PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED JUNE 19, 1998)
$109,717,696 (APPROXIMATE)
CITICORP MORTGAGE SECURITIES, INC.
(PACKAGER AND SERVICER)
REMIC PASS-THROUGH CERTIFICATES, SERIES 1998-5,
$104,971,696 (APPROXIMATE) SENIOR CLASS A CITICERTIFICATES
$2,512,600 (APPROXIMATE) SENIOR SUBORDINATED CLASS M CITICERTIFICATES
$1,395,900 (APPROXIMATE) SUBORDINATED CLASS B-1 CITICERTIFICATES
$837,500 (APPROXIMATE) SUBORDINATED CLASS B-2 CITICERTIFICATES
The REMIC Pass-Through Certificates, Series 1998-5, will consist of one
senior class of REMIC Pass-Through Certificates (the "Class A CitiCertificates")
in an approximate aggregate Initial Stated Amount of $104,971,696, subject to a
permitted upward or downward variance of up to 5.0%, one senior subordinated
class of REMIC Pass-Through Certificates (the "Class M
(Continued on following page)
----------
FOR A DISCUSSION OF CERTAIN RISK FACTORS INVOLVED IN THE PURCHASE OF THE
CLASS M CITICERTIFICATES AND OFFERED CLASS B CITICERTIFICATES, SEE "RISK FACTORS
FOR PURCHASERS OF CLASS M CITICERTIFICATES AND OFFERED CLASS B CITICERTIFICATES"
IN THIS PROSPECTUS SUPPLEMENT BEGINNING ON PAGE S-21.
----------
THE OFFERED CITICERTIFICATES DO NOT REPRESENT AN INTEREST IN OR OBLIGATION OF
CMSI, CITIBANK, CMI, ANY OTHER AFFILIATE OF CMSI OR THEIR ULTIMATE PARENT,
CITICORP, EXCEPT AS SET FORTH HEREIN. NEITHER THE OFFERED CITICERTIFICATES
NOR THE MORTGAGE LOANS ARE INSURED OR GUARANTEED BY THE UNITED STATES
GOVERNMENT, THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER
GOVERNMENTAL AGENCY OR INSTRUMENTALITY.
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.
================================================================================
INITIAL STATED LAST SCHEDULED
AMOUNT (APPROX.) STATED RATE DISTRIBUTION DATE(1)
- --------------------------------------------------------------------------------
Class A-1 CitiCertificates ... $21,055,390 6.75% March 25, 2025
Class A-2 CitiCertificates ... $78,913,914 6.75% March 25, 2025
Class A-3 CitiCertificates ... $ 4,800,000 6.75% March 25, 2025
Class A-4 CitiCertificates ... $ 202,392 (2) March 25, 2025
Class M CitiCertificates ..... $ 2,512,600 6.75% March 25, 2025
Class B-1 CitiCertificates ... $ 1,395,900 6.75% March 25, 2025
Class B-2 CitiCertificates ... $ 837,500 6.75% March 25, 2025
================================================================================
(1) Determined as described herein under "SUMMARY OF PROSPECTUS AND PROSPECTUS
SUPPLEMENT--Last Scheduled Distribution Date."
(2) The Class A-4 CitiCertificates are principal-only certificates and will not
bear interest.
----------
The Offered CitiCertificates are being offered by Bear, Stearns & Co. Inc.
(the "Underwriter"), from time to time in negotiated transactions or otherwise
at varying prices to be determined at the time of sale. The aggregate proceeds
to the Issuer from the sale of the Offered CitiCertificates will be
approximately 99.47250% of the aggregate Initial Stated Amount of the Class A
CitiCertificates, approximately 98.69733% of the aggregate Initial Stated Amount
of the Class M CitiCertificates and approximately 97.27913% of the aggregate
Initial Stated Amount of the Offered Class B CitiCertificates, plus accrued
interest (other than on the Initial Stated Amount of the Class A-4
CitiCertificates) from June 1, 1998 (the "Cut-Off Date") to but not including
the Closing Date at the rate of 6.75% per annum thereon and before deduction of
expenses payable by the Issuer, subject to a limited adjustment with respect to
the Class A CitiCertificates depending on the aggregate Initial Stated Amount of
the Class A CitiCertificates on the Closing Date. See "PLAN OF DISTRIBUTION"
herein.
The Offered CitiCertificates are offered subject to receipt and acceptance
by the Underwriter, to prior sale and to the Underwriter's right to reject any
order in whole or in part. It is expected that on or about June 29, 1998,
delivery will be made through the facilities of The Depository Trust Company
("DTC") in the case of the Book-Entry CitiCertificates, and in definitive, fully
registered form, in the case of the Class A-4 CitiCertificates, the Class M
CitiCertificates and the Offered Class B CitiCertificates.
BEAR, STEARNS & CO. INC.
The date of this Prospectus Supplement is June 25, 1998.
<PAGE>
(Continued from previous page)
CitiCertificates") in an approximate Initial Stated Amount of $2,512,600,
subject to a permitted variance based on final credit enhancement levels, one
subordinated class of REMIC Pass-Through Certificates (the "Class B
CitiCertificates") in an approximate aggregate Initial Stated Amount of
$4,187,722, subject to a permitted variance based on final credit enhancement
levels, two senior classes of interest only REMIC Pass-Through Certificates not
offered hereby (the "Unoffered Class A-IO CB CitiCertificates" and the
"Unoffered Class A-IO NB CitiCertificates" and together, the "Unoffered Class
A-IO CitiCertificates") in an approximate initial notional amount of $22,399,352
and $86,540,487, respectively, and one class of residual interests (the
"Residual Certificates"), representing interests in a trust (the "Trust") to be
created by Citicorp Mortgage Securities, Inc. (the "Issuer" or "CMSI") on or
about June 29, 1998. An election will be made to treat the Trust as a real
estate mortgage investment conduit (a "REMIC") for federal income tax purposes.
The Class A, Unoffered Class A-IO, Class M and Class B CitiCertificates are
collectively referred to as the "CitiCertificates." The Class A CitiCertificates
will consist of Class A-1, Class A-2, Class A-3 and Class A-4 CitiCertificates
(each, a "Class A Subclass"). The Class A-4 CitiCertificates are principal-only
certificates and will not bear interest. The Class B CitiCertificates will
consist of Class B-1, Class B-2, Class B-3, Class B-4 and Class B-5
CitiCertificates (each, a "Class B Subclass"). The Class B-1 and Class B-2
CitiCertificates (each, an "Offered Class B Subclass") are referred to herein as
the "Offered Class B CitiCertificates" and the Class B-3, Class B-4 and Class
B-5 CitiCertificates are herein referred to as the "Unoffered Class B
CitiCertificates." The Class A CitiCertificates will initially evidence an
undivided beneficial ownership interest in the property of the Trust ranging
from 93.00% to 95.00%, the Class M CitiCertificates will initially evidence an
undivided beneficial ownership interest in the property of the Trust ranging
from 1.25% to 3.25%, the Offered Class B CitiCertificates will initially
evidence an undivided interest in the property of the Trust ranging from 1.00%
to 3.00% and the Unoffered Class B CitiCertificates will evidence the remaining
undivided interest therein. Only the Class A CitiCertificates, the Class M
CitiCertificates and the Offered Class B CitiCertificates (the "Offered
CitiCertificates") are offered hereby. The Class A CitiCertificates are
sometimes referred to as the "Offered Senior CitiCertificates," and the Class M
CitiCertificates and the Offered Class B CitiCertificates are sometimes referred
to collectively as the "Offered Subordinated CitiCertificates."
The Trust Property (the "Pool") will consist of two groups of Mortgage
Loans, each of which primarily consists of a pool of 20- to 30-year fixed-rate
conventional one- to four-family mortgage loans (the "Mortgage Loans")
originated or acquired by Citicorp Mortgage, Inc. ("CMI") with the two pools
having an aggregate Adjusted Balance as of the Cut-Off Date (the "Initial
Mortgage Loan Balance") equal to approximately $111,672,019, subject to a
permitted upward or downward variance of up to 5.0%, and certain related
property, as described herein. Mortgage Loans acquired by CMI include Mortgage
Loans originated or acquired by Citibank, Federal Savings Bank ("CFSB") or
originated by Citibank, N.A. ("Citibank"). Payments on the Mortgage Loans will
be distributed on the CitiCertificates in accordance with the priorities stated
in the "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of
Distributions" and "`DESCRIPTION OF THE OFFERED CITICERTIFICATES."
The two groups of mortgage loans (the "CB Loan Group" and the "NB Loan
Group," and each a "Loan Group") are designated as the "Group CB Loans" and
"Group NB Loans." The Group CB Loans consist generally of Mortgage Loans with
original principal balances less than or equal to $227,150 and have an aggregate
Adjusted Balance as of the Cut-off Date equal to approximately $22,399,352. The
Group NB Loans consist generally of Mortgage Loans with original principal
balances exceeding $227,150 and have an aggregate Adjusted Balance as of the
Cut-off Date equal to approximately $89,272,667. The Class A-1 CitiCertificates
(the "Class CB CitiCertificates") and the Unoffered Class A-IO CB
CitiCertificates will correspond to the Group CB Loans and initially will
evidence, in the aggregate, an undivided interest ranging from 93.00% to 95.00%
in the Group CB Loans. The Class A-2, Class A-3 and Class A-4 CitiCertificates
(together, the "Class NB CitiCertificates") and the Unoffered Class A-IO NB
CitiCertificates will correspond to the Group NB Loans and initially will
evidence, in the aggregate, an undivided interest ranging from 93.00% to 95.00%
in the Group NB Loans. Distributions of interest and principal on the Class CB
CitiCertificates (together with the Unoffered Class A-IO CB CitiCertificates)
and the Class NB CitiCertificates (together with the Unoffered Class A-IO CB
CitiCertificates) will be based on interest and principal received or advanced
with respect to the Group CB Loans and Group NB Loans, respectively, except
under the limited circumstances described herein.
The rights of the holders of the Class M CitiCertificates and the Offered
Class B CitiCertificates to receive distributions with respect to the Mortgage
Loans will be based upon interest and principal received or advanced with
respect to both Loan Groups, and will be subordinated to the rights of the
holders of the Class A CitiCertificates and
S-2
<PAGE>
(Continued from previous page)
the Unoffered Class A-IO CitiCertificates; the rights of the holders of the
Class B-1 CitiCertificates to receive distributions with respect to the Mortgage
Loans will also be subordinate to the rights of the holders of the Class M
CitiCertificates; the rights of the holders of the Class B-2 CitiCertificates to
receive distributions with respect to the Mortgage Loans will also be
subordinated to the rights of the holders of the Class M CitiCertificates and
the Class B-1 CitiCertificates, in each case to the extent described herein.
Interest on each interest-bearing Offered CitiCertificate will be
distributed on the 25th day of each month (or, if such day is not a business
day, on the next succeeding business day), commencing in July 1998 (each, a
"Distribution Date"). Interest will accrue on the interest-bearing Offered
CitiCertificates for the periods and at the rates as described herein.
On each Distribution Date, amounts available for distributions in
reduction of Stated Amount of the Offered CitiCertificates, will be allocated
among the various classes of Offered CitiCertificates as described herein
under "DESCRIPTION OF THE OFFERED CITICERTIFICATES--Distributions in Reduction
of Stated Amount."
THE YIELD TO INVESTORS ON THE OFFERED CITICERTIFICATES WILL BE SENSITIVE IN
VARYING DEGREES TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) ON THE
MORTGAGE LOANS IN THE RELATED LOAN GROUP OR LOAN GROUPS, WHICH GENERALLY CAN BE
PREPAID AT ANY TIME, GENERALLY WITHOUT PENALTY. THE YIELD TO INVESTORS IN THE
OFFERED CITICERTIFICATES WILL BE ADVERSELY AFFECTED BY ANY SHORTFALLS IN
INTEREST COLLECTED ON THE MORTGAGE LOANS OF THE RELATED LOAN GROUP OR LOAN
GROUPS DUE TO PREPAYMENTS OR LIQUIDATIONS. SUCH SHORTFALLS IN INTEREST COLLECTED
WILL BE OFFSET TO THE EXTENT DESCRIBED HEREIN. IN ADDITION, THE YIELD TO
MATURITY ON THE OFFERED CITICERTIFICATES MAY VARY DEPENDING ON THE EXTENT TO
WHICH SUCH CITICERTIFICATES ARE PURCHASED AT A DISCOUNT OR PREMIUM. HOLDERS OF
OFFERED CITICERTIFICATES SHOULD CONSIDER, IN THE CASE OF ANY OFFERED
CITICERTIFICATE PURCHASED AT A DISCOUNT, ESPECIALLY THE CLASS A-4
CITICERTIFICATES, THE RISK THAT A SLOWER THAN ANTICIPATED RATE OF PRINCIPAL
PAYMENTS WOULD RESULT IN AN ACTUAL YIELD THAT IS LOWER THAN THE ANTICIPATED
YIELD AND, IN THE CASE OF ANY OFFERED CITICERTIFICATE PURCHASED AT A PREMIUM,
THE RISK THAT A FASTER THAN ANTICIPATED RATE OF PRINCIPAL PAYMENTS WOULD RESULT
IN AN ACTUAL YIELD THAT IS LOWER THAN ANTICIPATED. BECAUSE AMOUNTS PAYABLE ON
THE CLASS A-4 CITICERTIFICATES DERIVE SOLELY FROM PRINCIPAL PAYMENTS ON THE
MORTGAGE LOANS WITH NET MORTGAGE RATES BELOW 6.75% PER ANNUM, THE YIELD ON THE
CLASS A-4 CITICERTIFICATES WILL BE ADVERSELY AFFECTED BY SLOWER THAN ANTICIPATED
PRINCIPAL PAYMENTS ON SUCH MORTGAGE LOANS. THE POOL CONTAINS MORTGAGE LOANS
WHICH GENERALLY HAVE INTEREST RATES THAT ARE SIGNIFICANTLY HIGHER THAN
PREVAILING MORTGAGE INTERESTS RATES, AND ACCORDINGLY, MAY BE SUBJECT TO A HIGH
RATE OF PRINCIPAL PREPAYMENTS. ALL OF THE MORTGAGE LOANS WERE ORIGINATED AT
LEAST THREE YEARS PRIOR TO THE CLOSING DATE. NO REPRESENTATION IS MADE AS TO THE
ANTICIPATED RATE OF PREPAYMENT ON THE MORTGAGE LOANS OR AS TO THE ANTICIPATED
YIELD TO MATURITY OF ANY OFFERED CITICERTIFICATES.
The Unoffered Class A-IO CitiCertificates (not offered hereby) are
interest-only CitiCertificates and have no Stated Amount. The Unoffered Class
A-IO CitiCertificates will receive distributions of accrued interest pro rata
together with the interest-bearing Class A CitiCertificates in their respective
Loan Group and are not subordinated to the Class A, Class M or Class B
CitiCertificates.
The Offered CitiCertificates may not be an appropriate investment for all
prospective investors. The Offered CitiCertificates would not be an appropriate
investment for an investor requiring a distribution of a particular amount in
reduction of Stated Amount on a specific date or an otherwise predictable stream
of distributions. In addition, there is currently no secondary market for the
Offered CitiCertificates. The Underwriter anticipates making a secondary market
in the Offered CitiCertificates but is not obligated to do so. There can be no
assurance that such a market will develop or, if it does develop, that it will
provide holders of the Offered CitiCertificates with liquidity of investment or
will continue for the life of the Offered CitiCertificates. There can be no
assurance that the investor will be able to sell an Offered CitiCertificate at a
price which is equal to or greater than the price at which such investor
purchased such Offered CitiCertificate or at a price which fully reflects the
fair market value of the underlying Mortgage Loans.
The yield to maturity on the Offered Class B CitiCertificates will be more
sensitive to losses due to liquidations of the Mortgage Loans (and the timing
thereof) than the Class A, Unoffered Class A-IO and Class M CitiCertificates, in
the event that the Stated Amount of the Unoffered Class B CitiCertificates has
been reduced to zero. The yield to maturity on the Class M CitiCertificates will
be more sensitive to losses due to liquidations of the Mortgage Loans (and the
timing thereof) than the Class A and Unoffered Class A-IO CitiCertificates, in
the event that the Stated
S-3
<PAGE>
(Continued from previous page)
Amount of the Class B CitiCertificates has been reduced to zero. See
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--Prepayment and Yield
Considerations" and "--Yield Considerations With Respect to the Offered Class B
CitiCertificates" in this Prospectus Supplement. Investors should fully consider
the risks associated with an investment in the Class M and Offered Class B
CitiCertificates, including the possibility that such investors may not fully
recover their initial investment as a result of such losses on the Mortgage
Loans.
The Class M CitiCertificates and the Offered Class B CitiCertificates may
not be transferred unless the transferee has delivered (i) a representation
letter to the Issuer and the Trustee 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 Offered Class B
CitiCertificates is an "insurance company general account" or (ii) an opinion of
counsel and other documentation as provided herein. See "RISK FACTORS FOR
PURCHASERS OF CLASS M AND OFFERED CLASS B CITICERTIFICATES--Restrictions on
Transfer" and "CERTAIN ERISA CONSIDERATIONS" herein.
The closing of the sale of the Offered CitiCertificates is conditioned upon
the closing of the sale of the Unoffered Class B CitiCertificates. Bear, Stearns
& Co. Inc. is committed to purchase all of the Unoffered Class B
CitiCertificates if any Offered CitiCertificates are purchased.
The Offered Senior CitiCertificates (other than the Class A-4
CitiCertificates) will be issued in book-entry form only (the "Book-Entry
CitiCertificates"), and purchasers thereof will not be entitled to receive
definitive certificates except in the limited circumstances set forth herein.
The Book-Entry CitiCertificates will be registered in the name of Cede & Co.
("Cede"), as nominee of DTC, which will be the "holder" or "Certificateholder"
of such Book-Entry CitiCertificates, as such terms are used herein. See
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--Book-Entry Registration" and
"--Definitive Certificates" herein. The Class A-4 CitiCertificates, the Class M
CitiCertificates and the Offered Class B CitiCertificates will be issued in
definitive, fully registered form.
----------
IN CONNECTION WITH THIS OFFERING, THE UNDERWRITER MAY OVER-ALLOT OR EFFECT
TRANSACTIONS WHICH STABILIZE OR MAINTAIN THE MARKET PRICE OF THE OFFERED
CITICERTIFICATES AT A LEVEL ABOVE THAT WHICH MIGHT OTHERWISE PREVAIL IN THE OPEN
MARKET. SUCH STABILIZING, IF COMMENCED, MAY BE DISCONTINUED AT ANY TIME.
----------
THIS PROSPECTUS SUPPLEMENT DOES NOT CONTAIN COMPLETE INFORMATION ABOUT THE
OFFERING OF THE OFFERED CITICERTIFICATES. ADDITIONAL INFORMATION IS CONTAINED IN
THE PROSPECTUS AND PURCHASERS ARE URGED TO READ BOTH THIS PROSPECTUS SUPPLEMENT
AND THE PROSPECTUS IN FULL. SALES OF THE OFFERED CITICERTIFICATES MAY NOT BE
CONSUMMATED UNLESS THE PURCHASER HAS RECEIVED BOTH THIS PROSPECTUS SUPPLEMENT
AND THE PROSPECTUS.
S-4
<PAGE>
SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT
The following summary is qualified by reference to the detailed information
appearing elsewhere in this Prospectus Supplement and in the Prospectus.
Capitalized terms used herein shall have the meanings given elsewhere in this
Prospectus Supplement and in the Prospectus. See "Index of Principal Definitions
in Prospectus Supplement" at the end of this Prospectus Supplement.
SECURITIES OFFERED ..........REMIC Pass-Through Certificates, Series 1998-5,
Senior Class A CitiCertificates, consisting of
Class A-1, Class A-2, Class A-3 and Class A-4
CitiCertificates, Senior Subordinated Class M
CitiCertificates and Subordinated Class B-1 and
Class B-2 CitiCertificates. Each Class A
Subclass represents an undivided beneficial
ownership interest in one of the two Loan Groups
which constitute a separate pool of assets
within the Trust created under the Pooling
Agreement. Each Loan Group will consist of a
pool of assets comprised primarily of the
Mortgage Loans conveyed to the Issuer by CMI and
simultaneously conveyed to such Trust by the
Issuer. The Offered Subordinate CitiCertificates
and Residual Certificates represent an undivided
ownership interest in both Loan Groups. The
Class CB CitiCertificates will correspond to the
Group CB Loans and the Class NB CitiCertificates
will correspond to the Group NB Loans.
Distributions of the interest and principal on
the Class CB CitiCertificates and the Class NB
CitiCertificates will be based on interest and
principal received or advanced with respect to
the Group CB Loans and Group NB Loans,
respectively, except under certain limited
circumstances described herein. The rights of
the holders of the Offered Subordinate
CitiCertificates to receive distribution with
respect to the Mortgage Loans will be based on
interest and principal received or advanced with
respect to both Loan Groups.
Each Class A and Class M CitiCertificate will
qualify at issuance as a "mortgage related
security" within the 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-1 and Class B-2 CitiCertificates will
not constitute "mortgage related securities"
within the meaning of SMMEA. See "LEGAL
INVESTMENT" in this Prospectus Supplement and
"LEGAL INVESTMENT" in the Prospectus.
In addition to the Offered CitiCertificates, the
REMIC Pass-Through Certificates, Series 1998-5,
include the Unoffered Class A-IO
CitiCertificates, the Unoffered Class B
CitiCertificates, consisting of the Class B-3,
Class B-4 and Class B-5 CitiCertificates and one
class of Residual Certificates representing the
residual interest in the REMIC comprising the
Trust. The rights of holders of the Unoffered
Class B CitiCertificates to receive
distributions will be subordinated to the rights
of holders of the Offered CitiCertificates and
the Unoffered Class A-IO CitiCertificates to
receive distributions to the extent described
herein. The Unoffered Class B CitiCertificates
will be sold separately in one or more private
transactions, the Unoffered Class A-IO
CitiCertificates and the Residual Certificates
will initially be held by CMI. None of the
Unoffered Class A-IO CitiCertificates, the
Unoffered Class B CitiCertificates and the
Residual Certificates are
S-5
<PAGE>
being offered by this Prospectus Supplement and
the related Prospectus. Accordingly, to the
extent this Prospectus Supplement contains
information relating to the terms of the
Unoffered Class A-IO CitiCertificates, the
Unoffered Class B CitiCertificates and the
Residual Certificates, such information is
provided solely because of its potential
relevance to a prospective purchaser of the
Offered CitiCertificates. The issuance and sale
of the Offered CitiCertificates are conditioned
upon the issuance and sale of the Unoffered
Class B CitiCertificates.
The CitiCertificates and the Residual Certificates
will be issued pursuant to a pooling and
servicing agreement (the "Pooling Agreement")
dated as of June 1, 1998, 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 OR
NOTIONAL AMOUNT OF
THE CITICERTIFICATES ......The aggregate Initial Stated Amount of the Class A
CitiCertificates will be approximately
$104,971,696, subject to a permitted upward or
downward variance of up to 5.0%, and will be
initially from 93.00% to 95.00% of the Initial
Mortgage Loan Balance. The aggregate Initial
Stated Amount of the Class CB CitiCertificates
and the Class NB CitiCertificates will be a
percentage ranging from 93.00% to 95.00% of the
initial mortgage loan balance of their
respective Loan Group. The aggregate Initial
Stated Amount of the Class M CitiCertificates
will be approximately $2,512,600, subject to a
permitted upward or downward variance based on
final credit enhancement levels, and will be
initially from 1.25% to 3.25% of the Initial
Mortgage Loan Balance. The aggregate Initial
Stated Amount of the Offered Class B
CitiCertificates will be approximately
$2,233,400, subject to a permitted upward or
downward variance based on final credit
enhancement levels, and will be initially from
1.00% to 3.00% of the Initial Mortgage Loan
Balance. The aggregate Initial Stated Amount of
the Unoffered Class B CitiCertificates will be
approximately $1,954,323, subject to a permitted
upward or downward variance based on final
credit enhancement levels, and will represent
the remainder of the Initial Mortgage Loan
Balance. Each Class of Unoffered Class A-IO
CitiCertificates, which will have no Stated
Amount, will have a notional amount (each, an
"Unoffered Class A-IO Notional Amount" and
together, the "Unoffered Class A-IO Notional
Amounts ") for any Distribution Date equal to
the aggregate Adjusted Balance of the Premium
Mortgage Loans contained in their related Loan
Group. While the Unoffered Class A-IO Notional
Amounts will be used to determine the
denomination of each Unoffered Class A-IO
CitiCertificate as applicable and for certain
other purposes, each such notional amount will
not entitle the related holder to any
distributions of principal. The Initial Mortgage
Loan Balance will be approximately $111,672,019,
subject to a permitted upward or downward
variance of up to 5.0%. 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, except in
the case of the Class A-4 CitiCertificates,
which are principal-only certificates) from the
cash flow on the assets in the Pool.
S-6
<PAGE>
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 as described
herein. See "DESCRIPTION OF THE OFFERED
CitiCertificates-- Distributions in Reduction of
Stated Amount" in this Prospectus Supplement.
The "Class M Stated Amount" as of any Distribution
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 as described
herein. See "DESCRIPTION OF THE OFFERED
CitiCertificates--Distributions in Reduction of
Stated Amount" in this Prospectus Supplement.
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
the allocation of any Excess Special Hazard
Losses, Excess Fraud Losses and Excess
Bankruptcy 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 distributions
in reduction of Stated Amount and the allocation
of any Excess Special Hazard Losses, Excess
Fraud Losses and Excess Bankruptcy Losses on
such date). The Class B Subclass Stated Amounts
of the Class B-1 CitiCertificates and Class B-2
CitiCertificates are referred to as the "Class
B-1 Stated Amount" and the "Class B-2 Stated
Amount," respectively, and the aggregate of the
Stated Amounts of the Offered Class B Subclasses
as of any Distribution Date is referred to as
the "Offered Class B Stated Amount." The
aggregate of the Class B Subclass Stated Amounts
of the Unoffered Class B CitiCertificates as of
any Distribution Date is referred to as the
"Unpoffered Class B Stated Amount."
CUT-OFF DATE ................June 1, 1998.
DENOMINATIONS ...............The denominations of the Offered CitiCertificates
will be an Initial Stated Amount of $1,000 and
any whole dollar amount in excess thereof
(except one CitiCertificate of each Class or
Subclass may be in a different denomination).
