SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: October 29,1996
(Date of earliest event reported)
CITICORP MORTGAGE SECURITIES, INC.
(Packager and Servicer)
(Issuer in Respect of the REMIC Pass-Through CitiCertificates
Series 1996-1) (Exact name of registrant as specified in charter)
Delaware 33-66222 13-3408713
(State or other juris- (Commission (I.R.S. Employer
diction of organization) File Nos.) Identification No.)
909 Third Avenue, New York, New York 10043
- ------------------------------------ -----
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number, including area code (212) 559-3443
(Former name, former address and former fiscal year, if changed
since last report.)
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Item 5. Other Events.
CITICORP MORTGAGE SECURITIES, INC.
REMIC Pass-Through Certificates, Series 1996-1
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Attached as Exhibit I are the Computational Materials (as defined in the
no-action letter dated May 20, 1994 issued by the Securities and Exchange
Commission to Kidder, Peabody Acceptance Corporation-I, Kidder, Peabody & Co.
Incorporated and Kidder Structured Asset Corporation) and/or Structural Term
Sheets (as defined in the no-action letter dated February 17, 1995 issued by
the Securities and Exchange Commission to the Public Securities Association)
prepared by Citicorp Mortgage Securities, Inc. that are required to be filed
pursuant to such letters.
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EXHIBIT INDEX
Exhibit No. Page No.
I Computational Materials/Structural Term Sheets 6
prepared by Citicorp Mortgage Securities, Inc.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
CITICORP MORTGAGE SECURITIES, INC.
(Registrant)
By:/s/ John H. Outland
John H. Outland
Senior Vice President
Dated: October 29, 1996
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EXHIBIT I
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SUBJECT TO REVISION
SERIES TERM SHEET DATED OCTOBER 25, 1996
$200,000,000 (Approximate)
CITICORP MORTGAGE SECURITIES, INC.
(Packager and Servicer)
REMIC Pass-Through Certificates, Series 1996-1
$189,000,000 (Approximate) 7 3/4% Senior Class A CitiCertificates
$4,000,000 (Approximate) 7 3/4% Senior Subordinated Class M CitiCertificates
$7,000,000 (Approximate) 7 3/4% Subordinated Class B CitiCertificates
--------------------------------------
THE CITICERTIFICATES REPRESENT OWNERSHIP INTERESTS IN THE TRUST (THE
"TRUST") ONLY AND DO NOT REPRESENT INTERESTS IN OR OBLIGATIONS OF CMSI, CMI,
CITIBANK, ANY OTHER AFFILIATE OF CMSI OR OF THEIR ULTIMATE PARENT,
CITICORP. NEITHER THE CITICERTIFICATES NOR THE UNDERLYING MORTGAGES ARE INSURED
OR GUARANTEED BY THE UNITED STATES FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY
OTHER GOVERNMENTAL AGENCY OR INSTRUMENTALITY.
THIS SERIES TERM SHEET CONTAINS STRUCTURAL AND COLLATERAL INFORMATION WITH
RESPECT TO THE SERIES 1996-1 CITICERTIFICATES; HOWEVER, THIS SERIES TERM SHEET
DOES NOT CONTAIN COMPLETE INFORMATION WITH RESPECT TO THE OFFERING OF THE SERIES
1996-1 CITICERTIFICATES. THE INFORMATION HEREIN IS PRELIMINARY AND WILL BE
SUPERSEDED BY THE INFORMATION CONTAINED IN THE PROSPECTUS SUPPLEMENT AND THE
PROSPECTUS. ADDITIONAL INFORMATION WILL BE CONTAINED IN THE PROSPECTUS
SUPPLEMENT AND THE PROSPECTUS. PURCHASERS ARE URGED TO READ THE PROSPECTUS
SUPPLEMENT AND PROSPECTUS.
THIS SERIES TERM SHEET SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE
SOLICITATION OF AN OFFER TO BUY NOR SHALL THERE BE ANY SALE OF THESE
SECURITIES IN ANY STATE IN WHICH SUCH OFFER, SOLICITATION OR SALE WOULD BE
UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE SECURITIES LAWS OF
ANY SUCH STATE. SALES OF THE SERIES 1996-1 CITICERTIFICATES MAY NOT BE
CONSUMMATED UNLESS THE PURCHASER HAS RECEIVED BOTH THE PROSPECTUS SUPPLEMENT
AND THE PROSPECTUS.
--------------------------------------
Underwriters of the CitiCertificates
Donaldson, Lufkin & Jenrette
Securities Corporation
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SUMMARY OF SERIES TERMS
This Series Term Sheet will be superseded in its entirety by the
information appearing in the Prospectus Supplement and the Prospectus and by the
terms and provisions of the Pooling and Servicing Agreement to be dated as of
December 1, 1996 between Citicorp Mortgage Securities, Inc. ("CMSI" or the
"Issuer") and The Bank of New York, as Trustee (the "Pooling Agreement").
Securities Offered.............. Citicorp Mortgage Securities, Inc.,
Senior Class A REMIC Pass-Through
Certificates, Series 1996-1 (the
"Class A CitiCertificates"). The Class
A CitiCertificates are expected to be
issued in subclasses designated as
Class A-1, Class A-2, etc. (each, a
"Class A Subclass"). The priorities of
payment of distributions on the Class A
Subclasses will be described in the
Prospectus Supplement.
Citicorp Mortgage Securities, Inc.,
Senior Subordinated Class M REMIC Pass-
Through Certificates, Series 1996-1 (the
"Class M CitiCertificates"). The Class
M CitiCertificates are expected to be
issued as a single class.
Citicorp Mortgage Securities, Inc.,
Subordinated Class B REMIC Pass-Through
Certificates, Series 1996-1 (the "Class
B CitiCertificates" and, together with
the Class A and the Class M
CitiCertificates, the
"CitiCertificates"). The Class B
CitiCertificates are expected to be
issued in subclasses designated as Class
B-1, Class B-2, etc. (each, a "Class B
Subclass"). This Series Term Sheet does
not relate to, and should not be used as
a basis for information on, any Class B
Subclass that is to be rated in a
category lower than "BBB". See "----
Certificate Ratings" below.
Each CitiCertificate represents an
undivided beneficial ownership interest
in the trust (the "Trust") to be created
under the Pooling Agreement, the
property of which will consist of a pool
of assets comprised primarily of the
Mortgage Loans conveyed to such Trust by
the Issuer. The rights of holders of
Class B CitiCertificates to receive
distributions will be subordinated to
the rights of holders of the Class A
and the Class M CitiCertificates to the
extent described in the Prospectus
Supplement. The rights of holders of
Class M CitiCertificates to receive
distributions will be subordinated to
the rights of holders of the Class A
CitiCertificates to the extent described
in the Prospectus Supplement.
Each Class A and Class M CitiCertificate
will qualify at issuance as a "mortgage
related security" within the
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meaning of the Secondary Mortgage Market
Enhancement Act of 1984 ("SMMEA") and
will retain such qualification so long
as it is rated in one of the two highest
rating categories by at least one
nationally recognized statistical
rating organization. The Class B
CitiCertificates will not constitute
"mortgage related securities" within the
meaning of SMMEA.
In addition to the CitiCertificates, the
REMIC Pass-Through Certificates, Series
1996-1, will include one class of
Residual Certificates representing the
residual interest in the REMIC.
