PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED JULY 22, 1998)
$497,236,106 (APPROXIMATE)
CITICORP MORTGAGE SECURITIES, INC.
(Packager and Servicer)
REMIC PASS-THROUGH CERTIFICATES, SERIES 1998-7,
$481,196,106 (APPROXIMATE) SENIOR CLASS A CITICERTIFICATES
$9,273,000 (APPROXIMATE) SENIOR SUBORDINATED CLASS M CITICERTIFICATES
$4,512,000 (APPROXIMATE) SUBORDINATED CLASS B-1 CITICERTIFICATES
$2,255,000 (APPROXIMATE) SUBORDINATED CLASS B-2 CITICERTIFICATES
The REMIC Pass-Through Certificates, Series 1998-7, will consist
of one senior class of REMIC Pass-Through Certificates (the "Class A
(Continued on following page)
----------
FOR A DISCUSSION OF CERTAIN RISK FACTORS INVOLVED IN THE PURCHASE OF THE
CLASS A-18 CITICERTIFICATES, CLASS M CITICERTIFICATES AND OFFERED CLASS B
CITICERTIFICATES, SEE "RISK FACTORS FOR PURCHASERS OF CLASS A-18
CITICERTIFICATES, CLASS M CITICERTIFICATES AND OFFERED CLASS B CITICERTIFICATES"
IN THIS PROSPECTUS SUPPLEMENT BEGINNING ON PAGE S-33.
----------
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.
================================================================================
LAST SCHEDULED
INITIAL STATED STATED DISTRIBUTION
AMOUNT (1) RATE DATE(2)
- --------------------------------------------------------------------------------
Class A-1 .............. $20,055,000 6.60% August 25, 2028
Class A-2 .............. $25,000,000 6.25% August 25, 2028
Class A-3 .............. $23,443,000 6.55% August 25, 2028
Class A-4 .............. (3) 6.75% August 25, 2028
Class A-5 .............. $ 2,000,000 7.00% August 25, 2028
Class A-6 .............. $22,000,000 7.00% August 25, 2028
Class A-7 .............. $56,100,000 7.00% August 25, 2028
Class A-8 .............. $ 9,770,000 7.00% August 25, 2028
Class A-9 .............. $ 4,430,000 7.00% August 25, 2028
Class A-10 ............. $ 684,000 7.00% August 25, 2028
Class A-11 ............. $ 3,518,000 (4) August 25, 2028
Class A-12 ............. $77,780,000 6.75% August 25, 2028
Class A-13 ............. $25,000,000 6.75% August 25, 2028
Class A-14 ............. $10,220,000 6.75% August 25, 2028
Class A-15 ............. $ 8,300,000 6.75% August 25, 2028
Class A-16 ............. $77,675,000 6.75% August 25, 2028
Class A-17 ............. $ 9,538,000 6.75% August 25, 2028
Class A-18 ............. $ 5,438,000 6.75% August 25, 2028
Class A-19 ............. $25,000,000 6.30% August 25, 2028
Class A-20 ............. (5) 0.40% August 25, 2028
Class A-21 ............. $74,462,000 6.75% August 25, 2028
Class A-22 ............. $ 783,106 (4) August 25, 2028
Class M ................ $ 9,273,000 6.75% August 25, 2028
Class B-1 .............. $ 4,512,000 6.75% August 25, 2028
Class B-2 .............. $ 2,255,000 6.75% August 25, 2028
================================================================================
(1) Approximate.
(2) Determined as described herein under "SUMMARY OF PROSPECTUS AND PROSPECTUS
SUPPLEMENT--Last Scheduled Distribution Date."
(3) The Class A-4 Notional Amount on any Distribution Date will be equal to the
sum of (i) approximately 2.2222222222% of the Stated Amount of the Class
A-1 CitiCertificates, (ii) approximately 7.4074074074% of the Stated Amount
of the Class A-2 CitiCertificates and (iii) approximately 2.9629629629% of
the Stated Amount of the Class A-3 CitiCertificates as of such date. The
Class A-4 Notional Amount is expected initially to be approximately
$2,992,125.
(4) The Class A-11 and Class A-22 CitiCertificates are principal-only
certificates and will not bear interest.
(5) The Class A-20 Notional Amount on any Distribution Date will be equal to
the Stated Amount of the Class A-19 CitiCertificates as of such date.
----------
The Senior CitiCertificates are being offered by Lehman Brothers Inc. (the
"Senior Underwriter"), and the Offered Subordinated CitiCertificates are being
offered by Salomon Brothers Inc (the "Subordinated Underwriter", and together
with the Senior Underwriter, the "Underwriters" and each, an "Underwriter") from
time to time in negotiated transactions or otherwise at varying prices to be
determined at the time of sale. The Class A-19 CitiCertificates will also be
offered by Edward D. Jones & Co., L.P. (the "Dealer") 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 99.26488% of the aggregate Initial Stated
Amount of the Class A CitiCertificates, approximately 99.49747% of the aggregate
Initial Stated Amount of the Class M CitiCertificates and approximately
98.02760% 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-11 and Class A-22 CitiCertificates) from August 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 Underwriters, to prior sale and to the Underwriters' right to reject any
order in whole or in part. It is expected that on or about August 27, 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-18, Class A-22, Class M and Offered
Class B CitiCertificates.
LEHMAN BROTHERS EDWARD D. JONES & CO., L.P.
SALOMON SMITH BARNEY
August 21, 1998
<PAGE>
(Continued from previous page)
CitiCertificates") in an approximate aggregate Initial Stated Amount of
$481,196,106, 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 CitiCertificates") in an approximate Initial Stated Amount of
$9,273,000, 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
$10,777,745, subject to a permitted variance based on final credit
enhancement levels, one senior class of interest only REMIC Pass-Through
Certificates not offered hereby (the "Unoffered Class A-IO CitiCertificates")
in an approximate initial notional amount of $471,893,228, and two classes 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 August 27, 1998. Elections will be made to
treat two segregated asset pools within the Trust as real estate mortgage
investment conduits (each, a "REMIC" or, in the alternative, the "Lower-Tier
REMIC" and the "Upper-Tier 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, Class A-4,
Class A-5, Class A-6, Class A-7, Class A-8, Class A-9, Class A-10, Class
A-11, Class A-12, Class A-13, Class A-14, Class A-15, Class A-16, Class A-17,
Class A-18, Class A-19, Class A-20, Class A-21 and Class A-22
CitiCertificates (each, a "Class A Subclass"). The Class A-1, A-2 and Class
A-3 CitiCertificates are planned amortization class certificates and are
sometimes referred to as the "PAC Certificates." The Class A-5, Class A-6,
Class A-7, Class A-12, Class A-13 and Class A-14 CitiCertificates are
targeted amortization class certificates and are sometimes referred to as
"TAC Certificates." The Class A-19 CitiCertificates are also referred to as
"Retail CitiCertificates." The Class A-4 and Class A-20 CitiCertificates are
interest-only certificates and, accordingly, have no Stated Amount. The Class
A-8, Class A-9, Class A-10, Class A-11 and Class A-15 CitiCertificates are
sometimes referred to as the "Companion Classes." The Class A-11 and Class
A-22 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 95.00% to 97.00%, the
Class M CitiCertificates will initially evidence an undivided beneficial
ownership interest in the property of the Trust ranging from 1.35% to 2.35%,
and the Offered Class B CitiCertificates will initially evidence an undivided
interest in the property of the Trust ranging from 0.85% to 1.85% 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 primarily 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
an aggregate Adjusted Balance as of the Cut-Off Date (the "Initial Mortgage Loan
Balance") equal to approximately $501,246,851, 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."