BOOK-ENTRY FORM .............The Offered Senior CitiCertificates (other than
the Class A-4 CitiCertificates) will be issued
in book-entry form. No person
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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 the limited circumstances
described herein. Each Subclass of Book-Entry
CitiCertificates will be represented initially
by a single certificate registered in the name
of Cede, as the nominee of DTC which will be the
"holder" or "Certificateholder" of such
CitiCertificates, as such terms are used herein.
The rights of Beneficial Owners may only be
exercised through DTC and its participating
organizations, except as otherwise specified
herein. The Class A-4 CitiCertificates, the
Class M CitiCertificates and the Offered Class B
CitiCertificates will be issued in definitive,
fully registered form. See "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Book-Entry
Registration" and "--Definitive Certificates" in
this Prospectus Supplement.
CLOSING DATE ................On or about June 29, 1998.
ISSUER AND SERVICER .........CMSI. The Servicer intends to subcontract its
servicing duties to CMI.
CREDIT ENHANCEMENT;
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).
The rights of holders of the Class M
CitiCertificates to receive distributions will
be subordinated to the rights of holders of the
Class A and Unoffered Class A-IO
CitiCertificates to receive distributions to the
extent described herein, the rights of holders
of the Offered Class B CitiCertificates to
receive distributions will be subordinated to
the rights of holders of the Class A, Unoffered
Class A-IO and Class M CitiCertificates to
receive distributions to the extent described
herein and the rights of holders of the
Unoffered Class B CitiCertificates to receive
distributions will be subordinated to the rights
of holders of the Offered CitiCertificates and
Unoffered Class A-IO CitiCertificates to receive
distributions to the extent described herein.
This subordination provides a certain amount of
protection to holders of the Class A and
Unoffered Class A-IO 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 Offered Class B
CitiCertificates (to the extent of the
subordination of the Unoffered Class B
CitiCertificates) against delays in the receipt
of scheduled payments of interest and principal
and against losses associated with the
liquidation of defaulted Mortgage Loans and
certain losses resulting from the bankruptcy of
a Mortgagor. The Class M and Class B
CitiCertificates are sometimes referred to
collectively as the "Subordinated
CitiCertificates."
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
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disproportionate amount of prepayments and
certain unscheduled recoveries with respect to
the Mortgage Loans will be allocated to the
Class A CitiCertificates, to the extent
described herein. 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 interest in the Trust evidenced by
the Class M CitiCertificates and Class B
CitiCertificates. See "--Distributions in
Reduction of Stated Amount of the Offered
CitiCertificates" below.
Extent of Loss Coverage. The applicable Non-PO
Percentage of Realized Losses on Mortgage Loans,
other than Excess Special Hazard Losses, Excess
Fraud Losses and Excess Bankruptcy Losses, will
not be allocated to the Class A Subclasses until
the date on which the Stated Amount of the Class
M and Class B CitiCertificates has been reduced
to zero (the "Subordination Depletion Date").
Upon the Subordination Depletion Date, such
Realized Losses (i) with respect to Mortgage
Loans in the CB Loan Group will be allocated pro
rata among the Class CB CitiCertificates and
(ii) with respect to Mortgage Loans in the NB
Loan Group, the Non-PO Percentage of such
Realized Losses will be allocated pro rata among
the Class NB CitiCertificates (other than the
Class A-4 CitiCertificates), in each case, based
on their outstanding Stated Amounts and for so
long as they are outstanding. The PO Percentage
of Realized Losses on the Mortgage Loans in the
NB Loan Group will be allocated to the Class A-4
CitiCertificates. Investors in the Class A
CitiCertificates should be aware that because
the Class M CitiCertificates and the Class B
CitiCertificate represent interests in both Loan
Groups, the Stated Amounts of the Class M
CitiCertificate and Class B CitiCertificates
could be reduced to zero as a result of a
disproportionate amount of Realized Losses on
the Mortgage Loans in one Loan Group. Therefore,
notwithstanding that the Realized Losses on the
Mortgage Loans in one Loan Group may only be
allocated to the related Class A
CitiCertificates, the allocation to the Class M
CitiCertificates and Class B CitiCertificates of
Realized Losses on the Mortgage Loans in the
other Loan Group will increase the likelihood
that Realized Losses may be allocated to such
Class A CitiCertificates.
Prior to the Subordination Depletion Date, the
applicable Non-PO Percentage of 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. The applicable PO
Percentage of Realized Losses will be allocated
to the Class A-4 CitiCertificates as a PO Loss
Amount but such loss allocation will give rise
to the right to receive, in respect of the Class
A-4 CitiCertificates, reimbursement of losses so
allocated out of certain funds otherwise
distributable on the Class M and Class B
CitiCertificates. As a result, any such PO Loss
Amounts will ultimately be borne by the Class B
Subclasses, in reverse numerical order, and then
by the Class M CitiCertificates, in each case
for so long as they are outstanding.
As of the Closing Date, the amount of Realized
Losses attributable to Special Hazards, fraud
and bankruptcy that will be absorbed first by
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<PAGE>
holders of the Unoffered Class B
CitiCertificates, second by the holders of the
Offered Class B CitiCertificates (in reverse
numerical order) and then by the holders of the
Class M CitiCertificates will be approximately
3.67%, 2.00% and 0.09%, 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 Class M and Class B
CitiCertificates will be those amounts required
by the rating agency (or rating agencies) rating
the Offered 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 applicable
Non-PO Percentage of the principal portion of
such losses will be shared among the
CitiCertificates as described herein. Under
certain circumstances, the limits set forth
above may be reduced. See "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Subordination--
Allocation of Losses" in this Prospectus
Supplement.
PRIORITY OF DISTRIBUTIONS ...On each Distribution Date prior to the
Subordination Depletion Date, the Pool
Distribution Amount will be distributed to pay
the following amounts (a) the CB Group Pool
Distribution Amount will be distributed to pay
the following in the following order of priority
(1) the Class A Interest Amount for the Class CB
CitiCertificates and the Distributable Unoffered
Class A-IO Interest Amount for the Unoffered
Class A-IO CB CitiCertificates, pro rata, (2)
any Class A Unpaid Interest Shortfall for the
Class CB CitiCertificates and any Unoffered
Class A-IO Unpaid Interest Shortfall for the
Unoffered Class A-IO CB CitiCertificates, pro
rata, and (3) the Group Non-PO Principal Amount
with respect to the Class CB CitiCertificates;
(b) the NB Group Pool Distribution Amount will
be distributed to pay the following in the
following order of priority (1) the Class A
Interest Amount of the Class NB CitiCertificates
and the Distributable Unoffered Class A-IO
Interest Amount for the Unoffered Class A-IO NB
CitiCertificates, pro rata, (2) any Class A
Unpaid Interest Shortfall for the Class NB
CitiCertificates and any Unoffered Class A-IO
Unpaid Interest Shortfall for the Unoffered
Class A-IO NB CitiCertificates, pro rata, and
(3) the Class A PO Principal Amount and the
Group Non-PO Principal Amount for the Class NB
CitiCertificates and; (c) the remainder of the
CB Group Pool Distribution Amount and the NB
Group Pool Distribution Amount will be
distributed to pay the following in the
following order of priority (1) any Cross Over
Payments (but only to the extent of Available
Funds), (2) any Unpaid PO Loss Amounts (but only
to the extent of Available PO Loss Funds), (3)
the Class M Interest Amount, (4) any Class M
Unpaid Interest Shortfall, (5) the Class M
Principal Distribution Amount, (6) the Class B-1
Interest Amount, (7) any Class B-1 Unpaid
Interest Shortfall, (8) the Class B-1 Principal
Distribution Amount, (9) the Class B-2 Interest
Amount, (10) any Class B-2 Unpaid Interest
Shortfall, (11) the Class B-2 Principal
Distribution Amount and (12) to the Class B
Subclasses of the Unoffered Class B
CitiCertificates, sequentially in numerical
order, such that no Class B Subclass of the
Unoffered Class B CitiCertificates with a higher
numerical designation receives any distribution
in reduction of Stated Amount or in respect of
interest
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<PAGE>
before each Class B Subclass with a lower
numerical designation receives its required
distributions. The amount otherwise
distributable in reduction of Stated Amount of
the Class B and Class M CitiCertificates will be
reduced to the extent necessary to make any
Cross Over Payment and to reimburse Unpaid PO
Loss Amounts.
After the Subordination Depletion Date an amount
equal to the PO Percentage of the principal
portion of scheduled payments and unscheduled
collections actually received or advanced in
respect of Discount Mortgage Loans will be
distributed to the Class A-4 CitiCertificates.
DISTRIBUTIONS OF INTEREST ...Each of the Class A Subclasses (other than the
Class A-4 CitiCertificates), the Class M
CitiCertificates and the Offered Class B
Subclasses will accrue interest on its
respective Stated Amount at the Stated Rate per
annum specified on the cover page hereof, net of
(i) any Non-Supported Interest Shortfalls, as
described below, and (ii) the interest portion
of certain losses allocated to such Class A
Subclass (other than the Class A-4
CitiCertificates), the Class M CitiCertificates
and the Offered Class B Subclasses as described
under "DESCRIPTION OF THE OFFERED
CitiCertificates--Distributions of Interest" in
this Prospectus Supplement (in the aggregate,
for the Class A CitiCertificates, the "Class A
Interest Amount ", for the Class M
CitiCertificates, the "Class M Interest Amount
", for the Class B-1 CitiCertificates, the
"Class B-1 Interest Amount ", for the Class B-2
CitiCertificates, the "Class B-2 Interest Amount
", and in the aggregate, for the Offered Class B
CitiCertificates, the "Offered Class B Interest
Amount "). The Class A-4 CitiCertificates are
principal-only certificates and will not bear
interest. Interest on each interest-bearing
Offered CitiCertificate will be distributable
monthly on each Distribution Date commencing in
July 1998 to holders of record on the applicable
Record Date.
On each Distribution Date an amount equal to the
applicable Unoffered Class A-IO Interest Amount
(net of any Non-Supported Interest Shortfall
allocated to the Unoffered Class A-IO CB
CitiCertificates or Unoffered Class A-IO NB
CitiCertificates, as applicable, and less the
interest portion of any Excess Special Hazard
Losses, Excess Fraud Losses and Excess
Bankruptcy Losses allocated to the Unoffered
Class A-IO CB CitiCertificates or Unoffered
Class A-IO NB CitiCertificates, as applicable,
and after the Subordination Depletion Date, the
interest portion of any losses or delinquencies
allocated to the Unoffered Class A-IO CB
CitiCertificates or Unoffered Class A-IO NB
CitiCertificates, as applicable, as described
herein) (the "Distributable Unoffered Class A-IO
Interest Amount") will be distributed to holders
of each Class of the Unoffered Class A-IO
CitiCertificates. The "Unoffered Class A-IO
Interest Amount" for any Distribution Date and
each Class of Class A-IO CitiCertificates will
be equal to the excess of interest accrued on
the Premium Mortgage Loans in the related Loan
Group over the sum of (i) the product of the
Servicing Fee rate (0.25% per annum) and the
aggregate Adjusted Balance of the Premium
Mortgage Loans within such Loan Group and (ii)
the product of the aggregate Adjusted Balance of
the Premium Mortgage Loans within such Loan
Group and 6.75% per annum.
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<PAGE>
Interest will accrue on the Offered
CitiCertificates from the first through the last
day of the month preceding the month of the then
current Distribution Date (each such period, an
"Interest Accrual Period"). Interest accrued on
the Offered CitiCertificates during any Interest
Accrual Period will be calculated on the
assumption that reductions in the Stated Amount
made on the Offered CitiCertificates and the
losses allocated to such Offered
CitiCertificates were made 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 or allocated. See "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Distributions of
Interest" in this Prospectus Supplement.
The effective yield to holders of the Offered
CitiCertificates will be reduced below the yield
otherwise produced by the respective Stated
Rates thereof because distributions of interest
and distributions in reduction 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.
DISTRIBUTIONS IN REDUCTION
OF STATED AMOUNT OF THE
OFFERED CITICERTIFICATES ..Distributions in reduction of Stated Amount will
be made on each Distribution Date to each Class
A Subclass, to the Class M CitiCertificates and
to each Offered Class B Subclass then entitled
to receive such distributions in accordance with
the priorities set forth in "Description of the
Offered CitiCertificates--Distributions in
Reduction of Stated Amount." The Class CB
CitiCertificates will only receive principal
collected from Group CB Loans and the Class NB
CitiCertificates will only receive principal
collected from the Group NB Loans except under
the limited circumstances described in
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Distribution in Reduction of Stated Amount"
herein. Amounts distributed in reduction of
Stated Amount of any Class A Subclass will be
allocated pro rata to all CitiCertificates of
such Class A Subclass until the aggregate amount
of such distributions has reduced the Stated
Amount of each such Class A Subclass to zero.
Amounts distributed in reduction of Stated
Amount of the Class M CitiCertificates will be
allocated pro rata to all Class M
CitiCertificates until the aggregate amount of
such distributions has reduced the Class M
Stated Amount to zero. Amounts distributed in
reduction of Stated Amount of any Offered Class
B Subclass will be allocated pro rata to all
CitiCertificates of such Offered Class B
Subclass until the aggregate amount of such
distributions has reduced the Stated Amount of
such Offered Class B Subclass to zero.
The amount to be distributed on any Distribution
Date in reduction of Stated Amount of the Class
M CitiCertificates (the "Class M Principal
Distribution Amount") will be the lesser of (i)
the Pool Distribution Amount after distribution
of all amounts distributable on such
Distribution Date on the Class A and Unoffered
Class A-IO CitiCertificates as set forth in
"--Priority of Distributions" and all
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<PAGE>
interest distributable on the Class M
CitiCertificates and (ii) the Class M Optimal
Principal Amount.
The amount to be distributed on any Distribution
Date in reduction of Stated Amount of any
Offered Class B Subclass (the "Class B Subclass
Principal Distribution Amount") will be the
lesser of (i) the Pool Distribution Amount after
distribution of all amounts distributable on
such Distribution Date on the Class A, Unoffered
Class A-IO and Class M CitiCertificates and all
amounts senior in priority to distribution in
reduction of Stated Amount of such Offered Class
B Subclass as set forth above under "--Priority
of Distributions" and (ii) the Offered Class B
Subclass Optimal Principal Amount for such
Offered Class B Subclass. The Class B Subclass
Principal Distribution Amount for the Class B-1
CitiCertificates and Class B-2 CitiCertificates
are the "Class B-1 Principal Distribution
Amount" and the "Class B-2 Principal
Distribution Amount," respectively.
The Subordinate CitiCertificates will receive
distributions in reduction of Stated Amount from
collections on Mortgage Loans in both Loan
Groups.
The "Group Pool Distribution Amount" for each Loan
Group (herein sometimes referred to as the "NB
Group Pool Distribution Amount" and the "CB
Group Pool Distribution Amount") for a
particular Distribution Date will be equal to
the aggregate of all previously undistributed
amounts of principal (including any full or
partial principal prepayments) and interest in
respect of the Mortgage Loans within such Loan
Group received and posted after the Cut-Off Date
and before the related Determination Date
(including, with respect to such Distribution
Date, amounts advanced by the Servicer or the
Trustee (in its individual capacity), advanced
from amounts in the Certificate Account or paid
by the Servicer with respect to Prepayment
Interest Shortfalls), excluding in each case (i)
payments due on or before the Cut-Off Date, (ii)
full or partial principal prepayments posted
during the month of such Distribution Date and
any related payments of interest representing
all or a portion of interest for such month,
(iii) payments representing early receipts of
scheduled principal and interest due subsequent
to the first day of the month in which such
Distribution Date occurs, (iv) the portion of
interest received on each Mortgage Loan
representing the Servicing Fee, (v) the portion
of the liquidation proceeds of defaulted
Mortgage Loans representing the Servicing Fee
and (vi) receipts of overdue amounts with
respect to which the Servicer or the Trustee (in
its individual capacity) has made advances and
certain other amounts reimbursable to the
Servicer. See "DESCRIPTION OF CERTIFICATES--
Distributions to Certificateholders--General" in
the Prospectus.
The aggregate of the two Group Pool Distribution
Amounts is equal to the "Pool Distribution
Amount."
The allocation of a disproportionate amount of
prepayments and certain unscheduled recoveries
as described herein to the Class A
CitiCertificates (other than, to the extent
described herein, the Class A-4
CitiCertificates) in reduction of Stated Amount
will have the effect
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<PAGE>
of accelerating the amortization of such Class A
CitiCertificates while, in the absence of
Realized Losses, increasing the respective
percentage interest in the Trust evidenced by
the Class M and Class B CitiCertificates.
Increasing the respective percentage interest of
the Class M and Class B CitiCertificates
relative to that of the Class A CitiCertificates
is intended to preserve the availability of the
subordination provided by the Class M and Class
B CitiCertificates.
Scheduled payments on the Mortgage Loans will be
sufficient to make timely distributions of
interest on the Offered CitiCertificates and to
reduce the Stated Amount of each Class A
Subclass, the Class M CitiCertificates and each
Offered Class B Subclass to zero not later than
its Last Scheduled Distribution Date set forth
on the cover page hereof. See "DESCRIPTION OF
CERTIFICATES--Distributions to
Certificateholders" in the Prospectus.
LAST SCHEDULED
DISTRIBUTION DATE .........The Last Scheduled Distribution Date for the
Offered CitiCertificates coincides with the date
on which the last distribution in respect of the
Mortgage Loans is scheduled to be made. See
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Weighted Average Lives of the Offered
CitiCertificates" in this Prospectus Supplement.
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 Offered
CitiCertificates may be earlier, and could be
substantially earlier, than the Last Scheduled
Distribution Date.
The Offered CitiCertificates are subject to early
termination by CMSI as described under
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Optional Termination" in this Prospectus
Supplement.
PREPAYMENT AND YIELD
CONSIDERATIONS ............The yield to maturity and weighted average lives
of the Offered CitiCertificates will be
sensitive in varying degrees to, among other
things, the rate of prepayment of the Mortgage
Loans in the related Loan Group or Loan Groups,
as applicable, the allocation of such
prepayments to the CitiCertificates, and the
timing and extent of losses, if any, allocated
to the CitiCertificates. In general, when
prevailing mortgage interests rates decline
significantly below the interest rates on the
Mortgage Loans, the prepayment rate on such
Mortgage Loans is likely to increase, and when
prevailing mortgage interest rates rise
significantly above the interests rates on the
Mortgage Loans, the prepayment rate on such
Mortgage Loans is likely to decrease, although
other economic, geographic and social factors
also may influence the prepayment rate. The
Mortgage Loans in the Pool generally have Note
Rates that are significantly higher than
prevailing mortgage interest rates. No
representation is made as to whether the
Mortgage Loans will prepay at any particular
rate. See "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Weighted Average Lives of the
Offered CitiCertificates" and "--Prepayment and
Yield Considerations" in this Prospectus
Supplement.
The yield to maturity on the Offered Class B
CitiCertificates will be more sensitive to
losses due to liquidations of the Mortgage Loans
(and the
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<PAGE>
timing thereof) than the Class A, Unoffered
Class A-IO and Class M CitiCertificates, in the
event that the Stated Amount of the Unoffered
Class B CitiCertificates has been reduced to
zero. The yield to maturity on the Class M
CitiCertificates will be more sensitive to
losses due to liquidations of the Mortgage Loans
(and the timing thereof) than the Class A and
Unoffered Class A-IO CitiCertificates in the
event that the Stated Amount of the Class B
CitiCertificates has been reduced to zero. See
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Prepayment and Yield Considerations" and
"--Yield Considerations With Respect to the
Offered Class B CitiCertificates" in this
Prospectus Supplement.
The yield on the Class A-4 CitiCertificates, which
are expected to be offered at a substantial
discount and which are not entitled to
distributions in respect of interest, will be
extremely sensitive to both the timing of
receipt of prepayments and the overall rate of
prepayment on the Discount Mortgage Loans. A low
rate of principal payments (including
prepayments) on the Discount Mortgage Loans will
have a negative effect and a high rate of
principal payments (including prepayments) on
the Discount Mortgage Loans will have a positive
effect on the yield to investors in the Class
A-4 CitiCertificates. Because payments on the
Class A-4 CitiCertificates are directly related
to the rate of principal payment on the Discount
Mortgage Loans, the rate of principal payment on
the Class A-4 CitiCertificates will be different
and most likely will be slower than that of
other Class A CitiCertificates. See "DESCRIPTION
OF THE OFFERED CitiCertificates--Prepayment and
Yield Considerations" and "--Sensitivity of the
Class A-4 CitiCertificates" in this Prospectus
Supplement.
AN INVESTOR THAT PURCHASES ANY OFFERED
CITICERTIFICATE AT A DISCOUNT, ESPECIALLY THE
CLASS A-4 CITICERTIFICATES, SHOULD CAREFULLY
CONSIDER THE RISK THAT A SLOWER THAN ANTICIPATED
RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGE LOANS
IN THE RELATED LOAN GROUP OR LOAN GROUPS, AS
APPLICABLE, WILL RESULT IN AN ACTUAL YIELD THAT
IS LOWER THAN SUCH INVESTOR'S EXPECTED YIELD. AN
INVESTOR THAT PURCHASES ANY OFFERED
CITICERTIFICATE AT A PREMIUM SHOULD CONSIDER THE
RISK THAT A FASTER THAN ANTICIPATED RATE OF
PRINCIPAL PAYMENTS ON THE MORTGAGE LOANS IN THE
RELATED LOAN GROUP OR LOAN GROUPS, AS
APPLICABLE, WILL RESULT IN AN ACTUAL YIELD THAT
IS LOWER THAN SUCH INVESTOR'S EXPECTED YIELD.
THE MORTGAGE LOANS
A. GENERAL .................The Mortgage Loans in the CB Loan Group and the NB
Loan Group will have mortgage rates ranging from
7.375% to 11.500% and 6.125% to 11.750%,
respectively, per annum. The initial weighted
average mortgage rate of the Mortgage Loans in
the CB Loan Group and the NB Loan Group is
expected to be at least 8.752% but no more than
9.152% per annum and at least 8.172% but no more
than 8.572% per annum, respectively. The
weighted average remaining term to maturity
(after giving effect to all partial prepayments
made on the Mortgage Loans prior to the Cut-off
Date) of the Mortgage Loans in the CB Loan Group
and the NB Loan Group will be at least 261
months but no more than 267 months and at least
269 months but no more than 275 months,
respectively.
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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 cooperative
housing corporations. Mortgage Loans acquired by
CMI include Mortgage Loans originated or
acquired by CFSB or originated by Citibank. See
"DESCRIPTION OF THE POOL AND THE MORTGAGED
PROPERTIES" in this Prospectus Supplement and
"THE POOLS--Mortgage Loans" in the Prospectus
for additional information concerning the
Mortgage Loans.
B. CERTIFICATE ACCOUNT ......All payments received in respect of the Mortgage
Loans, beginning with the July 1998
distribution, will be remitted directly to a
certificate account or accounts (the
"Certificate Account ") to be established with
the Trustee on the Closing Date. Such payments
will be available for distribution in reduction
of Stated Amount of and accrued interest on the
CitiCertificates for the Distribution Date on
which such funds are remitted to the Certificate
Account.
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
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 or the Trustee, as the
case may be, 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 final
distributions 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 NNRs on the respective 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. See "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Optional Termination"
in this Prospectus Supplement.
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.
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<PAGE>
CERTAIN FEDERAL INCOME TAX
CONSEQUENCES ..............The Offered 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 A-4
CitiCertificates, the Class M CitiCertificates
and the Offered Class B CitiCertificates) of the
Offered CitiCertificates will be required to
report interest income on such Offered
CitiCertificates in accordance with the accrual
method of accounting. The Class A-4
CitiCertificates will be issued with original
issue discount in an amount equal to the excess
of their Initial Stated Amount over their issue
price. It is anticipated that the Class A-1 and
the Class A-2 CitiCertificates will be issued at
a premium and that the Class A-3, Class M, Class
B-1 and Class B-2 CitiCertificates will be
issued with de minimis original issue discount
for federal income tax purposes. See "CERTAIN
FEDERAL INCOME TAX CONSEQUENCES--Taxation of
CitiCertificates--Variable Rate
CitiCertificates" in the Prospectus.
The Prepayment Assumption on the Mortgage Loans,
as described in the Prospectus, that is to be
used, among other things, in determining the
rate of accrual of original issue discount is
400% of the Prepayment Model's (as defined
herein) assumed prepayment rates. In addition,
the weighted average remaining term to maturity
(after giving effect to all partial prepayments
made on the Mortgage Loans prior to the Cut-off
Date) of the Mortgage Loans was used in
determining the rate of principal payments for
purposes of determining the rate of accrual of
original issue discount. See "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Weighted Average Lives
of the Offered CitiCertificates" in this
Prospectus Supplement. No representation is made
as to the rate at which the Mortgage Loans will
prepay.
The Offered CitiCertificates will be treated as
"loans . . . secured by an interest in real
property which is . . . residential real
property" and as "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. See "CERTAIN FEDERAL INCOME TAX
CONSEQUENCES" in the Prospectus.
CERTAIN ERISA
CONSIDERATIONS ............A fiduciary that is investing or that could be
deemed to be investing the assets of any
employee benefit plan subject to Title I of the
Employee Retirement Income Security Act of 1974,
as amended ( "ERISA "), or Section 4975 of the
Internal Revenue Code of 1986, as amended (the
"Code ") (an "ERISA Plan ") or a governmental
plan as defined in Section 3(32) of ERISA,
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 Offered CitiCertificates could give rise
to a transaction prohibited or otherwise
impermissible under ERISA, the Code or Similar
Law, and should carefully review the discussion
in this Prospectus Supplement and the Prospectus
under the caption "CERTAIN ERISA
CONSIDERATIONS."
On May 24, 1990, the Department of Labor issued to
the Underwriter Prohibited Transaction Exemption
PTE 90-30 (the "Exemption"), which Exemption
generally was intended to apply to the purchase
and
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<PAGE>
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. See "CERTAIN ERISA Considerations" in
this Prospectus Supplement.
Neither the Exemption nor PTE 83-1 applies to the
purchase or holding of securities such as the
Class M CitiCertificates and the Offered Class B
CitiCertificates because such CitiCertificates
are subordinated to the Class A and Unoffered
Class A-IO CitiCertificates. Accordingly, Class
M and Offered 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
Offered Class B CitiCertificates is an
"insurance company general account" or (ii) an
opinion of counsel and other documentation as
provided herein. See "RISK FACTORS FOR
PURCHASERS OF CLASS M CITICERTIFICATES AND
OFFERED CLASS B CITICERTIFICATES--Restrictions
on Transfer" and "CERTAIN ERISA CONSIDERATIONS"
in this Prospectus Supplement.
TRUSTEE .....................The Bank of New York.