The CitiCertificates and the Residual
Certificates will be issued pursuant to
a pooling and servicing agreement (the
"Pooling Agreement") dated as of
December 1, 1996, between the Issuer and
The Bank of New York, a New York banking
corporation, in its individual capacity
and as trustee (the "Trustee").
Stated Amount of the CitiCertificates...The aggregate Initial Stated Amount of
the Class A CitiCertificates will be
approximately $189,000,000, and will be
initially from 93.5% to 95.5% of the
Initial Mortgage Loan Balance. The
aggregate Initial Stated Amount of the
Class M CitiCertificates will be
approximately $4,000,000, subject to a
permitted upward or downward variance
based on final credit enhancement levels
and will be initially from 1.0% to 3.0%
of the Initial Mortgage Loan Balance.
The aggregate Initial Stated Amount of
the Class B CitiCertificates will be
approximately $7,000,000, subject to a
permitted upward or downward variance
based on final credit enhancement
levels, and will be initially from 2.5%
to 4.5% of the Initial Mortgage Loan
Balance. The Initial Mortgage Loan
Balance will be approximately
$200,000,000. The Initial Stated Amount
of a CitiCertificate represents the
maximum specified dollar amount to which
the holder of such CitiCertificate is
entitled (in addition to distributions
of interest) from the cash flow on the
assets in the Pool.
The aggregate of the Stated Amounts of
the Class A Subclasses as of any
Distribution Date is referred to as the
"Class A Stated Amount." The "Class A
Subclass Stated Amount" of each Class A
Subclass as of any Distribution Date
will equal the Initial Stated Amount
thereof less certain distributions in
reduction of Stated Amount and any
allocation of certain losses.
The "Class M Stated Amount" as of any
Distribution
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Date will equal the Initial Stated
Amount of the Class M CitiCertificates
less certain distributions in reduction
of Stated Amount and any allocation of
certain losses.
The aggregate of the Stated Amounts of
the Class B Subclasses as of any
Distribution Date is referred to as the
"Class B Stated Amount" and will be
equal to the Pool Adjusted Balance minus
the Class A Stated Amount and the Class
M Stated Amount, each as of the
immediately preceding Distribution Date
(after giving effect to any
distributions in reduction of Stated
Amount and any allocation of certain
losses on such date). The Stated Amount
of each Class B Subclass (with respect
to each Class B Subclass, the "Class B
Subclass Stated Amount" for such
Subclass) will equal the lesser of (a)
the Initial Stated Amount thereof less
the sum of (i) all amounts previously
distributed to holders of such Class B
Subclass in reduction of Stated Amount
and (ii) the principal portion of all
Excess Special Hazard Losses, Excess
Fraud Losses and Excess Bankruptcy
Losses borne by such Class B Subclass
and (b) the Pool Adjusted Balance less
the sum of the Class A Stated Amount,
the Class M Stated Amount and the Stated
Amount of each Class B Subclass with a
lower numerical designation, all as of
the immediately preceding Distribution
Date (after giving effect to any
distribution in reduction of Stated
Amount an the allocation of any Excess
Special Hazard Losses, Excess Fraud
Losses and Excess Bankruptcy Losses on
such date).
Cut-Off Date............................December 1, 1996
Denominations...........................The denominations of the Class A
CitiCertificates [(other than the Class
A- __ CitiCertificates)] will be an
Initial Stated Amount of $1,000 and any
whole dollar amount in excess thereof;
the denominations of [the Class A- __
CitiCertificates and] the Class M and
Class B CitiCertificates will be an
Initial Stated Amount of $25,000 and any
whole dollar amount in excess thereof.
Book-Entry Form.........................The Class A CitiCertificates [(other
than the Class A-CitiCertificates)] will
be issued in book-entry form. No person
acquiring an interest in the Book-Entry
CitiCertificates (a "Beneficial Owner")
will be entitled to receive a definitive
certificate representing such person's
interest in the Trust, except under
certain limited circumstances. Each
Subclass will be represented initially
by a single certificate registered in
the name of Cede, as the nominee of The
Depository
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Trust Company ("DTC") which will be the
"holder" or "Certificateholder" of such
CitiCertificates. The rights of
Beneficial Owners may only be exercised
through DTC and its participating
organizations, except as otherwise
specified in the Prospectus Supplement
and Prospectus. The [Class A-
CitiCertificates and] Class M and Class
B CitiCertificates will be issued in
fully registered certificated form.
Closing Date............................On or about December 19, 1996.
Issuer and Servicer.....................CMSI. The Servicer intends to
subcontract its servicing duties to
Citicorp Mortgage, Inc. ("CMI").
Credit Enhancement......................The rights of the holders of the Class M
CitiCertificates to receive
distributions will be subordinated to
the rights of the holders of the Class A
CitiCertificates to receive
distributions to the extent described in
the Prospectus Supplement. The rights of
the holders of the Class B
CitiCertificates to receive
distributions will be subordinated to
the rights of holders of Class A and
Class M CitiCertificates to receive
distributions, and the rights of the
holders of a particular Class B Subclass
will be subordinated to the rights of
the holders of each Class B Subclass
with a lower numerical designation to
receive distributions, in each case to
the extent described in the Prospectus
Supplement. This subordination provides
a certain amount of protection to
holders of the Class A CitiCertificates
(to the extent of the subordination of
the Class M and Class B
CitiCertificates), to holders of the
Class M CitiCertificates (to the extent
of the subordination of the Class B
CitiCertificates) and to holders of the
Class B CitiCertificates (to the extent
of the subordination of each Class of
Class B CitiCertificates bearing a
higher numerical designation) against
delays in the receipt of scheduled
payments of interests and principal and
against losses associated with the
liquidation of defaulted Mortgage Loans
and certain losses resulting from the
bankruptcy of a Mortgagor.
In addition, in order to increase the
period during which the principal
balance of the Class M and Class B
CitiCertificates remains available as
credit enhancement to the Class A
CitiCertificates, a disproportionate
amount of prepayments and certain
unscheduled recoveries with respect to
the Mortgage Loans will be allocated to
the Class A CitiCertificates. This
allocation has the effect of
accelerating the amortization of the
Class A CitiCertificates while, in the
absence of Realized Losses, increasing
the respective percentage
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interest in the Trust evidenced by the
Class M and Class B CitiCertificates
(the "Subordinated CitiCertificates").
With respect to any Distribution Date
subsequent to the first Distribution
Date, the availability of the credit
enhancement provided by the Subordinated
CitiCertificates will be affected by the
prior reduction of the Stated Amount of
the Subordinated CitiCertificates, which
reduction will result from (i) the prior
allocation of losses to the Subordinated
CitiCertificates due to the liquidation
of defaulted Mortgage Loans, including
losses due to Special Hazards and fraud
losses up to the respective limits
referred to below, (ii) the prior
allocation of bankruptcy losses up to
the limit referred to below and (iii)
the prior receipt of distributions in
reduction of Stated Amount by holders of
the Subordinated CitiCertificates. Based
upon the hypothetical Pool of Mortgage
Loans described herein, the amount of
losses attributable to Special Hazards,
fraud and bankruptcy that will be
absorbed first by holders of the Class B
CitiCertificates (by Class, in reverse
numerical order) and then by holders of
the Class M CitiCertificates is expected
to be approximately 0.90%, 2.00% and
0.05%, respectively, of the Initial
Mortgage Loan Balance. The maximum
amount of losses attributable to Special
Hazard, fraud or bankruptcy that will be
absorbed solely by holders of the
Subordinated CitiCertificates will be
those amounts required by the rating
agency (or rating agencies) rating the
CitiCertificates as a condition to the
issuance of the ratings set forth below
under "-- Certificate Ratings." If
losses due to Special Hazards, fraud or
bankruptcy exceed any of such respective
amounts prior to the Subordination
Depletion Date, the principal portion of
such losses will be shared pro rata by
the Class A CitiCertificates, the Class
M CitiCertificates and the Class B
CitiCertificates. The "Subordination
Depletion Date" is the date on which the
Stated Amount of the Subordinated
CitiCertificates has been reduced to
zero. The interest portion of such
losses will be allocated proportionately
between the CitiCertificates and the
Residual Certificates, based on (in the
case of the CitiCertificates) the
interest accrued thereon or (in the case
of the Residual Certificates) the excess
of interest accrued on the Mortgage
Loans over the sum of the Servicing Fee
and interest accrued on the
CitiCertificates.