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 (except for the Class A-8,
Class A-9, Class A-10 and Class A-15 CitiCertificates) in September 1998 (each,
a "Distribution Date"). The Class A-19 CitiCertificates (the "Retail
CitiCertificates") are entitled to the benefit of a reserve fund (the "Reserve
Fund") as protection against Non-Supported Interest Shortfalls, up to $14,000,
the amount of the initial deposit into such Reserve Fund. The Class A-19
CitiCertificates will also be entitled to the benefit of an irrevocable
certificate guaranty insurance policy (the "Insurance Policy") to be issued by
MBIA Insurance Corporation (the "Insurer") pursuant to which the Insurer will
unconditionally and irrevocably guarantee the current payment of interest, other
than Non-Supported Interest Shortfalls that are covered by the Reserve Fund, and
the payment of any losses of principal allocated to the Class A-19
CitiCertificates. See "THE INSURANCE POLICY AND THE INSURER" herein. Once the
Reserve Fund has been reduced to zero, Non-Supported Interest Shortfalls
allocated to the Class A-19 CitiCertificates will be covered by the Insurance
Policy. The Class A-8, Class A-9, Class A-10 and Class A-15 CitiCertificates are
Accrual CitiCertificates. The Class A-5, Class A-6, Class A-7, Class A-12, Class
A-13 and Class A-14 CitiCertificates are sometimes referred to as the "Accretion
Directed CitiCertificates." Distributions of interest on the Accrual
CitiCertificates will commence on their respective "Accretion Termination
Dates," determined as follows: (a) for the Class A-8 CitiCertificates, the
earlier to occur of (i) the Distribution Date following the Distribution Date on
which the Stated Amountsof the Class A-5, Class A-6 and
S-2
<PAGE>
(Continued from previous page)
Class A-7 CitiCertificates have been reduced to zero and (ii) the
Subordination Depletion Date; (b) for the Class A-9 CitiCertificates, the
earlier to occur of (i) the Distribution Date following the Distribution Date
on which the Stated Amounts of the Class A-5, Class A-6, Class A-7 and Class
A-8 CitiCertificates have been reduced to zero and (ii) the Subordination
Depletion Date; (c) for the Class A-10 CitiCertificates, the earlier to occur
of (i) the Distribution Date following the Distribution Date on which the
Stated Amounts of the Class A-5, Class A-6, Class A-7, Class A-8 and Class
A-9 CitiCertificates have been reduced to zero and (ii) the Subordination
Depletion Date; and (d) for the Class A-15 CitiCertificates, the earlier to
occur of (i) the Distribution Date following the Distribution Date on which
the Stated Amounts of the Class A-12, Class A-13, and Class A-14
CitiCertificates have been reduced to zero and (ii) the Subordination
Depletion Date. Prior to any commencement of interest distributions on the
Class A-8, Class A-9, Class A-10 and Class A-15 CitiCertificates, interest
will accrue thereon and the amounts so accrued and available for distribution
will be added to the Stated Amounts thereof on the applicable Distribution
Date and will be distributed in reduction of the Stated Amounts of the
Accretion Directed CitiCertificates and the Accrual CitiCertificates as
described under "DESCRIPTION OF THE OFFERED CITICERTIFICATES --Distributions
in Reduction of Stated Amount of the Offered CitiCertificates" in this
Prospectus Supplement. Interest will accrue on the interest-bearing Offered
CitiCertificates for the periods and at the rates as described herein. The
rights of holders of the Class M CitiCertificates to receive distributions of
interest 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 of interest 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. The
rights of holders of the Unoffered Class B CitiCertificates to receive
distributions of interest 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.
On each Distribution Date, distributions in reduction of Stated Amount of
the Class A CitiCertificates, in an amount equal to the Class A Principal
Distribution Amount, will be allocated among the Class A Subclasses then
entitled to receive such distributions in accordance with the priorities set
forth herein. On each Distribution Date, distributions in reduction of Stated
Amount of the Class M CitiCertificates will be made only after the Class A and
Unoffered Class A-IO CitiCertificates have received all distributions to which
they are entitled and the Class M CitiCertificates have received the amount of
interest due them with respect to such Distribution Date. On each Distribution
Date, distributions in reduction of Stated Amount of the Class B-1
CitiCertificates will be made only after the Class A, Unoffered Class A-IO and
Class M CitiCertificates have received all distributions to which they are
entitled and the Class B-1 CitiCertificates have received the amount of interest
due them with respect to such Distribution Date. On each Distribution Date,
distributions in reduction of Stated Amount of the Class B-2 CitiCertificates
will be made only after the Class A, Unoffered Class A-IO, Class M and Class B-1
CitiCertificates have received all distributions to which they are entitled and
the Class B-2 CitiCertificates have received the amount of interest due them
with respect to such Distribution Date. The rights of holders of the Unoffered
Class B CitiCertificates to receive distributions in reduction of Stated Amount
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.