CERTIFICATE RATINGS .........It is a condition of issuance of the Offered
CitiCertificates that the Class A
CitiCertificates (other than the Class A-4
CitiCertificates) be rated "AAA" by Standard &
Poor's Ratings Group ( "S&P ") and Fitch IBCA,
Inc. ( "Fitch "); the Class A-4 CitiCertificates
be rated "AAAr" by S&P and "AAA" by Fitch; the
Class M CitiCertificates be rated at least "AA"
by S&P; the Class B-1 CitiCertificates be rated
at least "A" by S&P; and the Class B-2
CitiCertificates be rated at least "BBB" by S&P.
Ratings of the Offered 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
Offered CitiCertificates, and, if so, what
ratings would be assigned to the Offered
CitiCertificates. The ratings so assigned may be
lower than those indicated above.
The ratings of the Offered 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 Offered 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
revision or withdrawal at any time by the
assigning rating agency. The "r" symbol in
certain S&P ratings is attached to highlight
certificates that S&P believes may experience
high volatility or high variability in expected
returns due to non-credit risks. The absence of
an "r" symbol should not be taken as an
indication that a certificate will exhibit no
volatility or variability in total return.
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<PAGE>
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 $111,672,019. The approximate Adjusted Balances as
of the Cut-Off Date for the CB Loan Group and the NB Loan Group are $22,399,352
and $89,272,667, respectively. These amounts are subject to a permitted upward
or downward variance of up to 5.0%. None of the Mortgage Loans will be CitiMae
Mortgage Loans. The CB Loan Group includes all Mortgage Loans which at their
origination had a principal balance of $227,150 or less for a one family unit,
$290,650 or less for a two family unit (except any Mortgage Loan secured by a
condominium), $351,300 or less for a three family unit and $436,600 or less for
a four family unit. The NB Loan Group includes all the Mortgage Loans in excess
of the principal balances referred to above or any Mortgage Loan secured by a
two family unit condominium.
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 Prepayments 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).
A detailed description (the "Detailed Description") of the Mortgage Loans
will be available at the time of issuance of the CitiCertificates. The Detailed
Description will specify the Initial Mortgage Loan Balance as of the Cut-Off
Date and will also set forth tables reflecting the following information
regarding the Mortgage Loans in each Loan Group: years of origination, types of
dwellings on the underlying properties, sizes of Mortgage Loans, loan-to-value
ratios, mortgage rates and geographical distribution by state of the Mortgage
Loans. The Detailed Description will also specify the Special Hazard Loss
Amount, Fraud Loss Amount and Bankruptcy Loss Amount as of the Cut-Off Date, the
aggregate Initial Stated Amounts of the Class A CitiCertificates, the Class M
CitiCertificates, the Offered Class B CitiCertificates, the Unoffered Class B
CitiCertificates, and the Subordinated CitiCertificate Percentages and the Class
M, Class B-1, Class B-2, Class B-3 and Class B-4 Subordination Percentages as of
the Cut-Off Date. The information contained in the Detailed Description will be
set forth in a report on Form 8-K which will be filed with the Commission within
15 days of the issuance of the CitiCertificates.
The following paragraphs set forth detailed information as of the Cut-Off
Date with respect to the Mortgage Loans expected to be in each Loan Group. To
the extent that the Mortgage Loans differ from the descriptions contained
herein, immaterial variances in such information may result with respect to the
information presented below. The information first presented in each sentence
relates to the CB Loan Group and the information presented second in each
sentence relates to the NB Loan Group.
The weighted average Note Rate of the Mortgage Loans in the applicable Loan
Group as of the Cut-Off Date will be at least 8.752% but no more than 9.152% per
annum and at least 8.172% but no more than 8.572% per annum. The Mortgage Loans
in the applicable Loan Group will have Note Rates of at least 7.375% but no more
than 11.500% per annum and at least 6.125% but no more than 11.750% per annum.
The weighted average remaining term to maturity of the Mortgage Loans in the
applicable Loan Group (after giving effect to all partial prepayments made on
the Mortgage Loan prior to the Cut-Off Date) as of the Cut-Off Date will be at
least 261 months but no longer than 267 months and at least 269 months but no
longer than 275 months. All Mortgage Loans in each Loan Group have original
maturities of 20 to 30 years. None of the Mortgage Loans in the applicable Loan
Group will have been originated prior to June 1,1984 or after January 1, 1995 or
prior to January 1, 1983 or after March 1, 1995. None of the Mortgage Loans will
have a scheduled maturity later than January 1, 2025 or March 1, 2025.
The Mortgage Loans in the applicable Loan Group will have the following
additional characteristics as of the Cut-Off Date (expressed as a percentage of
the aggregate Adjusted Balance of the Mortgage Loans having such characteristics
relative to the initial mortgage loan balance of the related Loan Group):
At least 35% and 45% of the Mortgage Loans in the applicable Loan Group
will be Mortgage Loans originated using loan underwriting policies effective
April 1, 1991 which require, among other things, proof of income and liquid
assets and telephone verification of employment. See "LOAN UNDERWRITING POLICIES
AND LOSS AND DELINQUENCY CONSIDERATIONS" in the Prospectus.
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<PAGE>
At least 95% and 25% of the Mortgage Loans in the applicable Loan Group
will be Mortgage Loans each having an Adjusted Balance of less than $250,000.
At least 100% and 85% of the Mortgage Loans in the applicable Loan Group
will be Mortgage Loans each having an Adjusted Balance of less than $500,000.
No more than 0% and 15% of the Mortgage Loans in the applicable Loan Group
will be Mortgage Loans each having an Adjusted Balance of at least $500,000 but
less than $1,700,000.
No more than 70% and 15% of the Mortgage Loans in the applicable Loan Group
will have had loan-to-value ratios at origination in excess of 80%; no more than
5% of the Mortgage Loans in each Loan Group will have had loan-to-value ratios
at origination in excess of 90% and none of the Mortgage Loans in each Loan
Group will have had loan-to-value ratios at origination in excess of 95%. The
weighted average loan-to-value ratio at origination of the Mortgage Loans in the
applicable Loan Group as of the Cut-Off Date will be no more than 88% and 77%.
For more information on Mortgage Loans having loan-to-value ratios at
origination in excess of 80%, see "APPENDIX A: THE MORTGAGE LOANS AND
CITIMORTGAGECERTIFICATES--The Mortgage Loans--General" in the Prospectus.
At least 85% and 90% of the Mortgage Loans in the applicable Loan Group
will be secured by one-family dwellings.
No more than 45% and 15% of the Mortgage Loans in the applicable Loan Group
will be secured by condominiums, townhouses, rowhouses and shares issued by
cooperative housing corporations.
No more than 5% and 10% of the Mortgage Loans in the applicable Loan Group
will be secured by Mortgaged Properties located in any one zip code.
No more than 45%, 35% and 15% and 45%, 25% and 10% of the Mortgage Loans in
the applicable Loan Group will be secured by Mortgaged Properties located in
California, New York and New Jersey, respectively. No more than 10% of the
Mortgage Loans will be secured by Mortgaged Properties located in any other
state.
At least 90% of the Mortgage Loans in each Loan Group will be determined by
the Issuer to be secured by a Mortgage on the primary residence of the borrower.
No more than 5% of the Mortgage Loans in each Loan Group will be secured by
investment properties. See "APPENDIX A: THE MORTGAGE LOANS AND
CITIMORTGAGECERTIFICATES--The Mortgage Loans--General" in the Prospectus.
No more than 95% and 70% of the Mortgage Loans in the applicable Loan Group
will be Converted Mortgage Loans.
All Mortgage Loans having NNRs of less than 6.75% will be Discount Mortgage
Loans and all Mortgage Loans having NNRs of 6.75% or greater will be Premium
Mortgage Loans. All Discount Mortgage Loans are contained in the NB Loan Group.
The aggregate Adjusted Balance outstanding, as of the Cut-off Date, of the
Discount Mortgage Loans and the Premium Mortgage Loans in the NB Loan Group will
be approximately $2,732,181 and $86,540,486, respectively. The weighted average
Note Rate of the Discount Mortgage Loans and the Premium Mortgage Loans in the
NB Loan Group, as of the Cut-off Date, will be approximately 6.50% and 8.43%,
respectively. The weighted average remaining term to maturity (after giving
effect to all partial prepayments made on the Mortgage Loans prior to the
Cut-off Date) of the Discount Mortgage Loans and the Premium Mortgage Loans in
the NB Group Loans, as of the Cut-off Date, will be approximately 296 months and
271 months, respectively.
The weighted average remaining term to maturity (after giving effect to all
partial prepayments made on the Mortgage Loans prior to the Cut-off Date) for
the Mortgage Loans in the CB Loan Group, as of the Cut-of-Date, will be
approximately 264 months and the weighted average Note Rate for the Mortgage
Loans in the CB Loan Group, as of the Cut-off-Date, will be approximately 8.95%.
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<PAGE>
RISK FACTORS
FOR PURCHASERS OF CLASS M CITICERTIFICATES
AND OFFERED CLASS B CITICERTIFICATES
Investors should consider, among other things, the factors discussed below
in connection with any purchase of Class M CitiCertificates and Offered Class B
CitiCertificates.
SEASONED MORTGAGE LOANS
Most of the Mortgage Loans are Converted Mortgage Loans. Each such Mortgage
Loan was originated or acquired by CMI or its affiliates, generally based on
underwriting standards applicable to mortgage loans securitized at that time by
CMSI. However, in connection with the issuance of the CitiCertificates, the
Mortgage Loans will not be re-underwritten to determine compliance with CMI's
current underwriting standards. In addition, no procedures were or will be
undertaken to determine whether the current values of the Mortgaged Properties
are at or above their appraised value at origination or to determine the current
physical condition of the Mortgaged Properties. See "DESCRIPTION OF THE POOL AND
THE MORTGAGED PROPERTIES" herein. However, CMSI will be required in the Pooling
Agreement to represent and warrant to the Trustee that, as of the date of the
initial issuance of the CitiCertificates, the Mortgaged Properties are free of
material damage and are in good repair. See "THE POOLING AND SERVICING
AGREEMENT" in the Prospectus.
All of the Mortgage Loans were originated at least three years prior to the
Closing Date. Such seasoned Mortgage Loans may have higher current loan-to value
ratios than at origination if the values of the related Mortgage Properties have
declined in value disproportionately faster than the decline in the Adjusted
Balances of such Mortgage Loans. No assurance can be given as to whether the
values of the Mortgaged Properties have remained or will remain at the levels
existing on the dates of origination of the related Mortgage Loans or have
declined disproportionately faster than the decline in the Adjusted Balance of
the Mortgage Loans. If a residential real estate market has experienced an
overall decline in property value after the date of the Mortgage Loan's
origination or experiences such decline after the Cut-off Date, or if the
Mortgagors of such seasoned Mortgage Loans have suffered or suffer lower income
or poorer credit histories than at the time of origination of the related
Mortgage Loans, then the actual rates of delinquencies, foreclosures and losses
could be higher, and possibly substantially higher, than the rates otherwise
expected by an investor in the CitiCertificates.
SUBORDINATION
The Class M CitiCertificates are subordinated in right of payments to the
Class A and Unoffered Class A-IO CitiCertificates as described herein and the
Offered Class B CitiCertificates are subordinated in right of payments to the
Class A, Unoffered Class A-IO and Class M CitiCertificates as described herein.
Further, the Offered Class B Subclasses are subordinated in right of payment to
any Offered Class B Subclass with a lower numerical designation. Holders of the
Class A and Unoffered Class A-IO CitiCertificates corresponding to each Loan
Group will have a preferential right to receive out of the related Group Pool
Distribution Amount for a Distribution Date, prior to any distribution being
made on such date in respect of the Class M and Class B CitiCertificates, all
distributions due on such Class A and Unoffered Class A-IO CitiCertificates. In
addition, Realized Losses on the Mortgage Loans will be applied first to the
Unoffered Class B CitiCertificates, second to the Class B-2 CitiCertificates,
third to the Class B-1 CitiCertificates and fourth to the Class M
CitiCertificates before being applied to the Class A CitiCertificates to the
extent described below. See "DESCRIPTION OF THE OFFERED CITICERTIFICATES" in
this Prospectus Supplement.
DELINQUENCIES AND ADVANCES
The Servicer may, but is not obligated to, make advances in respect of
delinquent scheduled payments of principal of or interest on the Mortgage Loans.
The Servicer intends to make advances to the extent the Servicer determines the
amounts of such advances will be recoverable from future payments and
collections on the related Mortgage Loans. The Servicer will contract with the
Trustee (in its individual capacity and not as Trustee) for 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 any such
advance. 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. To the extent that the
Servicer and the Trustee (in such individual capacity) do not make such
advances, the only source of cash for distributions to holders of
CitiCertificates will be the Pool Distribution Amount.
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<PAGE>
ALLOCATION OF LOAN LOSSES
Liquidated Loans: The applicable Non-PO Percentage of Realized Losses on
the Mortgage Loans as a result of losses realized on Liquidated Loans will be
allocated first to the Class B Subclasses in reverse numerical order up to the
Stated Amount of each such Class B Subclass and accrued interest thereon, and
then to the Class M CitiCertificates up to the Stated Amount thereof and accrued
interest thereon. The applicable PO Percentage of Realized Losses will
ultimately be allocated to the Class B Subclasses and the Class M
CitiCertificates, in the manner described in the preceding sentence, by virtue
of the right of the holders of Class A-4 CitiCertificates to receive
reimbursement of PO Loss Amounts out of amounts otherwise distributable in
reduction of Stated Amount of the Class B and Class M CitiCertificates.
Generally, the Class CB and Class NB CitiCertificates (other than the Class A-4
CitiCertificates) will be entitled to receive the applicable Class A Prepayment
Percentage of the applicable Non-PO Percentage of the principal portion of net
liquidation proceeds and the Class A-4 CitiCertificates will be entitled to
receive the applicable PO Percentage of the principal portion of net liquidation
proceeds. After the Subordination Depletion Date, the applicable Non-PO
Percentage of Realized Losses will be allocated among the Class A
CitiCertificates (other than the Class A-4 CitiCertificates) corresponding to
the Loan Group containing the Mortgage Loan which experienced the Realized Loss.
Special Hazard Losses: Until the Special Hazard Termination Date, the
applicable Non-PO Percentage of all Special Hazard Losses will reduce the Stated
Amount of and accrued interest on the Class M and Class B CitiCertificates in
the order of priority set forth in the preceding paragraph. The PO Percentage of
such losses will ultimately be allocated to the Class B Subclasses in reverse
numerical order and then the Class M CitiCertificates, as described in the third
succeeding paragraph. After the Special Hazard Termination Date, the applicable
Non-PO Percentage of the principal portion of Excess Special Hazard Losses will
be allocated among the Class A Subclasses (other than the Class A-4
CitiCertificates) and the Class M and Class B CitiCertificates as described
herein under "DESCRIPTION OF THE OFFERED CITICERTIFICATES--Subordination--
Allocation of Losses" and the PO Percentage of the principal portion of Excess
Special Hazard Losses will be allocated to the Class A-4 CitiCertificates.
Excess Special Hazard Losses are Special Hazard Losses in excess of the Special
Hazard Loss Amount, which will initially be equal to approximately 3.67% of the
Initial Mortgage Loan Balance.
Fraud Losses: Until the Fraud Coverage Termination Date, the applicable
Non-PO Percentage of all Fraud Losses will reduce the Stated Amount of and
accrued interest on the Class M and Class B CitiCertificates in the order of
priority set forth in the second preceding paragraph. After the Fraud Coverage
Termination Date, the applicable Non-PO Percentage of the principal portion of
Excess Fraud Losses will be allocated among the Class A Subclasses (other than
the Class A-4 CitiCertificates) and the Class M and Class B CitiCertificates as
described herein under "DESCRIPTION OF THE OFFERED CitiCertificates--
Subordination-- Allocation of Losses," and the PO Percentage of the principal
portion of Excess Fraud Losses will be allocated to the Class A-4
CitiCertificates. Excess Fraud Losses are Fraud Losses in excess of the Fraud
Loss Amount, which will initially be equal to approximately 2.00% of the Initial
Mortgage Loan Balance.
Bankruptcy Losses: Until the Bankruptcy Coverage Termination Date, the
applicable Non-PO Percentage of all Bankruptcy Losses will reduce the Stated
Amount of and accrued interest on the Class M and Class B CitiCertificates in
the order of priority set forth in the third preceding paragraph. After the
Bankruptcy Coverage Termination Date, the applicable Non-PO Percentage of the
principal portion of Excess Bankruptcy Losses will be allocated among the Class
A Subclasses (other than the Class A-4 CitiCertificates) and Class M and Class B
CitiCertificates as described herein under "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Subordination-- Allocation of Losses" and the PO Percentage of
Excess Bankruptcy Losses will be allocated to the Class A-4 CitiCertificates.
Excess Bankruptcy Losses are Bankruptcy Losses in excess of the Bankruptcy Loss
Amount, which will initially be equal to approximately 0.09% of the Initial
Mortgage Loan Balance.
Until the Special Hazard Termination Date, Fraud Coverage Termination Date
and Bankruptcy Coverage Termination Date, the applicable PO Percentage of
Special Hazard Losses, Fraud Losses and Bankruptcy Losses will first be
allocated to the Class B Subclasses in reverse numerical order and then to the
Class M CitiCertificates by virtue of the right of the holders of the Class A-4
CitiCertificates to receive reimbursement of PO Loss Amounts out of amounts
otherwise distributable in reduction of the Stated Amount of the Class B and
Class M CitiCertificates.
The exact amounts of Special Hazard Losses, Fraud Losses and Bankruptcy
Losses to be allocated to the Class M and Class B CitiCertificates (in each case
only prior to the related termination date) will be those amounts required by
the rating agency (or rating agencies) rating the Offered CitiCertificates as a
condition of the ratings set forth in "SUMMARY OF PROSPECTUS AND PROSPECTUS
SUPPLEMENT--Certificate Ratings" in this Prospectus Supplement.
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<PAGE>
The interest portion of any Excess Special Hazard Losses, Excess Fraud
Losses and Excess Bankruptcy Losses will be allocated among the CitiCertificates
as described herein under "DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Distributions of Interest".
EFFECT OF LOSSES AND OTHER SHORTFALLS
The ultimate payment to holders of Class M and Offered Class B
CitiCertificates of the Stated Amount thereof is dependent upon the timing and
the level of losses realized on the Mortgage Loans and other shortfalls in
distributions on the Mortgage Loans. Special Hazard Losses (up to the Special
Hazard Loss Amount), Fraud Losses (up to the Fraud Loss Amount) and Bankruptcy
Losses (up to the Bankruptcy Loss Amount) and other Realized Losses on
Liquidated Loans will be allocated first to the Unoffered Class B
CitiCertificates, second to the Class B-2 CitiCertificates, third to the Class
B-1 CitiCertificates and then to the Class M CitiCertificates until the
Subordination Depletion Date.
To the extent that all such amounts and shortfalls are allocated as
described above, holders of the Class M and Offered Class B CitiCertificates may
experience shortfalls in distributions of interest and may not receive
distributions equal to the Initial Stated Amount of their CitiCertificates and
may, depending on the purchase price of such CitiCertificates, suffer a
reduction in yield or experience a loss on their investment in the Class M or
Offered Class B CitiCertificates, as the case may be.
RESTRICTIONS ON TRANSFER
Under current law, the purchase and holding of the Class M CitiCertificates
and the Offered Class B CitiCertificates by or on behalf of a Plan may result in
"prohibited transactions" within the meaning of ERISA and Code Section 4975 or
Similar Law. A transfer of the Class M CitiCertificates and the Offered Class B
CitiCertificates will not be registered by the Trustee unless the transferee (i)
executes a representation letter in form and substance satisfactory to the
Trustee stating either (a) that it is not, and is not acting on behalf of, any
such Plan or using the assets of any such 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 Offered Class B CitiCertificates is an "insurance
company general account" or (ii) provides (A) an opinion of counsel in form and
substance satisfactory to the Trustee and the Issuer that the purchase or
holding of the Class M or Offered Class B CitiCertificates by or on behalf of
such Plan will not result in the assets of the Trust being deemed to be "plan
assets" and subject to the prohibited transaction provisions of ERISA and the
Code or Similar Law and will not subject the Servicer (or its designee), the
Issuer or the Trustee to any obligation in addition to those undertaken in the
Pooling Agreement and (B) such other opinions of counsel, officers' certificates
and agreements as the Trustee and the Issuer may require in connection with such
transfer.
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 Class M and the Offered Class B
CitiCertificates. The Issuer makes no representations or warranties concerning
whether the Class M or the Offered Class B CitiCertificates are legal
investments under any federal or state law, regulation, rule or order of any
court. The Offered Class B CitiCertificates will not constitute "mortgage
related securities" within the meaning of SMMEA. The Class M CitiCertificates
will qualify at issuance as "mortgaged related securities." Prospective
investors are advised to consult their counsel as to qualification of the Class
M and the Offered Class B CitiCertificates as legal investments under any such
laws, regulations, rules and orders.
S-23
<PAGE>
DESCRIPTION OF THE OFFERED CITICERTIFICATES
The Offered CitiCertificates will be issued pursuant to the Pooling
Agreement, a form of which is filed as an exhibit to the Registration Statement
of which this Prospectus Supplement is a part. The Trustee will make available
for inspection a copy of the Pooling Agreement (without attachments) to holders
of CitiCertificates upon written request. Reference is made to the Prospectus
for important additional information regarding the terms and conditions of the
Pooling Agreement and the CitiCertificates. Each Class A and Class M
CitiCertificate at the time of issuance will qualify as a "mortgage related
security" within the meaning of 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.
Distributions on the Offered CitiCertificates generally will be made by the
Trustee by wire transfer (if wiring instructions are received from the Person
entitled thereto) in the case of a holder of Offered CitiCertificates having an
aggregate Initial Stated Amount of $1,000,000 or more, or by check or by such
other means as the Person entitled thereto and the Trustee shall agree. Unless
and until Definitive Certificates are issued, Cede, as nominee of DTC, will be
the holder of the Book-Entry CitiCertificates. However, the final distribution
in reduction of Stated Amount will be made only upon presentation and surrender
of such CitiCertificate at the office of the Trustee. Payments will be made to
or for the account of the Person entitled thereto or as specified by such Person
in accordance with the terms of the Pooling Agreement.
The Series 1998-5 REMIC Pass-Through Certificates (the "CitiCertificates:)
will consist of the following Classes and Subclasses: (i) the Class A-1
CitiCertificates (the "Class CB CitiCertificates"), (ii) the Class A-2, Class
A-3 and Class A-4 CitiCertificates, (the "Class NB CitiCertificates" together
with the Class CB CitiCertificates, the "Class A CitiCertificates"), (iii) the
Unoffered Class A-IO CB and Unoffered Class A-IO NB CitiCertificates (together,
the "Unoffered Class A-IO CitiCertificates"), (iv) the Class M CitiCertificates,
(v) the Class B-1 and Class B-2 CitiCertificates, (vi) the Class B-3, Class B-4
and Class B-5 CitiCertificates and (vii) the Residual Certificates.
Distributions of interest and principal on the Class CB CitiCertificates
and the Class NB CitiCertificates will be based on interest and principal
received or advanced with respect to the Group CB Loans and the Group NB Loans,
respectively, except under certain limited circumstances described herein.
Distributions of interest on the Unoffered Class A-IO CB CitiCertificates and
Unoffered Class A-IO NB CitiCertificates will be based on interest payments on
the Group CB Loans and Group NB Loans, respectively.
DISTRIBUTIONS OF INTEREST
The amount of interest that will be distributable with respect to each
Class A Subclass during each Interest Accrual Period is referred to herein as
the "Class A Subclass Interest Amount" for such Class A Subclass. The Class A
Subclass Interest Amount for each Class A Subclass (other than the Class A-4
CitiCertificates) will equal the interest accrued for each Interest Accrual
Period at the applicable Stated Rate set forth on the cover page hereof on the
Class A Subclass Stated Amount of such Class A Subclass, reduced by (i) the
portion of any Non-Supported Interest Shortfall allocable to such Class A
Subclass and (ii) the interest portion of Excess Special Hazard Losses, Excess
Fraud Losses and Excess Bankruptcy Losses allocable to such Class A Subclass as
described below. The Class A-4 CitiCertificates will not bear interest. The sum
of the Class A Subclass Interest Amounts for a particular Distribution Date is
the "Class A Interest Amount."
An amount of interest equal to the Unoffered Class A-IO Interest Amount
will accrue on each Class of Unoffered Class A-IO CitiCertificates during each
Interest Accrual Period. On each Distribution Date, to the extent funds are
available, the Distributable Unoffered Class A-IO Interest Amount for each Class
of Unoffered Class A-IO CitiCertificates will be distributed to the applicable
Unoffered Class A-IO CitiCertificates.
The amount of interest that will be distributable with respect to the Class
M CitiCertificates during each Interest Accrual Period is referred to herein as
the "Class M Interest Amount." The Class M Interest Amount will equal the
interest accrued for an Interest Accrual Period at a rate of 6.75% per annum on
the Class M Stated Amount, reduced by (i) the portion of any Non-Supported
Interest Shortfall allocable to the Class M CitiCertificates and (ii) the
interest portion of Excess Special Hazard Losses, Excess Fraud Losses and Excess
Bankruptcy Losses allocable to the Class M CitiCertificates as described below.
The amount of interest that will be distributable with respect to each
Offered Class B Subclass and each Unoffered Class B Subclass during each
Interest Accrual Period is referred to herein, respectively, as the "Offered
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Class B Subclass Interest Amount" and the "Unoffered Class B Subclass Interest
Amount." The Offered and Unoffered Class B Subclass Interest Amount will equal
the interest accrued for an Interest Accrual Period at the rate of 6.75% per
annum on the Stated Amount of such Class B Subclass, in each case reduced by (i)
the portion of any Non-Supported Interest Shortfall allocable to such Class B
Subclass and (ii) the interest portion of Excess Special Hazard Losses, Excess
Fraud Losses and Excess Bankruptcy Losses allocable to such Class B Subclass as
described below. The sum of the Offered Class B Subclass Interest Amounts as of
any Distribution Date is the "Offered Class B Interest Amount" and the sum of
the Unoffered Class B Subclass Interest Amounts as of any Distribution Date is
the "Unoffered Class B Interest Amount." The sum of the Offered Class B Interest
Amount and the Unoffered Class B Interest Amount for a particular Distribution
Date is the "Class B Interest Amount."