On each Distribution Date an amount
equal to the amount of interest, whether
or not received (net of the
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Servicing Fee and any uncovered
Prepayment Interest Shortfall allocated
to the Residual Certificates), with
respect to the Mortgage Loans that is in
excess of interest accrued on the
aggregate Stated Amounts of the
CitiCertificates (less the pro rata
share of the interest portion of any
Excess Special Hazard Losses, Excess
Fraud Losses and Excess Bankruptcy
Losses allocated to the Residual
Certificates, and after the
Subordination Depletion Date, the pro
rata share of the interest portion of
any losses or delinquencies allocated to
the Residual Certificates) will be
distributed to holders of the Class A-
__ CitiCertificates and will not be
available for distribution to holders of
the other Classes of CitiCertificates.
Priority of Distributions...............Unless and until the Subordination
Depletion Date has occurred, amounts
available for distribution on the
CitiCertificates will be distributed to
pay the following amounts in the
following order or priority: (1) the
Class A Interest Amount, (2) any Class A
Unpaid Interest Shortfall, (3) the Class
A Principal Distribution Amount, (4) the
Class M Interest Amount, (5) any Class M
Unpaid Interest Shortfall, (6) the Class
M Optimal Principal Amount,(7) the Class
B-1 Interest Amount, (8) the Class B-1
Unpaid Interest Shortfall, (9) the Class
B-1 Principal Distribution Amount, (10)
the Class B-2 Interest Amount, (11) the
Class B-2 Unpaid Interest Shortfall,
(12) the Class B-2 Principal
Distribution Amount and (13) with
respect to any other Class B Subclasses,
likewise, sequentially in increasing
numerical order, such that no Class B
Subclass with a higher numerical
designation receives any distribution in
reduction of Stated Amount or in respect
of interest before each Class B Subclass
with a lower numerical designation
receives its required distribution.
Distributions of Interest...............Each of the Class A Subclasses,
the Class M CitiCertificates and the
Class B Subclasses will accrue interest
on its respective Stated Amount at the
Stated Rate per annum specified in the
Prospectus Supplement, net of (i) any
Non-Supported Interest Shortfalls, as
described below, and (ii) the interest
portion of certain losses allocated to
such Class A Subclasses, the Class M
CitiCertificates and the Class B
Subclasses as described in the
Prospectus Supplement. Interest will be
distributable monthly on each
Distribution Date commencing in January
1997 to holders of record on the
applicable Record Date. Interest will
accrue on the CitiCertificates from the
first through the last day of the month
preceding the month of the then current
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Distribution Date (each such period, an
"Interest Accrual Period"). Interest
accrued on the CitiCertificates during
any Interest Accrual Period will be
calculated on the assumption that
distributions in reduction of Stated
Amount made on the CitiCertificates then
entitled to such distributions and the
losses allocated to such
CitiCertificates were made, added or
allocated on the day immediately
following the last day of the preceding
Interest Accrual Period, and not on the
following Distribution Date when
actually made, added or allocated.
The effective yield to holders of the
CitiCertificates will be reduced below
the yield otherwise produced by the
respective Stated Rates thereof because
distributions of interest and
distributions in reductions of Stated
Amount distributable with respect to an
Interest Accrual Period will not be
distributed until the 25th day of the
month following the end of such Interest
Accrual Period and the amount
distributable in reduction of Stated
Amount on the related Distribution Date
will not accrue interest during such
delay.
To the extent that collections of
interest from Mortgagors on account of
full or partial prepayments on Mortgage
Loans are less than one full month's
interest at the applicable Mortgage Note
Rate ("Prepayment Interest Shortfalls"),
such Prepayment Interest Shortfalls will
be paid by the Servicer to the extent of
the "Compensating Cap", which is an
amount equal to the lesser of (a) the
Servicing Fee received with respect to
the related Distribution Date and (b)
the product of the aggregate Adjusted
Balance of the Mortgage Loans and 0.125%
per annum.
The aggregate Prepayment Interest
Shortfalls with respect to a
Distribution Date will be allocated
proportionately, between the
CitiCertificates and the Residual
Certificates, based on (in the case of
the CitiCertificates) interest accrued
thereon or (in the case of the Residual
Certificates) the excess of interest
accrued on the Mortgage Loans over the
sum of the Servicing Fee and interest
accrued on the CitiCertificates. Any
excess of the amount of aggregate
Prepayment Interest Shortfalls so
allocated to the CitiCertificates over
the Compensating Cap (the "Non-Supported
Interest Shortfall") will be allocated
among the CitiCertificates
proportionately on the basis of interest
accrued. The amount, if any, of the
Compensating Cap in excess of the amount
of aggregate
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Prepayment Interest Shortfalls allocated
to the CitiCertificates will be paid to
the Residual Certificates up to the
amount of Prepayment Interest Shortfalls
allocated to the Residual Certificates.
In the unlikely event that on a
particular Distribution Date, the Pool
Distribution Amount is less than the
aggregate amount of interest accrued
(net of any Non-Supported Interest
Shortfall and the interest portion of
certain losses allocable to the Class A
Subclasses) on each Class A Subclass
(the shortfall allocable to each such
Class A Subclass, its respective "Class
A Subclass Interest Shortfall Amount"),
the aggregate amount of the shortfall
(the "Class A Unpaid Interest
Shortfall") will be carried forward and
added to the amount distributable to
holders of Class A CitiCertificates
until distribution thereof is made as
provided in the Prospectus Supplement.
No interest will accrue on the amount of
any Class A Unpaid Interest Shortfall.
In the event that on a particular
Distribution Date, the Pool Distribution
Amount, net of amounts distributable on
the Class A CitiCertificates, is less
than the aggregate amount of interest
accrued (net of any Non-Supported
Interest Shortfall and the interest
portion of certain losses allocable to
the Class M CitiCertificates) on the
Class M CitiCertificates, such shortfall
(the "Class M Unpaid Interest
Shortfall") will be carried forward and
added to the amount distributable to
holders of Class M CitiCertificates
until distribution thereof is made as
provided in the Prospectus Supplement.
No interest will accrue on the amount of
any Class M Unpaid Interest Shortfall.