THE YIELD TO INVESTORS IN THE OFFERED CITICERTIFICATES WILL BE SENSITIVE IN
VARYING DEGREES TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) ON THE
MORTGAGE LOANS, 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
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-11 AND CLASS A-22
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 AND
THE CLASS A-4 AND CLASS A-20 CITICERTIFICATES, WHICH HAVE NO STATED AMOUNT, THE
RISK THAT A FASTER THAN ANTICIPATED RATE OF PRINCIPAL PAYMENTS WOULD RESULT IN
AN ACTUAL YIELD THAT IS LOWER THAN ANTICIPATED. AS A RESULT OF THE PAYMENT
PRIORITIES DESCRIBED HEREIN, CERTAIN CLASS A SUBCLASSES WILL BE HIGHLY SENSITIVE
TO THE RATE OF PREPAYMENTS OF THE MORTGAGE LOANS. BECAUSE AMOUNTS PAYABLE ON THE
CLASS A-22 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-22 CITICERTIFICATES WILL BE ADVERSELY AFFECTED BY SLOWER THAN
ANTICIPATED PRINCIPAL PAYMENTS ON SUCH MORTGAGE LOANS. 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.
Distributions in respect of the Stated Amount of the Class A-19
CitiCertificates are subject to the procedures regarding requests for
distribution and random lot distributions described herein under "DESCRIPTION OF
THE OFFERED CITICERTI-FICATES--Distributions in Reduction of Stated Amount of
the Retail CitiCertificates." The allocation of principal distributions in
S-3
<PAGE>
(Continued from previous page)
respect of any particular Class A-19 CitiCertificate may result in a yield to
maturity that varies significantly from the anticipated yield, and such
yields will vary among holders of Class A-19 CitiCertificates.
The Retail CitiCertificates may not be an appropriate investment for all
prospective investors. The Retail 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, although the Senior Underwriter intends to make a
secondary market in Retail CitiCertificates, it has no obligation to do so, and
any such market-making may be discontinued at any time. Finally, there can be no
assurance that an investor will be able to sell a Retail CitiCertificate at a
price which is equal to or greater than the price at which such investor
purchased such CitiCertificate or at a price which fully reflects the fair
market value of the underlying Mortgage Loans.
The holders of the Class A-18 and Class A-21 CitiCertificates will not be
entitled to receive any distributions in reduction of Stated Amount prior to the
Distribution Date in September 2003, and prior to the Distribution Date in
September 2007 will receive a disproportionately small portion of principal
prepayments and other unscheduled recoveries on the Mortgage Loans, unless the
Stated Amounts of all other Class A Subclasses (other than the Class A-22
CitiCertificates) have been reduced to zero or the Stated Amounts of the
Subordinated CitiCertificates have been reduced to zero. As a result, the
weighted average life will be longer, and could be significantly longer, than
would be the case if the Class A-18 and Class A-21 CitiCertificates received
their pro rata share of the Class A Percentage and Class A Prepayment Percentage
of the Non-PO Percentage of all principal payments received on the Mortgage
Loans.
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 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, and in particular the
Retail 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. Each Underwriter anticipates making a secondary market in the
Offered CitiCertificates purchased by it 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 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.
AFTER THE SUBORDINATION DEPLETION DATE, THE PRINCIPAL PORTION OF REALIZED
LOSSES, OTHER THAN EXCESS SPECIAL HAZARD LOSSES, EXCESS FRAUD LOSSES AND EXCESS
BANKRUPTCY LOSSES, ALLOCATED TO THE CLASS A-16 CITICERTIFICATES WILL BE BORNE BY
THE A-18 CITICERTIFICATES AND NOT BY THE CLASS A-16 CITICERTIFICATES FOR SO LONG
AS THE CLASS A-18 CITICERTIFICATES ARE OUTSTANDING.
The Class A-18 and 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 A-18,
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 A-18 CITICERTIFICATES, CLASS M
CITICERTIFICATES 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. Salomon
Brothers Inc is committed to purchase all of the Unoffered Class B
CitiCertificates if any Offered CitiCertificates are purchased.
S-4
<PAGE>
(Continued from previous page)
The Offered Senior CitiCertificates (other than the Class A-18 and Class
A-22 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-18, Class
A-22, Class M and Offered Class B CitiCertificates will be issued in definitive,
fully registered form.
----------
IN CONNECTION WITH THIS OFFERING, EACH 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-5
<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 1998-7,
Senior Class A CitiCertificates, consisting of
Class A-1, Class A-2, Class A-3, Class A-4,
Class A-5, Class A-6, Class A-7, Class A-8,
Class A-9, Class A-10, Class A-11, Class A-12,
Class A-13, Class A-14, Class A-15, Class A-16,
Class A-17, Class A-18, Class A-19, Class A-20,
Class A-21 and Class A-22 CitiCertificates,
Senior Subordinated Class M CitiCertificates and
Subordinated Class B-1 and Class B-2
CitiCertificates. Each Offered CitiCertificate
represents an undivided beneficial ownership
interest in the Trust created under the Pooling
Agreement, the property of which 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 rights of holders of the Class B-2
CitiCertificates to receive distributions will
be subordinated to the rights of holders of the
Class A, Unoffered Class A-IO, Class M and Class
B-1 CitiCertificates to the extent described
herein. The rights of holders of the Class B-1
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 the extent described herein.
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 the extent described herein.
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 1998-7,
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
two classes of Residual Certificates
representing the residual interests in the
Upper-Tier REMIC and the Lower-Tier REMIC,
respectively, 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 representing the residual
interest in the Lower-Tier REMIC will initially
be held by CMI and the Residual Certificates
representing the residual interest in
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the Upper-Tier REMIC will initially be retained
by CMSI. None of the Unoffered Class A-IO
CitiCertificates, the Unoffered Class B
CitiCertificates and the Residual Certificates
are 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 August 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
$481,196,106, subject to a permitted upward or
downward variance of up to 5.0%, and will be
initially from 95.00% to 97.00% of the Initial
Mortgage Loan Balance. The Class A-4
CitiCertificates, which have no Stated Amount,
will have a notional amount ("the Class A-4
Notional Amount") for any Distribution Date
equal to the sum of (i) approximately
2.2222222222% of the Stated Amount of the Class
A-1 CitiCertificates, (ii) approximately
7.4074074074% of the Stated Amount of the Class
A-2 CitiCertificates and (iii) approximately
2.9629629629% of the Stated Amount of the Class
A-3 CitiCertificates as of such date. The Class
A-4 Notional Amount is expected initially to be
approximately $2,992,125.The Class A-20
CitiCertificates, which will have no Stated
Amount, will have a notional amount (the "Class
A-20 Notional Amount") for any Distribution
Date equal to the Stated Amount of the Class
A-19 CitiCertificates as of such date. The
aggregate Initial Stated Amount of the Class M
CitiCertificates will be approximately
$9,273,000, subject to a permitted upward or
downward variance based on final credit
enhancement levels, and will be initially from
1.35% to 2.35% of the Initial Mortgage Loan
Balance. The aggregate Initial Stated Amount of
the Offered Class B CitiCertificates will be
approximately $6,767,000, subject to a permitted
upward or downward variance based on final
credit enhancement levels, and will be initially
from 0.85% to 1.85% of the Initial Mortgage Loan
Balance. The aggregate Initial Stated Amount of
the Unoffered Class B CitiCertificates will be
approximately $4,010,745, 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. The Unoffered Class A-IO
CitiCertificates, which will have no Stated
Amount, will have a notional amount (the
"Unoffered Class A-IO Notional Amount") for any
Distribution Date equal to the aggregate
Adjusted Balance of the Premium Mortgage Loans.