The "Class A Subclass Stated Amount" of a Class A Subclass (other than the
Class A-4 CitiCertificates) as of any Distribution Date before the Subordination
Depletion Date will be the Initial Stated Amount of such Class A Subclass less
(i) all amounts previously distributed to holders of CitiCertificates of such
Class A Subclass in reduction of the Stated Amount of such Class A Subclass and
(ii) such Class A Subclass' share of the applicable Non-PO Percentage of the
principal portion of Excess Special Hazard Losses, Excess Fraud Losses and
Excess Bankruptcy Losses previously allocated to the Class A CitiCertificates
(other than the Class A-4 CitiCertificates) in the manner described below under
"--Subordination--Allocation of Losses." After the Subordination Depletion Date,
the Class A Subclass Stated Amount of such Class A CitiCertificates may be
subject to further reduction as described under "--Subordination--Allocation of
Losses" and below.
After the Subordination Depletion Date, the Class A Subclass Stated Amount
of each Class A Subclass relating to the same Loan Group (other than in the case
of the NB Loan Group, the Class A-4 CitiCertificates), may be subject to further
reduction in an amount equal to such Class A Subclass' pro rata share of the
difference, with respect to such Loan Group, if any, between (a) the sum of the
Class A Subclass Stated Amounts of the Class A Subclasses related to the same
Loan Group (other than, in the case of the NB Loan Group, the Class A Subclass
Stated Amount of the Class A-4 CitiCertificates) as of such Distribution Date
without regard to this provision and (b) in the case of the NB Loan Group the
sum of the products of the applicable Non-PO Percentage of each Mortgage Loan in
the NB Loan Group and the Adjusted Balance of such Mortgage Loan for the
preceding Distribution Date (the "Non-PO Pool Adjusted Balance") or, in the case
of the CB Loan Group, the CB Pool Adjusted Balance. Any pro rata allocation
described in this paragraph will be made among the Class A Subclass within the
NB Loan Group (other than the Class A-4 CitiCertificates) on the basis of their
then outstanding Class A Subclass Stated Amount as of the preceding Distribution
Date.
The Class A Subclass Stated Amount of the Class A-4 CitiCertificates as of
any Distribution Date will be equal to the difference between the NB Pool
Adjusted Balance and the Non-PO Pool Adjusted Balance as of such date.
With respect to each Distribution Date prior to the Subordination Depletion
Date, the "PO Loss Amount" for such Distribution Date will equal the sum of (i)
the difference, if any, between the Class A PO Principal Amount for such
Distribution Date and the amount distributed in reduction of the Stated Amount
of the Class A-4 CitiCertificates on such Distribution Date and (ii) the
applicable PO Percentage of each Realized Loss (other than Excess Special Hazard
Losses, Excess Fraud Losses and Excess Bankruptcy Losses). On and after the
Subordination Depletion Date, Available PO Loss Funds will be zero and will
therefore not be available for reimbursement of PO Loss Amounts.
The "Class A Stated Amount" as of any Distribution Date will be equal to
the sum of the Class A Subclass Stated Amounts as of such date.
The "Class M Stated Amount" as of any Distribution Date will be equal to
the lesser of (a) the Initial Stated Amount of the Class M CitiCertificates less
(i) all amounts previously distributed to holders thereof in reduction of Stated
Amount and (ii) such Class's pro rata share of the Non-PO Percentage of the
principal portion of Excess Special Hazard Losses, Excess Fraud Losses and
Excess Bankruptcy Losses previously allocated to the Class M CitiCertificates in
the manner described below under "--Subordination--Allocation of Losses" and (b)
the Pool Adjusted Balance minus the Class A Stated Amount, each as of the
immediately preceding Distribution Date (after taking into account distributions
in reduction of Stated Amount and the allocation of any Excess Special Hazard
Losses, Excess Fraud Losses and Excess Bankruptcy Losses on such date).
The "Offered Class B Subclass Stated Amount" of an Offered Class B Subclass
as of any Distribution Date will be the lesser of (a) the Initial Stated Amount
of such Offered Class B Subclass less (i) all amounts previously distributed to
holders of CitiCertificates of such Offered Class B Subclass in reduction of the
Stated Amount thereof and (ii) such Offered Class B Subclass's pro rata share of
the Non-PO Percentage of the principal portion of Excess
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Special Hazard Losses, Excess Fraud Losses and Excess Bankruptcy Losses
previously allocated to holders of the Class B CitiCertificates in the manner
described below under "--Subordination--Allocation of Losses" and (b) the Pool
Adjusted Balance minus the sum of the Class A Stated Amount and the Class M
Stated Amount and, in the case of a particular Offered Class B Subclass, the
aggregate Stated Amount of the Offered Class B Subclasses having a lower
numerical designation, each as of the immediately preceding Distribution Date
(after taking into account distributions in reduction of Stated Amount and the
allocation of any Excess Special Hazard Losses, Excess Fraud Losses and Excess
Bankruptcy Losses on such date). The "Offered Class B Stated Amount" as of any
Distribution Date will be equal to the sum of the Offered Class B Subclass
Stated Amounts as of such date.
The "Unoffered Class B Subclass Stated Amount" of any Unoffered Class B
Subclass as of any Distribution Date will be the lesser of (a) the Initial
Stated Amount of such Unoffered Class B Subclass less (i) all amounts previously
distributed to holders of CitiCertificates of such Unoffered Class B Subclass in
reduction of the Stated Amount thereof and (ii) such Unoffered Class B
Subclass's pro rata share of the applicable Non-PO Percentage of the principal
portion of Excess Special Hazard Losses, Excess Fraud Losses and Excess
Bankruptcy Losses previously allocated to holders of the Unoffered Class B
CitiCertificates in the manner described below under "--Subordination--
Allocation of Losses" and (b) the Pool Adjusted Balance minus the sum of the
Class A Stated Amount, the Class M Stated Amount, the Offered Class B Stated
Amount and the Unoffered Class B Subclass Stated Amount of each Unoffered Class
B Subclass with a lower numerical designation, each as of the immediately
preceding Distribution Date (after taking into account distributions in
reduction of Stated Amount and the allocation of any Excess Special Hazard
Losses, Excess Fraud Losses and Excess Bankruptcy Losses on such date). The
"Unoffered Class B Stated Amount" as of any Distribution Date will be the
aggregate of the Unoffered Class B Subclass Stated Amounts as of such date. The
"Class B Stated Amount" as of any Distribution Date will be the Pool Adjusted
Balance less the sum of the Class A Stated Amount and the Class M Stated Amount
and will equal the sum of the Offered Class B Stated Amount and the Unoffered
Class B Stated Amount.
With respect to any Distribution Date, the "Pool Adjusted Balance" will
equal the aggregate Adjusted Balances of the Mortgage Loans as of such
Distribution Date and the "CB Pool Adjusted Balance" and the "NB Pool Adjusted
Balance" will equal the aggregate Adjusted Balances of the Mortgage Loans of the
respective Loan Groups as of such Distribution Date.
Interest shortfalls resulting from full or partial principal prepayments of
Mortgage Loans ("Prepayment Interest Shortfalls") will be paid by the Servicer
to the extent of the Compensating Cap on the related Distribution Date. The
Compensating Cap is an amount for any Distribution Date equal to the lesser of
(a) the amount of the Servicing Fee received with respect to the related
Distribution Date and (b) the product of (x) one-twelfth of the Pool Adjusted
Balance as of the preceding Distribution Date and (y) 0.125%. The aggregate
Prepayment Interest Shortfalls in excess of the Compensating Cap are herein
referred to as "Non-Supported Interest Shortfalls." The Non-Supported Interest
Shortfalls will be allocated between the two Loan Groups on a pro rata basis in
accordance with the amount of Prepayment Interest Shortfalls incurred on the
Mortgage Loans in each Loan Group for such Distribution Date. The Non-Supported
Interest Shortfalls will then be allocated among the CitiCertificates in the
same manner as the interest losses described in the next succeeding paragraph.
The Class CB Percentage (as defined herein) (in the case of the Group CB
Loans) or Class NB Percentage (as defined herein) (in the case of the Group NB
Loans) of the interest portion of any Excess Special Hazard Losses, Excess Fraud
Losses or Excess Bankruptcy Losses with respect to a Mortgage Loan will be
allocated among the holders of the Class CB CitiCertificates and the Unoffered
Class A-IO CB CitiCertificates (in the case of the Group CB Loans) or the
holders of the Class NB CitiCertificates and the Unoffered Class A-IO NB
CitiCertificates (in the case of the Group NB Loans) in proportion to the amount
of accrued interest that would have been payable to such CitiCertificates from
the related Loan Group on such Distribution Date absent such reductions. The
remainder of such reductions will be allocated among the holders of the Class M
CitiCertificates and Class B CitiCertificates in proportion to the respective
amount of the accrued interest that would have been payable to such
CitiCertificates on such Distribution Date absent such reductions.
Allocations of the interest portion of Realized Losses (other than Excess
Special Hazard Losses, Excess Fraud Losses or Excess Bankruptcy Losses) first to
the Class B CitiCertificates in reverse numerical order, then to the Class M
CitiCertificates and then to the Class A and Unoffered Class A-IO
CitiCertificates will result from the priority of distributions first to the
Class A and Unoffered Class A-IO CitiCertificateholders, then to the Class M
CitiCertificateholders and then to the Class B CitiCertificateholders of the
Pool Distribution Amount in accordance with the priorities described under
"SUMMARY OF Prospectus--Priority of Distribution.
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On each Distribution Date, prior to the Subordination Depletion Date, on
which the Group Pool Distribution Amount equals or exceeds the Class A Interest
Amount plus the Distributable Unoffered Class A-IO Interest Amount for the
CitiCertificates related to such Loan Group, distributions in respect of
interest to each Class A Subclass related to such Loan Group will equal its
Class A Subclass Interest Amount, and distributions in respect of interest to
the Unoffered Class A-IO CitiCertificates related to such Loan Group will equal
the Distributable Unoffered Class A-IO Interest Amount.
In the unlikely event that, on any Distribution Date, the Group Pool
Distribution Amount is less than the Class A Interest Amount plus the
Distributable Unoffered Class A-IO Interest Amount for the Class A and Unoffered
Class A-IO CitiCertificates related to such Loan Group, the amount of interest
currently distributed on the Class A and Unoffered Class A-IO CitiCertificates
related to such Loan Group will equal the Group Pool Distribution Amount and
will be allocated among the Class A Subclasses and the Unoffered Class A-IO
CitiCertificates related to such Loan Group pro rata in accordance with the
Class A Subclass Interest Amounts and the Distributable Unoffered Class A-IO
Interest Amount, respectively, for the Class A and Unoffered Class A-IO
CitiCertificates related to such Loan Group (the shortfall allocable to each
such Class A Subclass, its respective "Class A Subclass Interest Shortfall
Amount", the aggregate amount of the shortfall allocable to the Class A
Subclasses, the "Class A Unpaid Shortfall" and the shortfall allocated to each
Class of Unoffered Class A-IO CitiCertificates, its "Unoffered Class A-IO Unpaid
Interest Shortfall"). Any Class A Subclass Interest Shortfall Amount and
Unoffered Class A-IO Unpaid Interest Shortfall will be added to the amount to be
distributed to the related Class A Subclass and the Unoffered Class A-IO
CitiCertificates, as applicable, on subsequent Distribution Dates to the extent
that the applicable Group Pool Distribution Amount is sufficient therefor and,
in the case of a Class A Subclass, the related Class A Subclass is then
outstanding. No interest will accrue on the unpaid Class A Subclass Interest
Shortfall Amounts or Unoffered Class A-IO Unpaid Interest Shortfall. See
"SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions"
herein. Because the Class A Interest Amount for the Class A CitiCertificates of
a related Loan Group is generally dependent on the cash flows for the Mortgage
Loans in such Loan Group, it is possible that on a Distribution Date shortfalls
in Class A Subclass Interest Amounts on the Class A CitiCertificate related to
one Loan Group may exist while the Subordinate CitiCertificates may receive
distributions of interest from the cash flows for the Mortgage Loans in the
other Loan Group, particularly when the prepayment rate on the Mortgage Loans is
low.
On each Distribution Date on which the applicable Group Pool Distribution
Amount exceeds the Class A Interest Amount plus the Distributable Unoffered
Class A-IO Interest Amount for the Class A and Unoffered Class A-IO
CitiCertificates related to such Loan Group, any excess will then be allocated
first to pay previously unpaid Class A Subclass Interest Shortfall Amounts of
outstanding Class A Subclasses and the Unoffered Class A-IO Unpaid Interest
Shortfall of the Unoffered Class A-IO CitiCertificates related to such Loan
Group. Such amounts will be allocated among the then outstanding Class A
Subclasses and the Unoffered Class A-IO CitiCertificates related to such Loan
Group pro rata in accordance with the respective unpaid Class A Subclass
Interest Shortfall Amounts and Unoffered Class A-IO Unpaid Interest Shortfall
immediately prior to such Distribution Date. See "SUMMARY OF PROSPECTUS AND
PROSPECTUS SUPPLEMENT--Priority of Distributions" herein.
On each Distribution Date on which the Pool Distribution Amount equals or
exceeds the sum of (i) the Class M Interest Amount and (ii) all amounts senior
in priority of payment to the Class M Interest Amount based on the priorities
described under "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of
Distributions", distributions in respect of interest to the Class M
CitiCertificates will equal the Class M Interest Amount.
If, on any Distribution Date, the Pool Distribution Amount is less than the
sum of (i) the Class M Interest Amount and (ii) all amounts senior in priority
of payment to such amount, the amount of interest currently distributed on the
Class M CitiCertificates will equal the Pool Distribution Amount, net of all
amounts distributable with a higher order of priority as provided above under
"SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions",
such shortfall (the "Class M Unpaid Interest Shortfall") will be added to the
amount to be distributed to Class M CitiCertificates on subsequent Distribution
Dates to the extent that the Pool Distribution Amount is sufficient therefor and
the related Class M CitiCertificates are then outstanding. No interest will
accrue on any Class M Unpaid Interest Shortfall.
On each Distribution Date on which the Pool Distribution Amount equals or
exceeds the sum of (i) the Offered Class B Subclass Interest Amount for an
Offered Class B Subclass and (ii) all amounts senior in priority of payment to
the Offered Class B Subclass Interest Amount based on the priorities described
under "SUMMARY OF PROSPECTUS AND
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PROSPECTUS SUPPLEMENT--Priority of Distributions," distributions in respect of
interest to such Offered Class B Subclass will equal its Offered Class B
Subclass Interest Amount.
If, on any Distribution Date, the Pool Distribution Amount is less than the
sum of (i) the Class B-1 Interest Amount and (ii) all amounts senior in priority
of payment to such amount, the amount of interest currently distributed on the
Class B-1 CitiCertificates will equal the Pool Distribution Amount, net of all
amounts distributable with a higher order of priority as provided above under
"SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions",
such shortfall (the "Class B-1 Unpaid Interest Shortfall") will be added to the
amount distributable to the holders of the Class B-1 CitiCertificates on
subsequent Distribution Dates to the extent that the Pool Distribution Amount is
sufficient therefor and the related Class B-1 CitiCertificates are then
outstanding.
If, on any Distribution Date, the Pool Distribution Amount is less than the
sum of (i) the Class B-2 Interest Amount and (ii) all amounts senior in priority
of payment to such amount, the amount of interest currently distributed on the
Class B-2 CitiCertificates will equal the Pool Distribution Amount, net of all
amounts distributable with a higher order of priority as provided above under
"SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions",
such shortfall (the "Class B-2 Unpaid Interest Shortfall") will be added to the
amount distributable to the holders of the Class B-2 CitiCertificates on
subsequent Distribution Dates to the extent that the Pool Distribution Amount is
sufficient therefor and the related Class B-2 CitiCertificates are then
outstanding.
No interest will accrue on the amount of any Class B-1 or Class B-2 Unpaid
Interest Shortfall. The Class B-1 Unpaid Interest Shortfall and Class B-2 Unpaid
Interest Shortfall are also collectively referred to as the "Offered Class B
Subclass Unpaid Interest Shortfall."
If on any Distribution Date the Pool Distribution Amount is less than the
sum of all amounts distributable on the Class A, Unoffered Class A-IO, Class M
and Class B-1 CitiCertificates based on the priorities described under "SUMMARY
OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions", then the
Class B-2 CitiCertificates and the Unoffered Class B CitiCertificates will not
be entitled to receive any amounts in respect of interest or principal. If, on
any Distribution Date, the Pool Distribution Amount is less than the sum of all
amounts distributable on the Class A, Unoffered Class A-IO, Class M, Class B-1
and Class B-2 CitiCertificates based on the priorities described under "SUMMARY
OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions", then the
Unoffered Class B CitiCertificates will not be entitled to receive any amounts
in respect of interest or principal. If, on any Distribution Date, the Pool
Distribution Amount is less than the sum of all amounts distributable on the
Class A and Unoffered Class A-IO CitiCertificates based on the priorities
described under "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of
Distributions", then the Class M and Class B CitiCertificates will not be
entitled to receive any amounts in respect of interest or principal.
DISTRIBUTIONS IN REDUCTION OF STATED AMOUNT
In addition to the two Loan Groups, the Mortgage Loans within the NB Loan
Group will be further divided into two groups: the "Discount Mortgage Loans,"
which will be comprised of all Mortgage Loans with Note Rates, net of the
Servicing Fee (in each case, the "NNR"), of less than 6.75% and the "Premium
Mortgage Loans," which will be comprised of all Mortgage Loans with NNRs equal
to or greater than 6.75%. The CB Loan Group contains no Discount Mortgage Loans.
Prior to the Subordination Depletion Date, distributions in reduction of
Stated Amount of the Class CB CitiCertificates and the Class NB CitiCertificates
will be made on each Distribution Date based on the payments of principal
received from the related Loan Group except under certain limited circumstances.
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 to receive, on each
Distribution Date, an amount up to the Class M Optimal Distribution Amount for
each date, subject to the priorities and conditions set forth above under
"SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions."
The "Class M Optimal Distribution Amount" for each Distribution Date shall equal
the sum of (i) the Class M Interest Amount, (ii) the Class M Unpaid Interest
Shortfall and (iii) the Class M Optimal Principal Amount.
The Class B CitiCertificates will be entitled, on each Distribution Date,
to the remaining portion, if any, of the applicable Pool Distribution Amount,
after payment of the amounts senior in priority as described under "SUMMARY OF
PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions" for such date.
Amounts so distributed to Class B CitiCertificateholders will not be available
to cover delinquencies or Realized Losses in respect of subsequent Distribution
Dates.
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Holders of the CitiCertificates of each Offered Class B Subclass will be
entitled to receive, on each Distribution Date, an amount up to the Offered
Class B Subclass Optimal Distribution Amount for such Class B Subclass for such
date, subject to the priorities and conditions set forth above under "SUMMARY OF
PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions". The "Offered
Class B Subclass Optimal Distribution Amount" for each Distribution Date for
each Class B Subclass shall equal the sum of (i) the Offered Class B Subclass
Interest Amount for such Class B Subclass, (ii) the Offered Class B Subclass
Unpaid Interest Shortfall for such Class B Subclass and (iii) the Offered Class
B Subclass Optimal Principal Amount for such Class B Subclass. The aggregate of
the Offered Class B Subclass Optimal Distribution Amounts is the "Offered Class
B Optimal Distribution Amount."
Prior to the Subordination Depletion Date, holders of the Class A-4
CitiCertificates will be entitled to receive on each Distribution Date, to the
extent of the Group NB Pool Distribution Amount remaining after payment of the
Class A Interest Amount, the Distributable Unoffered Class A-IO Interest Amount,
any unreimbursed Class A Unpaid Interest Shortfall and any unreimbursed
Unoffered Class A-IO Unpaid Interest Shortfall for the Class NB CitiCertificates
and Unoffered Class A-IO NB CitiCertificates, a distribution in reduction of
their Stated Amount in an amount equal to the Class A PO Principal Amount. The
"Class A PO Principal Amount" with respect to each Distribution Date will be an
amount equal to the sum of (i) the applicable PO Percentage of (A) all scheduled
payments of principal due on each outstanding Mortgage Loan in the NB Loan Group
(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 applicable PO Percentage of the Adjusted
Balance of each Mortgage Loan in the NB Loan Group which, during the month
preceding the month of such Distribution Date was repurchased by the Issuer, as
described in "APPENDIX A: THE MORTGAGE LOANS AND CITIMORTGAGECERTIFICATES--
Assignment of Loans" in the Prospectus, (iii) the applicable PO Percentage of
the aggregate net Liquidation Proceeds on all Mortgage Loans in the NB Loan
Group that became Liquidated Loans during such preceding month, less the amounts
allocable to principal of any unreimbursed advances previously made by the
Servicer or the Trustee with respect to such Liquidated Loans and the portion of
the net Liquidation Proceeds allocable to interest, (iv) the applicable PO
Percentage of the Adjusted Balance of each Mortgage Loan in the NB Loan Group
which was the subject of a principal prepayment in full during the month
preceding the month of such Distribution Date and (v) the applicable PO
Percentage of all partial principal prepayments received by the Servicer in the
month preceding the month in which such Distribution Date occurs. In addition,
holders of the Class A-4 CitiCertificates will be entitled to reimbursement, up
to an amount equal to the Pool Distribution Amount for any Distribution Date
remaining after the payment of the Class A Interest Amount, the Distributable
Unoffered Class A-IO Interest Amount, any Class A Unpaid Interest Shortfalls,
any Unoffered Class A-IO Unpaid Interest Shortfalls, the Group Non-PO Principal
Amount with respect to both the Class CB CitiCertificates and the Class NB
CitiCertificates, the Class A PO Principal Amount, any Cross Over Payments, the
Class M Interest Amount and the Class B Interest Amount in accordance with the
priorities described under "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--
Priority of Distribution" (the "Available PO Loss Funds"), of the "Unpaid PO
Loss Amounts", which shall equal the difference between (a) the sum of the PO
Loss Amounts for that and prior Distribution Dates and (b) amounts distributed
in reimbursement of Unpaid PO Loss Amounts on all prior Distribution Dates. Any
Available PO Loss Funds applied to pay Unpaid PO Loss Amounts will first reduce
the amount otherwise distributable in reduction of Stated Amount of the Class B
Subclasses in reverse numerical order, and then will reduce the amount otherwise
distributable in reduction of the Class M Stated Amount.
Holders of the Class CB CitiCertificates and the Class NB CitiCertificates
(other than the Class A-4 CitiCertificates) will be entitled to receive on each
Distribution Date, to the extent of the applicable Group Pool Distribution
Amount remaining after payment of the Class A Interest Amount, the Distributable
Unoffered Class A-IO Interest Amount and any unreimbursed Class A and Unoffered
Class A-IO Unpaid Interest Shortfalls for the Class A CitiCertificates and
Unoffered Class A-IO CitiCertificates in the related Loan Group, a distribution
in reduction of the Stated Amount for the Class A CitiCertificates related to
each Loan Group for the related CitiCertificates in an amount equal to the Group
Non-PO Principal Amount for such Class A CitiCertificates. The "Group Non-PO
Principal Amount" for the Class CB CitiCertificates or the Class NB
CitiCertificates with respect to each Distribution Date will be an amount equal
to the sum of (i) the applicable Class A Percentage of the applicable Non-PO
Percentage of (A) all scheduled payments of principal due on each outstanding
Mortgage Loan in the related Loan Group (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
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occurs, less (B) if the Bankruptcy Coverage Termination Date has occurred, the
principal portion of Debt Service Reductions, (ii) the applicable Class A
Prepayment Percentage of the applicable Non-PO Percentage of the Adjusted
Balance of each Mortgage Loan in the related Loan Group which, during the month
preceding the month of such Distribution Date was repurchased by the Issuer, as
described in "APPENDIX A: THE MORTGAGE LOANS AND CITIMORTGAGE CERTIFICATES--
Assignment of Loans" in the Prospectus, (iii) the applicable Class A Prepayment
Percentage of the applicable Non-PO Percentage of the aggregate net Liquidation
Proceeds on all Mortgage Loans in the related Loan Group that became Liquidated
Loans during such preceding month, less the amounts allocable to principal of
any unreimbursed advances previously made by the Servicer or the Trustee with
respect to such Liquidated Loans and the portion of the net Liquidation Proceeds
allocable to interest, (iv) the applicable Class A Prepayment Percentage of the
applicable Non-PO Percentage of the Adjusted Balance of each Mortgage Loan in
the related Loan Group which was the subject of a principal prepayment in full
during the month preceding the month of such Distribution Date and (v) the
applicable Class A Prepayment Percentage of the applicable Non-PO Percentage of
all partial principal prepayments received by the Servicer in the month
preceding the month in which such Distribution Date occurs. In addition, on any
Distribution Date, the Class CB CitiCertificates and the Class NB
CitiCertificates (other than the Class A-4 CitiCertificates) may be entitled to
distributions in reduction of Stated Amount as described in "--Cross
Collaterizations" below.
With respect to each Discount Mortgage Loan, the "PO Percentage" is equal
to a fraction, expressed as a percentage, the numerator of which is 6.75% minus
the NNR of such Mortgage Loan and the denominator of which is 6.75%; with
respect to each Premium Mortgage Loan, the PO Percentage is 0%. With respect to
each Mortgage Loan, the "Non-PO Percentage" is equal to 100% minus the related
PO Percentage; therefore, for each Premium Mortgage Loan the Non-PO Percentage
is 100%.
Since all the Discount Mortgage Loans are contained in the NB Loan Group,
the PO Percentage for the CB Loan Group will be 0% and the Non-PO Percentage for
the CB Loan Group will be 100% for every Distribution Date.
On each Distribution Date prior to the Subordination Depletion Date,
distributions in reduction of Stated Amount of the Class A CitiCertificates will
be allocated on each Distribution Date as follows: (A) an amount equal to the
lesser of (a) the CB Group Pool Distribution Amount less the amounts described
in (a)(1) through (a)(3) in "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--
Priority of Distributions" and (b) the Group Non-PO Principal Amount for the
Class CB CitiCertificates will be allocated to the Class A-1 CitiCertificates
until the Stated Amount thereof has been reduced to zero; (B) an amount equal to
the lesser of (a) the NB Group Pool Distribution Amount less the amounts
described in clauses (b)(1) through (b)(3) in "SUMMARY OF PROSPECTUS AND
PROSPECTUS SUPPLEMENT--Priority of Distributions" and (b) the Group Non-PO
Principal Amount for the Class NB CitiCertificates (other than the Class A-4
CitiCerticates) and the Class A PO Principal Amount will be allocated (i) to the
Class A-4 CitiCertificates in an amount up to the Class A PO Principal Amount
until the Stated Amount thereof has been reduced to zero, (ii) to the Class A-2
CitiCertificates until the Stated Amount thereof has been reduced to zero and
(iii) to the Class A-3 CitiCertificates until the Stated Amount thereof has been
reduced to zero.