Last Scheduled Distribution Date........The Last Scheduled Distribution Date for
the CitiCertificates coincides with the
date on which the last distribution in
respect of the Mortgage Loans is
scheduled to be made. Since the rate of
payment (including prepayments) of
principal on the Mortgage Loans can be
expected to exceed the scheduled rate of
payments, and could exceed the scheduled
rate by a substantial amount, the actual
final Distribution Date for the
CitiCertificates may be earlier, and
could be substantially earlier, than the
Last Scheduled Distribution Date.
The CitiCertificates are subject to
early termination by CMSI, as described
below under "-- Optional Termination".
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Prepayment and Yield
Considerations..........................The yield to maturity and weighted
average lives of the Class A, Class M
and Class B CitiCertificates will be
sensitive in varying degrees to, among
other things, the rate of prepayment of
the Mortgage Loans, the allocation of
such prepayments to the Class A, Class M
and Class B CitiCertificates, and the
timing and extent of losses, if any,
allocated to the Class A, Class M and
Class B CitiCertificates. No
representation is made as to whether the
Mortgage Loans will prepay at any
particular rate.
The yield to maturity on the Class M and
Class B CitiCertificates will be more
sensitive to losses due to liquidations
of the Mortgage Loans (and the
timing thereof) than the Class A
CitiCertificates.
AN INVESTOR THAT PURCHASES ANY
CITICERTIFICATES AT A DISCOUNT SHOULD
CAREFULLY CONSIDER THE RISK THAT A
SLOWER THAN ANTICIPATED RATE OF
PRINCIPAL PAYMENTS ON THE MORTGAGE
LOANS WILL RESULT IN AN ACTUAL YIELD
THAT IS LOWER THAN SUCH INVESTOR'S
EXPECTED YIELD. AN INVESTOR THAT
PURCHASES ANY CITICERTIFICATE AT A
PREMIUM SHOULD CONSIDER THE RISK THAT
A FASTER THAN ANTICIPATED RATE OF
PRINCIPAL PAYMENTS ON THE MORTGAGE LOANS
WILL RESULT IN AN ACTUAL YIELD THAT IS
LOWER THAN SUCH INVESTOR'S EXPECTED
YIELD.
The Mortgage Loans......................The information in this Series Term
Sheet relating to the Mortgage Loans is
based upon a hypothetical Pool of
existing Mortgage Loans. This
hypothetical Pool contains Mortgage
Loans expected to be included in the
actual Pool to underlie the
CitiCertificates as well as mortgage
loans with characteristics similar to
those expected to be so included. The
actual Pool of Mortgage Loans may
differ, and may differ significantly,
from this hypothetical Pool. A
description of the Mortgage Loans
comprising the actual Pool to underlie
the CitiCertificates will be set forth
in the Prospectus Supplement.
In addition, information herein based on
the existing Mortgage Loans expected to
be included in the actual Pool is given
as of November 1, 1996. Information to
be set forth in the Prospectus
Supplement regarding the Mortgage Loans
in the actual Pool will be given as of
December 1, 1996.
The Mortgage Loans will have mortgage
rates ranging
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from 7.125% to 9.375% per annum. The
initial weighted average mortgage rate
of the Mortgage Loans is expected to be
at least 8.11% but no more than 8.51%
per annum. The weighted average
remaining term to stated maturity of the
Mortgage Loans will be at least 353
months but no more than 359 months.
The Mortgage Loans will consist of 20-
to 30-year fixed rate conventional
mortgage loans originated or acquired by
CMI and will include loans secured by
shares issued by cooperating housing
corporations. Mortgage Loans acquired by
CMI include Mortgage Loans originated or
acquired by Citibank, Federal Savings
Bank or originated by Citibank, N.A.
Allocation of Losses....................Shortfalls in receipts of interest on
the Mortgage Loans and receipts of
principal with respect to the Mortgage
Loans in an amount less than the
decrease in the Pool Adjusted Balance
from the prior Distribution Date with
respect to a Distribution Date may arise
due to losses incurred on Liquidated
Loans and to delinquencies not advanced
by the Servicer or the Trustee (in its
individual capacity).
Realized Losses (other than Excess
Special Hazard Losses, Excess Fraud
Losses or Excess Bankruptcy Losses) will
not be allocated to holders of the Class
A CitiCertificates until the
Subordination Depletion Date. Prior to
such time, such Realized Losses will be
allocated first to the Class B
Subclasses in reverse numerical order
until the Stated Amount of each such
Class B Subclass has been reduced to
zero, and then to the Class M
CitiCertificates, until the Stated
Amount thereof has been reduced to zero.
On each Distribution Date that occurs on
or after the Subordination Depletion
Date, holders of Class A
CitiCertificates will generally receive
their respective pro rata share of net
Liquidation Proceeds realized on
Liquidated Loans after reimbursement to
the Servicer and the Trustee of any
previously unreimbursed advances made in
respect of such loans.
Advances................................The Servicer intends to make advances in
respect of delinquencies on the Mortgage
Loans in an amount equal to the
delinquent payments to the extent the
Servicer determines that such advances
will be recoverable from future payments
and collections on the Mortgage Loans.
The Servicer will contract with the
Trustee (in its individual capacity and
not as Trustee) for
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the limited purpose of providing for
advances by the Trustee (in such
individual capacity) in respect of
delinquencies to the extent that the
Servicer fails to make such advances.
The Trustee (in such individual
capacity) will make such advances to the
extent it determines that such advances
will be recoverable from future payments
and collections on the related Mortgage
Loans. Recoveries in respect of amounts
advanced will be applied to
reimbursement of the advances. On each
Distribution Date, the Servicer and the
Trustee will be entitled to withdraw
funds from the Certificate Account (a)
in reimbursement of all unreimbursed
advances deemed by the Servicer to be
nonrecoverable and (b) in reimbursement
of all other unreimbursed advances made
by them, but only (in the case of clause
(b)) from funds not distributable to
holders of CitiCertificates on such
Distribution Date.
Optional Termination....................Holders of CitiCertificates may receive
a final distribution in connection with
a termination of the Trust made at the
option of CMSI on any Distribution Date
after which the Pool Adjusted Balance is
less than 5% of the Initial Mortgage
Loan Balance. The price paid by CMSI for
the Trust property will generally equal
the sum of (i) 100% of the unpaid
principal balance of the Mortgage Loans,
together with accrued interest thereon
at the net Note Rate per annum on the
Mortgage Loans and (ii) the current
appraised value of acquired property.
Holders of the CitiCertificates, to the
extent of funds available, will receive
the unpaid Stated Amount of their
CitiCertificates plus accrued and unpaid
interest thereon.
Record Date.............................The Record Date for each Distribution
Date will be the close of business on
the last day of the month preceding the
month of the applicable Distribution
Date.
Certain Federal Income Tax
Consequences...........................The CitiCertificates will be designated
as regular interests in a REMIC and
generally will be treated as newly
originated debt instruments for federal
income tax purposes. Beneficial Owners
(or holders, in the case of the Class M
and Class B CitiCertificates) of the
CitiCertificates will be required to
report interest income on such
CitiCertificates in accordance with the
accrual method of accounting.
The Prepayment Assumption on the
Mortgage Loans that is to be used, among
other things, in determining the rate of
accrual of original issue discount, will
be set forth in the Prospectus
Supplement as a percentage of the
12
<PAGE>
Prepayment Model's assumed prepayment
rates. No representation is made as to
the rate at which the Mortgage Loans
will prepay.
The CitiCertificates will be treated as
"qualifying real property loans" for
mutual savings banks and domestic
building and loan associations, "regular
interests in a REMIC" for domestic
building and loan associations, and
"real estate assets" for real estate
investment trusts, to the extent
described in the Prospectus.