While the Unoffered Class A-IO Notional Amount
will be used to determine the denomination of an
Unoffered Class A-IO CitiCertificate and for
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certain other purposes, such notional amount
will not entitle a holder to any distributions
of principal. The Initial Mortgage Loan Balance
will be approximately $501,246,851, 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-11 and Class A-22 CitiCertificates,
which are principal-only certificates, and, in
the case of the Class A-8, Class A-9, Class A-10
and Class A-15 CitiCertificates, Accretion
Distribution Amounts added to the Stated Amounts
thereof) from the cash flow on the assets in the
Pool.
The aggregate of the Stated Amounts of the Class
A Subclasses as of any Distribution Date is
referred to as the "Class A Stated Amount." The
"Class A Subclass Stated Amount" of each Class A
Subclass (other than the Class A-4 and Class
A-20 CitiCertificates, which have no Stated
Amounts) as of any Distribution Date will equal
the Initial Stated Amount thereof (plus, in the
case of the Class A-8, Class A-9, Class A-10 and
Class A-15 CitiCertificates, any amounts
subsequently added to the Stated Amounts
thereof) less certain distributions in reduction
of Stated Amount and any allocation of certain
lossesas 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). As a result of the foregoing, so
long as the Class B Stated Amount has not been
reduced to zero, the
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principal portion of all Realized Losses (other
than Excess Special Hazard Losses, Excess Fraud
Losses and Excess Bankruptcy Losses which are
allocated as described herein) will directly
reduce the Class B Stated Amount and will
directly reduce the Class B Subclass Stated
Amounts in reverse numerical order. 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 "Unoffered Class B
Stated Amount."
CUT-OFF DATE ................ August 1, 1998.
DENOMINATIONS ............... The denominations of the Offered CitiCertificates
(other than the Class A-4 and Class A-20
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). The Class A-4 and Class A-20
CitiCertificates will be issued in minimum
denominations of $1,000 initial notional amount
and any whole dollar amount in excess thereof.
The notional amount does not entitle holders of
Class A-4 and Class A-20 CitiCertificates to any
distributions of principal.
BOOK-ENTRY FORM ............. The Offered Senior CitiCertificates (other than
the Class A-18 and Class A-22 CitiCertificates)
will be issued in book-entry form. No person
acquiring an interest in the Book-Entry
CitiCertificates (a "Beneficial Owner") will be
entitled to receive a definitive certificate
representing such person's interest in the
Trust, except under 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-18, Class A-22, Class M and
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 August 27, 1998.
ISSUER AND SERVICER ......... CMSI. The Servicer intends to subcontract its
servicing duties to CMI.
CREDIT ENHANCEMENT .......... 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
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<PAGE>
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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 disproportionate amount of
prepayments and certain unscheduled recoveries
with respect to the Mortgage Loans will be
allocated to the Class A CitiCertificates (other
than, to the extent described herein, the Class
A-18, Class A-21 and Class A-22
CitiCertificates). This allocation has the
effect of accelerating the amortization of the
Class A CitiCertificates while, in the absence
of Realized Losses, increasing the respective
percentage 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.
The Class A-19 CitiCertificates will be entitled
to protection against Non-Supported Interest
Shortfalls up to the amount of the initial
deposit into the Reserve Fund and to the benefit
of the Insurance Policy with respect to current
payments of interest, including those
attributable to Non-Supported Interest
Shortfalls after the Reserve Fund has been
exhausted, and losses of principal allocated to
the Class A-19 CitiCertificates.
No other Subclass or Class of CitiCertificates
will be entitled to any benefit under either the
Reserve Fund or the Insurance Policy.
Extent of Loss Coverage. The applicable Non-PO
Percentage of Realized Losses on Mortgage Loans,
including Realized Losses that are (i)
attributable to Special Hazards not insured
against under a standard hazard insurance
policy, (ii) incurred on defaulted Mortgage
Loans as to which there was fraud in the
origination of such Mortgage Loans or (iii)
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, up to the respective
limits described below, 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, the Non-PO
Percentage of such Realized Losses will be
allocated pro rata among the Class A
CitiCertificates (other than the Class A-22
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<PAGE>
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CitiCertificates) based on their outstanding
Stated Amounts (or, in the case of the Class
A-8, Class A-9, Class A-10 and Class A-15
CitiCertificates, their Initial Stated Amounts,
if lower) in each case for so long as they are
outstanding. The principal portion of such
Realized Losses allocated to the Class A-16
CitiCertificates will be borne solely by the
Class A-18 CitiCertificates and not by the Class
A-16 CitiCertificates for so long as the Class
A-18 CitiCertificates are outstanding. Any such
Realized Losses allocated to the Class A-19
CitiCertificates will be covered by the
Insurance Policy.
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-22 CitiCertificates as a PO Loss
Amount but such loss allocation will give rise
to the right to receive, in respect of the Class
A-22 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.
