
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of a Residual Security treated as a qualifying asset for Thrift Institutions,
however, cannot exceed the holder's adjusted basis in that Residual Security.
Generally, gain or loss arising from the sale or exchange of Residual
Securities held by certain financial institutions will give rise to ordinary
income or loss, regardless of the length of the holding period for the Residual
Securities. Those financial institutions include banks, mutual savings banks,
cooperative banks, domestic building and loan institutions, savings and loan
institutions, and similar institutions.
DISPOSITION OF RESIDUAL SECURITIES
A Residual Securityholder will recognize gain or loss on the disposition of
his Residual Security equal to the difference between the amount of proceeds (or
the fair market value of any property) received and his adjusted basis in the
Residual Security. If the holder has held the Residual Security for more than
the applicable holding period, such gain or loss generally will be characterized
as long-term capital gain or loss. In the case of banks, thrifts, and certain
other financial institutions, however, gain or loss on the disposition of a
Residual Security will be treated as ordinary gain or loss, regardless of the
length of the holding period. See "Certain Federal Income Tax
Consequences -- REMIC Securities -- Special Considerations for Certain Types of
Investors."
A special version of the wash sale rules will apply to dispositions of
Residual Securities. Under that version, losses on dispositions of Residual
Securities generally will be disallowed where, within six months before or after
the disposition, the seller of such Securities acquires any residual interest in
a REMIC or any interest in a taxable mortgage pool. Regulations providing for
appropriate exceptions to the application of the wash sale rules have been
authorized, but have not yet been promulgated.
LIQUIDATION OF THE REMIC
A REMIC may liquidate without the imposition of entity-level tax only in a
qualified liquidation. A liquidation is considered qualified if the REMIC (i)
adopts a plan of complete liquidation, (ii) sells all of its non-cash assets
within 90 days of the date on which it adopts the plan, and (iii) distributes in
liquidation all sale proceeds plus its cash (other than amounts retained to meet
claims against it) to Securityholders within the 90-day period. Under the REMIC
Regulations, a plan of liquidation need not be in any special form. Furthermore,
if a REMIC specifies the first day in the 90-day liquidation period in a
statement attached to its final tax return, the REMIC will be considered to have
adopted a plan of liquidation on that date.
TREATMENT BY THE REMIC OF ORIGINAL ISSUE DISCOUNT, MARKET DISCOUNT, AND
AMORTIZABLE PREMIUM
ORIGINAL ISSUE DISCOUNT. Generally, the REMIC's deductions for original
issue discount expense on its REMIC Regular Securities will be determined in the
same manner as for determining the original issue discount income of the holders
of such Securities, as described in "Certain Federal Income Tax
Consequences -- REMIC Securities -- Original Issue Discount" above, without
regard to the DE MINIMIS rule described therein.
MARKET DISCOUNT. In general, the REMIC will have market discount income
with respect to its qualified mortgages if the basis of the REMIC in such
mortgages is less than the adjusted issue prices of such mortgages. The REMIC's
aggregate initial basis in its qualified mortgages (and any other assets
transferred to the REMIC on the startup day) equals the aggregate of the issue
prices of the regular and residual interests in the REMIC. That basis is
allocated among the REMIC's qualified mortgages based on their relative fair
market values. Any market discount that accrues on the REMIC's qualified
mortgages will be recognized currently as an item of REMIC ordinary income. The
amount of market discount income to be recognized in any period is determined in
a manner generally similar to that used in the determination of original issue
discount, as if the qualified mortgages had been issued (i) on the date they
were acquired by the REMIC and (ii) for a price equal to the REMIC's initial
basis in the qualified mortgages. The Pricing Prepayment Assumptions are used to
compute the yield to maturity of the REMIC's qualified mortgages.
PREMIUM. Generally, if the basis of the REMIC in its qualified mortgages
exceeds the unpaid principal balances of those mortgages the REMIC will be
considered to have acquired such mortgages at a premium equal to the amount of
such excess. As stated above, the REMIC's initial basis in its qualified
mortgages equals the aggregate of the issue prices of the regular and residual
interests in the REMIC. As described above under "Certain Federal Income Tax
Consequences -- REMIC Securities -- Amortizable Premium," a REMIC that holds a
qualified mortgage as a capital asset generally may elect under Code Section 171
to amortize premium on such mortgage
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under a constant interest method, to the extent such mortgages were originated,
or treated as originated, after September 27, 1985. The legislative history to
the 1986 Act indicates that, while the deduction for amortization of premium
will not be subject to the limitations on miscellaneous itemized deductions of
individuals, it will be treated as interest expense for purposes of other
provisions in the 1986 Act limiting the deductibility of interest for non-
corporate taxpayers. Because substantially all of the mortgagors on the mortgage
loans that comprise or underlie the qualified mortgages are expected to be
individuals, Section 171 will not be available for the amortization of premium
on such mortgage loans to the extent they were originated on or prior to
September 27, 1985. Such premium may be amortizable under more general
provisions and principles of federal income tax law in accordance with a
reasonable method regularly employed by the holder of such mortgage loans. The
allocation of such premium pro rata among principal payments should be
considered a reasonable method; however, the Service may argue that such premium
should be allocated in a different manner, such as allocating such premium
entirely to the final payment of principal.
REMIC-LEVEL TAXES
Income from certain transactions by the REMIC, called prohibited
transactions, will not be part of the calculation of the REMIC's income or loss
that is includable in the federal income tax returns of Residual
Securityholders, but rather will be taxed directly to the REMIC at a 100% rate.
In addition, net income from one prohibited transaction may not be offset by
losses from other prohibited transactions. Prohibited transactions generally
include: (i) the disposition of qualified mortgages other than pursuant to (a)
the repurchase of a defective mortgage, (b) the substitution for a defective
mortgage within two years of the closing date, (c) a substitution for any
qualified mortgage within three months of the closing date, (d) the foreclosure,
default, or imminent default of a qualified mortgage, (e) the bankruptcy or
insolvency of the REMIC, (f) the sale of a convertible mortgage loan upon its
conversion for an amount equal to the mortgage loan's current principal balance
plus accrued but unpaid interest (and provided that certain other requirements
are met) or (g) a qualified liquidation of the REMIC; (ii) the receipt of income
from assets that are not the type of mortgages or investments that the REMIC is
permitted to hold; (iii) the receipt of compensation for services by the REMIC;
and (iv) the receipt of gain from disposition of cash-flow investments other
than pursuant to a qualified liquidation of the REMIC. A disposition of a
qualified mortgage or cash flow investment will not give rise to a prohibited
transaction, however, if the disposition was (i) required to prevent default on
a regular interest resulting from a default on one or more of the REMIC's
qualified mortgages or (ii) made to facilitate a clean-up call. The REMIC
Regulations define a clean-up call as the redemption of a class of regular
interests when, by reason of prior payments with respect to those interests, the
administrative costs associated with servicing the class outweigh the benefits
of maintaining the class. Under those regulations, the redemption of a class of
regular interests with an outstanding principal balance of no more than 10% of
the original principal balance qualifies as a clean-up call. The REMIC
Regulations also provide that the modification of a mortgage loan generally will
not be treated as a disposition of that loan if it is occasioned by a default or
a reasonably foreseeable default, an assumption of the mortgage loan, the waiver
of a due-on-sale or encumbrance clause, or the conversion of an interest rate by
a mortgagor pursuant to the terms of a convertible adjustable rate mortgage
loan.
In addition, a REMIC generally will be taxed at a 100% rate on any
contribution to the REMIC after the closing date unless such contribution is a
cash contribution that (i) takes place within the three-month period beginning
on the closing date, (ii) is made to facilitate a clean-up call (as described in
the preceding paragraph) or a qualified liquidation (as defined in "Certain
Federal Income Tax Consequences -- REMIC Securities -- Liquidation of the REMIC"
above), (iii) is a payment in the nature of a guarantee, (iv) constitutes a
contribution by the holder of the Residual Securities in the REMIC to a
qualified reserve fund, or (v) is otherwise permitted by Treasury regulations
yet to be issued. The structure and operation of Series REMICs generally will be
designed to avoid the imposition of both the 100% tax on contributions and the
100% tax on prohibited transactions.
To the extent that a REMIC derives certain types of income from foreclosure
property (generally, income relating to dealer activities of the REMIC), it will
be taxed on such income at the highest corporate income tax rate. It is not
anticipated that any Series REMIC will receive significant amounts of such
income, although the relevant law is unclear.
The organizational documents governing the REMIC Regular and Residual
Securities will be designed to prevent the imposition of the foregoing taxes on
the related Series REMIC in any material amounts. If any of the foregoing taxes
is imposed on a Series REMIC, the Trustee will seek to place the burden thereof
on the person whose action or inaction gave rise to such taxes. To the extent
that the Trustee is unsuccessful in doing so, the
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burden of such taxes will be borne by any outstanding subordinated Class of
Securities before it is borne by a more senior Class of Securities.
REMIC QUALIFICATION
The Trust underlying a Series (or one or more designated pools of assets
held by the Trust) will qualify under the Code as a REMIC in which the REMIC
Regular Securities and Residual Securities will constitute the "regular
interests" and "residual interests," respectively, if a REMIC election is in
effect and certain tests concerning (i) the composition of the REMIC's assets
and (ii) the nature of the Securityholders' interests in the REMIC are met on a
continuing basis.
ASSET COMPOSITION
In order for a Trust (or one or more designated pools of assets held by a
Trust) to be eligible for REMIC status, substantially all of the assets of the
Trust (or the designated pool) must consist of "qualified mortgages" and
"permitted investments" as of the close of the third month beginning after the
closing date and at all times thereafter (the "Asset Qualification Test"). A
REMIC will be deemed to satisfy the Asset Qualification Test if no more than a
DE MINIMIS amount of its assets (I.E., assets with an aggregate adjusted basis
that is less than 1 percent of the aggregate adjusted basis of all the REMIC's
assets) are assets other than qualified mortgages and permitted investments. A
qualified mortgage is any obligation that is principally secured by an interest
in real property, including a regular interest in another REMIC, that is either
transferred to the REMIC on the closing date or purchased by the REMIC pursuant
to a fixed price contract within a three-month period thereafter. A qualified
mortgage also includes a qualified replacement mortgage, which is any property
that would have been treated as a qualified mortgage if it were transferred to
the REMIC on the closing date and that is received either in exchange for a
defective mortgage within a two-year period beginning on the closing date or in
exchange for any qualified mortgage within a three-month period beginning on
that date. The Mortgage Assets of each Series REMIC will be treated as qualified
mortgages.