ERISA Considerations....................A fiduciary that is investing or that
could be deemed to be investing the
assets of any employee benefit plan
subject to the Employee Retirement
Income Security Act of 1974, as amended
("ERISA"), or the corresponding
provisions of the Code (an "ERISA Plan")
or a governmental plan, subject to any
federal, state or local law ("Similar
Law"), which is, to a material extent,
similar to the foregoing provisions of
ERISA or the Code (collectively, with an
ERISA Plan, a "Plan"), should carefully
review with its own legal advisors
whether the purchase or holding of the
CitiCertificates could give rise to a
transaction prohibited or otherwise
impermissible under ERISA, the Code or
Similar Law, and should carefully review
the related discussions in the
Prospectus Supplement and the
Prospectus, especially the discussion
thereunder of PTE 83-1 (as defined
therein).
On December 5, 1990, the Department of
Labor issued to the Underwriter
Prohibited Transaction Exemption 90-83
(the "Exemption"), which Exemption
generally was intended to apply to the
purchase and holding by ERISA Plans of
securities such as the Class A
CitiCertificates, which represent
beneficial interests in pass-through
trusts that meet the requirements of the
Exemption. The Exemption should apply to
the acquisition, holding and resale of
the Class A CitiCertificates by an ERISA
Plan, provided that specified conditions
(certain of which are described herein,
including the condition that the ERISA
Plan be an "accredited investor" (as
defined in Rule 501(a)(1) of Regulation
D of the Securities and Exchange
Commission (the "Commission") under the
Securities Act of 1933)) are met.
Neither the Exemption nor PTE 83-1
applies to the purchase or holding of
securities such as the Class M and Class
B CitiCertificates because such
CitiCertificates are subordinated to the
Class A
13
<PAGE>
CitiCertificates. Accordingly, the Class
M and Class B CitiCertificates may not
be transferred unless the transferee has
delivered (i) a representation letter to
the Trustee and the Issuer stating
either (a) that the transferee is not a
Plan and is not acting on behalf of a
Plan or using the assets of a Plan to
effect such purchase or (b) subject to
certain conditions described herein,
that the source of funds used to
purchase the Class M or Class B
CitiCertificates is an "insurance
company general account" or (ii) an
opinion of counsel as provided in the
Prospectus Supplement.
Trustee.................................The Bank of New York.
Certificate Ratings.....................It is a condition to the issuance of the
CitiCertificates that the Class A
CitiCertificates be rated "AAA" by
Standard & Poor's Ratings Group ("S&P")
and Fitch Investors Service, L.P.
("Fitch"), that the Class M
CitiCertificates be rated at least in
the category "AA" by S&P and "AA" by
Fitch, that the Class B-1
CitiCertificates be rated at least in
the category "A" by S&P and "A" by Fitch
and that the Class B-2 CitiCertificates
be rated at least "BBB" by S&P and "BBB"
by Fitch. Depending upon final credit
enhancement levels, it is expected that
certain Class B Subclasses with higher
numerical designations than the Class
B-2 CitiCertificates will also be rated
by S&P and Fitch. Ratings of the
CitiCertificates other than those
indicated above have not been requested.
However, there can be no assurance as to
whether another rating agency will rate
the CitiCertificates, and, if so, what
ratings would be so assigned to the
CitiCertificates. The ratings so
assigned may be lower than those
indicated above.
The ratings of the CitiCertificates
should be evaluated independently from
similar ratings on other types of
securities. The ratings do not address
the possibility that as a result of
prepayments holders of CitiCertificates
may receive a lower than anticipated
yield. A security rating is not a
recommendation to buy, sell or hold
securities and may be subject to review
or withdrawal at any time by the
assigning rating agency.
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<PAGE>
DISTRIBUTIONS IN REDUCTION OF STATED AMOUNT
Distributions in reduction of Stated Amount of the Class A
CitiCertificates will be made on each Distribution Date in an aggregate amount
equal to the Class A Principal Distribution Amount. The "Class A Principal
Distribution Amount" with respect to any Distribution Date is the amount of
principal distributed pursuant to clause (3) as set forth in the first paragraph
under "SUMMARY OF SERIES TERMS -- Priority of Distributions" in an amount up to
the Class A Optimal Principal Amount. Amounts distributed in reduction of Stated
Amount of any Class A Subclass will be allocated pro rata among all
CitiCertificates of such Class A Subclass.
The Class M CitiCertificates will be entitled, on each Distribution
Date, to the portion, if any, of the applicable Pool Distribution Amount, after
payment of the Class A Interest Amount, any unreimbursed Class A Unpaid Interest
Shortfall and the Class A Principal Distribution Amount, in an aggregate amount
equal to the Class M Interest Amount, any unreimbursed Class M Unpaid Interest
Shortfall and the Class M Optimal Principal Amount.
The Class B Certificates will be entitled, on each Distribution Date,
to the remaining portion, if any, of the applicable Pool Distribution Amount,
after payment of all amounts distributable on the Class A and Class M
CitiCertificates, as described above. Distributions on the Class B Subclasses
will be made in the amounts, and subject to the priorities, set forth in the
Prospectus Supplement.
Amounts distributed to Class M and Class B CitiCertificateholders will
not be available to cover delinquencies or Realized Losses in respect of
subsequent Distribution Dates.
Holders of the Class A CitiCertificates will be entitled to receive on
each Distribution Date, to the extent of the Pool Distribution Amount remaining
after payment of the Class A Interest Amount and any unreimbursed Class A Unpaid
Interest Shortfall, a distribution in reduction of the Stated Amount thereof in
an amount equal to the Class A Optimal Principal Amount. The "Class A Optimal
Principal Amount" with respect to each Distribution Date will be an amount equal
to the sum of (i) the Senior Percentage of (A) all scheduled payments of
principal due on each outstanding Mortgage Loan (including each defaulted
Mortgage Loan, other than a Liquidated Loan, with respect to which the related
Mortgaged Property has been acquired by the Trust) on the first day of the month
in which the Distribution Date occurs, less (B) if the Bankruptcy Coverage
Termination Date has occurred, the principal portion of Debt Service Reductions,
(ii) the Senior Prepayment Percentage of the Adjusted Balance of each Mortgage
Loan which, during the month preceding the month of such Distribution Date, was
repurchased by the Issuer, as described in the Prospectus, (iii) the Senior
Prepayment Percentage of the aggregate net Liquidation Proceeds on all Mortgage
Loans that became Liquidated Loans during such preceding month, less the amounts
allocable to principal of any unreimbursed advances previously made by the
Servicer with respect to such Liquidated Loan and the portion of the net
Liquidation Proceeds allocable to interest, (iv) the Senior Prepayment
Percentage of the Adjusted Balance of each Mortgage Loan which was the subject
of a principal prepayment in full during the month preceding the month of such
Distribution Date and (v) the Senior Prepayment Percentage of all partial
principal prepayments received by the Servicer in the month preceding the month
in which such Distribution Date occurs.
The principal entitlement described above for the Class A
CitiCertificates will be reduced on any Distribution Date by each Class A
Subclass's share of Excess Special Hazard Losses, Excess Fraud Losses and Excess
Bankruptcy Losses after the applicable coverage borne by Subordinated
CitiCertificates is reduced to zero.