With respect to any Distribution Date subsequent
to the first Distribution Date, the availability
of the credit enhancement provided by the Class
M and Class B CitiCertificates will be affected
by the prior reduction of the Stated Amount of
the Class M and Class B CitiCertificates, which
reduction will result from (i) the prior
allocation of losses to the Class M and Class B
CitiCertificates due to the liquidation of
defaulted Mortgage Loans, including losses due
to Special Hazards and fraud losses up to the
respective limits referred to below, (ii) the
prior allocation of bankruptcy losses up to the
limit referred to below and (iii) the prior
receipt of distributions in reduction of Stated
Amount by holders of the Class M and Class B
CitiCertificates. As of the Closing Date, the
amount of losses attributable to Special
Hazards, fraud and bankruptcy that will be
absorbed first by 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
1.62%, 1.00% and 0.03%, 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 pro rata based on
their then outstanding Stated Amounts by the
Class A CitiCertificates (other than the Class
A-22 CitiCertificates) and the Class M
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<PAGE>
- --------------------------------------------------------------------------------
CitiCertificates and the Class B Subclasses, and
the applicable PO Percentage of the principal
portion of such losses will be allocated to the
Class A-22 CitiCertificates. If losses due to
Special Hazards, fraud and bankruptcy exceed any
of such above amounts prior to the Subordination
Depletion Date, the interest portion of such
losses will be allocated pro rata among the
CitiCertificates (other than the Class A-11 and
Class A-22 CitiCertificates) based on the
respective amounts of interest accrued thereon
for such Distribution Date. The applicable
Non-PO Percentage of the principal portion of
losses due to Special Hazards, fraud or
bankruptcy allocated to the Class A
CitiCertificates (other than the Class A-22
CitiCertificates) will be allocated pro rata
among such Class A Subclasses based on their
then outstanding Stated Amounts (or, in the case
of the Class A-8, Class A-9, Class A-10 and
Class A-15 CitiCertificates, the Initial Stated
Amounts, if lower). After the Subordination
Depletion Date, the applicable Non-PO Percentage
of the principal portion of losses due to
Special Hazards, fraud or bankruptcy will be
allocated pro rata to the Class A Subclasses
(other than the Class A-22 CitiCertificates)
based on their then outstanding Stated Amounts
(or, in the case of the Class A-8, Class A-9,
Class A-10 and Class A-15 CitiCertificates, the
Initial Stated Amounts, if lower) and the
applicable PO Percentage of the principal
portion of such losses will be allocated to the
Class A-22 CitiCertificates, and the interest
portion of such losses will be shared pro rata
by the Class A and Unoffered Class A-IO
CitiCertificates, as the case may be, as
described above. Under certain circumstances,
the limits set forth above may be reduced. Any
such losses allocated to the Class A-19
CitiCertificates will be covered by the
Insurance Policy. See "DESCRIPTION OF THE
OFFERED CitiCertificates--Subordination--
Allocation of Losses" in this Prospectus
Supplement.
PRIORITY OF DISTRIBUTIONS ... On each Distribution Date, the Pool Distribution
Amount will be distributed to pay the following
amounts in the following order of priority: (1)
payment of the monthly premium for the Insurance
Policy, (2) the Class A Interest Amount and the
Distributable Unoffered Class A-IO Interest
Amount, pro rata, (3) any unpaid Class A Unpaid
Interest Shortfall and any Unoffered Class A-IO
Unpaid Interest Shortfall, pro rata, (4) the
Class A Principal Distribution Amount (other
than the portion that represents the Accretion
Distribution Amount, if any), (5) any Unpaid PO
Loss Amounts (but only to the extent of
Available PO Loss Funds), (6) the Class M
Interest Amount, (7) any Class M Unpaid Interest
Shortfall, (8) the Class M Principal
Distribution Amount, (9) the Class B-1 Interest
Amount, (10) any Class B-1 Unpaid Interest
Shortfall, (11) the Class B-1 Principal
Distribution Amount, (12) the Class B-2 Interest
Amount, (13) any Class B-2 Unpaid Interest
Shortfall, (14) the Class B-2 Principal
Distribution Amount and (15) 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 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
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CitiCertificates will be reduced to the extent
necessary to reimburse Unpaid PO Loss Amounts.
DISTRIBUTIONS OF INTEREST ... Each of the Class A Subclasses (other than the
Class A-11 and Class A-22 CitiCertificates), the
Class M CitiCertificates and the Offered Class B
Subclasses will accrue interest on its
respective Stated Amount (or notional 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-11 and Class A-22 CitiCertificates),
the Class M CitiCertificates and the Offered
Class B Subclasses as described below and 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"). Any Non-Supported Interest Shortfalls
and other losses allocated to the Class A-19
CitiCertificates will be covered by either the
Reserve Fund or the Insurance Policy as and to
the extent described below. See "THE INSURANCE
POLICY AND THE INSURER" in this Prospectus
Supplement. The Class A-11 and Class A-22
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 (except with respect to the Class
A-8, Class A-9, Class A-10 and Class A-15
CitiCertificates) in September 1998 to holders
of record on the applicable Record Date. The
Class A-8, Class A-9, Class A-10 and Class A-15
CitiCertificates are Accrual CitiCertificates.
Distributions of interest on the Accrual
CitiCertificates will commence on their
respective "Accretion Termination Dates",
determined as follows: (a) for the Class A-8
CitiCertificates, the Accretion Termination Date
will be the earlier to occur of (i) the
Distribution Date following the Distribution
Date on which the Stated Amounts of the Class
A-5, Class A-6 and Class A-7 CitiCertificates
have been reduced to zero and (ii) the
Subordination Depletion Date; (b) for the Class
A-9 CitiCertificates, the Accretion Termination
Date will be the earlier to occur of (i) the
Distribution Date following the Distribution
Date on which the Stated Amounts of the Class
A-5, Class A-6, Class A-7 and Class A-8
CitiCertificates have been reduced to zero and
(ii) the Subordination Depletion Date; (c) for
the Class A-10 CitiCertificates, the Accretion
Termination Date will be the earlier to occur of
(i) the Distribution Date following the
Distribution Date on which the Stated Amounts of
the Class A-5, Class A-6, Class A-7, Class A-8
and Class A-9 CitiCertificates have been reduced
to zero and (ii) the Subordination Depletion
Date; and (d) for the Class A-15
CitiCertificates, the Accretion Termination Date
will be the earlier to occur of (i) the
Distribution Date following the Distribution
Date on which the Stated Amounts of the Class
A-12, Class A-13 and Class A-14 CitiCertificates
have been reduced to zero and (ii) the
Subordination Depletion Date. Prior to their
respective Accretion
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Termination Dates, interest will accrue on the
Class A-8, Class A-9, Class A-10 and Class A-15
CitiCertificates and the amount so accrued and
available for distribution on a Distribution
Date will be added to the Stated Amount of the
Class A-8, Class A-9, Class A-10 or Class A-15
CitiCertificates, as applicable, on such
Distribution Date.
On each Distribution Date an amount equal to the
Unoffered Class A-IO Interest Amount (net of any
Non-Supported Interest Shortfall allocated to
the Unoffered Class A-IO CitiCertificates and
less the pro rata share of the interest portion
of any Excess Special Hazard Losses, Excess
Fraud Losses and Excess Bankruptcy Losses
allocated to the Unoffered Class A-IO
CitiCertificates, and after the Subordination
Depletion Date, the pro rata share of the
interest portion of any losses or delinquencies
allocated to the Unoffered Class A-IO
CitiCertificates) (the "Distributable Unoffered
Class A-IO Interest Amount") will be
distributed to holders of the Unoffered Class
A-IO CitiCertificates. The "Unoffered Class A-IO
Interest Amount" for any Distribution Date will
be equal to the excess of interest accrued on
the Premium Mortgage Loans 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 and (ii) the product of
the aggregate Adjusted Balance of the Premium
Mortgage Loans and 6.75% per annum.