Permitted investments include cash flow investments, qualified reserve
assets, and foreclosure property. Cash flow investments are investments of
amounts received with respect to qualified mortgages for a temporary period (not
to exceed thirteen months) before distribution to holders of regular or residual
interests in the REMIC. Qualified reserve assets are intangible investment
assets (other than REMIC residual interests) that are part of a reasonably
required reserve (a "Qualified Reserve Fund") maintained by the REMIC to provide
for full payment of expenses of the REMIC or amounts due on the regular
interests in the event of defaults or delinquencies on qualified mortgages,
lower than expected returns on cash-flow investments, or interest shortfalls on
qualified mortgages caused by prepayments of those mortgages. A Qualified
Reserve Fund will be disqualified if more than 30% of the gross income from the
assets in such fund for the year is derived from the sale of property held for
less than three months, unless such sale was required to prevent a default on
the regular interests caused by a default on one or more qualified mortgages. To
the extent that the amount in a Qualified Reserve Fund exceeds a reasonably
required amount, it must be reduced "promptly and appropriately". Foreclosure
property generally is property acquired by the REMIC in connection with the
default or imminent default of a qualified mortgage. Property so acquired by the
REMIC, however, will not be qualifying foreclosure property if the foreclosure
was anticipated at the time that the related qualified mortgage was transferred
to the REMIC. Furthermore, foreclosure property may not be held beyond the third
taxable year after the taxable year of foreclosure unless the Secretary of the
Treasury grants an extension of time within which to sell such property.
INVESTORS' INTERESTS
In addition to the foregoing asset qualification requirements, the various
interests in a REMIC also must meet certain requirements. All of the interests
in a REMIC must be issued on the closing date (or within a specified 10-day
period) and belong to either of the following: (i) one or more classes of
regular interests or (ii) a single class of residual interests on which
distributions are made pro rata. In the case of Series that include Residual
Securities, the residual interest will be represented by the Residual
Securities.
If the interest payable on any REMIC regular interest is disproportionately
high relative to the specified principal amount of the interest, that interest
may be treated, in whole or in part, as a second residual interest, which could
result in the disqualification of the REMIC. Under the REMIC Regulations,
interest payments (or similar amounts) are considered disproportionately high if
the issue price of the REMIC regular interest exceeds 125% of
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the specified principal amount of the regular interest. Under the REMIC
Regulations, however, interest payable at a disproportionately high rate will
not cause a REMIC Regular Security to be recharacterized as a residual interest
if interest payments on the Security consist of a specified portion of the
interest payments on qualified mortgages and such portion does not vary during
the period that the Security is outstanding. None of the REMIC Regular
Securities, will have an issue price that exceeds 125% of their respective
specified principal amounts unless interest payments on those Securities consist
of a specified nonvarying portion of the interest payments on one or more of the
REMIC's qualified mortgages.
A REMIC interest qualifies as a regular interest if (i) it is issued on the
startup day with fixed terms, (ii) it is designated as a regular interest, (iii)
it entitles its holder to a specified principal amount, and (iv) if it pays
interest, such interest either (a) constitutes a specified nonvarying portion of
the interest on one or more of the REMIC's qualified mortgages, (b) is payable
at a fixed rate with respect to the principal amount of the regular interest, or
(c) to the extent permitted under the REMIC Regulations, is payable at a
variable rate with respect to such principal amount. Pursuant to the REMIC
Regulations, the following rates are permissible variable rates for REMIC
regular interests: (i) a qualified floating rate set at a current value as
described in "Certain Federal Income Tax Consequences -- REMIC
Securities -- Original Issue Discount -- Variable Rate Securities" herein,
without regard to the rules in the OID Regulations limiting the use of Caps,
Floors, and Governors with respect to such a rate, (ii) a rate equal to the
highest, lowest, or average of two or more qualified floating rates (E.G., a
rate based on the average cost of funds of one or more financial institutions),
or (iii) a rate equal to the weighted average of the interest rates on some or
all of the qualified mortgages held by the REMIC PROVIDED, HOWEVER, that the
qualified mortgages taken into account in determining the weighted average rate
bear interest at a fixed rate or a rate that would be a permissible variable
rate for a REMIC regular interest as described in this sentence. Under the REMIC
Regulations, the presence of a ceiling or floor on the interest payable on a
variable rate interest will not prevent such interest from qualifying as a
regular interest. In addition, a qualifying variable rate may be expressed as a
multiple of, or a constant number of basis points more or less than, one of the
permissible types of variable rates described above. Finally, a limitation on
the amount of interest to be paid on a variable rate regular interest based on
the total amount available for distribution is permissible, provided that it is
not designed to avoid the restrictions on qualifying variable rates. The REMIC
Regulations also provide that the specified principal amount of a REMIC regular
interest may be zero if the interest associated with such regular interest
constitutes a specified nonvarying portion of the interest on one or more of the
REMIC's qualified mortgages.
The Code requires that certain arrangements be made with respect to all
REMICs. Those arrangements, which are intended to prevent acquisitions of REMIC
residual interests (including REMIC Residual Securities) by certain
organizations that are not subject to federal income tax, are described in
"Certain Federal Income Tax Consequences -- REMIC Securities -- Taxation of
Residual Securityholders -- Ownership of Residual Interests by Disqualified
Organizations." Series REMICs will be structured to provide for such
arrangements.
CONSEQUENCES OF DISQUALIFICATION
If a Series REMIC fails to comply with one or more of the Code's ongoing
requirements for REMIC status during any taxable year, the Code provides that
its REMIC status may be lost for that year and thereafter. If REMIC status is
lost, the treatment of the former REMIC and the interests therein for federal
income tax purposes is uncertain. The former REMIC might be entitled to
treatment as a grantor trust under Subpart E, Part 1 of Subchapter J of the
Code, in which case no entity-level tax would be imposed on the former REMIC.
Alternatively, the REMIC Regular Securities may continue to be treated as debt
instruments for federal income tax purposes, but the arrangement could be
treated as a Taxable Mortgage Pool, as described in "Certain Federal Income Tax
Consequences -- REMIC Securities -- Taxable Mortgage Pools" below. If a Series
REMIC were treated as a Taxable Mortgage Pool, any residual income of the REMIC
(I.E., interest and discount income from the Mortgage Loans less interest and
original issue discount expense allocable to the REMIC Regular Securities and
any administrative expenses of the REMIC) would be subject to corporate income
tax at the Taxable Mortgage Pool level. On the other hand, the arrangement could
be treated under Treasury regulations as a separate association taxable as a
corporation and the REMIC Regular Securities would be treated as stock interests
therein, rather than debt instruments. In that case, none of the payments made
with respect to the REMIC Regular Securities would be deductible by the former
REMIC. In the latter two cases, the Residual Securities also would be treated as
stock interests in such Taxable Mortgage Pool or association, respectively. The
Code authorizes the Treasury to issue regulations that address situations where
a failure to meet the requirements for REMIC status occurs inadvertently and in
good
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faith. Such regulations have not yet been issued. The conference report
accompanying the 1986 Act indicates that disqualification relief may be
accompanied by sanctions, such as the imposition of a corporate tax on all or a
portion of the REMIC's income for the period of time in which the requirements
for REMIC status are not satisfied.
TAXABLE MORTGAGE POOLS
Corporate income tax can be imposed on the net income of certain entities
issuing non-REMIC debt obligations secured by real estate mortgages ("Taxable
Mortgage Pools"). Any entity other than a REMIC or a REIT will be considered to
be a Taxable Mortgage Pool if (i) substantially all of the assets of the entity
consist of debt obligations and more than 50% of such obligations consist of
real estate mortgages, (ii) such entity is the obligor under debt obligations
with two or more maturities, and (iii) under the terms of the debt obligations
on which the entity is the obligor, payments on such obligations bear a
relationship to payment on the obligations held by the entity. Furthermore, a
group of assets held by an entity can be treated as a separate Taxable Mortgage
Pool if the assets are expected to produce significant cash flow that will
support one or more of the entity's issues of debt obligations. The Seller
generally will structure offerings of non-REMIC Bonds to avoid the application
of the Taxable Mortgage Pool rules.
TAXATION OF CERTAIN FOREIGN HOLDERS OF REMIC SECURITIES
REMIC REGULAR SECURITIES
Interest, including original issue discount, paid on a REMIC Regular
Security to a nonresident alien individual, foreign corporation, or other
non-United States person ("Foreign Person") generally will be treated as
"portfolio interest" and, therefore, will not be subject to any United States
withholding tax, provided that (i) such interest is not effectively connected
with a trade or business in the United States of the Securityholder, and (ii)
the Trustee (or other person who would otherwise be required to withhold tax) is
provided with appropriate certification that the beneficial owner of the
Security is a Foreign Person ("Foreign Person Certification"). If Foreign Person
Certification is not provided, interest (including original issue discount) paid
on such a Security may be subject to either a 30 percent withholding tax or 31
percent backup withholding. See "Certain Federal Income Tax Consequences --
REMIC Securities -- Backup Withholding."
RESIDUAL SECURITIES
Amounts paid to Residual Securityholders who are Foreign Persons are
treated as interest for purposes of the 30 percent (or lower treaty rate) United
States withholding tax. Under temporary Treasury Regulations, non-excess
inclusion income received by Residual Securityholders who are Foreign Persons
generally qualifies as "portfolio interest" exempt from the 30 percent
withholding tax only to the extent that (i) the assets of the Trust REMIC are
Mortgage Certificates that are issued in registered form and (ii) the Mortgage
Loans underlying the Mortgage Certificates were originated after July 18, 1984.
Because Mortgage Loans are not issued in registered form, amounts received by
Residual Securityholders who are Foreign Persons will not be exempt from the 30
percent withholding tax to the extent such amounts relate to Mortgage Loans held
directly (rather than indirectly through Mortgage Certificates) by the related
REMIC. If the portfolio interest exemption is unavailable, such amounts
generally will be subject to United States withholding tax when paid or
otherwise distributed (or when the Residual Security is disposed of) under rules
similar to those for withholding on debt instruments that have original issue
discount. However, the Code grants the Treasury authority to issue regulations
requiring that those amounts be taken into account earlier than otherwise
provided where necessary to prevent avoidance of tax (I.E., where the Residual
Securities, as a Class, do not have significant value). Further, a Residual
Securityholder will not be entitled to any exemption from the 30 percent
withholding tax or a reduced treaty rate on excess inclusion income.
Under the REMIC Regulations, a transfer of a Residual Security that has
"tax avoidance potential" will be disregarded for federal income tax purposes if
the transferee is a Foreign Person. A Residual Security is deemed to have tax
avoidance potential unless, at the time of the transfer, the transferor
reasonably expects that, for each accrual of excess inclusion, the REMIC will
distribute to the transferee an amount that will equal at least 30% of the
excess inclusion, and that each such amount will be distributed no later than
the close of the calendar year following the calendar year of accrual (the "30%
Test"). A transferor of a Residual Security to a Foreign Person will be presumed
to have had a reasonable expectation that the Residual Security satisfies the
30% Test if that test would be satisfied for all Mortgage Loan prepayment rates
between 50% and 200% of the Pricing Prepayment Assumption. See "Certain Federal
Income Tax Consequences -- REMIC Securities -- Original Issue Discount," above.