The "Class M Optimal Principal Amount" with respect to each
Distribution Date will be an amount equal to the sum of (i) the Class M
Percentage of (A) all scheduled payments of principal due on each outstanding
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<PAGE>
Mortgage Loan (including each defaulted Mortgage Loan, other than a Liquidated
Loan, with respect to which the related Mortgaged Property has been acquired by
the Trust) on the first day of the month in which the Distribution Date occurs,
less (B) if the Bankruptcy Coverage Termination Date has occurred, the principal
portion of Debt Service Reductions, (ii) the Class M Prepayment Percentage of
the Adjusted Balance of each Mortgage Loan which, during the month preceding the
month of such Distribution Date was repurchased by the Issuer, (iii) the Class M
Prepayment Percentage of the aggregate net Liquidation Proceeds on all Mortgage
Loans that became Liquidated Loans during such preceding month, less the amounts
allocable to principal of any unreimbursed advances previously made by the
Servicer with respect to such Liquidated Loans and the portion of the net
Liquidation Proceeds allocable to interest, (iv) the Class M Prepayment
Percentage of the Adjusted Balance of each Mortgage Loan which was the subject
of a principal prepayment in full during the month preceding the month of such
Distribution Date and (v) the Class M Prepayment Percentage of all partial
principal prepayments received by the Servicer in the month preceding the month
in which such Distribution Date occurs.
The "Senior Percentage" for any Distribution Date occurring prior to
the Subordination Depletion Date is the percentage, which in no event will
exceed 100%, obtained by dividing the Class A Stated Amount by the Adjusted Pool
Balance, both as of the immediately preceding Distribution Date (after taking
into account distributions in reduction of Stated Amount and the allocation of
losses on such date). The Senior Percentage for the first Distribution Date is
expected to be between 93.5% and 95.5%. The Senior Percentage will decrease as a
result of the allocation of certain unscheduled payments in respect of principal
according to the Senior Prepayment Percentage for a specified period to the
Class A CitiCertificates and will increase as a result of the allocation of
Realized Losses to the Subordinated CitiCertificates.
The "Senior Prepayment Percentage" for any Distribution Date occurring
during the five years beginning on the first Distribution Date will, except as
provided below, equal 100%. The Senior Prepayment Percentage will be subject to
gradual reduction as described in the following three paragraphs. This
disproportionate allocation of certain unscheduled payments in respect of
principal will have the effect of accelerating the amortization of the Class A
CitiCertificates while, in the absence of Realized Losses, increasing the
respective interest in the Trust evidenced by the Subordinated CitiCertificates.
Increasing the respective interest of the Subordinated CitiCertificates relative
to that of the Class A CitiCertificates is intended to preserve the availability
of the subordination provided by the Subordinated CitiCertificates.
The Senior Prepayment Percentage for any Distribution Date occurring on
or after the fifth anniversary of the first Distribution Date will be as
follows: for any Distribution Date subsequent to December 2001 to and including
the Distribution Date in December 2002, the Senior Percentage for such
Distribution Date plus 70% of the Subordinated CitiCertificate Percentage for
such Distribution Date; for any Distribution Date subsequent to December 2002
and including the Distribution Date in December 2003, the Senior Percentage for
such Distribution Date plus 60% of the Subordinated CitiCertificate Percentage
for such Distribution Date; for any Distribution Date subsequent to December
2003 and including the Distribution Date in December 2004, the Senior Percentage
for such Distribution Date plus 40% of the Subordinated CitiCertificate
Percentage for such Distribution Date; for any Distribution Date subsequent to
December 2004 and including the Distribution Date in December 2005, the Senior
Percentage for such Distribution Date plus 20% of the Subordinated
CitiCertificate Percentage for such Distribution Date; and for any Distribution
Date thereafter, the Senior Percentage for such Distribution Date (unless on any
of the foregoing Distribution Dates, the Senior Percentage exceeds the initial
Senior Percentage, in which case the Senior Prepayment Percentage for such
Distribution Date will once again equal 100%). Notwithstanding the foregoing, no
reduction of the Senior Prepayment Percentage will occur on a Distribution Date
pursuant to the preceding sentence unless the following tests are satisfied: (i)
as of the Distribution Date as to which any such reduction applies, the Adjusted
Balance of the Mortgage Loans delinquent 60 days or more (including, for such
purpose, Mortgage Loans in foreclosure and real estate owned by the Trust as a
result of Mortgagor default) averaged over the last six months, as a percentage
of the sum of the Class B Subclass Stated Amounts, is less than 50% and (ii)
cumulative Realized Losses with respect to the Mortgage
16
<PAGE>
Loans are less than (a) with respect to each Distribution Date in January 2002
through December 2002, inclusive, 30% of the aggregate Initial Stated Amount of
the Class M and Class B CitiCertificates (the "Original Subordinated Stated
Amount"), (b) with respect to each Distribution Date in January 2003 through
December 2003, inclusive, 35% of the aggregate Initial Stated Amount of the
Class B CitiCertificates (the "Original Subordinated Stated Amount"), (c) with
respect to each Distribution Date in January 2004 through December 2004,
inclusive, 40% of the Original Subordinated Stated Amount, (d) with respect
to each Distribution Date in January 2005 through December 2005, inclusive, 45%
of the Original Subordinated Stated Amount, and (e) with respect to each
Distribution Date in January 2006 and thereafter, 50% of the Original
Subordinated Stated Amount.
In addition to any reduction permitted pursuant to the preceding
paragraph, the Senior Prepayment Percentage will be subject to reduction on any
Distribution Date as follows: (a) in the case of any Distribution Date occurring
in the period from the Closing Date through and including December 1999, the
Senior Prepayment Percentage will be equal to the Senior Percentage plus 50% of
the Subordinated CitiCertificate Percentage and (b) in the case of any
Distribution Date occurring thereafter, the Senior Prepayment Percentage will be
equal to the Senior Percentage. However, no such reduction pursuant to this
paragraph of the Senior Prepayment Percentage on any Distribution Date will be
permitted unless each of the following tests is satisfied: (i ) the Subordinated
CitiCertificate Percentage as of such Distribution Date is equal to or greater
than the Subordinated CitiCertificate Percentage as of the Closing Date, (ii)
cumulative Realized Losses are less than 30% of the Original Subordinated Stated
Amount and (iii) the Adjusted Balance of the Mortgage Loans delinquent 60 days
or more (including, for this purpose, Mortgage Loans in foreclosure and real
estate owned by the Trust as a result of Mortgagor default) averaged over the
last six months is less than the percentage specified in the next sentence of
the Original Stated Subordinated Amount. The percentage referred to in clause
(iii) of the preceding sentence shall be (x) 30% for each Distribution Date
occurring in the period from the Closing Date through and including December
1999, (y) 40% for each Distribution Date occurring in the period from and
including January 2000 through and including December 2001 and (z) 50% for each
Distribution Date thereafter.
In the event that on any Distribution Date a reduction of the Senior
Prepayment Percentage is permitted under each of the preceding two paragraphs,
then the Senior Prepayment Percentage will be the lesser of the two percentages
so calculated. If on any Distribution Date the allocation to the Class A
CitiCertificates of full and partial principal prepayments and other amounts in
the percentage required above would reduce the outstanding Class A Stated Amount
of the Class A CitiCertificates below zero, the Senior Prepayment Percentage for
such Distribution Date will be limited to percentage necessary to reduce the
Class A Stated Amount of the Class A CitiCertificates to zero.