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") and be calculated on
the basis of a 360-day year consisting of twelve
30-day months. Interest accrued on the Offered
CitiCertificates during any Interest Accrual
Period will be calculated on the assumption that
reductions in the Stated Amount or notional
amount made on the Offered CitiCertificates,
accrued interest added to the Stated Amounts of
the Class A-8, Class A-9, Class A-10 and Class
A-15 CitiCertificates and the losses allocated
to such Offered Certificates were made, added or
allocated on the day immediately following the
last day of the preceding Interest Accrual
Period, and not on the following Distribution
Date when actually made, added or allocated. 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
(or, with respect to the Class A-8, Class A-9,
Class A-10 and Class A-15 CitiCertificates,
amounts added to their Stated Amounts) 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.
The amount of interest to which holders of the
Class A-4 and Class A-20 CitiCertificates are
entitled is based on a notional amount (the
"Class A-4 Notional Amount" and the "Class A-20
Notional Amount," respectively). Neither the
Class A-4 Notional Amount nor the Class
- --------------------------------------------------------------------------------
S-14
<PAGE>
- --------------------------------------------------------------------------------
A-20 Notional Amount entitles the holders of the
Class A-4 or Class A-20 CitiCertificates to
receive distributions of principal on the basis
of such notional amount, which is used solely
for the purpose of computing the amount of
interest accrued on the Class A-4 and Class A-20
CitiCertificates. The Class A-4 Notional Amount
for any Distribution Date will be equal to the
sum of (i) approximately 2.2222222222% of the
Stated Amount of the Class A-1 CitiCertificates,
(ii) approximately 7.4074074074% of the Stated
Amount of the Class A-2 CitiCertificates and
(iii) approximately 2.9629629629% of the Stated
Amount of the Class A-3 CitiCertificates as of
such date. The Class A-20 Notional Amount for
any Distribution Date will be equal to the
Stated Amount of the Class A-19 CitiCertificates
as of such date.
To the extent that collections of interest from
Mortgagors on account of full or partial
principal prepayments on Mortgage Loans are less
than one full month's interest at the applicable
Note Rate ("Prepayment Interest Shortfalls"),
such Prepayment Interest Shortfalls will be paid
by the Servicer to the extent of the
"Compensating Cap," which will be 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
related to the Mortgage Loans with respect to a
Distribution Date in excess of the Compensating
Cap (the "Non-Supported Interest Shortfall")
will be allocated pro rata among the
CitiCertificates (other than the Class A-11 and
Class A-22 CitiCertificates), based on the
respective amounts of interest accrued thereon
for such Distribution Date. Only Non-Supported
Interest Shortfalls allocated to the Class A-19
CitiCertificates will be covered by the Reserve
Fund and the Insurance Policy. The amount of any
Non-Supported Interest Shortfall allocated to
the Class A-19 CitiCertificates will be paid by
the Trustee first from the Reserve Fund and
second, to the extent that the amount on deposit
in such Reserve Fund is less than the amount of
such Non-Supported Interest Shortfall, by a draw
on the Insurance Policy.
In the unlikely event that on a particular
Distribution Date prior to the Subordination
Depletion Date, the Pool Distribution Amount is
less than the monthly premium for the Insurance
Policy and the aggregate amount of interest
accrued (net of any Non-Supported Interest
Shortfall and the interest portion of certain
losses allocable to the Class A Subclasses and
the Unoffered Class A-IO CitiCertificates) on
the Unoffered Class A-IO CitiCertificates and
each Class A Subclass, including any interest to
be added to the Stated Amount of any Accrual
CitiCertificates (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
Interest Shortfall") and the shortfall
allocable to the Unoffered Class A-IO
CitiCertificates (the "Unoffered Class A-IO
Unpaid Interest Shortfall") will be carried
forward and added to the amount distributable to
holders of Class A and Unoffered Class A-IO
- --------------------------------------------------------------------------------
S-15
<PAGE>
- --------------------------------------------------------------------------------
CitiCertificates until distribution thereof is
made as provided in the second succeeding
paragraph. Any Class A Unpaid Interest Shortfall
will be allocated among the Class A Subclasses
pro rata on the basis of the respective amounts
of accrued interest thereon. In such case, an
amount, if any, equal to the Accretion Amount
would be distributed in reduction of the Stated
Amounts of the Accretion Directed
CitiCertificates and the Accrual
CitiCertificates, notwithstanding that the
holders of the Class A CitiCertificates have
received less than the full amount of interest
accrued during the related Interest Accrual
Period. No interest will accrue on the amount of
any Class A Unpaid Interest Shortfall or
Unoffered Class A-IO Unpaid Interest Shortfall.
Any such Class A Subclass Interest Shortfall
Amount for the Class A-19 CitiCertificates will
be paid, subject to the terms of the Insurance
Policy, by the Insurer to the Trustee, for the
benefit of the holders of the Class A-19
CitiCertificates, as an Insured Payment.
The "Accretion Amount" with respect to any
Distribution Date for any Subclass of Accrual
CitiCertificates prior to its Accretion
Termination Date will be equal to the portion of
the Class A Interest Amount on such Distribution
Date allocated to such Accrual CitiCertificates,
less the Class A Subclass Interest Shortfall
Amount allocated to such Accrual
CitiCertificates for such Distribution Date.
On each Distribution Date, funds in the
Certificate Account available for payment of any
Class A Unpaid Interest Shortfall or Unoffered
Class A-IO Unpaid Interest Shortfall will be
allocated among the then outstanding Class A
Subclasses and the Unoffered Class A-IO
CitiCertificates pro rata in accordance with
their respective unpaid Class A Subclass
Interest Shortfall Amounts and the Unoffered
Class A-IO Unpaid Interest Shortfall immediately
prior to such Distribution Date. Funds which
become available to pay any Class A Subclass
Interest Shortfall Amount previously allocated
to any Subclass of Accrual CitiCertificates will
not be distributed (prior to the applicable
Accretion Termination Date) to such Accrual
CitiCertificates, but will instead be
distributed in reduction of the Stated Amounts
of the Accretion Directed Certificates and the
Accrual CitiCertificates as described below
under "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Distributions in Reduction of
Stated Amount," and the Stated Amounts of the
Accrual CitiCertificates will be increased by
the amount of such reduction.