If a
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Foreign Person transfers a Residual Security to a United States person and the
transfer, if respected, would permit avoidance of withholding tax on accrued
excess inclusion income, the transfer will be disregarded for federal income tax
purposes and distributions with respect to the Residual Security will continue
to be subject to 30% withholding as though the Foreign Person still owned the
Residual Security. Investors who are Foreign Persons should consult their own
tax advisors regarding the specific tax consequences to them of owning and
disposing of a Residual Security.
BACKUP WITHHOLDING
Under federal income tax law, a Securityholder may be subject to "backup
withholding" under certain circumstances. Backup withholding may apply to a
Securityholder who is a United States person if the Securityholder, among other
things, (i) fails to furnish his social security number or other taxpayer
identification number ("TIN") to the Trustee, (ii) furnishes the Trustee an
incorrect TIN, (iii) fails to report properly interest and dividends, or (iv)
under certain circumstances, fails to provide the Trustee or the
Securityholder's securities broker with a certified statement, signed under
penalties of perjury, that the TIN provided to the Trustee is correct and that
the Securityholder is not subject to backup withholding. Backup withholding may
apply, under certain circumstances, to a Securityholder who is a foreign person
if the Securityholder fails to provide the Trustee or the Securityholder's
securities broker with a Foreign Person Certification. Backup withholding
applies to "reportable payments," which include interest payments and principal
payments to the extent of accrued original issue discount, as well as
distributions of proceeds from the sale of REMIC Regular Securities or REMIC
Residual Securities. The backup withholding rate is 31% for payments made on or
after January 1, 1993. Backup withholding, however, does not apply to payments
on a Security made to certain exempt recipients, such as tax-exempt
organizations, and to certain Foreign Persons. Securityholders should consult
their tax advisors for additional information concerning the potential
application of backup withholding to payments received by them with respect to a
Security.
REPORTING AND TAX ADMINISTRATION
REMIC REGULAR SECURITIES
Reports will be made at least annually to holders of record of REMIC
Regular Securities (other than those with respect to whom reporting is not
required) and to the Internal Revenue Service as may be required by statute,
regulation, or administrative ruling with respect to (i) interest paid or
accrued on the Securities, (ii) original issue discount, if any, accrued on the
Securities, and (iii) information necessary to compute the accrual of any market
discount or the amortization of any premium on the Securities.
RESIDUAL SECURITIES
For purposes of federal income tax reporting and administration, a Series
REMIC generally will be treated as a partnership, and the related Residual
Securityholders as its partners. A Series REMIC will file an annual return on
Form 1066 and will be responsible for providing information to Residual
Securityholders sufficient to enable them to report properly their shares of the
REMIC's taxable income or loss, although it is anticipated that such information
actually will be supplied by the Trustee or the Master Servicer. The REMIC
Regulations require reports to be made by a REMIC to its Residual
Securityholders each calendar quarter in order to permit such Securityholders to
compute their taxable income accurately. A person that holds a Residual Security
as a nominee for another person is required to furnish those quarterly reports
to the person for whom it is a nominee within 30 days of receiving such reports.
A REMIC is required to file all such quarterly reports for a taxable year with
the Service as an attachment to the REMIC's income tax return for that year. As
required by the Code, a Series REMIC's taxable year will be the calendar year.
Residual Securityholders should be aware that their responsibilities as
holders of the residual interest in a REMIC, including the duty to account for
their shares of the REMIC's income or loss on their returns, continue for the
life of the REMIC, even after the principal and interest on their Residual
Securities have been paid in full.
Under the REMIC Regulations, a Residual Securityholder must be designated
as the REMIC's tax matters person ("TMP"). The TMP generally has responsibility
for overseeing and providing notice to the other Residual Securityholders of
certain administrative and judicial proceedings regarding the REMIC's tax
affairs, although other holders of the Residual Securities of the same Series
would be able to participate in such proceedings in appropriate circumstances.
Unless otherwise indicated in the related Prospectus Supplement, the Seller,
Master Servicer
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or an affiliate thereof either will acquire a portion of the residual interest
in each Series REMIC in order to permit it to be designated as TMP for the REMIC
or will obtain from the Residual Securityholders an irrevocable appointment to
perform the functions of the REMIC's TMP and will prepare and file the REMIC's
federal and state income tax and information returns.
Treasury regulations provide that a Holder of a Residual Security is not
required to treat items on its return consistently with their treatment on the
REMIC's return if a Holder owns 100% of the Residual Securities for the entire
calendar year. Otherwise, each Holder of a Residual Security is required to
treat items on its returns consistently with their treatment on the REMIC's
return, unless the Holder of a Residual Security either files a statement
identifying the inconsistency or establishes that the inconsistency resulted
from incorrect information received from the REMIC. The Service may assess a
deficiency resulting from a failure to comply with the consistency requirement
without instituting an administrative proceeding at the REMIC level. A Series
REMIC typically will not register as a tax shelter pursuant to Code section 6111
because it generally will not have a net loss for any of the first five taxable
years of its existence. Any person that holds a Residual Security as a nominee
for another person may be required to furnish the REMIC, in a manner to be
provided in Treasury regulations, with the name and address of such person and
other specified information.
NON-REMIC SECURITIES
TREATMENT OF THE TRUST FOR FEDERAL INCOME TAX PURPOSES
In the case of Series with respect to which a REMIC election is not to be
made, the Trust will be classified 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, the owner of a Non-REMIC Security will be treated
as the beneficial owner of an appropriate portion of the principal and interest
payments (according to the characteristics of the Security in question) to be
received on the Mortgage Assets assigned to a Trust for federal income tax
purposes.
TREATMENT OF THE NON-REMIC SECURITIES FOR FEDERAL INCOME TAX PURPOSES GENERALLY
The types of Non-REMIC Securities offered in a Series may include: (i)
securities evidencing ownership interests only in the interest payments on the
Mortgage Assets assigned to a Trust, net of certain fees, ("IO Securities");
(ii) securities evidencing ownership interests in the principal, but not the
interest, payments on the Mortgage Assets ("PO Securities"); (iii) securities
evidencing ownership interests in differing percentages of both the interest
payments and the principal payments on the Mortgage Assets ("Ratio Securities");
and (iv) securities evidencing ownership in equal percentages of the principal
and interest payments on the Mortgage Assets ("Pass-Through Securities"). The
federal income tax treatment of Non-REMIC Securities other than Pass-Through
Securities ("Strip Securities") will be determined in part by Section 1286 of
the Code. Little administrative guidance has been issued under that section and,
thus, many aspects of its operation are unclear, particularly the interaction
between that section and the rules pertaining to discount and premium. Hence,
significant uncertainty exists with respect to the federal income tax treatment
of the Strip Securities, and potential investors should consult their own tax
advisors concerning such treatment.
Several Code Sections provide beneficial treatment to certain taxpayers
that invest in certain types of mortgage assets. For purposes of those Code
Sections, Pass-Through Securities will be characterized with reference to the
Mortgage Assets in the Trust, but it is not clear whether the Strip Securities
will be so characterized. The Service could take the position that the character
of the Mortgage Assets is not attributable to the Strip Securities for purposes
of those Sections. However, because the Strip Securities represent sole
ownership rights in the principal and interest payments on the Mortgage Assets,
the Strip Securities, like the Pass-Through Securities, unless otherwise
specified in the Prospectus Supplement, should be considered to represent "real
estate assets" within the meaning of Section 856(c)(5)(A) of the Code, and
"loans 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
Securities should be considered to represent "interest on obligations secured by
mortgages on real property" within the meaning of Section 856(c)(3)(B) of the
Code, to the extent that the Trust assets would qualify for such treatment.
One or more Classes of Securities may be subordinated to one or more other
Classes of Securities of the same Series. See "Description of the
Securities -- Allocation of Distributions from the Mortgage Assets." In general,
such subordination should not affect the federal income tax treatment of either
the Subordinated or Senior Securities. However, to the extent indicated in
"Description of the Securities -- Allocation of Distributions from the
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Mortgage Assets" and the relevant Prospectus Supplement, holders of the
Subordinated Securities will be allocated losses that otherwise would have been
borne by the holders of the more senior Securities. Holders of the Subordinated
Securities should be able to recognize any such losses no later than the taxable
year in which they become Realized Losses. Employee benefit plans subject to
ERISA should consult their own tax advisors before purchasing any Subordinated
Security. See "ERISA Considerations" herein and in the Prospectus Supplement.
TREATMENT OF PASS-THROUGH SECURITIES
The holder of a Pass-Through Security generally will be treated as owning a
pro rata undivided interest in each of the Mortgage Assets of the Trust.
Accordingly, each Pass-Through Securityholder will be required to include in
income its pro rata share of the entire income from the Trust assets, including
interest and discount income, if any. Such Securityholder generally will be able
to deduct from its income its pro rata share of the administrative fees and
expenses incurred with respect to the Trust assets (provided that such fees and
expenses represent reasonable compensation for the services rendered). An
individual, trust, or estate that holds a Pass-Through Security directly or
through a pass-through entity will be entitled to deduct such fees and expenses
under Section 212 only to the extent that the amount of the fees and expenses,
when combined with its other miscellaneous itemized deductions for the taxable
year in question, exceeds 2% of its 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 ($100,000, or $50,000 in the case of a separate return by a
married individual within the meaning of Code Section 7703 for taxable year 1991
and adjusted for inflation each year thereafter) will be reduced by the lesser
of (i) 3% of the excess of adjusted gross income over the applicable amount, and
(ii) 80% of the amount of itemized deductions otherwise allowable for such
taxable year. Non-corporate holders of Pass-Through Securities also should be
aware that miscellaneous itemized deductions, including allocable investment
expenses attributable to such REMIC, are not deductible for purposes of the AMT.
Each Pass-Through Securityholder generally will determine its net income or loss
with respect to the Trust in accordance with its own method of accounting,
although income arising from original issue discount must be taken into account
under the accrual method even though the Securityholder otherwise would use the
cash receipts and disbursements method.
The Code provisions concerning original issue discount, market discount,
and amortizable premium will apply to the Trust assets. The rules regarding
discount and premium that are applicable to Non-REMIC Securities generally are
the same as those that apply to REMIC Regular Securities. See the discussions
under "Certain Federal Income Tax Consequences -- REMIC Securities -- Original
Issue Discount -- Variable Rate Securities" and "Certain Federal Income Tax
Consequences -- REMIC Securities -- Market Discount" and " -- Amortizable
Premium" above.
For instruments to which it applies, 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 Pricing Prepayment Assumptions. Unlike in the
case of REMIC Regular Securities, Code Section 1272(a)(6) technically does not
apply to Non-REMIC Securities. Although the Treasury has authority to apply that
Section to securities such as the Non-REMIC Securities, it has not yet done so.