The "Subordinated CitiCertificate Percentage" for any Distribution Date
will be calculated as the difference between 100% and the Senior Percentage for
such date. The Subordinated CitiCertificate Percentage on the Closing Date is
expected to be between 4.5% and 6.5%
The "Subordinated Prepayment Percentage" for any Distribution Date will
be calculated as the difference between 100% and the Senior Prepayment
Percentage for each date.
The "Class M Percentage" shall be equal to (a) on any Distribution Date
on which any Class B Subclass is eligible to receive distributions in reduction
of Stated Amount, the percentage calculated by multiplying (i) the Subordinated
CitiCertificate Percentage by (ii) a fraction, the numerator of which is the
Class M Stated Amount and the denominator of which is the sum of the Class M
Stated Amount and the Class B Subclass Stated Amount of each Class B Subclass
eligible to receive such distributions, each as of the immediately preceding
Distribution Date (after taking into account distributions in reduction of
Stated Amount and the allocation of losses on such date) or (b) on all other
Distribution Dates, the Subordinated CitiCertificate Percentage for such
Distribution Date.
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<PAGE>
The "Class M Prepayment Percentage" shall be equal to (a) on any
Distribution Date on which any Class B Subclass is eligible to receive
distributions in reduction of Stated Amount, the percentage calculated by
multiplying (i) the Subordinated Prepayment Percentage by (ii) a fraction, the
numerator of which is the Class M Stated Amount and the denominator of which is
the sum of the Class M Stated Amount and the Class B Subclass Stated Amount of
each Class B Subclass eligible to receive such distributions, each as of the
immediately preceding Distribution Date (after taking into account distributions
in reduction of Stated Amount and the allocation of losses on such date) or (b)
on all other Distribution Dates, the Subordinated Prepayment Percentage for such
Distribution Date.
In the event that on any Distribution Date, the Class M Subordination
Percentage is less than the Class M Subordination Percentage on the Closing
Date, then the Class B CitiCertificates will not be entitled to any
distributions in reduction of Stated Amount on such Distribution Date and all of
such distributions will instead be allocated in reduction of the Stated Amount
of the Class M CitiCertificates. The "Class M Subordination Percentage" is the
percentage obtained by dividing the Stated Amount of the Class B
CitiCertificates by the Pool Adjusted Balance, both as of the immediately
preceding Distribution Date (after giving effect to any distributions in
reduction of Stated Amount and the allocation of losses on such date). The Class
M Subordination Percentage on the Closing Date is expected to be between 2.5%
and 4.5%.
In the event that on any Distribution Date, the Class M Subordination
Percentage equals or exceeds its original percentage but the Class B-1
Subordination Percentage is less than the Class B-1 Subordination Percentage on
the Closing Date, then all Class B Subclasses having a higher numerical
designation than the Class B-1 CitiCertificates will not be entitled to any
distributions in reduction of Stated Amount on such Distribution Date and all of
such distributions will instead be allocated in reduction of the Stated Amount
of the Class M and Class B-1 CitiCertificates on a pro rata basis. The "Class
B-1 Subordination Percentage" is the percentage obtained by dividing the
aggregate Stated Amounts of all Class B Subclasses having a higher numerical
designation by the Pool Adjusted Balance, each as of the immediately preceding
Distribution Date (after giving effect to any distributions in reduction of
Stated Amount and the allocation of losses on such date). The Class B-1
Subordination Percentage on the Closing Date is expected to be between 1.25% and
3.25%.
A test similar to that described in the preceding paragraph will be
applied on each Distribution Date to each Class B Subclass with a higher
numerical designation to determine whether all higher designated Class B
Subclasses will be entitled to receive distributions in reduction of Stated
Amount.
A "Liquidated Loan" is a Mortgage Loan with respect to which the
Servicer has determined that all recoverable liquidation and insurance proceeds
have been received or the Issuer has accepted payment by a Mortgagor in
consideration for the release of the Mortgage Loan in an amount equal to less
than the outstanding principal balance of the Mortgage Loan as a result of a
determination that liquidation expenses for such Mortgage Loan would exceed the
amount by which the cash portion of such payment is less than the outstanding
principal balance of such Mortgage Loan.
A "Liquidated Loan Loss" on a Liquidated Loan is equal to the excess,
if any, of (i) the unpaid principal balance of such Liquidated Loan, plus
interest thereon in accordance with the amortization schedule at the Note Rate
through the last day of the month in which such Mortgage Loan was liquidated
over (ii) net Liquidation Proceeds. For purposes of calculating the amount of
any Liquidated Loan Loss, all net Liquidation Proceeds (after reimbursement to
the Servicer and the Trustee for any previously unreimbursed related advances
and related liquidation expenses) will be applied first to accrued interest and
then to the unpaid principal balance of the Liquidated Loan. "Liquidation
Proceeds" are all amounts received by the Servicer in connection with the
liquidation of defaulted Mortgage Loans or property acquired in respect thereof.
A "Special Hazard Loss" is a Liquidated Loan Loss occurring as a result of a
Special Hazard. "Special Hazards" are all risks of direct physical loss or
damage which occur from any cause excluding (a) certain extraordinary events
described in the Prospectus
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<PAGE>
Supplement and (b) any risk of direct physical loss or damage that is insured
against under either (i) the Mortgagor's homeowner's policy, fire insurance
policy, flood insurance (if otherwise required) and extended coverage policies
(if any), as required to be maintained pursuant to the applicable Mortgage Loan
or (ii) hazard insurance with respect to such Mortgaged Property which is
required to be maintained by the Servicer under the Pooling Agreement. A "Fraud
Loss" is a Liquidated Loan Loss incurred on a Liquidated Loan as to which there
was fraud in the origination of such Mortgage Loan. A "Bankruptcy Loss" is a
loss attributable to certain actions which may be taken by a bankruptcy court in
connection with a Mortgage Loan, including a reduction by a bankruptcy court of
the principal balance of or the interest rate on a Mortgage Loan or an extension
of its maturity. A"Debt Service Reduction" means a reduction in the amount of
monthly payments due to certain bankruptcy proceedings, but does not include any
permanent forgiveness of principal. A "Deficient Valuation" with respect to a
Mortgage Loan means a valuation by a court of the Mortgaged Property in an
amount less than the outstanding indebtedness under the Mortgage Loan or any
reduction in the amount of monthly payments that results in a permanent
forgiveness of principal, which valuation or reduction results from a bankruptcy
proceeding. Liquidated Loan Losses (including Special Hazard Losses and Fraud
Losses) and Bankruptcy Losses are referred to herein as "Realized Losses."
DESCRIPTION OF THE POOL
AND THE MORTGAGED PROPERTIES
The Pool to be evidenced by the CitiCertificates will include Mortgage
Loans evidenced by mortgage notes with an aggregate Adjusted Balance as of the
Cut-Off Date of approximately $200,000,000.
The "Adjusted Balance" of any Mortgage Loan as of the first day of any
month is the scheduled principal balance thereof as of the close of business on
such day (whether or not any scheduled payments have been received and before
any adjustment to the related amortization schedule by reason of bankruptcy
(other than a Deficient Valuation)), less any Principal Prepayment thereon or in
respect thereof received or posted prior to the close of business on the
business day preceding such first day (or, in the case of the Cut-Off Date, any
Principal Prepayments thereon or in respect thereof received or posted prior to
the close of business on the Cut-Off Date).