In the event that on a particular Distribution
Date, the Pool Distribution Amount, net of the
monthly premium for the Insurance Policy and the
amounts distributable on the Class A
CitiCertificates and the Unoffered Class A-IO
CitiCertificates, is less than the aggregate
amount of interest accrued (net of any
Non-Supported Interest Shortfall and the
interest portion of certain losses allocable to
the Class M CitiCertificates) on the Class M
CitiCertificates, such shortfall (the "Class M
Unpaid Interest Shortfall") will be carried
forward and added to the amount distributable to
holders of the Class M CitiCertificates until
distribution thereof is made as described herein
under "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Distributions of Interest" or
until the Class M Stated Amount has been reduced
- --------------------------------------------------------------------------------
S-16
<PAGE>
- --------------------------------------------------------------------------------
to zero. No interest will accrue on the amount
of any Class M Unpaid Interest Shortfall.
In the event that on a particular Distribution
Date, the Pool Distribution Amount, net of the
monthly premium for the Insurance Policy and the
amounts distributable on the Class A, Unoffered
Class A-IO and Class M CitiCertificates, is less
than the aggregate amount of interest accrued
(net of any Non-Supported Interest Shortfall and
the interest portion of certain losses allocable
to the Class B-1 CitiCertificates) on the Class
B-1 CitiCertificates, such shortfall (the "Class
B-1 Unpaid Interest Shortfall") will be carried
forward and added to the amount distributable to
holders of the Class B-1 CitiCertificates until
distribution thereof is made as described herein
under "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Distributions of Interest" or
until the Class B-1 Stated Amount has been
reduced to zero. No interest will accrue on the
amount of any Class B-1 Unpaid Interest
Shortfall.
In the event that on a particular Distribution
Date, the Pool Distribution Amount, net of the
monthly premium for the Insurance Policy and the
amounts distributable on the Class A, Unoffered
Class A-IO, Class M and Class B-1
CitiCertificates, is less than the aggregate
amount of interest accrued (net of any
Non-Supported Interest Shortfall and the
interest portion of certain losses allocable to
the Class B-2 CitiCertificates) on the Class B-2
CitiCertificates, such shortfall (the "Class B-2
Unpaid Interest Shortfall") will be carried
forward and added to the amount distributable to
holders of the Class B-2 CitiCertificates until
distribution thereof is made as described herein
under "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Distributions of Interest" or
until the Class B-2 Stated Amount has been
reduced to zero. No interest will accrue on the
amount of any 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
Subcass Unpaid Interest Shortfall."
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 (other than the Class A-4 and Class
A-20 CitiCertificates), to the Class M
CitiCertificates and to each Offered Class B
Subclass then entitled to receive such
distributions in accordance with the priorities
as described herein under "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Distributions in
Reduction of Stated Amount." Amounts distributed
in reduction of Stated Amount of any Class A
Subclass (other than the Class A-19
CitiCertificates) 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. Distributions in reduction
of Stated Amount of the Retail CitiCertificates
will be made as described under the heading
"Distributions with Respect to the Retail
CitiCertificates" below. 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
- --------------------------------------------------------------------------------
S-17
<PAGE>
- --------------------------------------------------------------------------------
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.
On each Distribution Date prior to the
Subordination Depletion Date, the Class A
Principal Distribution Amount will be allocated
in the manner described under "DESCRIPTION OF
THE OFFERED CitiCertificates--Distributions in
Reduction of Stated Amount."
Any Unpaid PO Loss Amount outstanding shall be
paid in respect of the Class A-22
CitiCertificates, but only to the extent of
Available PO Loss Funds. "Available PO Loss
Funds" for any Distribution Date shall equal the
Pool Distribution Amount as reduced by the
monthly premium for the Insurance Policy, 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 Class
A Principal Distribution Amount, the Class M
Interest Amount and the Class B Interest Amount.
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. See "DESCRIPTION
OF THE OFFERED CITICERTIFICATES--Distributions
in Reduction of Stated Amount" in this
Prospectus Supplement.
The "PAC Balance Amount" for any Class A
Subclass of the PAC Certificates for any
Distribution Date will equal the amount, if any,
required to reduce the outstanding Stated Amount
thereof (prior to giving effect to distributions
in reduction thereof to be made on such
Distribution Date) to the Stated Amount for such
Distribution Date as set forth in the table on
pages S-50 and S-51 hereof (each such balance, a
"Planned Balance"). See "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Distributions in
Reduction of Stated Amount --The PAC
Certificates" in this Prospectus Supplement.
The "TAC Balance Amount" for the Class A-12,
Class A-13 or Class A-14 CitiCertificates and
the "Schedule I TAC Balance Amount" and the
"Schedule II TAC Balance Amount" for the Class
A-5, Class A-6 and Class A-7 CitiCertificates
for any Distribution Date will be equal to the
amount, if any, required to reduce the
outstanding Stated Amounts thereof (prior to
giving effect to distributions in reduction
thereof to be made on such Distribution Date) to
the Stated Amounts for such Distribution Date as
set forth in the tables beginning on page S-53
hereof (each such balance, a "Targeted Balance,"
"Schedule I Targeted Balance" and "Schedule II
Targeted Balance," respectively). See
"DESCRIPTION OF THE OFFERED CITICERTIFICATES
--Distributions in Reduction of Stated
Amount--The TAC Certificates" in this Prospectus
Supplement.
The holders of the Class A-18 and Class A-21
CitiCertificates will not be entitled to receive
any distributions in reduction of Stated Amount
prior to the Distribution Date in September
2003, and prior to the
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S-18
<PAGE>
- --------------------------------------------------------------------------------
Distribution Date in September 2007, will
receive a disproportionately small portion of
principal prepayments and other unscheduled
recoveries on the Mortgage Loans, unless the
Stated Amounts of all other Class A Subclasses
(other than Class A-22 CitiCertificates) have
been reduced to zero or the Stated Amounts of
the Subordinated CitiCertificates have been
reduced to zero. As a result, the weighted
average lives will be longer, and could be
significantly longer, than would be the case if
the Class A-18 and Class A-21 CitiCertificates
received their pro rata share of the Class A
Percentage and Class A Prepayment Percentage of
the Non-PO Percentage of all principal payments
received on the Mortgage Loans. See "DESCRIPTION
OF THE OFFERED CITICERTIFICATES--Distributions
in Reduction of Stated Amount" herein.