Nonetheless, unless and until administrative guidance to the contrary is
released, the Tax Administrator intends to account for the Non-REMIC Securities
as though Section 1272(a)(6) applied to them. Thus, the Tax Administrator will
account for a Class of Non-REMIC Securities in the same manner as it would
account for a Class of REMIC Regular Securities with the same terms. There can
be no assurance, however, that the Service ultimately will sanction the Tax
Administrator's position.
It is anticipated that most or all of the Mortgage Assets securing any
Series will be subject to the original issue discount, market discount, and
amortizable premium rules. Although most mortgage loans nominally are issued at
their original principal amounts, original issue discount could arise from the
payment of points or certain other origination charges by the Borrower if the
discount attributable to such payments exceeds the DE MINIMIS amount. If the
Trust contains Mortgage Assets purchased for a price below its outstanding
principal amount, Pass-Through Securityholders generally will be required to
take into account original issue discount not previously accrued to the prior
holder of such Mortgage Assets. Moreover, if such Mortgage Assets were purchased
for less than their adjusted issue prices, Pass-Through Securityholders
generally will be required to take into account market discount, unless the
amount of such market discount is DE MINIMIS under the market discount rules.
Finally, Pass-Through Securityholders generally may elect to amortize any
premium paid for Mortgage Assets over their outstanding principal amounts. For a
more complete elaboration of the rules pertaining to original issue discount,
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market discount, and acquisition premium, see the discussion under "Certain
Federal Income Tax Consequences -- REMIC Securities -- Tax Treatment of REMIC
Regular Securities."
TREATMENT OF STRIP SECURITIES
Many aspects of the federal income tax treatment of the Strip Securities
are uncertain. The discussion below describes the treatment that Counsel
believes is appropriate, but there can be no assurance that the Service will not
take a contrary position. Potential investors, therefore, should consult their
own tax advisors with respect to the federal income tax treatment of the Strip
Securities.
Under 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 on such obligation
results in the creation of "stripped coupons" with respect to the separated
rights to interest payments and "stripped bonds" with respect to the principal
and any unseparated interest payments associated with that principal. The
issuance of IO or PO Securities effects a separation of the ownership of the
interest and principal payments on some or all of the Mortgage Assets in the
Trust. In addition, the issuance of Ratio Securities effectively separates and
reallocates the proportionate ownership of the interest and principal payments
on the Mortgage Assets. Therefore, Strip Securities will be subject to Section
1286.
For federal income tax accounting purposes, section 1286 treats a stripped
bond or a stripped coupon as a new debt instrument issued (i) on the date that
the stripped interest is purchased and (ii) at a price equal to its purchase
price or, if more than one stripped interest is purchased, the share of the
purchase price allocable to such stripped interest. Each stripped bond or coupon
generally will have original issue discount equal to the excess of its stated
redemption price at maturity (or, in the case of a stripped coupon, the amount
payable on the due date of such coupon) over its issue price. Treasury
regulations under Section 1286 (the "Stripping Regulations"), however, provide
that the original issue discount on a stripped bond or stripped coupon is zero
if the amount of the original issue discount would be DE MINIMIS under rules
generally applicable to debt instruments. For purposes of the determination
whether such amount would be DE MINIMIS, (i) the number of complete years to
maturity is measured from the date the stripped bond or stripped coupon is
purchased, (ii) an aggregation approach similar to the Aggregation Rule (as
described in "Certain Federal Income Tax Consequences -- REMIC
Securities -- Original Issue Discount" above) may be applied, and (iii)
unstripped coupons may be treated as stated interest with respect to the related
bonds and, therefore, may be excluded from stated redemption price at maturity
in appropriate circumstances. In addition, the Stripping Regulations provide
that, in certain circumstances, the excess of a stripped bond's stated
redemption price at maturity over its issue price is treated as market discount,
rather than as original issue discount. See "Certain Federal Income Tax
Consequences -- Non-REMIC Securities -- Treatment of Strip
Securities -- Determination of Income With Respect to Strip Securities."
The application of Section 1286 to the Strip Securities is not entirely
clear under current law. That section could be interpreted as causing: (i) in
the case of an IO Security, each interest payment due on the Mortgage Assets to
be treated as a separate debt instrument; (ii) in the case of a Ratio Security
entitled to a disproportionately high share of principal, each excess principal
amount (I.E., the portion of each principal payment on such assets that exceeds
the amount to which the Ratio Securityholder would have been entitled if he had
held an undivided interest in the Mortgage Assets) to be treated as a separate
debt instrument; and (iii) in the case of a Ratio Security entitled to a
disproportionately high share of interest, each excess interest amount to be
treated as a separate debt instrument. In addition, Section 1286 requires the
purchase price of a Strip Security to be allocated among each of the rights to
payment on the Mortgage Assets to which the Securityholder is entitled that are
treated as separate debt instruments. Despite the foregoing, it may be
appropriate to treat stripped coupons and stripped bonds issued to the same
holder in connection with the same transaction as a single debt instrument,
depending on the facts and circumstances surrounding the issuance. Facts and
circumstances considered relevant for this purpose should include the likelihood
of the debt instruments trading as a unit and the difficulty of allocating the
purchase price of the unit among the individual payments. Strip Securities are
designed to trade as whole investment units and, to the extent that the
Underwriter develops a secondary market for the Strip Securities, it anticipates
that the Strip Securities would trade in such market as whole units. In
addition, because no market exists for individual payments on Mortgage Assets,
the proper allocation of the Security's purchase price to each separate payment
on the Mortgage Assets in the Trust would be difficult and burdensome to
determine. Based on those facts and circumstances, it appears that all payments
of principal and interest to which the holder of a Strip Security is entitled
should be treated as a single installment obligation. Although the OID
Regulations do not refer directly
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to debt instruments that are governed by Section 1286 of the Code, the
application of the OID Regulations to such instruments is consistent with the
overall statutory and regulatory scheme. Therefore, the Tax Administrator
intends to treat each Strip Security as a single debt instrument for income tax
accounting purposes.
DETERMINATION OF INCOME WITH RESPECT TO STRIP SECURITIES
For purposes of determining the amount of income on a Strip Security that
accrues in any period, the rules described above under "Certain Federal Income
Tax Consequences -- REMIC Securities -- Original Issue Discount -- Variable Rate
Securities," " -- Interested Weighted Securities and Non-VRDI Securities," and
" -- Anti-Abuse Rule" and "Certain Federal Income Tax Consequences -- REMIC
Securities -- Market Discount" and
" -- Amortizable Premium" will apply. PO Securities, and certain Classes of
Ratio Securities, will be issued at a price that is less than their stated
principal amount and thus generally will be issued with original issue discount.
A Strip Security that would meet the definition of an Interest Weighted Security
or a Weighted Average Security if it were a REMIC Regular Security is subject to
the same tax accounting considerations applicable to the REMIC Regular Security
to which it corresponds. Thus, as described in "Certain Federal Income Tax
Consequences -- REMIC Securities -- Original Issue Discount -- Interest Weighted
Securities and Non-VRDI Securities" above, certain aspects of the tax accounting
treatment of such a Strip Security are unclear. Unless and until the Service
provides administrative guidance to the contrary, the Tax Administrator will
account for such a Strip Security in the manner described for the corresponding
REMIC Regular Security. See "Certain Federal Income Tax Consequences -- REMIC
Securities -- Original Issue Discount -- Interest Weighted Securities and
Non-VRDI Securities" above.
If a PO Security or a Ratio Security that is not considered a Contingent
Payment Obligation (an "Ordinary Ratio Security") subsequently is sold, the
purchaser apparently would be required to treat the difference between the
purchase price and the stated redemption price at maturity as original issue
discount. The holders of such securities generally will be required to include
such original issue discount in income as described in "Certain Federal Income
Tax Consequences -- REMIC Securities -- Original Issue Discount" above. PO
Securities and Ordinary Ratio Securities issued at a price less than their
stated principal amount will be treated as issued with market discount rather
than with original issue discount if, after the most recent disposition of the
related Security, either (i) the amount of original issue discount on the
Security is considered to be DE MINIMIS under the Stripping Regulations or (ii)
the annual stated rate of interest payable on the Security is no more than one
percent lower than the annual stated rate of interest payable on the Mortgage
Loan from which the Security was stripped. The holders of such Securities
generally would be required to include market discount in income in the manner
described above in "Certain Federal Income Tax Consequences -- REMIC
Securities -- Market Discount." Some Classes of Ordinary Ratio Securities may be
issued at prices that exceed their stated principal amounts. Subject to the
discussion of Superpremium Securities in "Certain Federal Income Tax
Consequences -- REMIC Securities -- Original Issue Discount," holders of such
Ordinary Ratio Securities generally will be able to amortize that premium as
described in "Certain Federal Income Tax Consequences -- REMIC
Securities -- Amortizable Premium."
PURCHASE OF COMPLEMENTARY CLASSES OF STRIP SECURITIES
Strip Securities of certain Classes of the same Series ("Complementary
Securities"), when held in combination, may provide an aggregate economic effect
equivalent to that of a Pass-Through Security based upon the same Mortgage
Assets in the Trust. When an investor purchases Complementary Securities, it
appears that, for federal income tax purposes, each Security should be treated
separately and should be subject to the rules described above. The Service could
assert, however, that Complementary Securities held in combination should be
treated as a single pass-through type instrument, with the result that the rules
governing stripped bonds and stripped coupons under Section 1286 of the Code
would not be applied. Consequently, investors who acquire Complementary
Securities should consult their own tax advisors as to the proper treatment of
such Securities.
POSSIBLE ALTERNATIVE CHARACTERIZATIONS
The Service could assert that the Strip Securities should be characterized
for tax purposes in a manner different from that described above. For example,
the Service could contend that each Ratio Security whose interest rate is higher
than the net interest rate distributed from the Trust taking into account all of
the Securities of that Series (the "Net Series Rate") is to be treated as being
composed of two securities: (i) a Pass-Through Security of the same principal
amount as the Ratio Security but generating interest at the Net Series Rate; and
(ii) an IO Security representing the excess of the rate on the Ratio Security
over the Net Series Rate. Similarly, a Ratio
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Security whose interest rate is lower than the Net Series Rate could be treated
as composed of a Pass-Through Security with an interest rate equal to the Net
Series Rate and a PO Security. Alternatively, the Service could interpret
Section 1286 to require that each individual interest payment with respect to an
IO Security or a Ratio Security be treated as a separate debt instrument for
original issue discount purposes. The Service also might challenge the manner in
which original issue discount is calculated, contending that (i) the stated
maturity should be used to calculate yield on the Non-REMIC Securities, (ii) the
Contingent Payment Regulations should not apply to the IO Securities, or (iii)
the Contingent Payment Regulations should apply to the Ordinary Ratio
Securities. Given the variety of alternative treatments of the Non-REMIC
Securities and the different federal income tax consequences that could result
from each alternative, a potential investor is urged to consult its own tax
advisor regarding the proper treatment of the Non-REMIC Securities for federal
income tax purposes.