Upon the Subordination Depletion Date, the distribution referred to in (B)
above will not be made in such manner; but, instead, the Class A PO Principal
Amount, to the extent actually received, will be distributed as described under
"Summary of Prospectus and Prospectus Supplement--Priority of Distributions" and
the NB Group Pool Distribution Amount less all interest payments and payments to
the Class A-4 CitiCertificates shall be allocated among the Class NB
CitiCertificates (other than the Class A-4 CitiCertificates) pro rata based on
the related Class A Subclass Stated Amounts.
The principal balance of 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. See "--Subordination"
below.
The "Class M Optimal Principal Amount" with respect to each Distribution
Date will be an amount equal to the sum of (i) the applicable Class M Percentage
of the applicable Non-PO Percentage of (A) all scheduled payments of principal
due on each outstanding Mortgage Loan in the related Loan Group (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 applicable Class M Prepayment Percentage of the applicable
Non-PO Percentage of the Adjusted Balance of each Mortgage Loan in the related
Loan Group which, during the month preceding the month of such Distribution
Date, was repurchased by the Issuer, as described in "APPENDIX A: THE MORTGAGE
LOANS AND CITIMORTGAGE CERTIFICATES--Assignment of
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<PAGE>
Loans" in the Prospectus, (iii) the applicable Class M Prepayment Percentage of
the applicable Non-PO Percentage of the aggregate net Liquidation Proceeds on
all Mortgage Loans in the related Loan Group that became Liquidated Loans during
such preceding month, less the amounts allocable to principal of any
unreimbursed advances previously made by the Servicer or the Trustee with
respect to such Liquidated Loans and the portion of the net Liquidation Proceeds
allocable to interest, (iv) the applicable Class M Prepayment Percentage of the
applicable Non-PO Percentage of the Adjusted Balance of each Mortgage Loan in
the related Loan Group which was the subject of a principal prepayment in full
during the month preceding the month of such Distribution Date and (v) the
applicable Class M Prepayment Percentage of the applicable Non-PO Percentage of
all partial principal prepayments for the Mortgage Loans in the related Loan
Group received by the Servicer in the month preceding the month in which such
Distribution Date occurs.
The "Offered Class B Subclass Optimal Principal Amount" with respect to
each Distribution Date for a particular Class B Subclass will be an amount equal
to the sum of (i) the applicable Offered Class B Subclass Percentage for such
Class B Subclass of the applicable Non-PO Percentage of (A) all scheduled
payments of principal due on each outstanding Mortgage Loan in the related Loan
Group (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 applicable Offered Class B Subclass
Prepayment Percentage for such Offered Class B Subclass of the applicable Non-PO
Percentage of the Adjusted Balance of each Mortgage Loan in the related Loan
Group which, during the month preceding the month of such Distribution Date was
repurchased by the Issuer, (iii) the applicable Offered Class B Subclass
Prepayment Percentage for such Offered Class B Subclass of the applicable Non-PO
Percentage of the aggregate net Liquidation Proceeds on all Mortgage Loans in
the related Loan Group that became Liquidated Loans during such preceding month,
less the amounts allocable to principal of any unreimbursed advances previously
made by the Servicer or the Trustee with respect to such Liquidated Loans and
the portion of the net Liquidation Proceeds allocated to interest, (iv) the
applicable Offered Class B Subclass Prepayment Percentage for such Offered Class
B Subclass of the applicable Non-PO Percentage of the Adjusted Balance of each
Mortgage Loan in the related Loan Group which was the subject of a principal
prepayment in full during the month preceding the month of such Distribution
Date and (v) the applicable Offered Class B Subclass Prepayment Percentage for
such Offered Class B Subclass of the applicable Non-PO Percentage of all partial
principal prepayments for the Mortgage Loans in the related Loan Group received
by the Servicer in the month preceding the month in which such Distribution Date
occurs.
In addition to the foregoing, in the event that there is any recovery of an
amount in respect of principal which had previously been allocated as a Realized
Loss, the amount of such recovery will be allocated among the then outstanding
CitiCertificates first to the Class A CitiCertificates, to the extent, in the
manner and up to the amount of any unreimbursed Realized Losses allocated to
such Class A CitiCertificates, then to the Class M CitiCertificates and then to
the Class B CitiCertificates. As among the Class B Subclasses, the amount of the
recovery remaining after any allocation thereof to the Class A and Class M
CitiCertificates will be allocated first to the Class B-1 CitiCertificates,
second to the Class B-2 CitiCertificates, in each case to the extent and up to
the amount of any unreimbursed Realized Losses allocated to such Class B
Subclass, and then, in like manner, to the remaining Class B Subclasses.
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 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
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excluding (a) the extraordinary events referred to in the last paragraph under
"--Subordination--Allocation of Losses" 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 result 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."
The "Class CB Percentage" and "Class NB Percentage" (each, a "Class A
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 Subclass Stated Amounts of the Class CB CitiCertificates
or the sum of the Class A Subclass Stated Amounts of the Class NB
CitiCertificates (after subtracting the Class A Subclass Stated Amount of the
Class A-4 CitiCertificates) as the case may be (the "Non-PO Class A Amount") by
the CB Pool Adjusted Balance, in the case of the CB Loan Group, or the Non-PO
Pool Adjusted Balance of the Mortgage Loan in the case of the NB Loan Group,
both as of the immediately preceding Distribution Date (after taking into
account distributions in reduction of Stated Amount and the allocation of any
losses on such date). The Class CB Percentage and Class NB Percentage for the
first Distribution Date is expected to be between 93.00% and 95.00% and 92.99%
and 94.99%, respectively. The Class A Percentage related to each Loan Group will
decrease as a result of the allocation of certain unscheduled payments in
respect of principal according to the applicable Class A Prepayment Percentage
for a specified period to the related Class A CitiCertificates and will increase
as a result of the allocation of Realized Losses to the Subordinated
CitiCertificates.
The "Class A Prepayment Percentage" for the Class NB CitiCertificates and
the Class CB CitiCertificates for any Distribution Date occurring during the
five years beginning on the first Distribution Date will, except as provided
below, equal 100%. Thereafter, each Class A Prepayment Percentage for the Class
A CitiCertificates will be subject to gradual reduction as described in the
following paragraph. This disproportionate allocation of certain unscheduled
payments in respect of principal will have the effect of accelerating the
amortization of the Class A CitiCertificates related to both Loan Groups (other
than the Class A-4 CitiCertificates) while, in the absence of Realized Losses,
increasing the respective interest in the Trust evidenced by the Class M and
Class B CitiCertificates. Increasing the respective interest of the Class M and
Class B CitiCertificates relative to that of the Class A CitiCertificates is
intended to preserve the availability of the subordination provided by the Class
M and Class B CitiCertificates. See "--Subordination" below.
The Class A Prepayment Percentage for the Class NB CitiCertificates or the
Class CB CitiCertificates for any Distribution Date occurring during the periods
set forth below will be as follows:
PERIOD (DATES INCLUSIVE) CLASS A PREPAYMENT PERCENTAGE
------------------------ -----------------------------
July 2003-June 2004 ........ The related Class A Percentage plus 70% of the
applicable Subordinated CitiCertificate Percentage
July 2004-June 2005 ........ The related Class A Percentage plus 60% of the
applicable Subordinated CitiCertificate Percentage
July 2005-June 2006 ........ The related Class A Percentage plus 40% of the
applicable Subordinated CitiCertificate Percentage
July 2006-June 2007 ........ The related Class A Percentage plus 20% of the
applicable Subordinated CitiCertificate Percentage
July 2007 and thereafter ... The related Class A Percentage
Notwithstanding the foregoing, if the related Class A Percentage on any
Distribution Date exceeds the initial related Class A Percentage, the related
Class A Prepayment Percentage for such Distribution Date will once again equal
100%. See "--Prepayment and Yield Considerations" herein and "PREPAYMENT AND
YIELD CONSIDERATIONS" in the Prospectus.
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<PAGE>
In addition, no reduction of either Class A Prepayment Percentage will
occur on a Distribution Date unless the following tests (the "Reduction Tests")
are satisfied: (i) as of the first Distribution Date as to which any such
reduction applies, either (A) the Adjusted Balance of the Mortgage Loans in both
Loan Groups 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, as a percentage of the sum of the
Class M Stated Amount and the Class B Stated Amount averaged over the last six
months, is less than 50% or (B) the Adjusted Balance of such delinquent Mortgage
Loans in both Loan Groups averaged over such period, as a percentage of the
Adjusted Balance of all Mortgage Loans averaged over such period, is less than
2%, and (ii) cumulative Realized Losses with respect to the Mortgage Loans in
both Loan Groups are less than (a) with respect to each Distribution Date in
July 2003 through June 2004, 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 July 2004 through
June 2005, inclusive, 35% of the Original Subordinated Stated Amount, (c) with
respect to each Distribution Date in July 2005 through June 2006, inclusive, 40%
of the Original Subordinated Stated Amount, (d) with respect to each
Distribution Date in July 2006 through June 2007, inclusive, 45% of the Original
Subordinated Stated Amount, and (e) with respect to each Distribution Date in
July 2007 and thereafter, 50% of the Original Subordinated Stated Amount.
The "Subordinated CitiCertificate Percentage" for each Loan Group on any
Distribution Date will be calculated as the difference between 100% and the
related Class A Percentage for such date. The Subordinated CitiCertificate
Percentage on the Closing Date for the CB Loan Group and NB Loan Group are
expected to be between 5.00% and 7.00% and 5.01% and 7.01%, respectively.
The "Subordinated Prepayment Percentage" for each Loan Group on any
Distribution Date will be calculated as the difference between 100% and the
related Class A Prepayment Percentage for each date.
The "Class M Percentage" for each Loan Group shall be equal to the
percentage calculated by multiplying (i) the applicable Subordinated
CitiCertificate Percentage for the related Loan Group 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 distributions in reduction of Stated
Amount, 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).
The "Class M Prepayment Percentage" for each Loan Group shall be equal to
the percentage calculated by multiplying (i) the applicable Subordinated
Prepayment Percentage for the related Loan Group 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 distributions in reduction of Stated
Amount, 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).
The "Class B Percentage" for any Distribution Date for each Loan Group will
be calculated as the difference between the applicable Subordinated
CitiCertificate Percentage and the related Class M Percentage.
The "Class B Prepayment Percentage" for any Distribution Date for
each Loan Group will be calculated as the difference between the applicable
Subordinated Prepayment Percentage and the related Class M Prepayment
Percentage.
The "Offered Class B Subclass Percentage" for each Offered Class B Subclass
for each Loan Group shall be equal to, on any Distribution Date, the percentage
calculated by multiplying (i) the applicable Class B Percentage by (ii) a
fraction, the numerator of which is the Offered Class B Subclass Stated Amount
of such Offered Class B Subclass and the denominator of which is the aggregate
Stated Amounts of the Class B Subclasses (eligible to receive distributions in
reduction of Stated Amount for such Distribution Date), each as of the
immediately preceding Distribution Date (after taking into account distributions
in reduction of Stated Amount and the allocation of any losses on such date);
provided that in the event a particular Offered Class B Subclass is ineligible
to receive distributions in reduction of Stated Amount on such Distribution
Date, its Offered Class B Subclass Percentage will be 0% for such Distribution
Date.
The "Offered Class B Subclass Prepayment Percentage" for each Offered Class
B Subclass shall be equal to, on any Distribution Date, the percentage
calculated by multiplying (i) the applicable Class B Prepayment Percentage by
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<PAGE>
(ii) a fraction, the numerator of which is the Stated Amount of such Offered
Class B Subclass and the denominator of which is the aggregate Stated Amounts of
the Class B Subclasses (eligible to receive distributions in reduction of Stated
Amount for such Distribution Date), each as of the immediately preceding
Distribution Date (after taking into account distribution in reduction of Stated
Amount and the allocation of any losses on such date); provided that in the
event an Offered Class B Subclass is ineligible to receive distributions in
reduction of Stated Amount on such Distribution Date, such Offered Class B
Subclass Prepayment Percentage will be 0% for such Distribution Date.
In the event that on any Distribution Date, the Current Class M
Subordination Level is less than the original Class M Subordination Level, 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 "Current Class M Subordination Level" is the
percentage obtained by dividing the Class B Stated Amount 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
any losses on such date). The original Class M Subordination Level is expected
to be between 2.75% and 4.75%.
In the event that on any Distribution Date, the Current Class M
Subordination Level equals or exceeds its original percentage but the Current
Class B-1 Subordination Level is less than the original Class B-1 Subordination
Level, then the Class B-2, Class B-3, Class B-4 and Class B-5 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.
The "Current Class B-1 Subordination Level" is the percentage obtained by
dividing the aggregate Stated Amounts of the Class B-2, Class B-3, Class B-4 and
Class B-5 CitiCertificates 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 any losses on
such date). The original Class B-1 Subordination Level is expected to be between
1.50% and 3.50%.
In the event that on any Distribution Date, the Current Class M and Class
B-1 Subordination Levels equal or exceed their original percentages but the
Current Class B-2 Subordination Level is less than the original Class B-2
Subordination Level, then the Class B-3, Class B-4 and Class B-5
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 Amounts of the Class M, Class
B-1 and Class B-2 CitiCertificates. The "Current Class B-2 Subordination Level"
is the percentage obtained by dividing the aggregate Stated Amounts of the Class
B-3, Class B-4 and Class B-5 CitiCertificates 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 any losses on
such date). The original Class B-2 Subordination Level is expected to be between
1.25% and 2.25%.
In addition, in the case of the Class B-3 or Class B-4 CitiCertificates, if
on any Distribution Date the percentage obtained by dividing the
then-outstanding Stated Amounts of the Class B Subclasses with higher numerical
designations by the Pool Adjusted Balance is less than such percentage was upon
the Closing Date, then such Subclasses with higher numerical designations will
not be entitled to distributions in reduction of Stated Amount on such
Distribution Date and all such distributions will instead be allocated to the
Class M CitiCertificates and the Class B Subclasses with lower numerical
designations.
CROSS-COLLATERALIZATION
Prior to the occurrence of the Subordination Depletion Date but after the
reduction of the Stated Amount of the Class CB CitiCertificates or Class NB
CitiCertificates to zero (other than Class A-4 CitiCertificates in the case of
the Class NB CitiCertificates) the remaining Class A Subclass or Subclasses of
Class CB CitiCertificates or Class NB CitiCertificates, as applicable, on any
Distribution Date will be entitled to receive, in addition to any unscheduled
payments related to such CitiCertificates' related Loan Group, 100% of the
Non-PO Percentage of any reduction in the Adjusted Balance of a Mortgage Loan
stated in either (ii), (iii), (iv) and (v) of the definition of Group Non-PO
Principal Amount (a "Principal Cross Over Payment") on the Mortgage Loans in the
other Loan Group on any Distribution Date on which (i) the aggregate Stated
Amounts of the Class M CitiCertificates and Class B CitiCertificates is less
than 50% of the initial aggregate Stated Amounts of such Classes, if such
Distribution Date is prior to the Distribution Date occurring in July 2007, or
(ii) the aggregate Stated Amounts of the Class M CitiCertificates and Class B
CitiCertificates is less than 25% of the initial aggregate Stated Amounts of
such Classes if such Distribution Date is on or after the Distribution Date
occurring in July 2007. In addition, on any Distribution
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<PAGE>
Date prior to the Subordination Depletion Date on which the Stated Amounts of
Class CB CitiCertificates or Class NB CitiCertificates (other than the Stated
Amount of the Class A-4 CitiCertificates), as applicable, is greater than the CB
Pool Adjusted Balance, in the case of the Class CB CitiCertificates, or the
Non-PO Pool Adjusted Balance, in the case of the Class NB CitiCertificates, in
each case after giving effect to distributions to be made on such Distribution
Date, (1) 100% of the Principal Cross Over Payments allocable to the Class M
CitiCertificates and Class B CitiCertificates will be distributed to such Class
A Subclass or Subclasses of Class CB CitiCertificates or Class NB
CitiCertificates, as applicable, until the aggregate Stated Amount of such Class
A Subclass or Subclasses (other than the Stated Amount of the Class A-4
CitiCertificates) equals the CB Pool Adjusted Balance, in the case of the Class
CB CitiCertificates, or the Non-PO Pool Adjusted Balance, in the case of the
Class NB CitiCertificates, and (2) an amount equal to one month's interest at a
rate of 6.75% per annum on the amount of such difference will be distributed
from the Group Pool Distribution Amount for the other Loan Group first to pay
any unpaid interest on such Class A Subclass or Subclasses of CitiCertificates
and then to pay principal on such Class A Subclass or Subclasses in the manner
described in (1) above. Any funds to be used to make a payment made pursuant to
this paragraph is herein referred to as a "Cross Over Payment."
The interest portion of any Cross Over Payment shall be applied first, to
the Class A Subclass Interest Amounts for the related Class A CitiCertificates,
second to any unpaid Class A Unpaid Interest Shortfall Amounts of the related
Class A CitiCertificates and third as distributions in reduction of Stated
Amount for the related Class A CitiCertificates. Cross Over Payments are only
payable to the extent of the Available Funds for such Distribution Date and are
limited as described above and are further limited to the amount of Principal
Cross Over Payments allocable to the Subordinated CitiCertificates and, under
certain circumstances, the amount of interest referred to in (2) above. The
"Available Funds" on any Distribution Date is an amount equal to the Available
PO Loss Funds without taking into consideration the amount of Cross Over
Payments to be made on such Distribution Date. Any Cross Over Payments will
first reduce the amount otherwise distributable in reduction of Stated Amount of
the Class B Subclasses in reverse numerical order, and then will reduce the
amount otherwise distributable in reduction of Stated Amount of the Class M
CitiCertificates.
SUBORDINATION
The rights of holders of the Class M CitiCertificates to receive
distributions with respect to the Mortgage Loans will be subordinated to such
rights of holders of Class A and Unoffered Class A-IO CitiCertificates to the
extent described below, the rights of holders of the Class B CitiCertificates to
receive distributions with respect to the Mortgage Loans will be subordinated to
such rights of holders of Class A, Unoffered Class A-IO and Class M
CitiCertificates to the extent described below and the rights of the holders of
the Class B Subclasses with numerically higher designations to receive
distributions with respect to the Mortgage Loans will be subordinated to such
rights of holders of Class B Subclasses with numerically lower designations to
the extent described below. This subordination is intended to enhance the
likelihood of timely receipt by holders of the Class A and Unoffered Class A-IO
CitiCertificates (to the extent of the subordination of the Class M and Class B
CitiCertificates), the Class M CitiCertificates (to the extent of the
subordination of the Class B CitiCertificates) and the Class B Subclasses with
numerically lower numbers (to the extent of the subordination of the Class B
Subclasses with numerically higher designations) of the full amount of their
scheduled monthly payments of interest and principal and to afford protection
against Realized Losses, as more fully described below. If Realized Losses
exceed the credit support provided through subordination to the Class A or Class
M CitiCertificates or numerically lower Class B Subclasses, as the case may be,
or if Excess Special Hazard Losses, Excess Fraud Losses or Excess Bankruptcy
Losses occur, all or a portion of such losses will be borne by such Class A,
Unoffered Class A-IO, Class M or Class B CitiCertificates, as the case may be,
as are then outstanding.
The protection afforded to holders of the Class A and Unoffered Class A-IO
CitiCertificates by means of the subordination feature will be accomplished by
the preferential right of such holders to receive, prior to any distribution
being made on a Distribution Date in respect of the Class M and Class B
CitiCertificates, the amounts in reduction of Stated Amount and of interest due
the Class A and Unoffered Class A-IO CitiCertificateholders on each Distribution
Date out of the Pool Distribution Amount in accordance with the priorities set
forth in "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of
Distributions" with respect to such date and, if necessary, by the right of such
holders to receive future distributions on the Mortgage Loans that would
otherwise have been payable to holders of Class M and Class B CitiCertificates.
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<PAGE>
The Class M CitiCertificates will be entitled, on each Distribution Date,
to the remaining portion, if any, of the applicable Pool Distribution Amount,
after payment in accordance with the priorities stated in "SUMMARY OF PROSPECTUS
AND PROSPECTUS SUPPLEMENT--Priority of Distributions" of the Class A Interest
Amount, the Distributable Unoffered Class A-IO Interest Amount, any unreimbursed
Class A and Unoffered Class A-IO Unpaid Interest Shortfall, the Class A Optimal
Principal Amount and (to the extent described herein) any Unpaid PO Loss
Amounts. Amounts so distributed to Class M CitiCertificateholders will not be
available to cover delinquencies or Realized Losses in respect of subsequent
Distribution Dates.
The Class B CitiCertificates will be entitled, on each Distribution Date,
to the remaining portion, if any, of the applicable Pool Distribution Amount,
after payment in accordance with the priorities stated in "SUMMARY OF PROSPECTUS
AND PROSPECTUS SUPPLEMENT--Priority of Distributions" of the Class A Interest
Amount, the Distributable Unoffered Class A-IO Interest Amount, any unreimbursed
Class A and Unoffered Class A-IO Unpaid Interest Shortfall, the Class A Optimal
Principal Amount, the Class M Interest Amount, any unreimbursed Class M Unpaid
Interest Shortfall, the Class M Optimal Principal Amount and (to the extent
described herein) any Unpaid PO Loss Amounts. Amounts so distributed to Class B
CitiCertificateholders will not be available to cover delinquencies or Realized
Losses in respect of subsequent Distribution Dates.
The protection afforded to holders of the Class B Subclasses with
numerically lower designations by means of the subordination feature will be
accomplished by the preferential right of such holders to receive, prior to any
distribution being made on a Distribution Date in respect of the Class B
Subclasses with numerically higher designations, the amounts in reduction of
Stated Amount and of interest due the holders of Class B Subclasses with
numerically lower designations on each Distribution Date out of the Pool
Distribution Amount with respect to such date (after all required payments to
Class A, Unoffered Class A-IO and Class M CitiCertificates and any Class B
Subclasses with a numerically lower designation have been made) and, if
necessary, by the right of such holders to receive future distributions on the
Mortgage Loans that would otherwise have been payable to holders of the Class B
Subclasses with numerically higher designations.
The Class B Subclasses with numerically higher designations will be
entitled, on each Distribution Date, to the remaining portion, if any, of the
applicable Pool Distribution Amount, after payment in accordance with the
priorities stated in "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority
of Distributions" of the Class A Interest Amount, the Distributable Unoffered
Class A-IO Interest Amount, any unreimbursed Class A and Unoffered Class A-IO
Unpaid Interest Shortfall, the Class A Optimal Principal Amount, the Class M
Interest Amount, any unreimbursed Class M Unpaid Interest Shortfall, the Class M
Optimal Principal Amount, any Unpaid PO Loss Amounts (but only to extent of
Available PO Loss Funds) and any distributions in reduction of Stated Amount or
interest as to which a Class B Subclass with a lower numerical designation is
due on such date. Amounts so distributed to such Class B CitiCertificateholders
will not be available to cover delinquencies or Realized Losses in respect of
subsequent Distribution Dates.
Allocation of Losses
For any Distribution Date, any "Non-PO Loss Amount" shall be equal to the
applicable Non-PO Percentage of each Realized Loss (other than an Excess Special
Hazard Loss, Excess Fraud Loss or Excess Bankruptcy Loss) on a Mortgage Loan.
Non-PO Loss Amounts will not be allocated to holders of the Class A
CitiCertificates until the date on which the amount of principal payments on the
Mortgage Loans to which holders of the Class M and Class B CitiCertificates are
entitled has been reduced to zero (the "Subordination Depletion Date"). PO Loss
Amounts will be allocated to the Class A-4 CitiCertificates until the Stated
Amount thereof has been reduced to zero. However, until the Subordination
Depletion Date, PO Loss Amounts will ultimately be borne first by the Class B
Subclasses in reverse numerical order and then by the Class M CitiCertificates,
since such losses are reimbursable from certain funds otherwise distributable on
the Class B and Class M CitiCertificates.
The subordination of the Unoffered Class B CitiCertificates in favor of the
Class A, Unoffered Class A-IO, Class M and Offered Class B CitiCertificates,
that of the Class B-2 CitiCertificates in favor of the Class A, Unoffered Class
A-IO, Class M and Class B-1 CitiCertificates, that of the Class B-1
CitiCertificates in favor of the Class A, Unoffered Class A-IO and Class M
CitiCertificates, and that of the Class M CitiCertificates in favor of the Class
A and Unoffered Class A-IO CitiCertificates, is effected by the allocation of
Non-PO Loss Amounts first to the Unoffered Class B
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<PAGE>
CitiCertificates, second to the Class B-2 CitiCertificates, third to the Class
B-1 CitiCertificates and then to the Class M CitiCertificates, until, in each
case, the respective Unoffered Class B Stated Amount, Class B-2 Stated Amount,
Class B-1 Stated Amount and Class M Stated Amount have been reduced to zero.
Non-PO Loss Amounts will be allocated to the Class M CitiCertificates only after
the Stated Amount of the Class B CitiCertificates has been reduced to zero.
Non-PO Loss Amounts will be allocated to the Class B-1 CitiCertificates only
after the Stated Amounts of the Class B-2 and Unoffered Class B CitiCertificates
have been reduced to zero and Non-PO Loss Amounts will be allocated to the Class
B-2 CitiCertificates only after the Stated Amount of the Unoffered Class B
CitiCertificates has been reduced to zero. The effect of such allocation of
Non-PO Loss Amounts (other than Excess Special Hazard Losses, Excess Fraud
Losses or Excess Bankruptcy Losses) to the Unoffered Class B CitiCertificates
and then to the Offered Class B CitiCertificates will be to reduce future
distributions to such Class B CitiCertificates, and in particular to the
Unoffered Class B CitiCertificates, and to increase the relative portion of
distributions allocable to the Class A, Unoffered Class A-IO and Class M
CitiCertificates and the Offered Class B CitiCertificates. After the
Subordination Depletion Date, the Class A and Unoffered Class A-IO
CitiCertificates will bear all Realized Losses. After the Subordination
Depletion Date, the Class CB CitiCertificates will bear, pro rata, all Realized
Losses related to Mortgage Loans in CB Loan Group and the Class NB
CitiCerticates (other than the Class A-4 CitiCertificates) will bear, pro rata,
the Non-PO Loss Amount for all Realized Losses related to Mortgage Loans in NB
Loan Group. The Class A-4 CitiCertificates will bear all PO Loss Amounts.