The following paragraphs and tables set forth detailed information as
of November 1, 1996 with respect to the Mortgage Loans expected to be included
in the final Pool. It is expected that the final Pool will include mortgage
loans in addition to those described herein. It is also expected that the actual
Mortgage Loans that will constitute the entire Pool will differ, and may differ
substantially, from those described herein. In addition, the actual Pool of
Mortgage Loans will include Mortgage Loan balances as of December 1, 1996. To
the extent that the Mortgage Loans differ from the description contained herein,
material variances in such information may result. Prospective purchasers of
CitiCertificates should review the description of the actual Pool to be set
forth in the Prospectus Supplement.
The total number of Mortgage Loans was 552. The weighted average Note
Rate of the Mortgage Loans was 8.314%. The weighted average remaining term to
stated maturity of the Mortgage Loans was 356.14 months. All Mortgage Loans have
original maturities of at least 20 but no more than 30 years. None of the
Mortgage Loans were originated prior to December 1, 1990 or after November 1,
1996.
None of the Mortgage Loans has a scheduled maturity later than November
1, 2026. Each Mortgage Loan has an original principal balance of not less than
$20,000 nor more than $1,000,000. Mortgage Loans having an aggregate Adjusted
Balance of $28,483,623 had loan-to-value ratios at origination in excess of 80%,
but no Mortgage Loans had loan-to-value ratios in excess of 95%. The weighted
average loan-to-value ratio at origination of the Mortgage Loans was 75.4%. No
more than $1,706,464 of the Mortgage Loans are secured by Mortgaged Properties
located in any one zip code. At least 94% of the Mortgage Loans are secured by
Mortgaged Properties determined by Citicorp Mortgage, Inc. to be the primary
residence of the borrower ("Mortgagor").
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<PAGE>
The sole basis for such determination is either (a) a representation by the
Mortgagor at origination of the Mortgage Loan that the underlying property will
be used for a period of at least 6 months every year or that he intends to use
the underlying property as his primary residence, or (b) that the address of the
underlying property is the Mortgagor's mailing address as reflected in
Originator's records. No more than 1% of the Mortgage Loans are secured by
investment properties.
No more than 4% of the Mortgage Loans are Mortgage Loans originated
after April 1, 1991 using limited documentation procedures which do not require
proof of income and liquid assets or telephone verification of employment.
At least 95% of the Mortgage Loans which had loan-to-value ratios
greater than 80% at origination had primary mortgage insurance as of such date.
The aggregate Adjusted Balance outstanding of the Mortgage Loans as of
November 1, 1996 was $166,556,240.41.
The following tables provide more detailed information on the
hypothetical Mortgage Loan Pool:
20
<PAGE>
YEARS OF ORIGINATION OF MORTGAGE LOANS
Adjusted Principal
Year Originated Number Of Loans Balances Outstanding
- --------------- --------------- --------------------
1990 1 $ 111,289
1991 2 314,490
1995 9 1,377,313
1996 540 164,753,148
Total 552 $ 166,556,240
NUMBER OF UNITS IN DWELLINGS SUBJECT TO MORTGAGE LOANS
Type of Number Aggregate Principal
Dwelling Unit of Loans Balances Outstanding
- -------------- -------- --------------------
Detached houses 490 $ 155,448,578
Multi-family dwellings 11 3,473,415
Townhouses 6 1,838,255
Condominium units (one to
three stories high) 7 1,665,905
Condominium units (over
three stories high) 2 911,090
Cooperative units 36 3,218,997
Total 552 $ 166,556,240
NUMBER OF UNITS IN DWELLINGS SUBJECT TO MORTGAGE LOANS
Aggregate Principal
Type of Dwelling Unit Number of Loans Balances Outstanding
- --------------------- --------------- --------------------
1-family 541 $ 163,082,825
2-family 9 2,895,478
3-family 2 577,937
- -------
Total 552 $ 166,556,240
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<PAGE>
SIZES OF MORTGAGE LOANS
Outstanding Principal Aggregate Principal
Balance by Loan Size Number of Loans Balances Outstanding
- ---------- --------- --------------- --------------------
$149,999 and Under 33 $ 2,075,604
$150,000 through $199,999 5 862,854
$200,000 through $249,999 138 32,041,453
$250,000 through $299,999 156 42,797,260
$300,000 through $349,999 117 37,915,232
$350,000 through $399,999 37 13,976,437
$400,000 through $449,999 13 5,572,877
$450,000 through $499,999 20 9,639,142
$500,000 through $549,999 8 4,205,244
$550,000 through $599,999 10 5,784,460
$600,000 through $649,999 5 3,157,166
$650,000 through $699,999 3 2,029,928
$700,000 through $749,999 1 747,385
$750,000 through $799,999 0 0
$800,000 through $849,999 0 0
$850,000 through $899,999 1 875,849
$900,000 through $949,999 1 906,278
$950,000 through $999,999 4 3,969,071
Total 552 $ 166,556,240
22
<PAGE>
DISTRIBUTION OF MORTGAGE LOANS BY
NOTE RATES
Mortgage Loan Number of Aggregate Principal
Note Rate Mortgage Loans Balances Outstanding
--------- -------------- --------------------
7.125% - 7.50% 17 $ 5,192,222
7.51% - 8.00% 137 42,146,696
8.01% - 8.50% 232 72,237,774
8.51% - 9.00% 151 42,429,436
9.01% - 9.375% 15 4,550,112
- ----------------
Total 552 $ 166,556,240
DISTRIBUTION OF MORTGAGE LOANS BY
LOAN-TO-VALUE RATIOS AT ORIGINATION
Aggregate Principal
Loan-to-Value Ratio Number of Loans Balances Outstanding
- ------------------- --------------- --------------------
65.00% and Below 78 $ 24,993,306
65.01% - 75.00% 115 37,759,053
75.01% - 80.00% 247 75,320,258
80.01% - 90.00% 111 28,159,428
90.01% - 95.00% 1 324,195
Total 552 $ 166,556,240
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GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES BY STATE
Aggregate Principal
State Number of Loans Balances Outstanding
----- --------------- --------------------
Alabama 4 $ 1,040,924
Arizona 2 517,104
Arkansas 13 4,413,162
California 131 45,772,220
Colorado 12 3,317,273
Connecticut 30 9,557,086
District of Columbia 3 729,931
Florida 17 4,841,242
Georgia 21 6,811,713
Hawaii 2 778,994
Illinois 25 7,123,758
Kansas 1 251,777
Kentucky 1 252,839
Louisiana 2 651,953
Maryland 15 4,776,096
Massachusetts 15 4,439,534
Michigan 5 1,449,017
Minnesota 2 552,045
Mississippi 1 346,401
Missouri 1 247,747
Nevada 4 1,348,468
New Hampshire 2 472,706
New Jersey 23 6,319,199
New Mexico 5 1,356,980
New York 113 27,634,053
North Carolina 20 6,680,519
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Ohio 3 848,742
Oregon 1 321,598
Pennsylvania 10 2,645,177
South Carolina 4 1,221,347
Tennessee 9 2,846,261
Texas 13 4,041,280
Utah 3 744,337
Vermont 1 275,079
Virginia 32 10,128,895
Washington 4 1,184,114
Wisconsin 1 388,000
Wyoming 1 227,869
Total 552 $ 166,556,240
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