LIMITATIONS ON DEDUCTIONS WITH RESPECT TO STRIP SECURITIES
The holder of a Strip Security will be treated as owning an interest in
each of the Mortgage Assets of the related Trust and will recognize an
appropriate share of the income and expenses associated with those Mortgage
Assets. Accordingly, an individual, trust, or estate that holds a Strip Security
directly or through a pass-through entity will be subject to the same
limitations on deductions with respect to such Security as are applicable to
holders of Pass-Through Securities. See "Certain Federal Income Tax
Consequences -- Non-REMIC Securities -- Treatment of Pass-Through Securities"
above.
SALE OF A NON-REMIC SECURITY
A sale of a Non-REMIC Security prior to its maturity will result in gain or
loss equal to the difference, if any, between the amount received and the
holder's adjusted basis in such Security. The rules for computing the adjusted
basis of a Non-REMIC Security are the same as in the case of a REMIC Regular
Security. See "Certain Federal Income Tax Consequences -- REMIC
Securities -- Gain or Loss on Disposition." Gain or loss from the sale or other
disposition of a Non-REMIC Security generally will be capital gain or loss to a
Securityholder if the Security is held as a "capital asset" within the meaning
of Section 1221 of the Code, and will be long-term or short-term depending on
whether the Security has been held for the longterm capital gain holding period.
Ordinary income treatment, however, will apply to the extent mandated by the
original issue discount and market discount rules or if the Securityholder is a
financial institution described in Section 582 of the Code. See "Certain Federal
Income Tax Consequences -- REMIC Securities -- Gain or Loss on Disposition."
TAXATION OF CERTAIN FOREIGN HOLDERS OF NON-REMIC SECURITIES
Interest, including original issue discount, paid on a Non-REMIC Security
to a Foreign Person generally is treated as "portfolio interest" and, therefore,
is not subject to any United States tax, provided that (i) such interest is not
effectively connected with a trade or business in the United States of the
Securityholder, and (ii) the Trustee (or other person who would otherwise be
required to withhold tax) is provided with Foreign Person Certification. If
Foreign Person Certification is not provided, interest (including original issue
discount) paid on a Non-REMIC Security may be subject to either a 30 percent
withholding tax or 31 percent backup withholding.
In the case of certain Series, portfolio interest treatment will not be
available for interest paid with respect to certain classes of Non-REMIC
Securities. Interest on debt instruments issued on or before July 18, 1984 does
not qualify as "portfolio interest" and, therefore, is subject to United States
withholding tax at a 30 percent rate (or lower treaty rate, if applicable). IO
Securities and PO Securities generally are treated, and Ratio Securities
generally should be treated, as having been issued when they are sold to an
investor. In the case of Pass-Through Securities, however, the issuance date of
the Security is determined by the issuance date of the mortgage loans underlying
the Trust. Thus, to the extent that the interest received by a holder of a
Pass-Through Security is attributable to mortgage loans issued on or before July
18, 1984, such interest will be subject to the 30 percent withholding tax.
Moreover, to the extent that a Ratio Security is characterized as a pass-through
type security and the underlying mortgage loans were issued on or before July
18, 1984, interest generated by the Security may be subject to the withholding
tax. See "Certain Federal Income Tax Consequences -- Non-REMIC
Securities -- Possible Alternative Characterizations." Although recently enacted
tax legislation denies portfolio interest treatment to certain types of
contingent interest, that legislation generally applies only to interest based
on the income, profits, or property values of the debtor. Accordingly, it is not
anticipated that such legislation will apply to deny portfolio interest to
Securityholders who are Foreign Persons. However, because the scope of the new
legislation is not entirely clear,
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investors who are Foreign Persons should consult their own tax advisors
regarding the potential application of the legislation before purchasing a
Security.
BACKUP WITHHOLDING
The application of backup withholding to Non-REMIC Securities generally is
the same as in the case of REMIC Securities. See "Certain Federal Income Tax
Consequences -- REMIC Securities -- Backup Withholding."
REPORTING AND TAX ADMINISTRATION
For purposes of reporting and tax administration, the holders of Non-REMIC
Securities will be treated in the same fashion as the holders of REMIC Regular
Securities. See "Certain Federal Income Tax Consequences -- REMIC
Securities -- Reporting and Tax Administration" above.
DUE TO THE COMPLEXITY OF THE FEDERAL INCOME TAX RULES APPLICABLE TO
SECURITYHOLDERS AND THE CONSIDERABLE UNCERTAINTY THAT EXISTS WITH RESPECT TO
MANY ASPECTS OF THOSE RULES, POTENTIAL INVESTORS SHOULD CONSULT THEIR OWN TAX
ADVISORS REGARDING THE TAX TREATMENT OF THE ACQUISITION, OWNERSHIP, AND
DISPOSITION OF THE SECURITIES.
STATE TAX CONSIDERATIONS
In addition to the federal income tax consequences described in "Certain
Federal Income Tax Consequences," potential investors should consider the state
income tax consequences of the acquisition, ownership, and disposition of the
Securities. State 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. Therefore, potential investors should consult
their own tax advisors with respect to the various state tax consequences of an
investment in the Securities.
ERISA CONSIDERATIONS
In considering an investment in a Security of the assets of an employee
benefit plan, a fiduciary should consider, among other things, (i) the purposes,
requirements, and liquidity needs of such plan; (ii) the definition of plan
assets under the Employee Retirement Income Security Act of 1974 ("ERISA"), and
the U.S. Department of Labor ("DOL") regulations regarding the definition of
plan assets; (iii) whether the investment satisfies the diversification
requirements of Section 404(a)(1)(C) of ERISA; and (iv) whether the investment
is prudent, considering the nature of an investment in a Security and the fact
that no market in which such fiduciary can sell or otherwise dispose of
Securities is expected to arise. The prudence of a particular investment must be
determined by the responsible fiduciary (usually the trustee or investment
manager) with respect to each employee benefit plan taking into account all of
the facts and circumstances of the investment.
Section 403 of ERISA requires that all plan assets be held in trust.
However, under regulations that became effective on June 17, 1982, even if the
underlying assets of an issuer of securities are deemed to be plan assets of an
employee benefit plan investing in the Securities, the "holding in trust"
requirement of Section 403 of ERISA will be satisfied if the Securities are held
in trust on behalf of the plan.
Section 406 of ERISA and Section 4975 of the Code prohibit certain
transactions that involve (i) an employee benefit plan subject to ERISA or
Section 4975 of the Code, including individual retirement accounts and certain
Keogh Plans (each a "Plan") and any party in interest or disqualified person
with respect to the Plan, and (ii) plan assets. Regulations of the DOL set forth
in 29 C.F.R. 2510.3-101 (the "Plan Asset Regulations") define "plan assets" to
include not only securities (such as the Securities) held by a Plan but also the
underlying assets of the issuer of any equity securities, unless one or more
exceptions specified in the regulations are satisfied. Thus, under the Plan
Asset Regulations, a Plan that acquires a Security could be treated for ERISA
purposes as having acquired a direct interest in some or all of the assets in
the Trust. Such treatment could cause certain transactions with respect to such
assets to be deemed prohibited transactions under ERISA and, in addition, could
result in a finding of an improper delegation by the plan fiduciary of its duty
to manage plan assets. The Plan Asset Regulations will not apply , however, if
(i) the security is registered under the Securities Exchange Act of 1934, is
freely transferrable and is part of a class of securities that is held by more
than 100 unrelated investors (the "publicly offered exception") or (ii)
immediately after the most recent acquisition of an equity interest, benefit
plan investors
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do not own 25% or more of the value of any class of equity interests in the
trust (the "insignificant participation exception"). Prior to purchasing a
Security, a Plan should consult with its counsel to determine whether the
publicly offered exception, the insignificant participation exception, or any
other exception to the Plan Asset Regulations would apply to the purchase of the
Security.
The DOL has issued several exemptions from certain of the prohibited
transaction rules of ERISA and the related excise tax provisions of Section 4975
of the Code. Those exemptions include, but are not limited to: (a) Prohibited
Transaction Class Exemption ("PTCE") 95-60, regarding investments by insurance
company general accounts; (b) PTCE 91-38, regarding investments by bank
collective investment funds; (c) PTCE 90-1, regarding investments by insurance
company pooled separate accounts; (d) PTCE 83-1, regarding acquisitions by Plans
of interests in mortgage pools; and (e) various underwriter exemptions. Before
purchasing any Securities, a Plan subject to the fiduciary responsibility
provisions of ERISA or described in Section 4975(e)(1) of the Code should
consult with its counsel to determine whether the conditions of any exemption
would be met. A purchaser of Securities should be aware, however, that certain
of the exemptions do not apply to the purchase, sale, and holding of
subordinated securities. Moreover, a purchaser of Securities also should be
aware that even if the conditions specified in one or more exemptions are met,
the scope of the relief provided by an exemption might not cover all acts that
might be construed as prohibited transactions.
Because the purchase or holding of Securities may result in unfavorable
consequences for a Plan or its fiduciaries under the Plan Asset Regulations or
the prohibited transaction provisions of ERISA or the Code, certain classes of
Securities will not be offered for sale to, and are not transferable to, any
benefit plan investor unless such benefit plan investor provides the Seller with
a "Benefit Plan Opinion." A Benefit Plan Opinion is an opinion of Counsel
satisfactory to the Seller (and upon which the Seller, Trustee, TMP, and their
respective counsel are authorized to rely) that the ownership of a Security of
such class (A) will not be treated as a prohibited transaction under Sections
406 and 407 of ERISA or Section 4975 of the Code and (B) either (i) will not
cause any of the assets in the Trust (or in the case of a REMIC Series, the
REMIC's assets) to be regarded as plan assets for purposes of the Plan Asset
Regulation or (ii) will not give rise to any fiduciary duty under ERISA on the
part of the Seller, the Trustee, the Master Servicer or the TMP. The Prospectus
Supplement for an affected Series will indicate which classes of Securities are
restricted in their availability to benefit plan investors.
In considering the possible application of the Plan Asset Regulations,
potential Plan investors should be aware that, with respect to certain Series
and under certain circumstances, the Seller may have a right to redeem the
Securities of such Series, at its option. In such cases, the Seller's purpose
for the retention of such a redemption right is to enable the Seller to
terminate its administration obligations with respect to the Securities in the
event such obligations become unprofitable. The Seller undertakes no obligation
to consider the interests of Securityholders in deciding whether to exercise any
redemption right.