Investors in the Class A CitiCertificates should be aware that because the
Class M CitiCertificates and Class B CitiCertificates represent interests in
both Loan Groups, the Stated Amounts of the Class M CitiCertificates and Class B
CitiCertificates could be reduced to zero as a result of a disproportionate
amount of Realized Losses on the Mortgage Loans in one Loan Group. Therefore,
notwithstanding that Realized Losses on the Mortgage Loans in one Loan Group may
only be allocated to the related Class A CitiCertificates, the allocation to the
Class M CitiCertificates and Class B CitiCertificates of Realized Losses on the
Mortgage Loan in the other Loan Group will reduce the subordination provided to
such Class A CitiCertificates by the Class M CitiCertificates and the Class B
CitiCertificates and increase the likelihood that Realized Losses may be
allocated to such Class A CitiCertificates.
The allocation of the principal portion of Realized Losses (other than a
Debt Service Reduction, Excess Special Hazard Losses, Excess Fraud Losses and
Excess Bankruptcy Losses) will be effected, as a result of the priority of
distributions described above, by the adjustment of the Stated Amount of the
most subordinate of the Class B Subclasses then outstanding (that is, the Stated
Amount of the Class B Subclasses in reverse numerical order), and then to the
Class M CitiCertificates, in such amounts as are necessary to cause the sum of
the Class A Stated Amount, the Class M Stated Amount and the Class B Stated
Amount to equal the Pool Adjusted Balance.
The interest portion of any Realized Loss occurring on or after the
Subordination Depletion Date will be allocated among the outstanding Class A
Subclasses and the Unoffered Class A-IO CitiCertificates, in the manner
described in the second succeeding paragraph.
Allocations of (i) the principal portion of Debt Service Reductions, (ii)
the interest portion of Realized Losses (other than Excess Special Hazard
Losses, Excess Fraud Losses and Excess Bankruptcy Losses) and (iii) any interest
shortfalls resulting from delinquencies for which neither the Servicer nor the
Trustee advances will result from the priority of distribution of the Pool
Distribution Amount in accordance with the priorities stated in "SUMMARY OF
PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions" first to the
Class A and Unoffered Class A-IO CitiCertificates as described below, second to
the Class M CitiCertificates, third to the Class B-1 CitiCertificates, fourth to
the Class B-2 CitiCertificates and finally to the Unoffered Class B
CitiCertificates.
The principal portion of any Excess Special Hazard Losses, Excess Fraud
Losses or Excess Bankruptcy Losses will be allocated as follows: the applicable
PO Percentage of such Realized Losses shall be allocated to the Class A-4
CitiCertificates and the applicable Non-PO Percentage of such Realized Losses
shall be allocated in the case of a Realized Loss on a Group CB Loan, so that
the Class CB Percentage of such Realized Loss will be allocated to the Class CB
CitiCertificates and the remainder to the Subordinate CitiCertificates and, in
the case of a Realized Loss on a Group NB Loan, the Class NB Percentage of such
Realized Loss will be allocated to the Class NB CitiCertificates (other than the
Class A-4 CitiCertificates) and the remainder to the Subordinate
CitiCertificates. Among the Class CB CitiCertificates, Class NB CitiCertificates
and the Subordinated CitiCertificates, Realized Losses will be allocated, pro
rata, based on the aggregate Stated Amount of each such Class or Subclass. The
Class CB Percentage (in the case of the Group CB Loans) or Class NB Percentage
(in the case of the Group NB Loans) of the interest portion of any Excess
Special Hazard Losses, Excess Fraud Losses or Excess Bankruptcy Losses with
respect to a Mortgage Loan will be allocated among the holders of the Class CB
CitiCertificates and the Unoffered Class A-IO CB CitiCertificates
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<PAGE>
(in the case of the Group CB Loans) or the holders of the Class NB
CitiCertificates and the Unoffered Class A-IO NB CitiCertificates (in the case
of the Group NB Loans) in proportion to the amount of accrued interest that
would have been payable from the related Loan Group on such Distribution Date
absent such reductions. The remainder of such reductions will be allocated among
the holders of the Class M CitiCertificates and Class B CitiCertificates in
proportion to the respective amount of the accrued interest that would have been
payable on such Distribution date absent such reductions. Any losses allocated
to a particular Class A Subclass will be allocated among the outstanding
CitiCertificates within such Class A Subclass pro rata in accordance with their
respective Stated Amount, as the case may be. Any losses so allocated to a
particular class of Unoffered Class A-IO CitiCertificate or the Class M
CitiCertificates will be allocated among the outstanding CitiCertificates of
such Class, as the case may be, in accordance with their respective notional
amount or Stated Amount, as the case may be. Any losses so allocated to the
Class B CitiCertificates will be allocated among the outstanding Class B
Subclasses pro rata in accordance with their then outstanding Class B Subclass
Stated Amounts with respect to the principal portion of such losses and the
amounts of interest accrued with respect to the interest portion of such losses,
and among the outstanding CitiCertificates within each Class B Subclass pro rata
in accordance with their respective Stated Amounts.
The interest portion of Excess Special Hazard Losses, Excess Fraud Losses
and Excess Bankruptcy Losses allocable to the CitiCertificates will be allocated
by reducing the applicable amount of accrued interest payable on the Class A,
Unoffered Class A-IO, Class M and Class B CitiCertificates.
As described above, the Group Pool Distribution Amounts for any
Distribution Date will include current receipts (other than certain unscheduled
payments and recoveries in respect of principal) from the Mortgage Loans
otherwise payable to holders of the Class M and Class B CitiCertificates. In
general, if the Group Pool Distribution Amount for a related Loan Group is not
sufficient to cover the amount of the Group Non-PO Principal Amount for the
related Class A CitiCertificates on a particular Distribution Date (other than
the Class A-4 CitiCertificates with respect to the class NB CitiCertificates),
the percentage of principal payments on the Mortgage Loans to which holders of
such Class A CitiCertificates for the related Loan Group (other than the Class
A-4 CitiCertificates with respect to the Class NB CitiCertificates) will be
entitled (i.e., the applicable Class A Percentage) on and after the next
Distribution Date will be proportionately increased, thereby reducing, as a
relative matter, the respective interest of the Class M and Class B
CitiCertificates in future payments of principal on the Mortgage Loans in the
related Loan Group. Such a shortfall could occur, for example, if a considerable
number of Mortgage Loans were to become Liquidated Loans in a particular month.
Special Hazard Losses will be allocated first to the Class B Subclasses in
reverse numerical order, and then to the Class M CitiCertificates, but only
prior to the Special Hazard Termination Date. The "Special Hazard Termination
Date" will be the date on which such Special Hazard Losses exceed the Special
Hazard Loss Amount (or, if earlier, the Subordination Depletion Date). On the
Closing Date, the "Special Hazard Loss Amount" with respect thereto will be
equal to approximately 3.67% of the Initial Mortgage Loan Balance. As of any
Distribution Date, the Special Hazard Loss Amount will equal the initial Special
Hazard Loss Amount less the sum of (A) any Special Hazard Losses since the
Cut-Off Date and (B) the Adjustment Amount. The "Adjustment Amount" on each
anniversary of the Cut-Off Date will be equal to the amount, if any, by which
the Special Hazard Amount, without giving effect to the deduction of the
Adjustment Amount for such anniversary, exceeds the greater of (i) 1.00% (or, if
greater than 1.00%, the highest percentage of Mortgage Loans by principal
balance in any California ZIP code) times the Pool Adjusted Balance on such
anniversary and (ii) twice the Adjusted Balance of the single Mortgage Loan
having the largest Adjusted Balance. Special Hazard Losses in excess of the
Special Hazard Loss Amount are "Excess Special Hazard Losses."
Fraud Losses will be allocated first to the Class B Subclasses in reverse
numerical order, and then to the Class M CitiCertificates, but only prior to the
Fraud Coverage Termination Date. The "Fraud Coverage Termination Date" will be
the date on which such Fraud Losses exceed the Fraud Loss Amount (or, if
earlier, the Subordination Depletion Date). On the Closing Date, the "Fraud Loss
Amount" with respect thereto will be equal to approximately 2.00% of the Initial
Mortgage Loan Balance. On each Distribution Date thereafter, the Fraud Loss
Amount will equal (X) prior to the first anniversary of the Cut-Off Date an
amount equal to the initial Fraud Loss Amount minus the aggregate amount of
Fraud Losses since the Cut-Off Date up to the related Determination Date, and
(Y) from the second through the fifth anniversary of the Cut-Off Date, an amount
equal to (1) the lesser of (a) the Fraud Loss Amount as of the most recent
anniversary of the Cut-Off Date and (b) 1.00% of the Pool Adjusted Balance as of
the most recent anniversary of the Cut-Off Date minus (2) the aggregate amount
of Fraud Losses since the most recent anniversary of the Cut-Off Date. After the
fifth anniversary of the Cut-Off Date, the Fraud Loss Amount will be zero and
thereafter any Fraud
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<PAGE>
Losses will be shared pro rata among the CitiCertificates as described above.
Fraud Losses in excess of the Fraud Loss Amount are "Excess Fraud Losses."
Bankruptcy Losses will be allocated first to the Class B Subclasses in
reverse numerical order, and then to the Class M CitiCertificates, but only
prior to the Bankruptcy Coverage Termination Date. The "Bankruptcy Coverage
Termination Date" will be the date on which such Bankruptcy Losses exceed the
Bankruptcy Loss Amount (or, if earlier, the Subordination Depletion Date). On
the Closing Date, the "Bankruptcy Loss Amount" with respect thereto will be
equal to approximately 0.09% of the Initial Mortgage Loan Balance. As of any
Distribution Date prior to the first anniversary of the Cut-Off Date, the
Bankruptcy Loss Amount will equal the initial Bankruptcy Loss Amount minus the
aggregate amount of Bankruptcy Losses since the Cut-Off Date up to the related
Determination Date. As of any Distribution Date on or after the first
anniversary of the Cut-Off Date, the Bankruptcy Loss Amount will equal the
excess, if any, of (1) the lesser of (a) the Bankruptcy Loss Amount as of the
business day next preceding the most recent anniversary of the Cut-Off Date and
(b) $100,000 minus (2) the aggregate amount of Bankruptcy Losses since such
anniversary. The Bankruptcy Loss Amount and the related coverage levels
described above may be reduced or modified upon written confirmation from S&P
and Fitch that such reduction or modification will not adversely affect the
then-current ratings assigned to the CitiCertificates by S&P and Fitch. Such a
reduction or modification may adversely affect the coverage provided by
subordination with respect to Bankruptcy Losses. Bankruptcy Losses in excess of
the Bankruptcy Loss Amount are "Excess Bankruptcy Losses."
The exact amounts of Special Hazard Losses, Fraud Losses and Bankruptcy
Losses to be allocated first to the Unoffered Class B CitiCertificates, second
to the Class B-2 CitiCertificates, third to the Class B-1 CitiCertificates and
then to the Class M CitiCertificates (but in each case only prior to the related
termination date) will be those amounts required by the rating agency (or rating
agencies) rating the CitiCertificates as a condition of the ratings as set forth
above under "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Certificate
Ratings."
Notwithstanding the foregoing, the provisions relating to subordination
will not be applicable in connection with a Bankruptcy Loss so long as the
Servicer has notified the Trustee in writing that the Servicer is diligently
pursuing any remedies that may exist in connection with the representations and
warranties made regarding the related Mortgage Loan and when (A) the related
Mortgage Loan is not in default with regard to the payments due thereunder or
(B) delinquent payments of principal and interest under the related Mortgage
Loan and any premiums on any applicable standard hazard insurance policy and any
related escrow payments in respect of such Mortgage Loan are being advanced on a
current basis by the Servicer, in either case without giving effect to any Debt
Service Reduction.
Since the aggregate Initial Stated Amount of the Class M and Class B
CitiCertificates will be substantially less than the Initial Stated Amount of
the Class A CitiCertificates, the risk of Special Hazard Losses, Fraud Losses
and Bankruptcy Losses will be separately borne by the Class M and Class B
CitiCertificates to a lesser extent (i.e., only up to the Special Hazard Loss
Amount, Fraud Loss Amount and Bankruptcy Loss Amount, respectively) than the
risk of other Realized Losses, which they will bear to the full extent of their
respective Initial Stated Amounts. See "APPENDIX A: THE MORTGAGE LOANS AND
CITIMORTGAGECERTIFICATES" in the Prospectus.
The benefits of the subordination described herein will not cover
delinquencies and losses resulting from certain extraordinary events, including
(i) hostile or warlike action in time of peace or war; (ii) the use of any
weapon of war employing atomic fission or radioactive force whether in time of
peace or war; and (iii) insurrection, rebellion, revolution, civil war or any
usurped power or action taken by any governmental authority in preventing such
occurrences (but not including looting or rioting occurring not in time of war).
Losses and delinquencies resulting from such extraordinary events will be
allocated among the Class A Subclasses, Unoffered Class A-IO CitiCertificates,
Class M CitiCertificates and Class B Subclasses in the same manner as Excess
Special Hazard Losses, Excess Fraud Losses and Excess Bankruptcy Losses.
WEIGHTED AVERAGE LIVES OF THE OFFERED CITICERTIFICATES
Weighted average life refers to the average amount of time from the date of
issuance of such CitiCertificate until each dollar of principal of such
CitiCertificate will be repaid to the investor. The weighted average lives of
the Offered CitiCertificates will be influenced by the rate at which principal
on the Mortgage Loans is paid. Principal payments on mortgage loans may be in
the form of scheduled amortization or prepayments (for this purpose, the term
"prepayment" includes prepayments and liquidations due to default or other
dispositions of mortgage loans).
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<PAGE>
Prepayments on mortgage loans are commonly measured by a prepayment standard or
model. The model used in this Prospectus Supplement (the "Prepayment Model") is
based on an assumed rate of prepayment each month relative to the then unpaid
principal balance of a pool of new mortgage loans. 100% of the Prepayment Model
assumes prepayment rates of 0.2% per annum of the then unpaid 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 30th month. Beginning in the 30th month and
in each month thereafter during the life of the mortgage loans, 100% of the
Prepayment Model assumes a constant prepayment rate of 6.0% per annum.
As used in the following tables, "0% of the Prepayment Model" assumes no
prepayments on the Mortgage Loans; "400% of the Prepayment Model" assumes such
Mortgage Loans will prepay at rates equal to 400% of the Prepayment Model's
assumed prepayment rates and so forth.
There is no assurance, however, that prepayment of the Mortgage Loans will
conform to any level of the Prepayment Model. The rate of principal payments on
pools of mortgage loans is influenced by a variety of economic, geographic,
social and other factors, including the level of mortgage interest rates and the
rate at which homeowners sell their homes or default on their mortgage loans. In
general, if prevailing interest rates fall significantly below the interest
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 interest
rates on such Mortgage Loans. Conversely, if interest rates rise above the
interest rates on such Mortgage Loans, the rate of prepayment would be expected
to decrease. Other factors affecting prepayment of mortgage loans include
changes in mortgagors' housing needs, job transfers, unemployment and
mortgagors' net equity in the mortgaged properties. In addition, as homeowners
move or default on their mortgage loans, the houses are generally sold and the
mortgage loans prepaid, although some of the mortgage loans may be assumed by a
new buyer. The Mortgage Loans in the Trust generally have Note Rates that are
significantly higher than prevailing interest rates. As a result, there may be a
high rate of principal prepayments on the Mortgage Loans. Because the amount of
distributions in reduction of the Stated Amount of each Class A Subclass, the
Class M CitiCertificates and each Offered Class B Subclass will depend on the
rate of repayment (including prepayments) of the Mortgage Loans, and in the case
of each Class A Subclass, the Mortgage Loans in the related Loan Group, the date
by which the Stated Amount of any Class A Subclass, the Class M CitiCertificates
or any Offered Class B Subclass is reduced to zero is likely to occur earlier
than its respective Last Scheduled Distribution Date.
THE WEIGHTED AVERAGE LIVES OF THE OFFERED CITICERTIFICATES, AS WELL AS THE
YIELDS TO MATURITY OF THE OFFERED CITICERTIFICATES TO THE EXTENT THAT SUCH
CITICERTIFICATES ARE PURCHASED AT A DISCOUNT OR PREMIUM, WILL BE PARTICULARLY
SENSITIVE TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) ON THE
MORTGAGE LOANS IN THE RELATED LOAN GROUP OR LOAN GROUPS.
As described above under "SUMMARY OF PROSPECTUS AND PROSPECTUS
SUPPLEMENT--Distributions in Reduction of Stated Amount of the Offered
CitiCertificates," on each Distribution Date holders of the Class A
CitiCertificates with respect to a Loan Group (other than the Class A-4
CitiCertificates with respect to the Class NB CitiCertificates) will be entitled
to receive the related Class A Percentage of the applicable Non-PO Percentage of
all the Scheduled Principal with respect to the Mortgage Loans in the related
Loan Group, and the related Class A Prepayment Percentage of the applicable
Non-PO Percentage of the net proceeds of Liquidated Loans and of the prepayment
principal for its respective Loan Group. This will have the effect of
accelerating the amortization of the Class A CitiCertificates while, in the
absence of losses in respect of Liquidated Loans, increasing the respective
interest in the related Loan Group evidenced by the Class M and Class B
CitiCertificates.
The following table has been prepared on the basis of the expected
characteristics of the Mortgage Loans as set forth under "DESCRIPTION OF THE
POOL AND THE MORTGAGED PROPERTIES" herein. The percentages and weighted average
lives in the following table were determined assuming that (i) scheduled
interest and principal payments on the Mortgage Loans will be received in a
timely manner and prepayments are made at the indicated percentages of the
Prepayment Model set forth in the table; (ii) each Mortgage Loan in the CB Loan
Group will have an original term to maturity of 356 months, and a weighted
average remaining term to maturity of 264 months, will bear interest at the rate
of approximately 8.952% per annum, and have a rate of interest passed through to
holders of the CitiCertificates of approximately 8.702% per annum; (iii) each
Discount Mortgage Loan and Premium Mortgage Loan in the NB Loan Group will have
an original maturity of 349 months and 353 months, respectively, and a weighted
average remaining term to maturity of 296 months and 271 months, respectively,
will bear interest at the rate of approximately 6.500% per annum and 8.431% per
annum, respectively, and have a rate of interest passed through to holders of
the
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CitiCertificates of approximately 6.250% and 8.181% per annum, respectively.
(iii) CMSI does not exercise its right of optional termination; (iv) the Initial
Stated Amounts of the Class B-3, Class B-4 and Class B-5 CitiCertificates are
approximately $893,400, $558,300, and $502,622, respectively; (v) the aggregate
Adjusted Balance of the Mortgage Loans in the Group CB Loans is approximately
$22,399,352 and the aggregate Adjusted Balance of the Discount Mortgage Loans
and the Premium Mortgage Loans in the Group NB Loans are approximately
$2,732,181 and $86,540,487, respectively, and for each Class A Subclass, the
Class M CitiCertificates and each Offered Class B Subclass, the Initial Stated
Amount and the Stated Rate are as set forth on the cover page hereof; (vi) the
Closing Date is June 29, 1998; and (vii) distributions to holders of the
CitiCertificates will be made on the 25th day of each month commencing July 1998
(the foregoing assumptions are referred to herein as the "Structuring
Assumptions").
There are likely to be discrepancies between the characteristics of the
actual Mortgage Loans and the characteristics of the Mortgage Loans assumed in
preparing the following table. Any such discrepancy may have an effect upon the
percentages of the Initial Stated Amount outstanding (and the weighted average
lives) of the Class A Subclasses, the Class M CitiCertificates and the Offered
Class B Subclasses set forth in the table. In addition, to the extent that the
actual Mortgage Loans have characteristics that differ from those assumed in
preparing the table set forth below, the Stated Amount of each Class A Subclass,
the Class M CitiCertificates and each Offered Class B Subclass may be reduced to
zero earlier or later than indicated by such table.
It is not likely that (i) all of the Mortgage Loans will have the remaining
terms to maturity assumed, (ii) the Mortgage Loans will prepay at the indicated
percentages of the Prepayment Model set forth in the table, or (iii) all of
Mortgage Loans in the case of the CB Loan Group or all of the Discount Mortgage
Loans or the Premium Mortgage Loans in the case of the NB Loan Group will have
the respective mortgage interest rates assumed by the Structuring Assumptions.
In addition, the diverse remaining terms to maturity of the Mortgage Loans could
produce slower distributions in reduction of Stated Amounts than indicated in
the table at the various percentages of the Prepayment Model specified even if
the weighted average remaining terms to maturity of the Mortgage Loans are those
assumed.
Based on the foregoing assumptions, the following table indicates the
projected weighted average life of each Class A Subclass, the Class M
CitiCertificates and each Offered Class B Subclass and sets forth the percentage
of the Initial Stated Amount of each Class A Subclass, the Class M
CitiCertificates and each Offered Class B Subclass that would be outstanding
after each of the dates shown at the indicated percentages of the Prepayment
Model.
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<TABLE>
<CAPTION>
PERCENT OF INITIAL STATED AMOUNT OUTSTANDING FOR EACH CLASS OR SUBCLASS OF OFFERED CITICERTIFICATES AT
THE RESPECTIVE PERCENTAGES OF THE PREPAYMENT MODEL SET FORTH BELOW:
CLASS A-1 CITICERTIFICATES CLASS A-2 CITICERTIFICATES
--------------------------------------------- ---------------------------------------------
DISTRIBUTION DATE 0% 200% 400% 500% 600% 0% 200% 400% 500% 600%
- ----------------- --- ---- ---- ---- ---- --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Initial .................. 100 100 100 100 100 100 100 100 100 100
June 25, 1999 ............ 98 86 73 67 61 98 85 72 65 58
June 25, 2000 ............ 97 74 53 44 36 97 72 50 41 32
June 25, 2001 ............ 95 63 38 29 20 95 60 35 24 16
June 25, 2002 ............ 93 53 27 18 11 93 51 23 13 5
June 25, 2003 ............ 91 45 19 10 5 90 42 14 5 0
June 25, 2004 ............ 88 38 13 6 2 88 34 8 * 0
June 25, 2005 ............ 86 32 9 3 0 85 28 3 0 0
June 25, 2006 ............ 83 27 6 2 0 82 23 * 0 0
June 25, 2007 ............ 80 23 4 1 0 79 18 0 0 0
June 25, 2008 ............ 76 19 3 1 0 75 15 0 0 0
June 25, 2009 ............ 73 16 2 * 0 72 11 0 0 0
June 25, 2010 ............ 69 13 2 * 0 67 8 0 0 0
June 25, 2011 ............ 64 11 1 * 0 63 6 0 0 0
June 25, 2012 ............ 59 9 1 * 0 58 4 0 0 0
June 25, 2013 ............ 54 7 1 * 0 53 2 0 0 0
June 25, 2014 ............ 48 6 * * 0 47 * 0 0 0
June 25, 2015 ............ 42 4 * * 0 41 0 0 0 0
June 25, 2016 ............ 35 3 * * 0 34 0 0 0 0
June 25, 2017 ............ 27 2 * * 0 27 0 0 0 0
June 25, 2018 ............ 19 1 * * 0 19 0 0 0 0
June 25, 2019 ............ 10 1 * * 0 10 0 0 0 0
June 25, 2020 ............ 0 0 0 0 0 * 0 0 0 0
June 25, 2021 ............ 0 0 0 0 0 0 0 0 0 0
June 25, 2022 ............ 0 0 0 0 0 0 0 0 0 0
June 25, 2023 ............ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years) (1) ....... 14.4 5.9 3.0 2.3 1.8 14.2 5.1 2.5 2.0 1.6
<CAPTION>
CLASS A-3 CITICERTIFICATES
---------------------------------------------
DISTRIBUTION DATE 0% 200% 400% 500% 600%
- ----------------- --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial .................. 100 100 100 100 100
June 25, 1999 ............ 100 100 100 100 100
June 25, 2000 ............ 100 100 100 100 100
June 25, 2001 ............ 100 100 100 100 100
June 25, 2002 ............ 100 100 100 100 100
June 25, 2003 ............ 100 100 100 100 80
June 25, 2004 ............ 100 100 100 100 26
June 25, 2005 ............ 100 100 100 56 0
June 25, 2006 ............ 100 100 100 30 0
June 25, 2007 ............ 100 100 75 18 0
June 25, 2008 ............ 100 100 55 12 0
June 25, 2009 ............ 100 100 40 8 0
June 25, 2010 ............ 100 100 29 5 0
June 25, 2011 ............ 100 100 20 3 0
June 25, 2012 ............ 100 100 14 2 0
June 25, 2013 ............ 100 100 10 1 0
June 25, 2014 ............ 100 100 7 1 0
June 25, 2015 ............ 100 80 5 1 0
June 25, 2016 ............ 100 60 3 * 0
June 25, 2017 ............ 100 43 2 * 0
June 25, 2018 ............ 100 29 1 * 0
June 25, 2019 ............ 100 16 1 * 0
June 25, 2020 ............ 100 6 * * 0
June 25, 2021 ............ 6 * * * 0
June 25, 2022 ............ 3 * * * 0
June 25, 2023 ............ 0 0 0 0 0
Weighted Average
Life (Years) (1) ....... 22.4 18.9 11.1 7.9 5.6
<FN>
(1) The weighted average life of each Class or Subclass of Offered CitiCertificates is determined by (i) multiplying the amount of
each distribution in reduction of Stated Amount by the number of years from the date of issuance of the Offered
CitiCertificates to the related Distribution Date, (ii) adding the results and (iii) dividing the sum by the Initial Stated
Amount of the Class or Subclass of the Offered CitiCertificates.
* Indicates an amount above zero and less than 0.5% of Initial Stated Amount is outstanding.
</FN>
</TABLE>
S-42
<PAGE>
<TABLE>
<CAPTION>
PERCENT OF INITIAL STATED AMOUNT OUTSTANDING FOR EACH CLASS OR SUBCLASS OF OFFERED CITICERTIFICATES AT THE
RESPECTIVE PERCENTAGES OF THE PREPAYMENT MODEL SET FORTH BELOW:
CLASS A-4 CITICERTIFICATES
---------------------------------------------
DISTRIBUTION DATE 0% 200% 400% 500% 600%
- ------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial ................... 100 100 100 100 100
June 25, 1999 ............. 98 87 75 69 63
June 25, 2000 ............. 96 75 56 47 40
June 25, 2001 ............. 95 64 42 32 25
June 25, 2002 ............. 93 55 31 22 16
June 25, 2003 ............. 90 48 23 15 10
June 25, 2004 ............. 88 41 17 10 6
June 25, 2005 ............. 85 35 13 7 4
June 25, 2006 ............. 83 30 9 5 2
June 25, 2007 ............. 80 25 7 3 1
June 25, 2008 ............. 77 21 5 2 1
June 25, 2009 ............. 74 18 4 1 1
June 25, 2010 ............. 70 15 3 1 *
June 25, 2011 ............. 66 13 2 1 *
June 25, 2012 ............. 63 10 1 * *
June 25, 2013 ............. 58 9 1 * *
June 25, 2014 ............. 54 7 1 * *
June 25, 2015 ............. 49 6 * * *
June 25, 2016 ............. 44 4 * * *
June 25, 2017 ............. 39 3 * * *
June 25, 2018 ............. 33 3 * * *
June 25, 2019 ............. 27 2 * * *
June 25, 2020 ............. 20 1 * * *
June 25, 2021 ............. 13 1 * * *
June 25, 2022 ............. 5 * * * *
June 25, 2023 ............. 0 0 0 0 0
Weighted Average
Life (Years) (1) ........15.5 6.2 3.4 2.7 2.2
<FN>
(1) The weighted average life of each Class or Subclass of Offered CitiCertificates is determined by (i) multiplying the amount of
each distribution in reduction of Stated Amount by the number of years from the date of issuance of the Offered
CitiCertificates to the related Distribution Date, (ii) adding the results and (iii) dividing the sum by the Initial Stated
Amount of the Class or Subclass of the Offered CitiCertificates.