As described in "Certain Federal Income Tax Consequences," an investment in
a Security may produce unrelated business taxable income for tax-exempt employee
benefit plans. Potential investors also should be aware that ERISA requires that
the assets of a Plan be valued at their fair market value as of the close of the
plan year. Neither the Seller nor the Underwriters currently intend to provide
valuations to Securityholders. Plans contemplating the acquisition of Securities
should consult their legal advisors with respect to the ERISA, Code, and other
consequences of an investment in the Securities.
LEGAL INVESTMENT
Unless otherwise specified in the Prospectus Supplement for a Series, the
Securities will constitute "mortgage related securities" for purposes of the
Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA"), and, as such, will
be legal investments for persons, trusts, corporations, partnerships,
associations, business trusts and business entities (including depository
institutions, life insurance companies and pension funds) created pursuant to or
existing under the laws of the United States or of any state whose authorized
investments are subject to state regulation to the same extent that, under
applicable law, obligations issued by or guaranteed as to principal and interest
by the United States or any agency or instrumentality thereof constitute legal
investments for any such entities. Pursuant to SMMEA, a number of states enacted
legislation, on or before the October 3, 1991 cutoff for such enactments,
limiting to varying extents the ability of certain entities to invest in
"mortgage related securities,"
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in most cases by requiring the affected investors to rely solely upon existing
state law, and not SMMEA. Accordingly, the investors affected by such
legislation will be authorized to invest in the Securities only to the extent
provided in such legislation.
SMMEA also amended the legal investment authority of federally chartered
depository institutions as follows: federal savings and loan associations and
federal savings banks may invest in, sell or otherwise deal in the Securities
without limitation as to the percentage of their assets represented thereby;
federal credit unions may invest in the Securities; and national banks may
purchase the Securities for their own account without regard to the limitations
generally applicable to investment securities set forth in 12 U.S.C.
(section mark) 24 (Seventh), subject in each case to such regulations as the
applicable federal regulatory authority may prescribe.
Securities that do not constitute "mortgage-related securities"under SMMEA
will require registration, qualification or an exemption under applicable state
securities laws and may not be "legal investments" to the same extent as
"mortgage-related securities."
There may be restrictions on the ability of certain investors, including
depository institutions, either to purchase certain types of the Securities or
to purchase Securities representing more than a specified percentage of the
investor's assets. Investors should consult their own legal advisors in
determining whether and to what extent the Securities constitute legal
investments for such investors.
PLAN OF DISTRIBUTION
The Seller may sell the Securities offered hereby either directly or
through one or more underwriters or underwriting syndicates. The Prospectus
Supplement or Supplements for each Series will set forth the terms of the
offering of such Series and of each Class within such Series, including the name
or names of the Underwriters, the proceeds to and their use by the Seller, 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 Securities of a Series may be acquired by 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. The obligations of any
Underwriters will be subject to certain conditions precedent, and such
Underwriters will be severally obligated to purchase all the Securities of a
Series described in the related Prospectus Supplement, if any are purchased. If
Securities of a Series are offered other than through Underwriters, the related
Prospectus Supplement will contain information regarding the nature of such
offering and any agreements to be entered into between the Seller and purchasers
of Securities of such Series.
The place and time of delivery for the Securities of a Series in respect of
which this Prospectus is delivered will be set forth in the Prospectus
Supplement.
Securities issued pursuant to the Registration Statement of which this
prospectus is a part may be reregistered and reissued pursuant to the
Registration Statement when they are reacquired by the Seller and deposited by
the Seller to be part of the estate of a new trust. In addition, other
securities issued by affiliates of the Seller or persons unaffiliated with the
Seller may be acquired by the Seller and deposited to new trusts to be part of
the trust estate for securities issued pursuant to this prospectus and a related
prospectus supplement.
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GLOSSARY
There follows an abbreviated definition of certain capitalized terms used
in this Prospectus. The Trust Agreement may contain a more complete definition
of certain of the terms defined herein and reference should be made to the Trust
Agreement for a more complete definition of all such terms.
"ACCOUNTING DATE" means the last day of each month.
"ACCRETION CLASS" means a Capital Appreciation Class or a Compound Interest
Class of Securities.
"ACT" means the Garn - St. Germain Depository Institutions Act of 1982.
"ADDITIONAL ASSETS" means mortgage loans, mortgage certificates, or other
assets pledged to secure the timely payment of principal and interest on
Mortgage Loans, the projected cash flow on which is to be used to make required
distributions on the related Series.
"APPROVED SALE" means a sale of the Mortgaged Premises approved under a
Pool Insurance Policy.
"ARM LOANS" means mortgage loans providing for periodic adjustments to the
rate of interest thereon to equal the sum (which may be rounded) of a Gross
Margin and an Index.
"ASSET PROCEEDS ACCOUNT" means the separate custodial account established
and maintained by the Trustee in which payments with respect to the Mortgage
Assets will be deposited for the benefit of the holders of Securities of a
Series.
"ASSET VALUE" means, unless otherwise specified in the related Prospectus
Supplement, an amount generally equal to the lesser of (A) the present value of
the stream of remaining regularly scheduled monthly payments of principal and
interest on the Mortgage Assets (after taking into account charges for
servicing, administration, insurance and related matters) discounted at the
Asset Value Discount Rate for such Series, or at such other rate, or rates,
specified in the related Prospectus Supplement, or (B) the Unpaid Principal
Balance of such Mortgage Assets times the Asset Value Percentage.
"ASSET VALUE DISCOUNT RATE" means, for each item of Mortgage Assets in the
Trust for a Series, the rate specified in the related Trust Agreement for
purposes of calculation of Asset Value.
"ASSET VALUE PERCENTAGE" means the percentage limitation that, based upon
scheduled net payments on the Mortgage Assets included in the Trust for a
Series, will assure the availability of sufficient funds to make timely
distributions of principal and interest on the Securities in the event of
substantial principal prepayments on the Mortgage Assets.
"AVAILABLE DISTRIBUTION" means the amount of cash received by the Trustee
and available for distribution to the Securityholders on any Distribution Date.
"BALLOON PAYMENT MORTGAGE LOANS" are Mortgage Loans as to which only
interest is payable until maturity and Mortgage Loans that provide for
amortization of the principal amount over a certain period, although all
remaining principal is due at the end of a shorter period.
"BI-WEEKLY MORTGAGE LOAN" means a Mortgage Loan that provides for Borrower
payments to be made on a bi-weekly basis.
"BOOK-ENTRY SECURITIES" means a Class of Securities held in book-entry form
through a Depository.
"BORROWER" means the individual or individuals obligated to repay a
Mortgage Loan or the obligor(s) under a Contract.
"BUY-DOWN MORTGAGE LOAN" means a Mortgage Loan as to which funds have been
provided to reduce the Borrower's Monthly Payments during the early period of
such Mortgage Loan.
"CAPITAL APPRECIATION SECURITY" means a Class of Securities upon which
interest is accrued and is compounded and added to the principal thereof
periodically, but which is not entitled to distributions of principal or
interest until the Final Scheduled Distribution Date of such Class or the
termination of the related Trust or under such other circumstances as may be
specified in the Prospectus Supplement.
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"CERCLA" means the Federal Comprehensive Environmental Response
Compensation and Liability Act, as amended.
"CLASS" means, with respect to any Series, a group of Securities evidencing
the same ownership interest in the Available Distribution or such other
classification as may be set forth in the related Prospectus Supplement.
"CLOSING DATE" means the date on which a Series is closed and the
Securities issued.
"CODE" means the Internal Revenue Code of 1986, as amended.
"COMPANION CLASS" means a Class of Securities structured to receive
principal payments on the underlying Mortgage Loans to the extent those
principal payments exceed the principal payments scheduled to be made on a PAC
Class of Securities.
"COMPOUND INTEREST CLASS" means a Class of Securities upon which interest
is accrued and is compounded and added to the principal thereof periodically,
but which is not entitled to distributions of principal or interest until a
specified date or specified Classes of the same Series have received their final
distributions.
"CONTRACTS" means retail installment sales contracts secured by liens on
Manufactured Homes.
"CONVERTED MORTGAGE LOAN" means any ARM Loan on which the Note Rate is
converted from an adjustable rate of interest to a fixed rate of interest and
any Mortgage Loan on which the Note Rate is converted from a fixed rate of
interest to a lower fixed rate of interest.
"COOPERATIVE" means a corporation owned by tenant-stockholders who, through
the ownership of stock, shares or membership certificates in the corporation,
receive proprietary leases or occupancy agreements which confer exclusive rights
to occupy specific units.
"COOPERATIVE DWELLING" means an individual housing unit in a building owned
by a cooperative.
"COOPERATIVE LOAN" means a housing loan made with respect to a Cooperative
Dwelling and secured by an assignment by the borrower (tenant-stockholder) of a
security interest in shares issued by the applicable Cooperative.
"COOPERATIVE NOTE" means the note associated with a Cooperative Loan.
"CPR" means Constant Prepayment Rate prepayment model.
"CREDIT LOSSES" means Realized Losses on the Mortgage Loans less Fraud
Losses, Special Hazard Losses and Mortgagor Bankruptcy Losses.
"CURRENT INTEREST CLASS" means any Class of Securities that bears interest,
other than Accretion Securities.
"CUSTODIAL ACCOUNT" means one or more accounts into which a Servicer
deposits collections on the Mortgage Assets.
"CUT-OFF DATE" means the date specified in the related Prospectus
Supplement after which payments on the Mortgage Assets are for the account of
the Securityholders.
"DEPOSITORY" means the record owner of any Book-Entry Security. Initially,
the Depository for any Book-Entry Security is expected to be the DTC.
"DISCOUNT SECURITIES" means any Class of Securities which has a purchase
price less than the aggregate amount of principal allocable to such Class.
"DISTRIBUTION DATE" means that date each month, or other periodic dates,
commencing on the date specified in the Prospectus Supplement for a Series of
Securities, on which the Available Distribution will be paid by the Trustee to
holders of Securities of such Series.
"DTC" means the Depository Trust Company.
"DUE DATE" means each date that payments are due on the Mortgage Assets.
"DUE PERIOD" means, as to any Distribution Date, the period during which
regularly scheduled payments of principal and interest on the Mortgage Assets
are to be passed through to the Securityholders.
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"ELIGIBLE ASSETS" means assets approved under the Trust Agreement.
"ESCROW ACCOUNT" means accounts into which a Borrower will deposit amounts
sufficient to pay taxes, assessments, insurance premiums and other comparable
items.
"ERISA" the Employee Retirement Income Security Act of 1974, as amended.
"FHA" means the United States Federal Housing Administration.
"FHA LOANS" means Mortgage Loans insured by the FHA.
"FHLMC" means the Federal Home Loan Mortgage Corporation.
"FHLMC CERTIFICATES" means mortgage participation certificates issued by
FHLMC either in certificated or book-entry form.
"FINAL SCHEDULED DISTRIBUTION DATE" means, with respect to any Security,
the date specified in such Security as the fixed date on which the final
distribution on such Security is due and distributable.
"FINANCE COMPANY" means a limited-purpose financing company providing a
portion of the Assets for a Series.
"FINANCIAL INTERMEDIARY" means a brokerage firm, bank, thrift institution
or other financial intermediary that maintains a beneficial owner's account with
respect to Book-Entry Securities.
"FNMA" means the Federal National Mortgage Association.
"FNMA CERTIFICATES" means guaranteed mortgage pass-through certificates
issued by FNMA either in certificated or book-entry form.
"FRAUD LOSS LIMIT" means the amount, if any, determined in accordance with
formula set forth in the Prospectus Supplement for a Series.
"FRAUD LOSSES" means losses on Mortgage Loans resulting from a Mortgage
Insurer's failure to pay a claim with respect to a Mortgage Loan on the grounds
of fraud, dishonesty or misrepresentation in the application for insurance.
"FULL COVERAGE INSURANCE POLICIES" means, with respect to any Mortgage
Loan, a Primary Mortgage Insurance Policy covering the full amount of such
Mortgage Loan.
"FUNDING AGREEMENT" means an agreement between the Seller and a Finance
Company pursuant to which (i) the Seller will lend a portion of the net proceeds
of the sale of the Securities to such Finance Company, (ii) the Finance Company
will pledge Mortgage Assets owned by it to secure the loan from the Seller, and
(iii) the Seller will assign the Funding Agreement, as so secured, to the Trust
for a Series.
"GEM LOAN" means a fixed-rate fully amortizing Mortgage Loan providing for
(1) monthly payments during the first year that are at least sufficient to pay
interest due on the Mortgage Loan, and (2) an increase in such monthly payments
in subsequent years at a predetermined rate generally not more than a specified
percentage of the Monthly Payments during the preceding year.
"GNMA" means the Government National Mortgage Association.
"GNMA CERTIFICATES" means fully modified pass-through mortgage-backed
certificates guaranteed by GNMA.
"GPM LOAN" means a Mortgage Loan providing for graduated payments during a
portion of its term which are or may be less than the amount of interest due on
the Unpaid Principal Balance.
"GROSS MARGIN" means with respect to each ARM Loan, the fixed percentage
specified in the related note that is added to the Index on each Interest
Adjustment Date to determine the new Note Rate for such ARM Loan.
"GUARANTY" means a non-recourse guaranty of the timely payment of principal
and interest on a Mortgage Loan.
"HUD" means the United States Department of Housing and Urban Development.
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"INDEX" means with respect to each ARM Loan, the index specified in the
related note that is added to the Gross Margin on each Interest Adjustment Date
to determine the new Note Rate for such ARM Loan.
"INSURANCE POLICIES" means any Mortgage Insurance Policy, Standard Hazard
Insurance Policy, Special Hazard Insurance Policy, Mortgagor Bankruptcy
Insurance Policy or other insurance policy with respect to the Mortgage Loans in
a Trust.
"INSURANCE PROCEEDS" means the proceeds paid by any insurer pursuant to an
Insurance Policy covering a Mortgage Loan included in the Trust for a Series.
"INTEREST ADJUSTMENT DATE" means with respect to each ARM Loan, the date on
which the Note Rate changes in accordance with the terms of the related note.
"INVESTMENT GRADE" means a rating assigned by at least one Rating Agency to
a Class or Series of Securities that is in one of its four highest rating
categories (without regard to plus or minus gradations).
"JST" means JST Company, L.L.C., a Virginia limited liability company.
"LEVEL PAYMENT MORTGAGE LOAN" means a Mortgage Loan that provides for the
payment of principal and interest in level Monthly Payments over the term of the
Mortgage Loan, with interest at a fixed rate computed on the declining principal
balance of the Mortgage Loan.
"LIBOR" means London Interbank Offered Rate.
"LIQUIDATED LOAN" means any defaulted Mortgage Loan that is finally
liquidated, through foreclosure sale, disposition of the related Mortgaged
Premises if acquired by deed in lieu of foreclosure, or otherwise.
"LIQUIDATION PROCEEDS" means the proceeds of any Mortgage Assets liquidated
as a result of defaults by Borrowers, together with proceeds of insurance or
guarantees with respect to such Mortgage Assets.
"LOAN" means a Mortgage Loan or a Contract.
"LOSS" means the amount of a claim for benefits under a Primary Mortgage
Insurance Policy.
"MANUFACTURED HOMES" means the unit of manufactured housing used as a
single-family residence and having a minimum living space of 400 square feet and
a minimum width of over 102 inches, together with all accessions thereto
securing the obligations of the Borrower under a Contract.
"MASTER SERVICER" means the entity, if any, specified in the Prospectus
Supplement for a Series that will perform certain administrative functions with
respect to a Trust and, with respect to a Trust that includes Mortgage Loans,
that will administer and supervise the performance by Servicers of their duties
and responsibilities under Servicing Agreements in respect of such Mortgage
Loans.
"MASTER SERVICER CUSTODIAL ACCOUNT" means an account maintained by the
Master SERVICER into which the Master Servicer deposits collections on the
Mortgage Assets received from a Servicer.
"MONTHLY PAYMENTS" means scheduled payments of principal and interest due
each month on any Mortgage Loan.
"MORTGAGE ASSETS" means Mortgage Certificates and Loans assigned to the
Trust for a Series or pledged to secure Funding Agreements assigned to the Trust
for a Series.
"MORTGAGE CERTIFICATES" means GNMA Certificates, FNMA Certificates, FHLMC
Certificates and other mortgage pass-through certificates and collateralized
mortgage obligations either in certificated or book-entry form.
"MORTGAGE INSURANCE POLICIES" means Primary Mortgage Insurance Policies and
Pool Insurance Policies.
"MORTGAGE INSURER" means any insurance company or other entity that
provides Mortgage Insurance Policies with respect to a Series.
"MORTGAGE LOANS" means mortgage loans, FHA Loans, VA Loans and RHS Loans,
all secured by mortgages or deeds of trust on Mortgaged Premises, including
Cooperative Loans.
"MORTGAGE POOL" means a segregated pool of mortgage loans.
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"MORTGAGED PREMISES" means land and improvements thereon subject to the
lien of a mortgage or deed of trust.
"MORTGAGOR BANKRUPTCY INSURANCE" means an insurance policy or a fund
providing coverage to holders of Securities of a Series against losses resulting
from the bankruptcy of a Borrower.
"MORTGAGOR BANKRUPTCY LOSSES" means losses resulting from any court ordered
reduction in the valuation of Mortgaged Premises or changes in the repayment
terms of a Mortgage Loan in conjunction with a bankruptcy proceeding of a
Borrower or otherwise.
"MORTGAGOR BANKRUPTCY LOSS LIMIT" means the amount, if any, specified in
the Prospectus Supplement for a Series.
"NET RATE" means, with respect to any item of Mortgage Assets, the Note
Rate thereon minus applicable servicing, administration and guarantee fees and
insurance premiums, plus Reinvestment Income thereon if payable to
Securityholders, expressed as a percentage of the applicable Mortgage Asset.
"NOTE" means any promissory note with respect to a Mortgage Loan secured by
a lien on real property and the improvements thereon.
"NOTE RATE" means, with respect to a Mortgage Loan, the interest rate per
annum required to be paid by a Borrower under the terms of the related mortgage
note, and with respect to a Mortgage Certificate, the interest rate per annum
payable under the terms thereof.
"NY UCC" means the New York Uniform Commercial Code.
"OFFERED SECURITIES" means the Securities actually offered pursuant to a
Prospectus Supplement appended to this Prospectus.
"ORIGINATOR" means a savings and loan association, savings bank, commercial
bank, credit union, insurance company, or similar institution that originates a
Mortgage Loan.
"PAC CLASS" means a Class of Securities structured to receive fixed
principal payments on designated Distribution Dates so long as principal
payments on the underlying Mortgage Loans occur within a range of constant
percentages of the prepayment assumption made as set forth in the related
Prospectus Supplement.
"PAM" means any prepayment assumption model other than a SMM or CPR.
"PARTICIPANT" means each person who was the owner of Mortgage Assets
acquired by the Seller for assignment and transfer to the Trust for a Series of
Securities or each person who owns Mortgage Assets pledged to secure a Funding
Agreement that has been assigned and transferred to the Trust for a Series.
"PASS-THROUGH RATE" means the applicable fixed, variable or adjustable rate
or rates, specified or described in the Prospectus Supplement for a Series, at
which net interest payments on the Mortgage Assets in the related Trust are
passed through on each Class of the Securities, other than Spread Securities,
entitled to interest distributions.
"PERIODIC RATE CAP" means with respect to each ARM Loan, the limit on the
percentage increase or decrease that may be made on the Note Rate on any
Interest Adjustment Date.
"PERMITTED INVESTMENTS" means those investments permitted under the
applicable Trust Agreement, as described generally under "The
Trusts -- Investment of Funds."
"POOL INSURER" means any insurance company or other person that provides
Policy for a Series.
"POOL INSURANCE POLICY" means an insurance policy to cover any loss
(subject to certain limitations) by reason of default by the Borrowers of the
Mortgage Loans included in the Trust for a Series to the extent not covered by
any Primary Mortgage Insurance Policy.
"PREMIUM SECURITIES" means any Class of Securities which has a purchase
price greater than or equal to the aggregate amount of Principal allocable to
such Class.
"PREPAYMENT INTEREST SHORTFALL" results when a Mortgage Loan is prepaid in
full and interest to month-end is not paid by the Servicer.
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"PREPAYMENT PERIOD" means, as to any Distribution Date, the period during
which any prepayments or other unscheduled payments of principal and interest
paid with respect to the Mortgage Assets are to be passed through to the
Securityholders.
"PRIMARY MORTGAGE INSURANCE POLICY" means an insurance policy covering a
Mortgage Loan included in the Trust for a Series against loss of the insured
portion of the Unpaid Principal Balance of the covered Mortgage Loan together
with accrued and unpaid interest thereon.
"PRINCIPAL ONLY CLASS" means a Class of Securities sold at a significant
discount to its principal amount because no interest is paid on that Class of
Securities.
"RATING AGENCY" means with respect to any Series, each
nationally-recognized statistical rating agency or organization that initially
rates the Series at the request of the Seller and is identified in the related
Prospectus Supplement.
"REALIZED INTEREST SHORTFALL" results when a Mortgage Loan is foreclosed
and the Liquidation Proceeds from the sale of the Mortgaged Premises are
insufficient to pay accrued but unpaid interest on such Mortgage Loan.