* Indicates an amount above zero and less than 0.5% of Initial Stated Amount is outstanding.
</FN>
</TABLE>
S-43
<PAGE>
<TABLE>
<CAPTION>
PERCENT OF INITIAL STATED AMOUNT OUTSTANDING FOR EACH CLASS OR SUBCLASS OF OFFERED CITICERTIFICATES AT
THE RESPECTIVE PERCENTAGES OF THE PREPAYMENT MODEL SET FORTH BELOW:
CLASS M CITICERTIFICATES CLASS B-1 CITICERTIFICATES
--------------------------------------------- ---------------------------------------------
DISTRIBUTION DATE 0% 200% 400% 500% 600% 0% 200% 400% 500% 600%
- ------------------ --- ---- ---- ---- ---- --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Initial ................. 100 100 100 100 100 100 100 100 100 100
June 25, 1999 ........... 98 98 98 98 98 98 98 98 98 98
June 25, 2000 ........... 97 97 97 97 97 97 97 97 97 97
June 25, 2001 ........... 95 95 95 95 95 95 95 95 95 95
June 25, 2002 ........... 93 93 93 93 93 93 93 93 93 93
June 25, 2003 ........... 91 91 91 91 91 91 91 91 91 91
June 25, 2004 ........... 88 85 81 80 77 88 85 81 80 77
June 25, 2005 ........... 86 79 71 67 63 86 79 71 67 63
June 25, 2006 ........... 83 70 58 52 39 83 70 58 52 39
June 25, 2007 ........... 80 61 45 38 24 80 61 45 38 24
June 25, 2008 ........... 77 52 33 26 15 77 52 33 26 15
June 25, 2009 ........... 73 43 24 17 9 73 43 24 17 9
June 25, 2010 ........... 69 36 17 11 5 69 36 17 11 5
June 25, 2011 ........... 65 30 12 7 3 65 30 12 7 3
June 25, 2012 ........... 60 24 9 5 2 60 24 9 5 2
June 25, 2013 ........... 55 20 6 3 1 55 20 6 3 1
June 25, 2014 ........... 50 16 4 2 1 50 16 4 2 1
June 25, 2015 ........... 44 12 3 1 * 44 12 3 1 *
June 25, 2016 ........... 37 9 2 1 * 37 9 2 1 *
June 25, 2017 ........... 30 6 1 * * 30 6 1 * *
June 25, 2018 ........... 22 4 1 * * 22 4 1 * *
June 25, 2019 ........... 14 2 * * * 14 2 * * *
June 25, 2020 ........... 5 1 * * * 5 1 * * *
June 25, 2021 ........... * * * * * * * * * *
June 25, 2022 ........... * * * * * * * * * *
June 25, 2023 ........... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years) (1) ...... 14.7 10.8 8.9 8.4 7.6 14.7 10.8 8.9 8.4 7.6
<CAPTION>
CLASS B-2 CITICERTIFICATES
---------------------------------------------
DISTRIBUTION DATE 0% 200% 400% 500% 600%
- ------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial ................. 100 100 100 100 100
June 25, 1999 ........... 98 98 98 98 98
June 25, 2000 ........... 97 97 97 97 97
June 25, 2001 ........... 95 95 95 95 95
June 25, 2002 ........... 93 93 93 93 93
June 25, 2003 ........... 91 91 91 91 91
June 25, 2004 ........... 88 85 81 80 77
June 25, 2005 ........... 86 79 71 67 63
June 25, 2006 ........... 83 70 58 52 39
June 25, 2007 ........... 80 61 45 38 24
June 25, 2008 ........... 77 52 33 26 15
June 25, 2009 ........... 73 43 24 17 9
June 25, 2010 ........... 69 36 17 11 5
June 25, 2011 ........... 65 30 12 7 3
June 25, 2012 ........... 60 24 9 5 2
June 25, 2013 ........... 55 20 6 3 1
June 25, 2014 ........... 50 16 4 2 1
June 25, 2015 ........... 44 12 3 1 *
June 25, 2016 ........... 37 9 2 1 *
June 25, 2017 ........... 30 6 1 * *
June 25, 2018 ........... 22 4 1 * *
June 25, 2019 ........... 14 2 * * *
June 25, 2020 ........... 5 1 * * *
June 25, 2021 ........... * * * * *
June 25, 2022 ........... * * * * *
June 25, 2023 ........... 0 0 0 0 0
Weighted Average
Life (Years) (1) ...... 14.7 10.8 8.9 8.4 7.6
<FN>
(1) The weighted average life of each Class or Subclass of Offered CitiCertificates is determined by (i) multiplying the amount of
each distribution in reduction of Stated Amount by the number of years from the date of issuance of the Offered
CitiCertificates to the related Distribution Date, (ii) adding the results and (iii) dividing the sum by the Initial Stated
Amount of the Class or Subclass of the Offered CitiCertificates.
* Indicates an amount above zero and less than 0.5% of Initial Stated Amount is outstanding.
</FN>
</TABLE>
S-44
<PAGE>
PREPAYMENT AND YIELD CONSIDERATIONS
The yield to maturity and weighted average lives of the Offered
CitiCertificates will be sensitive in varying degrees to, among other things,
the rate of prepayment of the Mortgage Loans in the related Loan Group or Loan
Groups, as applicable, the allocation of such prepayments to the Class A,
Unoffered Class A-IO, Class M and Class B CitiCertificates and the timing and
extent of losses, if any, allocable to the Class A, Unoffered Class A-IO, 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 Offered Class B CitiCertificates will be more
sensitive than the yield to maturity on the Class A, Unoffered Class A-IO and
Class M CitiCertificates to losses due to defaults on the Mortgage Loans (and
the timing thereof), to the extent not covered by the Unoffered Class B
CitiCertificates, because the entire amount of such losses will be allocable to
the Offered Class B CitiCertificates in reverse numerical order prior to the
Class A and Class M CitiCertificates except as otherwise provided herein. To the
extent not covered by advances, delinquencies on Mortgage Loans may also have a
relatively greater effect on the yield to investors in the Offered Class B
CitiCertificates. Amounts otherwise distributable to holders of the Offered
Class B CitiCertificates will be made available in accordance with the
priorities set forth in "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--
Priority of Distributions" to protect holders of the Class A, Unoffered Class
A-IO and Class M CitiCertificates against interruptions in distributions due to
certain mortgagor delinquencies. Such delinquencies, to the extent not covered
by the Unoffered Class B CitiCertificates, even if subsequently cured, may
affect the timing of the receipt of distributions by holders of the Offered
Class B CitiCertificates.
If the purchaser of an Offered CitiCertificate offered at a discount from
its parity price (as described below) calculates the anticipated yield to
maturity of such Offered CitiCertificate based on an assumed rate of payment of
principal that is faster than that actually received on the Mortgage Loans in
the related Loan Group or Loan Groups, as applicable, assuming all other
relevant circumstances are unchanged, the actual yield to maturity will be lower
than that so calculated. If the purchaser of an Offered CitiCertificate which
was instead offered at a premium over its parity price calculates the
anticipated yield to maturity of such Offered CitiCertificate on an assumed rate
of payment of principal that is slower than that actually received on the
Mortgage Loans in the related Loan Group or Loan Groups, as applicable, assuming
all other relevant circumstances are unchanged, the actual yield to maturity
will be lower than that so calculated. Parity price is the price at which an
Offered CitiCertificate will yield its coupon, after giving effect to any
payment delay.
The timing of changes in the rate of prepayments on the Mortgage Loans in
the related Loan Group or Loan Groups, as applicable may significantly affect an
investor's actual yield to maturity, even if the average rate of principal
payments is consistent with an investor's expectation. In general, the earlier a
prepayment of principal on the Mortgage Loans in the related Loan Group or Loan
Groups, as applicable, the greater the effect on an investor's yield to
maturity. As a result, the effect on an investor's yield of principal payments
occurring at a rate higher (or lower) than the rate anticipated by the investor
during the period immediately following the issuance of the Offered
CitiCertificates will not be offset by a subsequent like reduction (or increase)
in the rate of principal payments.
The Issuer intends to file certain additional yield tables and other
computational material with respect to one or more Class A Subclasses, the Class
M CitiCertificates and the Offered Class B Subclasses with the Commission in a
Report on Form 8-K. See "INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE"
herein. Such tables and materials were prepared by the Underwriter at the
request of certain prospective investors, based on assumptions provided by, and
satisfying the special requirements of, such investors. Such tables and
assumptions may be based on assumptions that differ from the Structuring
Assumptions. Accordingly, such tables and other materials may not be relevant to
or appropriate for investors other than those specifically requesting them.
Because the rate of principal payments (including prepayments) on the
Mortgage Loans in the related Loan Group or Loan Groups, as applicable, may
significantly affect the weighted average life and other characteristics on any
Class A Subclass, the Class M CitiCertificates or any Offered Class B Subclass,
prospective investors are urged to consult their investment advisors and to
consider their own estimates as to the anticipated rate of future prepayments on
the Mortgage Loans and the suitability of the Class A CitiCertificates, the
Class M CitiCertificates and Offered Class B CitiCertificates to their
investment objectives.
S-45
<PAGE>
SENSITIVITY OF THE CLASS A-4 CITICERTIFICATES
THE YIELD TO INVESTORS IN THE CLASS A-4 CITICERTIFICATES WILL BE EXTREMELY
SENSITIVE TO THE RATE AND TIMING OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS)
ON THE DISCOUNT MORTGAGE LOANS, WHICH RATE MAY FLUCTUATE SIGNIFICANTLY FROM TIME
TO TIME. BECAUSE PAYMENTS IN REDUCTION OF THE STATED AMOUNT OF CLASS A-4
CITICERTIFICATES WILL BE DIRECTLY RELATED TO THE RATE OF PRINCIPAL PAYMENTS ON
THE DISCOUNT MORTGAGE LOANS, PAYMENTS IN REDUCTION OF THE CLASS A-4
CITICERTIFICATES WILL BE DIFFERENT AND MOST LIKELY SLOWER THAN THE POOL TAKEN AS
A WHOLE.
The following table indicates sensitivity to various rates of prepayment on
the Discount Mortgage Loans of the pre-tax yields to maturity on a corporate
bond equivalent basis of the Class A-4 CitiCertificates. Such calculations are
based on distributions made in accordance with "SUMMARY OF PROSPECTUS AND
PROSPECTUS SUPPLEMENT--Distributions in Reduction of Stated Amount of the
Offered CitiCertificates" herein, on the assumptions which pertain to the
Discount Mortgage Loans described in clauses (i) through (vii) of the sixth
paragraph under the heading "DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Weighted Average Lives of the Offered CitiCertificates" and on the further
assumption that the Class A-4 CitiCertificates will be purchased on June 29,
1998 at an aggregate purchase price equal to approximately 65.00% of the Initial
Stated Amount thereof.
<TABLE>
<CAPTION>
SENSITIVITY OF THE CLASS A-4 CITICERTIFICATES TO PREPAYMENTS
PERCENTAGE OF PREPAYMENT MODEL
--------------------------------------------------------------------------
0% 200% 400% 500% 600%
----- ----- ------ ------ ------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yield .................................... 2.92% 8.39% 16.28% 20.91% 26.06%
</TABLE>
The pre-tax yields set forth in the preceding table were calculated by (i)
determining the monthly discount rates which, when applied to the assumed stream
of cash flows to be paid on the Class A-4 CitiCertificates, would cause the
discounted present value of such assumed stream of cash flows to equal an
assumed purchase price for each Class A-4 CitiCertificate equal to 65.00% of the
Initial Stated Amount thereof and (ii) converting such monthly rates to
corporate bond equivalent rates. Such calculation does not take into account the
interest rates at which investors may be able to reinvest funds received by them
as distributions on the Class A-4 CitiCertificates and consequently does not
purport to reflect the return on any investment in Class A-4 CitiCertificates
when such reinvestment rates are considered.
Notwithstanding the assumed prepayment rate reflected in the preceding
table, it is highly unlikely that the Discount Mortgage Loans will prepay at a
constant rate until maturity or that all of the Discount Mortgage Loans will
prepay at the same time. A lower than anticipated rate of principal prepayments
on the Discount Mortgage Loans will have an adverse effect on the yield to
maturity of the Class A-4 CitiCertificates. Because the Discount Mortgage Loans
have NNRs that are lower than the NNRs of the Premium Mortgage Loans, the
Discount Mortgage Loans are generally likely to prepay at a lower rate under
most circumstances. There are likely to be discrepancies between the
characteristics of the actual Discount Mortgage Loans and the characteristics of
the Discount Mortgage Loans assumed in preparing the table. As a result of these
factors, the pre-tax yields on the Class A-4 CitiCertificates are likely to
differ from those shown in such table, even if all of the Discount Mortgage
Loans prepay at the indicated percentages of the Prepayment Model. Investors are
urged to make their investment decisions based on their determinations as to
anticipated rates of prepayment under a variety of scenarios.
YIELD CONSIDERATIONS WITH RESPECT TO THE OFFERED CLASS B CITICERTIFICATES
If the Unoffered Class B Stated Amount has been reduced to zero, the yield
to maturity on the Offered Class B CitiCertificates will become extremely
sensitive to losses on the Mortgage Loans and the timing thereof, because the
entire amount of such losses (other than Excess Fraud Losses, Excess Special
Hazard Losses and Excess Bankruptcy Losses, as described herein) will be
allocated first to the Class B-2 CitiCertificates until the Stated Amount
thereof has been reduced to zero, and then to the Class B-1 CitiCertificates.
Defaults on the Mortgage Loans may be measured relative to a default
standard or model. The model used in the following tables, the standard default
assumption ("SDA"), represents an assumed rate of default each month relative to
the then outstanding principal balance of a pool of new mortgage loans. A
default assumption of 100% SDA assumes constant default rates of 0.02% per annum
of the then outstanding principal balance of such mortgage loans
S-46
<PAGE>
in the first month of the life of the mortgage loans and an additional 0.02% per
annum in each month thereafter until the 30th month. Beginning in the 30th month
and in each month thereafter through the 60th month of the life of the mortgage
loans, 100% SDA assumes a constant default rate of 0.60% per annum each month.
Beginning in the 61st month and in each month thereafter through the 120th month
of the life of the mortgage loans, 100% SDA assumes that the constant default
rate declines each month by 0.0095% per annum, and that the constant default
rate remains at 0.03% per annum in each month after the 120th month. As used in
the table below, "50% SDA" assumes default rates equal to the product of 0.50
and the 100% SDA assumed default rate, "100% SDA" assumes default rates equal to
the product of 1.00 and the 100% SDA assumed default rate, "125% SDA" assumes
default rates equal to the product of 1.25 and the 100% SDA assumed default rate
and so forth. SDA does not purport to be a historical description of default
experience or a prediction of the anticipated rate of default of any pool of
mortgage loans, including the Mortgage Loans.
The following yield tables have been prepared using the Structuring
Assumptions, except that, in lieu of clause (i) of the Structuring Assumptions,
it was assumed that (i) scheduled interest and principal payments on the
Mortgage Loans are received timely, other than with respect to Mortgage Loans on
which it is assumed the defaults occur monthly in accordance with the indicated
percentages of SDA. In addition, it was assumed that (i) realized losses on
liquidations of a specified percentage of the outstanding principal balance of
such liquidated Mortgage Loans for each Loan Group, as indicated in the table
(referred to as the "Loss Severity Percentage"), will occur at the time of
liquidation which shall be twelve months after the date of default; (ii) there
are no Excess Special Hazard Losses, Excess Fraud Losses or Excess Bankruptcy
Losses; (iii) reductions of the applicable Class A Prepayment Percentages are
taken only when permitted as described under "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Distributions in Reduction of Stated Amount" in this
Prospectus Supplement, and that there are no delinquent loans other than
Liquidated Loans; and (iv) there are no Non-Supported Interest Shortfalls.
The rate of distributions in reduction of Stated Amount on the Offered
Class B CitiCertificates will be directly related to the actual amortization
schedule of the Mortgage Loans; accordingly, the interest distributions and
distributions in reduction of Stated Amount received on the Offered Class B
CitiCertificates may result in pre-tax yields which differ from those reflected
below. The Mortgage Loans will not have the characteristics assumed, and it is
unlikely that they will prepay at any of the rates specified. The assumed
percentages of liquidations and loss severities on the Mortgage Loans shown in
the table below are for illustrative purposes only and the Issuer makes no
representations with respect to the reasonableness of such assumptions or that
the actual liquidation and loss severity experience of the Mortgage Loans will
in any way correspond to any of the assumptions made herein. Consequently, there
can be no assurance that the pre-tax yield to an investor in the Offered Class B
CitiCertificates will correspond to any of the pre-tax yields shown below.
The pre-tax yields set forth in the following tables were calculated by
determining the monthly discount rates which, when applied to the assumed
streams of cash flows to be paid on the Offered Class B CitiCertificates, would
cause the discounted present value of such assumed streams of cash flows as of
June 29, 1998 to equal the respective assumed purchase prices indicated plus
accrued interest at the Stated Rate from (and including) the Cut-Off Date to
(but excluding) June 29, 1998, and converting such monthly rates to corporate
bond equivalent rates. Such calculation does not take into account variations
that may occur in the interest rates at which investors may be able to reinvest
funds received by them as reductions of the Stated Amount on the Offered Class B
CitiCertificates and consequently does not purport to reflect the return on any
investment in Offered Class B CitiCertificates when such reinvestment rates are
considered. The assumed purchase price is equal to the percentage stated in each
table.
<TABLE>
<CAPTION>
PRE-TAX YIELD TO MATURITY OF THE CLASS B-1 CITICERTIFICATES
(AT AN ASSUMED PURCHASE PRICE OF 99.50%
OF THEIR INITIAL STATED AMOUNT PLUS ACCRUED INTEREST)
PREPAYMENT SPEED
-----------------------------------------------------------------------------------------
20% LOSS SEVERITY 40% LOSS SEVERITY
-------------------------------------- --------------------------------------
SDA PERCENTAGE 200% 400% 500% 200% 400% 500%
-------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
50% 6.85% 6.85% 6.85% 6.85% 6.85% 6.85%
75% 6.85 6.85 6.85 6.85 6.85 6.85
100% 6.85 6.85 6.85 6.85 6.85 6.85
125% 6.85 6.85 6.85 6.85 6.85 6.85
</TABLE>
S-47
<PAGE>
<TABLE>
<CAPTION>
PRE-TAX YIELD TO MATURITY OF THE CLASS B-2 CITICERTIFICATES
(AT AN ASSUMED PURCHASE PRICE OF 98.00%
OF THEIR INITIAL STATED AMOUNT PLUS ACCRUED INTEREST)
PREPAYMENT SPEED
------------------------------------------------------------------------------------------
20% LOSS SEVERITY 40% LOSS SEVERITY
-------------------------------------- ---------------------------------------
SDA PERCENTAGE 200% 400% 500% 200% 400% 500%
-------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
50% 7.07% 7.10% 7.11% 7.07% 7.10% 7.11%
75% 7.07 7.10 7.11 7.07 7.10 7.11
100% 7.07 7.10 7.11 7.07 7.10 7.11
125% 7.07 7.10 7.11 7.07 7.10 7.11
</TABLE>
The following table sets forth the amount of Realized Losses that would be
incurred with respect to the CitiCertificates in the aggregate under each of the
scenarios in the preceding tables, expressed as a percentage of the Initial
Mortgage Loan Balance:
<TABLE>
<CAPTION>
AGGREGATE REALIZED LOSSES
PREPAYMENT SPEED
------------------------------------------------------------------------------------------
20% LOSS SEVERITY 40% LOSS SEVERITY
-------------------------------------- ---------------------------------------
SDA PERCENTAGE 200% 400% 500% 200% 400% 500%
-------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
50% 0.06% 0.05% 0.05% 0.13% 0.10% 0.09%
75% 0.10 0.08 0.07 0.19 0.15 0.14
100% 0.13 0.10 0.09 0.26 0.20 0.18
125% 0.16 0.13 0.11 0.32 0.25 0.23
</TABLE>
OPTIONAL TERMINATION
Holders of all outstanding CitiCertificates may receive a distribution
reducing the Stated Amount of such CitiCertificates to zero upon the repurchase
by CMSI of the underlying Mortgage Loans and any property acquired in respect
thereof in full, at CMSI's option, at any time after the Pool Adjusted Balance
is less than 5% of the Initial Mortgage Loan Balance, provided CMSI has received
an opinion of counsel or other evidence that such repurchase and the related
distribution will constitute a "qualified liquidation" within the meaning of
Code Section 860F(a)(4)(A), will not affect the REMIC status of the Trust and
will not otherwise subject the Trust to tax. CMSI reserves the right to transfer
its right to repurchase the Mortgage Loans as described above to any third
party. See "THE POOLING AGREEMENTS--Termination; Repurchase of Mortgage Loans
and Mortgage Certificates" in the Prospectus. Any such final distribution in
reduction of Stated Amount with respect to the CitiCertificates will be paid to
Certificateholders in order of their priority of distribution as described under
"SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of Distributions."
The proceeds from such a distribution may not be sufficient to distribute the
full amount to which each Class is entitled if the purchase price is based in
part on the fair market value of the acquired property of the Trust.
TRUSTEE AND AGENTS
The trustee for the CitiCertificates will be The Bank of New York, which
will also act as Paying Agent, Transfer Agent and Certificate Registrar for the
CitiCertificates.
SERVICING COMPENSATION
CMSI will act as servicer of the Mortgage Loans, as well as REMIC servicer
for the Pool (together, the "Servicer"). CMSI will be entitled to Servicing
Compensation equal to a monthly fee of 0.25% per annum of the aggregate Adjusted
Balance of the Mortgage Loans (the "Servicing Fee"), payable from interest
payments received
S-48
<PAGE>
in respect of the Mortgage Loans, as well as late payment charges, assumption
fees and other similar amounts set forth in the Pooling Agreement. CMSI
currently intends to subcontract its duties as Servicer of the Mortgage Loans to
CMI.
The Servicer will pay the expenses of the Trust, including the Trustee's
fee, accounting fees and other related expenses. See "DESCRIPTION OF
CERTIFICATES-- The Servicer" in the Prospectus.
BOOK-ENTRY REGISTRATION
Each of the Offered Senior CitiCertificates (other than the Class A-4
CitiCertificates) will initially be issued in book-entry form and will be
represented by a single physical certificate registered in the name of Cede, as
nominee of DTC, which will be the "holder" or "Certificateholder" of such Class
A CitiCertificates as such terms are used herein. No Beneficial Owner will be
entitled to receive a certificate representing such person's interest in the
Book-Entry CitiCertificates or the Trust, except as set forth below under
"--Definitive Certificates." Unless and until Definitive Certificates (as
defined herein) are issued under the limited circumstances described herein, all
references to actions taken by Certificateholders or holders shall refer to
actions taken by DTC upon instructions from its Participants (as defined below),
and all references herein to distributions and notices of redemption to
Certificateholders or holders shall refer to distributions and notices of
redemption to DTC or Cede, as the registered holder of the Book-Entry
CitiCertificates for distribution to Participants in accordance with DTC
procedures.
DTC is a limited purpose trust company organized under the laws of the
State of New York, a member of the Federal Reserve System, a "clearing
corporation" within the meaning of the Uniform Commercial Code as adopted in the
State of New York and a "clearing agency" registered pursuant to Section 17A of
the Securities Exchange Act of 1934, as amended. DTC was created to hold
securities for its participating organizations ("Participants") and to
facilitate the clearance and settlement of securities transactions between
Participants through electronic book-entries, thereby eliminating the need for
physical movement of certificates. Participants include securities brokers and
dealers (including the Underwriter), banks, trust companies and clearing
corporations. Indirect access to the DTC system also is available to others such
as banks, brokers, dealers and trust companies that clear through or maintain a
custodial relationship with a Participant, either directly or indirectly
("Indirect Participants").
Under the rules, regulations and procedures creating and affecting DTC and
its operations (the "Rules"), DTC is required to make book-entry transfers of
Book-Entry CitiCertificates among Participants on whose behalf it acts with
respect to the Book-Entry CitiCertificates and to receive and transmit
distributions of principal of and interest on the Book-Entry CitiCertificates.
Participants and Indirect Participants with which Beneficial Owners have
accounts with respect to the Book-Entry CitiCertificates similarly are required
to make book-entry transfers and receive and transmit such payments on behalf of
their respective Beneficial Owners.
Beneficial Owners that are not Participants or Indirect Participants but
desire to purchase, sell or otherwise transfer ownership of, or other interests
in, Book-Entry CitiCertificates may do so only through Participants and Indirect
Participants. In addition, Beneficial Owners will receive all distributions of
principal and interest from the Trustee, or a paying agent on behalf of the
Trustee, through DTC Participants. DTC will forward such distributions to its
Participants, which thereafter will forward them to Indirect Participants or
Beneficial Owners. Beneficial Owners will not be recognized by the Trustee, the
Servicer or any paying agent as Certificateholders, as such term is used in the
Pooling Agreement, and Beneficial Owners will be permitted to exercise the
rights of Certificateholders only indirectly through DTC and its Participants.
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 to pledge Book-Entry CitiCertificates to persons or entities that do not
participate in the DTC system, or to otherwise act with respect to such
Book-Entry CitiCertificates, may be limited due to the lack of a physical
certificate for such Book-Entry CitiCertificates. In addition, under a
book-entry format, Beneficial Owners may experience delays in receipt of their
payments, since distributions will be made by the Servicer, or a paying agent on
behalf of the Servicer, to Cede, as nominee for DTC.