"REALIZED LOSSES" means generally (i) the aggregate amount of losses
realized on Liquidated Loans, (ii) Fraud Losses, (ii) Mortgagor Bankruptcy
Losses and (iv) Special Hazard Losses.
"REDEMPTION DATE" means any Distribution Date on which the Securities of a
Series are redeemed.
"REINVESTMENT INCOME" means, with respect to a Series, the income received
on the investment of funds securing such Series at the Assumed Reinvestment
Rate.
"REIT" means a real estate investment trust as defined in the Code.
"REMIC" means a real estate mortgage investment conduit as defined in the
Code.
"REMIC REGULAR SECURITIES" means any Class of Securities of a Series
constituting regular interests in a REMIC.
"REMITTANCE DATE" means the date each month on which the Servicer, or the
Master Servicer to the extent that it directly services the Mortgage Loans, must
remit certain collections with respect to such Mortgage Loans to the Servicer
Custodial Account or the Asset Proceeds Account.
"RESERVE FUND" means, as to a Series, a fund established by the Seller that
may be used by the Trustee to make any required distributions of principal or
interest on the Securities of that Series to the extent funds are not otherwise
available.
"RESIDUAL SECURITIES" mean any Class of Securities of a Series constituting
the residual interests in a REMIC.
"RHS" means the United States Rural Housing Service.
"RHS LOANS" mean Mortgage Loans insured or guaranteed by RHS.
"RIC" means a regulated investment company as defined in the Code.
"RIM LOAN" means a Mortgage Loan where, subject to certain conditions, the
Borrower has a one-time option to reduce the interest rate payable with respect
to such Mortgage Loan.
"SCHEDULED PRINCIPAL BALANCE" means, with respect to any Mortgage Asset or
Contract as of any date of determination, an amount equal to the scheduled
principal balance thereof as of the Cut-off Date, reduced by the principal
portion of all Monthly Payments due on or before such determination date,
whether or not received, and by all amounts allocable to unscheduled principal
payments received on or before such determination date and as further reduced to
the extent that any Realized Loss has occurred with respect to such Mortgage
Asset or Contract on or before such determination date.
"SECURITYHOLDER" means the holder or beneficial owner of a Security.
"SECURITY INSTRUMENT" means any mortgage or deed of trust securing payment
of any Note with respect to a Mortgage Loan.
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"SECURITIES" means mortgage participation securities, issuable in Series,
each of which may include one or more Classes evidencing beneficial ownership
interests in the portion of the Available Distribution specified as allocable to
each Class in the Prospectus Supplement relating to such Series.
"SECURITIES ADMINISTRATOR" means the entity, if any, specified in the
Prospectus Supplement for a Series that will perform certain administrative
functions with respect to a Trust.
"SELLER" means Financial Asset Securitization, Inc., a Virginia
corporation.
"SENIOR SECURITIES" means any Class of Securities of a Series entitled to
preferential rights to distributions on the Mortgage Assets and other assets
assigned or pledged to the Trust for such Series.
"SERIES" means a group of Securities issued by a separate Trust.
"SERVICER CUSTODIAL ACCOUNT" means a custodial account into which the
Servicer may remit collections with respect to Mortgage Loans.
"SERVICERS" means those entities that perform the servicing functions with
respect to Mortgage Loans included in the Trust for a Series.
"SHORTFALL" means Soldiers' and Sailors' Shortfall, Realized Interest
Shortfall, Prepayment Interest Shortfall and any temporary delinquency in the
payment of interest on a Mortgage Loan.
"SMM" means Single Monthly Mortality prepayment model.
"SMMEA" means the Secondary Mortgage Market Enhancement Act of 1984, as
amended.
"SOLDIERS' AND SAILORS' SHORTFALL" results from application of the
Soldiers' and Sailors' Civil Relief Act of 1940, whereby members of the Armed
Forces who entered into mortgages prior to the commencement of military service
may have the interest rate on those mortgage loans reduced and capped for the
duration of military service.
"SPECIAL HAZARD FUND" or "SPECIAL HAZARD INSURANCE POLICY" means an
insurance policy or fund providing coverage to the holders of Securities of a
Series against (i) loss by reason of damage to Mortgaged Premises caused by
certain hazards not covered by any Standard Hazard Insurance Policy and (ii)
loss from partial damage to the Mortgaged Premises caused by reason of the
application of the coinsurance clause contained in any Standard Hazard Insurance
Policy.
"SPECIAL HAZARD LOSS LIMIT" means the amount, if any, determined in
accordance with the formula set forth in the Prospectus Supplement for a Series.
"SPECIAL HAZARD LOSSES" means Losses on Mortgage Loans arising out of
damage to the Mortgaged Premises that are not covered by Standard Hazard
Insurance Policies, but do not include losses caused by war, nuclear reaction,
nuclear or atomic weapons, insurrection or normal wear and tear.
"SPREAD CLASS" or "STRIP CLASS" means a Class of Securities sold at a
significant premium to its principal amount because it represents the right to
receive interest at a rate significantly higher than prevailing rates.
"SPREAD RATE" or "STRIP RATE" means the rate of interest payable on a
Spread Class or Strip Class respectively.
"STANDARD HAZARD INSURANCE POLICY" means an insurance policy covering a
Mortgage Loan included in the Trust for a Series against loss by reason of fire,
lightning, explosion, smoke, windstorm, hail, riot, strike and civil commotion.
"STANDARD TERMS" means Standard Terms to Trust Agreement.
"SUBORDINATED SECURITIES" means any Class of Securities of a Series as to
which the right to receive distributions with respect to the Mortgage Assets and
other assets assigned to the Trust for such Series is subordinate to the rights
of holders of Senior Securities of such Series to the extent specified in the
related Prospectus Supplement.
"SUBORDINATION AMOUNT" means, if applicable to a Series including a Class
of Subordinated Securities, the amount of Realized Losses to be borne solely by
the holders of such Subordinated Securities as specified in the related
Prospectus Supplement.
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"TRUST" means the pool of Mortgage Assets and other assets specified in the
Prospectus Supplement for each Series of Securities that are assigned and
transferred to a trust or trusts in the name of the Trustee for the benefit of
the holders of Securities of such Series.
"TRUST AGREEMENT" means the trust agreement between the Seller, the Master
Servicer and the Trustee with respect to a single Series of Securities defining
certain rights of holders of such Securities and certain rights and duties of
the Trustee with respect to such Securities, incorporating by reference therein
Standard Terms to Trust Agreement.
"TRUSTEE" means the bank, trust company or other fiduciary named in the
Prospectus Supplement for each Series of Securities as the trustee under the
Trust Agreement pursuant to which such Series is issued.
"UCC" means the Uniform Commercial Code.
"UNPAID PRINCIPAL BALANCE" means the unpaid principal amount of the
Mortgage Assets or any part thereof as of a date of determination.
"VA" means the United States Veterans Administration.
"VA LOANS" means Mortgage Loans partially guaranteed by the VA under the
Servicemen's Readjustment Act of 1944, as amended.
"VOTING RIGHTS" means the allocation of voting rights among the Classes of
a Series as provided in the Prospectus Supplement.
"1996 LENDER LIABILITY ACT" means the Asset Conservation, Lender Liability
and Deposit Insurance Act of 1996.
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NO PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY
REPRESENTATIONS OTHER THAN THOSE CONTAINED IN THIS PROSPECTUS AND PROSPECTUS
SUPPLEMENT, AND IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATIONS MUST NOT
BE RELIED UPON AS HAVING BEEN AUTHORIZED. THIS PROSPECTUS AND PROSPECTUS
SUPPLEMENT DO NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO
BUY ANY SECURITIES OTHER THAN THE SECURITIES DESCRIBED IN THIS PROSPECTUS OR
PROSPECTUS SUPPLEMENT OR AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY
SUCH SECURITIES IN ANY CIRCUMSTANCES IN WHICH SUCH OFFER OR SOLICITATION IS
UNLAWFUL. NEITHER THE DELIVERY OF THIS PROSPECTUS OR PROSPECTUS SUPPLEMENT, NOR
ANY SALE MADE HEREUNDER OR THEREUNDER SHALL, UNDER ANY CIRCUMSTANCES, CREATE ANY
IMPLICATION THAT THE INFORMATION CONTAINED HEREIN OR THEREIN IS CORRECT AS OF
ANY TIME SUBSEQUENT TO THE DATE OF SUCH INFORMATION.
------------------
TABLE OF CONTENTS
PAGE
----
PROSPECTUS SUPPLEMENT
Table of Contents.............................. S- 1
Summary of Terms............................... S- 2
Risk Factors................................... S-10
Description of the Securities.................. S-11
Description of the Pooled Certificates......... S-14
The Reserve Fund............................... S-24
Yield and Prepayment Considerations............ S-24
Pooling Agreement.............................. S-29
Federal Income Tax Considerations.............. S-32
Erisa Considerations........................... S-33
Legal Investment............................... S-34
Underwriting................................... S-34
Legal Matters.................................. S-34
Ratings........................................ S-35
Index of Terms................................. S-36
Annex 1........................................ S-37
Annex 2........................................ S-40
PROSPECTUS
Additional Information......................... 2
Incorporation of Certain Documents by
Reference.................................... 2
Prospectus Summary............................. 3
Risk Factors................................... 9
Description of the Securities.................. 13
Maturity and Prepayment
Considerations............................... 16
Yield Considerations........................... 18
The Trusts..................................... 18
Sale and Servicing of the
Mortgage Loans............................... 31
The Trust Agreements........................... 37
Certain Legal Aspects of
Mortgage Loans............................... 40
The Seller..................................... 48
Use of Proceeds................................ 49
Certain Federal Income Tax Consequences........ 49
State Tax Considerations....................... 78
ERISA Considerations........................... 78
Legal Investment............................... 79
Plan of Distribution........................... 80
Glossary....................................... 81
UNTIL JANUARY 26, 1997, ALL DEALERS EFFECTING TRANSACTIONS IN THE OFFERED
SECURITIES, WHETHER OR NOT PARTICIPATING IN THIS DISTRIBUTION, MAY BE REQUIRED
TO DELIVER A PROSPECTUS SUPPLEMENT AND THE PROSPECTUS TO WHICH IT RELATES. THIS
IS IN ADDITION TO THE OBLIGATION OF DEALERS TO DELIVER A PROSPECTUS SUPPLEMENT
AND PROSPECTUS WHEN ACTING AS UNDERWRITERS AND WITH RESPECT TO THEIR UNSOLD
ALLOTMENTS OR SUBSCRIPTIONS.
$55,809,878
(APPROXIMATE)
FASI
MORTGAGE
PARTICIPATION SECURITIES,
SERIES 1997-1
FINANCIAL ASSET
SECURITIZATION, INC.
SELLER
---------------------------------------
PROSPECTUS SUPPLEMENT
---------------------------------------
BEAR, STEARNS & CO., INC.
OCTOBER 28, 1997