DTC has advised the Issuer that it will take any action permitted to be
taken by a Certificateholder under the Pooling Agreement only at the direction
of one or more Participants to whose accounts with DTC the Book-Entry
CitiCertificates are credited. Additionally, DTC has advised the Issuer that it
will take such actions only at the direction of and on behalf of Participants
whose holdings of Book-Entry CitiCertificates evidence the corresponding
percentage of ownership interests. DTC may take conflicting actions to the
extent that Participants whose holdings of Book-Entry CitiCertificates evidence
such percentage of ownership interests authorize divergent action.
S-49
<PAGE>
Neither the Issuer, the Servicer nor the Trustee will have any
responsibility for any aspect of the records relating to or payments made on
account of beneficial ownership interests of Book-Entry CitiCertificates held by
Cede, as nominee for DTC, or for maintaining, supervising or reviewing any
records relating to such beneficial ownership interests.
DEFINITIVE CERTIFICATES
The Class A-4 CitiCertificates, the Class M CitiCertificates, the Unoffered
Class A-IO CitiCertificates, the Offered Class B CitiCertificates, the Unoffered
Class B CitiCertificates and the Residual Certificates will be issued in fully
registered, certificated form ("Definitive Certificates"). The Book-Entry
CitiCertificates will be issued as Definitive Certificates to Beneficial Owners
or their nominees, rather than to DTC or its nominee, only if (i) the Servicer
advises the Trustee in writing that DTC is no longer willing or able to
discharge properly its responsibilities as depository with respect to the
Book-Entry CitiCertificates and the Servicer is unable to locate a qualified
successor, (ii) the Servicer, at its option, elects to terminate the book-entry
system through DTC or (iii) after the occurrence of a dismissal or resignation
of the Servicer under the Pooling Agreement, Beneficial Owners representing not
less than 51% of the ownership interests of each outstanding Subclass of
Book-Entry CitiCertificates advise the Trustee through DTC in writing that the
continuation of a book-entry system through DTC (or a successor thereto) is no
longer in the Beneficial Owners' best interest.
Upon the occurrence of any event described in the preceding paragraph, the
Trustee will be required to notify all Beneficial Owners through Participants of
the availability of Definitive Certificates.
Upon surrender by DTC of the definitive CitiCertificates representing the
Book-Entry CitiCertificates and receipt of instructions for re-registration, the
Trustee will reissue the Book-Entry CitiCertificates as Definitive Certificates
to Beneficial Owners. Distributions of principal of, and interest on, the
Book-Entry CitiCertificates will thereafter be made by the Trustee, or a paying
agent on behalf of the Trustee, directly to holders of Definitive Certificates
in accordance with the procedures set forth in the Pooling Agreement.
Definitive Certificates will be transferable and exchangeable at the
offices of the Trustee. No service charge will be imposed for any registration
of transfer or exchange, but the Trustee may require payment of a sum sufficient
to cover any tax or other governmental charge imposed in connection therewith.
REPORTS TO CERTIFICATEHOLDERS
Unless and until Definitive Certificates are issued in respect of the
Book-Entry CitiCertificates, monthly and annual reports containing information
concerning the Trust and prepared by the Servicer pursuant to the Pooling
Agreement will be sent to Cede as nominee of DTC and registered holder of the
Book-Entry CitiCertificates, as well as to holders of the Definitive
Certificates. The Pooling Agreement does not require the sending of any
financial reports to the Beneficial Owners. Beneficial Owners may obtain copies
of any Distribution Date statement free of charge upon request from the Servicer
at (314) 256-6406.
VOTING RIGHTS
At all times, 98% of the voting rights of holders of the CitiCertificates
under the Pooling Agreement will be allocated among the Class A
CitiCertificates, the Class M CitiCertificates and the Class B CitiCertificates
based upon such Class's pro rata interest in the Trust. The holders of the
Unoffered Class A-IO CitiCertificates will be allocated 2% of such voting
rights. Voting rights will be allocated among the Subclasses of the same Class
in proportion to their percentage interest in such Class based on their Stated
Amounts.
CERTAIN ERISA CONSIDERATIONS
The Department of Labor has granted to the Underwriter an individual
exemption, Prohibited Transaction Exemption PTE 90-30 (the "Exemption"), from
certain of the prohibited transaction rules of ERISA and certain of the excise
taxes imposed by Section 4975 of the Code with respect to the initial purchase,
the holding, and the subsequent resale by ERISA Plans of certificates in
pass-through trusts that meet the conditions and requirements of the Exemption.
The Exemption should apply to the acquisition, holding, and resale of the
Offered Senior CitiCertificates by an ERISA Plan, provided that specified
conditions (certain of which are described below) are met.
S-50
<PAGE>
Among the conditions which must be satisfied for the Exemption to apply to
the acquisition by an ERISA Plan of the Offered Senior CitiCertificates are the
following: (1) the acquisition of the Offered Senior CitiCertificates by an
ERISA Plan is on terms (including the price for such CitiCertificates) that are
at least as favorable to the ERISA Plan as they would be in an arm's-length
transaction with an unrelated party; (2) the rights and interests evidenced by
the Offered Senior CitiCertificates acquired by the ERISA Plan are not
subordinated to the rights and interests evidenced by other certificates of the
Trust; (3) the Offered Senior CitiCertificates acquired by the ERISA Plan have
received a rating at the time of such acquisition that is in one of the three
highest generic rating categories from any of S&P, Fitch, Duff & Phelps Credit
Rating Co. or Moody's Investors Service, Inc.; (4) the sum of all payments made
to the Underwriter in connection with the distribution of the Offered Senior
CitiCertificates represents not more than reasonable compensation for
underwriting such CitiCertificates; and (5) the sum of all payments made to and
retained by the Servicer represents not more than reasonable compensation for
the Servicer's services under the Pooling Agreement and reimbursement of the
Servicer's reasonable expenses in connection therewith.
In addition, it is a condition that the ERISA Plan investing in the Offered
Senior CitiCertificates be an "accredited investor" as defined in Rule 501(a)(1)
of Regulation D of the Commission under the Securities Act of 1933, as amended
(the "Securities Act").
The Exemption does not apply to the acquisition and holding of Offered
Senior CitiCertificates by ERISA Plans sponsored by the Issuer, the Underwriter,
the Trustee, the Servicer, or any affiliate of such parties. Moreover, the
Exemption provides relief from certain self-dealing/conflict of interest
prohibited transactions, only if, among other requirements (i) an ERISA Plan's
investment in each Class A Subclass of the Class A CitiCertificates does not
exceed 25% of that Class A Subclass outstanding at the time of the acquisition
and (ii) immediately after the acquisition, no more than 25% of the assets of an
ERISA Plan with respect to which the person who has discretionary authority or
renders advice are invested in certificates representing an interest in a trust
containing assets sold or serviced by the same person.
A governmental plan as defined in Section 3(32) of ERISA is not subject to
ERISA or Code Section 4975. However, such a governmental plan may be subject to
a federal, state, or local law, which is, to a material extent, similar to the
provisions or ERISA or Section 4975 of the Code ("Similar Law"). A fiduciary of
a governmental plan should make its own determination as to the need for the
availability of any exemptive relief under Similar Law.
Neither the Exemption nor PTE 83-1 (discussed under "ERISA Considerations"
in the Prospectus) applies to the acquisition or holding of the Class M
CitiCertificates or the Offered Class B CitiCertificates because such
CitiCertificates are subordinated to the Class A and Unoffered Class A-IO
CitiCertificates. Accordingly, no transfer of an Offered Class B CitiCertificate
or Class M CitiCertificate to a Plan will be registered unless the transferee
(i) executes a representation letter in form and substance satisfactory to the
Trustee stating that (a) it is not, and is not acting on behalf of a Plan or
using the assets of any such Plan to effect such purchase or (b) if it is an
insurance company, the source of funds used to purchase the Class M
CitiCertificates or Offered Class B CitiCertificates is an "insurance company
general account" (as such term is defined in Section V(e) of Prohibited
Transaction Class Exemption 95-60 ("PTE 95-60"), 60 Fed. Reg. 35925 (July 12,
1995)) and there is no Plan with respect to which the amount of such general
account's reserves and liabilities for the contract(s) held by or on behalf of
such Plan and all other Plans maintained by the same employer (or affiliate
thereof as defined in Section V(a)(1) of PTE 95-60) or by the same employee
organization, exceed 10% of the total of all reserves and liabilities of such
general account (as such amounts are determined under Section I(a) of PTE 95-60)
at the date of acquisition or (ii) delivers (A) an opinion of counsel in form
and substance satisfactory to the Trustee and the Issuer that the purchase or
holding of the Class M or Offered Class B CitiCertificates by or on behalf of
such Plan will not result in the assets of the Trust being deemed to be "plan
assets" and subject to the prohibited transaction provisions of ERISA and the
Code or Similar Law and will not subject the Servicer (or its designee), the
Issuer or the Trustee to any obligation in addition to those undertaken in the
Pooling Agreement and (B) such other opinions of counsel, officers' certificates
and agreements as the Trustee and the Issuer may require in connection with such
transfer.
Fiduciaries that are investing or that could be deemed to be investing
assets of Plans should consult their legal advisors, and refer to the discussion
under "CERTAIN ERISA CONSIDERATIONS" in the Prospectus.
S-51
<PAGE>
LEGAL INVESTMENT
The Class A and Class M CitiCertificates will constitute "mortgage related
securities" for purposes of SMMEA, so long as they are rated in one of the two
highest rating categories by at least one nationally recognized statistical
rating organization. As "mortgage related securities," such CitiCertificates
will constitute legal investments for certain entities to the extent provided in
SMMEA. However, there are regulatory requirements and considerations applicable
to regulated financial institutions and restrictions on the ability of such
institutions to invest in certain types of mortgage related securities.
THE OFFERED CLASS B CITICERTIFICATES WILL NOT CONSTITUTE "MORTGAGE RELATED
SECURITIES" FOR PURPOSES OF SMMEA.
Prospective purchasers of the Offered CitiCertificates should consult their
own legal, tax and accounting advisors in determining the suitability of and
consequences to them of the purchase, ownership and disposition of the Offered
CitiCertificates. See "LEGAL INVESTMENT" in the Prospectus.
PLAN OF DISTRIBUTION
Subject to the terms and conditions of the Underwriting Agreement among
Citicorp, the Issuer and the Underwriter (the "Underwriting Agreement"), the
Offered CitiCertificates are being purchased from the Issuer by the Underwriter
upon issuance. The Underwriter is committed to purchase all of the Offered
CitiCertificates if any CitiCertificates are purchased. Distribution of such
Offered CitiCertificates is being made by the Underwriter from time to time in
negotiated transactions or otherwise at varying prices to be determined at the
time of sale. Proceeds to the Issuer will be approximately 99.47250% of the
aggregate Initial Stated Amount of the Class A CitiCertificates, approximately
98.69733% of the aggregate Initial Stated Amount of the Class M CitiCertificates
and approximately 97.27913% of the aggregate Initial Stated Amount of the
Offered Class B CitiCertificates, plus accrued interest as set forth on the
front cover hereof and before deducting expenses payable by the Issuer, provided
that if the aggregate Initial Stated Amount of the Class A CitiCertificates is
less than $104,971,696, the aggregate proceeds to the Issuer (stated as a
percentage of the aggregate Initial Stated Amount of the Class A
CitiCertificates) will be adjusted upwards by not more than 0.004% and if the
aggregate Initial Stated Amount of the Class A CitiCertificates is greater than
$104,971,696, the aggregate proceeds to the Issuer (stated as a percentage of
the aggregate Initial Stated Amount of the Class A CitiCertificates) will be
adjusted downwards by not more than 0.004%. In connection with the purchase and
sale of the Offered CitiCertificates, the Underwriter may be deemed to have
received compensation from the Issuer in the form of underwriting discounts.
Subject to the terms and conditions of the purchase agreement among
Citicorp, the Issuer and Bear, Stearns & Co. Inc. (the "Purchase Agreement"),
the Unoffered Class B CitiCertificates (not offered hereby) are being purchased
by Bear, Stearns & Co. Inc. upon issuance. Bear, Stearns & Co. Inc. is committed
to purchase all of the Unoffered Class B CitiCertificates if any Offered
CitiCertificates are purchased. The Unoffered Class B CitiCertificates will be
offered through Bear, Stearns & Co. Inc. in one or more negotiated transactions,
as a private placement to a limited number of institutional investors. The
closing of the sale of the Unoffered Class B CitiCertificates under the Purchase
Agreement is a condition to the closing of the sale of the Offered
CitiCertificates to the Underwriter.
The Underwriting Agreement provides that the Issuer and Citicorp will
indemnify the Underwriter against certain civil liabilities under the Securities
Act or contribute to payments the Underwriter may be required to make in respect
thereof.
S-52
<PAGE>
LEGAL MATTERS
Certain legal matters will be passed upon for the Issuer and Citicorp by
Stephen E. Dietz, as an Associate General Counsel of Citibank, N.A., and for the
Underwriter by Cadwalader, Wickersham & Taft, New York, New York. Certain
federal income tax matters will be passed upon for the Issuer by Rona Daniels,
Vice President and Tax Counsel for Asset Securitization of Citibank, N.A. Each
of Mr. Dietz and Ms. Daniels owns or has the right to acquire a number of shares
of common stock of Citicorp equal to less than .01% of the outstanding common
stock of Citicorp. Certain ERISA matters will be passed upon for the Issuer by
Cadwalader, Wickersham & Taft, New York, New York.
INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE
The following document filed with the Commission by the Issuer is
incorporated as of its filing date in this Prospectus Supplement and Prospectus
by reference:
Current Report on Form 8-K dated June 24, 1998, filed pursuant to Section
13 of the Exchange Act.
All reports subsequently filed by the Issuer pursuant to Sections 13(a) and
(c) of the Exchange Act, any definitive proxy or information statements filed
pursuant to Section 14 of the Exchange Act in connection with any stockholders'
meeting and any reports filed pursuant to Section 15(d) of the Exchange Act
prior to the termination of the offering of the CitiCertificates offered hereby
shall be deemed to be incorporated by reference into this Prospectus Supplement
and Prospectus and to be a part hereof.
S-53
<PAGE>
INDEX OF PRINCIPAL DEFINITIONS IN PROSPECTUS SUPPLEMENT
PAGE
----
Adjusted Balance ........................................................ S-19
Adjustment Amount ....................................................... S-38
Available Funds ......................................................... S-35
Available PO Loss Funds ................................................. S-29
Bankruptcy Coverage Termination Date .................................... S-39
Bankruptcy Loss ......................................................... S-32
Bankruptcy Loss Amount .................................................. S-39
Beneficial Owner ........................................................ S-8
Book-Entry CitiCertificates ............................................. S-4
CB Group Pool Distribution Amount ....................................... S-13
CB Loan Group ........................................................... S-2
CB Pool Adjusted Balance ................................................ S-26
Cede .................................................................... S-4
Certificate Account ..................................................... S-16
Certificateholder ....................................................... S-4
CFSB .................................................................... S-2
Citibank ................................................................ S-2
CitiCertificates ........................................................ S-2
Class A CitiCertificates ................................................ S-1
Class A Interest Amount ................................................. S-11
Class A Percentage ...................................................... S-32
Class A PO Principal Amount ............................................. S-29
Class A Prepayment Percentage ........................................... S-32
Class A Stated Amount ................................................... S-7
Class A Subclass ........................................................ S-2
Class A Subclass Interest Amount ........................................ S-24
Class A Subclass Interest Shortfall Amount .............................. S-27
Class A Subclass Stated Amount .......................................... S-7
Class A Unpaid Interest Shortfall ....................................... S-27
Class B CitiCertificates ................................................ S-2
Class B Interest Amount ................................................. S-25
Class B Percentage ...................................................... S-33
Class B Prepayment Percentage ........................................... S-33
Class B Stated Amount ................................................... S-7
Class B Subclass ........................................................ S-2
Class B Subclass Principal Distribution Amount .......................... S-13
Class B Subclass Stated Amount .......................................... S-7
Class B-1 Interest Amount ............................................... S-11
Class B-2 Interest Amount ............................................... S-11
Class B-1 Principal Distribution Amount ................................. S-13
Class B-2 Principal Distribution Amount ................................. S-13
Class B-1 Stated Amount ................................................. S-7
Class B-2 Stated Amount ................................................. S-7
Class B-1 Unpaid Interest Shortfall ..................................... S-28
Class B-2 Unpaid Interest Shortfall ..................................... S-28
Class CB CitiCertificates ............................................... S-2
Class CB Percentage ..................................................... S-32
Class M CitiCertificates ................................................ S-1
Class M Interest Amount ................................................. S-11
Class M Optimal Distribution Amount ..................................... S-28
Class M Optimal Principal Amount ........................................ S-30
Class M Percentage ...................................................... S-33
S-54
<PAGE>
PAGE
----
Class M Prepayment Percentage ........................................... S-33
Class M Principal Distribution Amount ................................... S-12
Class M Stated Amount ................................................... S-7
Class M Unpaid Interest Shortfall ....................................... S-27
Class NB CitiCertificates ............................................... S-2
Class NB Percentage S-32
Closing Date ............................................................ S-8
CMI ..................................................................... S-2
CMSI .................................................................... S-2
Code .................................................................... S-17
Commission .............................................................. S-18
Compensating Cap ........................................................ S-26
Cross Over Payment ...................................................... S-35
Current Class B-1 Subordination Level ................................... S-34
Current Class B-2 Subordination Level ................................... S-34
Current Class M Subordination Level ..................................... S-34
Cut-Off Date ............................................................ S-1
Debt Service Reduction .................................................. S-32
Deficient Valuation ..................................................... S-32
Definitive Certificates ................................................. S-50
Detailed Description .................................................... S-19
Discount Mortgage Loans ................................................. S-28
Distributable Unoffered Class A-IO Interest Amount ...................... S-11
Distribution Date ....................................................... S-3
DTC ..................................................................... S-1
ERISA ................................................................... S-17
ERISA Plan .............................................................. S-17
Excess Bankruptcy Losses ................................................ S-39
Excess Fraud Losses ..................................................... S-39
Excess Special Hazard Losses ............................................ S-38
Exemption ............................................................... S-17
Fitch ................................................................... S-18
Fraud Coverage Termination Date ......................................... S-38
Fraud Loss .............................................................. S-32
Fraud Loss Amount ....................................................... S-38
Group CB Loans .......................................................... S-2
Group NB Loans .......................................................... S-2
Group Pool Distributions Amount ......................................... S-13
Group Non-PO Principal Amount ........................................... S-29
Indirect Participants ................................................... S-49
Initial Mortgage Loan Balance ........................................... S-2
Initial Stated Amount ................................................... S-1
Interest Accrual Period ................................................. S-12
Issuer .................................................................. S-2
Last Scheduled Distribution Date ........................................ S-14
Liquidated Loan ......................................................... S-31
Liquidated Loan Loss .................................................... S-31
Liquidation Proceeds .................................................... S-31
Loan Group .............................................................. S-2
Loss Severity Percentage ................................................ S-47
Mortgage Loans .......................................................... S-2
NB Group Pool Distribution Amount ....................................... S-13
NB Loan Group ........................................................... S-2
S-55
<PAGE>
PAGE
----
NB Pool Adjusted Balance ................................................ S-26
NNR ..................................................................... S-28
Non-PO Class A Amount ................................................... S-32
Non-PO Loss Amount ...................................................... S-36
Non-PO Percentage ....................................................... S-30
Non-PO Pool Adjusted Balance ............................................ S-25
Non-Supported Interest Shortfall ........................................ S-26
Offered CitiCertificates ................................................ S-2
Offered Class B CitiCertificates ........................................ S-2
Offered Class B Interest Amount ......................................... S-11
Offered Class B Optimal Distribution Amount ............................. S-29
Offered Class B Stated Amount ........................................... S-7
Offered Class B Subclass ................................................ S-2
Offered Class B Subclass Interest Amount ................................ S-24
Offered Class B Subclass Optimal Distribution Amount .................... S-29
Offered Class B Subclass Optimal Principal Amount ....................... S-31
Offered Class B Subclass Percentage ..................................... S-33
Offered Class B Subclass Prepayment Percentage .......................... S-33
Offered Class B Subclass Stated Amount .................................. S-25
Offered Class B Subclass Unpaid Interest Shortfall ...................... S-28
Offered Senior CitiCertificates ......................................... S-2
Offered Subordinated CitiCertificates ................................... S-2
Original Subordinated Stated Amount ..................................... S-33
Participants ............................................................ S-49
Plan .................................................................... S-17
Pool .................................................................... S-2
Pool Adjusted Balance ................................................... S-26
Pool Distribution Amount ................................................ S-13
Pooling Agreement ....................................................... S-6
PO Loss Amount .......................................................... S-25
PO Percentage ........................................................... S-30
Premium Mortgage Loans .................................................. S-28
Prepayment Interest Shortfalls .......................................... S-26
Prepayment Model ........................................................ S-40
Principal Cross Over Payment ............................................ S-34
PTE 95-60 ............................................................... S-51
Purchase Agreement ...................................................... S-52
Realized Losses ......................................................... S-32
Record Date ............................................................. S-16
Reduction Tests ......................................................... S-33
REMIC ................................................................... S-2
Residual Certificates ................................................... S-2
Rules ................................................................... S-49
SDA ..................................................................... S-46
Securities Act .......................................................... S-51
Servicer ................................................................ S-48
Servicing Fee ........................................................... S-48
Similar Law ............................................................. S-17
SMMEA ................................................................... S-5
Special Hazard Loss ..................................................... S-31
Special Hazard Loss Amount .............................................. S-38
Special Hazard Termination Date ......................................... S-38
S-56
<PAGE>
PAGE
----
Special Hazards ......................................................... S-31
S&P ..................................................................... S-18
Structuring Assumptions ................................................. S-41
Subordinated CitiCertificates ........................................... S-8
Subordinated CitiCertificate Percentage ................................. S-33
Subordinated Prepayment Percentage ...................................... S-33
Subordination Depletion Date ............................................ S-9
Trust ................................................................... S-2
Trustee ................................................................. S-6
Underwriter ............................................................. S-1
Underwriting Agreement .................................................. S-52
Unoffered Class A-IO CitiCertificates ................................... S-2
Unoffered Class A-IO CB CitiCertificates ................................ S-2
Unoffered Class A-IO NB CitiCertificates ................................ S-2
Unoffered Class A-IO Interest Amount .................................... S-11
Unoffered Class A-IO Notional Amount .................................... S-6
Unoffered Class A-IO Unpaid Interest Shortfall .......................... S-27
Unoffered Class B CitiCertificates ...................................... S-2
Unoffered Class B Interest Amount ....................................... S-25
Unoffered Class B Stated Amount ......................................... S-7
Unoffered Class B Subclass Interest Amount .............................. S-25
Unoffered Class B Subclass Stated Amount ................................ S-26
Unpaid PO Loss Amount ................................................... S-29
S-57
<PAGE>
================================================================================
NO PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY
REPRESENTATIONS OTHER THAN THOSE CONTAINED IN THE PROSPECTUS OR THIS PROSPECTUS
SUPPLEMENT AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATIONS MUST NOT
BE RELIED UPON. NEITHER THE PROSPECTUS NOR THIS PROSPECTUS SUPPLEMENT
CONSTITUTES AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES
OTHER THAN THE OFFERED CITICERTIFICATES DESCRIBED IN THIS PROSPECTUS SUPPLEMENT
OR AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY THE OFFERED
CITICERTIFICATES TO ANY PERSON IN ANY STATE OR OTHER JURISDICTION IN WHICH SUCH
OFFER OR SOLICITATION WOULD BE UNLAWFUL. NEITHER THE DELIVERY OF THE PROSPECTUS
NOR THIS PROSPECTUS SUPPLEMENT NOR ANY SALE MADE THEREUNDER OR HEREUNDER AT ANY
TIME IMPLIES THAT INFORMATION HEREIN IS CORRECT AS OF ANY TIME SUBSEQUENT TO THE
DATE HEREOF OR THEREOF.
----------
TABLE OF CONTENTS
PROSPECTUS SUPPLEMENT
PAGE
----
Summary of Prospectus and Prospectus Supplement .......................... S-5
Description of the Pool and the Mortgaged Properties ..................... S-19
Risk Factors for Purchasers of Class M CitiCertificates
and Offered Class B CitiCertificates .................................... S-21
Description of the Offered CitiCertificates .............................. S-24
Certain ERISA Considerations ............................................. S-50
Legal Investment ......................................................... S-52
Plan of Distribution ..................................................... S-52
Legal Matters ............................................................ S-53
Incorporation of Certain Documents by Reference .......................... S-53
Index of Principal Definitions in Prospectus Supplement .................. S-54
PROSPECTUS
Reports to Certificateholders ............................................ 2
Additional Information ................................................... 2
Available Information .................................................... 2
Additional Detailed Information .......................................... 2
Incorporation of Certain Documents By Reference .......................... 3
Description of Certificates .............................................. 4
The Pools ................................................................ 14
Citicorp Mortgage Securities, Inc. ....................................... 21
The Originators .......................................................... 21
Loan Underwriting Policies ............................................... 23
Delinquency, Foreclosure and Loss Considerations and Experience .......... 27
Citicorp ................................................................. 31
Use of Proceeds .......................................................... 31
The Pooling Agreements ................................................... 31
Certain ERISA Considerations ............................................. 36
Legal Investment ......................................................... 38
Certain Federal Income Tax Consequences .................................. 39
Plans of Distribution .................................................... 57
Experts .................................................................. 58
Appendix A: The Mortgage Loans and
CitiMortgageCertificates
Appendix B: The Agency Certificates
Index of Principal Definitions
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$109,717,696
(APPROXIMATE)
CITICORP MORTGAGE
SECURITIES, INC.
(PACKAGER AND SERVICER)
REMIC PASS-THROUGH CERTIFICATES
SERIES 1998-5
$21,055,390 (APPROXIMATE) 6.75%
SENIOR CLASS A-1 CITICERTIFICATES
$78,913,914 (APPROXIMATE) 6.75%
SENIOR CLASS A-2 CITICERTIFICATES
$4,800,000 (APPROXIMATE) 6.75%
SENIOR CLASS A-3 CITICERTIFICATES
$202,392 (APPROXIMATE)
SENIOR CLASS A-4 CITICERTIFICATES
$2,512,600 (APPROXIMATE) 6.75%
SENIOR SUBORDINATED CLASS M CITICERTIFICATES
$1,395,900 (APPROXIMATE) 6.75%
SUBORDINATED CLASS B-1 CITICERTIFICATES
$837,500 (APPROXIMATE) 6.75%
SUBORDINATED CLASS B-2 CITICERTIFICATES
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PROSPECTUS SUPPLEMENT
JUNE 25, 1998
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BEAR, STEARNS & CO. INC.
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