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 the monthly premium for the Insurance Policy
and all amounts distributable on such
Distribution Date on the Class A and Unoffered
Class A-IO CitiCertificates and all 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 the monthly premium for the
Insurance Policy and 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 "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 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)
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S-19
<PAGE>
- --------------------------------------------------------------------------------
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 allocation of a disproportionate amount of
prepayments and certain unscheduled recoveries
as described above to the Class A
CitiCertificates (other than the Class A-18,
Class A-21 and Class A-22 CitiCertificates) in
reduction of Stated Amount will have the effect
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.
In the event that on any Distribution Date, the
Current Class M Subordination Level is less than
the Class M Subordination Level on the Closing
Date, then the Class B CitiCertificates will not
be entitled to any distributions in reduction of
Stated Amount on such Distribution Date and all
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 Class M Subordination
Level on the Closing Date is expected to be
between 1.15% and 3.15%.
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
Class B-1 Subordination Level on the Closing
Date, 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
such distributions will instead be allocated in
reduction of the Stated Amounts 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 Class B-1 Subordination Level on the
Closing Date is expected to be between 0.75% and
1.75%.
- --------------------------------------------------------------------------------
S-20
<PAGE>
- --------------------------------------------------------------------------------
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 Class B-2
Subordination Level on the Closing Date, 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
Class B-2 Subordination Level on the Closing
Date is expected to be between 0.60% and 1.00%.
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.
On any Distribution Date on or after the
Subordination Depletion Date, funds available
for distribution in reduction of Stated Amount
of the Class A CitiCertificates will be
allocated to the Class A CitiCertificates (other
than the Class A-22 CitiCertificates), on the
one hand, and in respect of the Class A-22
CitiCertificates, on the other, pro rata on the
basis of the amounts of (i) the Class A Non-PO
Principal Amount and (ii) the Class A PO
Principal Amount, respectively, notwithstanding
the priorities described under "DESCRIPTION OF
THE OFFERED CITICERTIFICATES--Distributions in
Reduction of Stated Amount." Under the
circumstances described in this paragraph, the
amount allocated to each Class A Subclass will
be distributed pro rata among holders of
CitiCertificates of such Class A Subclass
including the Retail CitiCertificates.
DISTRIBUTIONS WITH RESPECT
TO THE RETAIL
CITICERTIFICATES
A. GENERAL ................. The Class A-19 CitiCertificates will be Retail
CitiCertificates.
On each Distribution Date on which amounts are
available for distributions in reduction of
Stated Amount of the Retail CitiCertificates,
the aggregate amount allocable to such
distributions will be rounded, as necessary, to
an amount equal to an integral multiple of
$1,000, except as provided below, in accordance
with the priorities and limitations set forth
herein. Such rounding will be accomplished on
the first Distribution Date on which
distributions in reduction of Stated Amount of
the Retail CitiCertificates are made by
withdrawing, from a deposit of $999.99 to be
made to a non-interest bearing account on the
Closing Date (the "Retail Cash Deposit"), the
- --------------------------------------------------------------------------------
S-21
<PAGE>
- --------------------------------------------------------------------------------
amount of funds, if any, needed to round the
amount otherwise available for such distribution
upward to the next higher integral multiple of
$1,000. On each succeeding Distribution Date on
which distributions in reduction of Stated
Amount of the Retail CitiCertificates are to be
made, the aggregate amount allocable to the
Retail CitiCertificates will be applied first to
repay any funds withdrawn from the Retail Cash
Deposit on the prior Distribution Date, and then
the remainder of such allocable amount, if any,
will be similarly rounded upward and distributed
in reduction of Stated Amount of the Retail
CitiCertificates. This process will continue on
succeeding Distribution Dates until the
remaining Stated Amount of the Retail
CitiCertificates has been reduced to zero. Thus,
the aggregate distribution made in reduction of
Stated Amount of the Retail CitiCertificates on
each Distribution Date (other than on the first
Distribution Date on which such distributions
are made) may be slightly more or less than
would be the case in the absence of such
rounding procedures, but such difference will be
no more than $999.99 on such Distribution Date.
Under no circumstances will the sum of all
distributions made in reduction of Stated Amount
of the Retail CitiCertificates, through any
Distribution Date, be less than the sum that
would have resulted in the absence of such
rounding procedures.
Because the rate of distributions made in
reduction of Stated Amount of the Retail
CitiCertificates (in the aggregate) is dependent
upon the rate of principal payments (including
prepayments) on the Mortgage Loans, no assurance
can be given as to the Distribution Date on
which the Retail CitiCertificates will begin to
receive such distributions, the rate at which
such distributions will be made thereafter or
the date on which the Stated Amount of the
Retail CitiCertificates will be reduced to zero.
See "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--The Retail CitiCertificates"
in this Prospectus Supplement.
Notwithstanding any provisions herein to the
contrary, on and after the Subordination
Depletion Date or if the Insurer fails to make
an Insured Payment, distributions in reduction
of Stated Amount of the Retail CitiCertificates
will thereafter be made pro rata among the
holders of the Retail CitiCertificates and shall
no longer be made in integral multiples of
$1,000 or pursuant to requested distributions or
mandatory distributions by random lot.
The Retail CitiCertificates are subject to
payment in full in the event of any early
termination at the option of CMSI as described
in "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Optional Termination" in this
Prospectus Supplement.
THE RETAIL CITICERTIFICATES MAY NOT BE A SUITABLE
INVESTMENT FOR EVERY INVESTOR. LIKE THE OTHER
CLASS A SUBCLASSES, A RETAIL CITICERTIFICATE IS
NOT AN APPROPRIATE INVESTMENT FOR ANY INVESTOR
WHO REQUIRES A SINGLE LUMP SUM PAYMENT ON A
PREDETERMINED DATE OR AN OTHERWISE PREDICTABLE
STREAM OF PAYMENTS. THERE IS NO ASSURANCE THAT
ANY INVESTOR IN A RETAIL CITICERTIFICATE WILL
RECEIVE A DISTRIBUTION IN REDUCTION OF STATED
AMOUNT ON ANY PARTICULAR DISTRIBUTION DATE. IN
ADDITION, ALTHOUGH THE SENIOR UNDERWRITER MAY
FROM TIME TO TIME BUY AND SELL RETAIL
CITICERTIFICATES, IT HAS NO OBLIGATION TO DO SO.
THERE IS NO ASSURANCE THAT A SECONDARY MARKET
FOR THE RETAIL
- --------------------------------------------------------------------------------
S-22
<PAGE>
- --------------------------------------------------------------------------------
CITICERTIFICATES WILL DEVELOP, THAT ANY SUCH
MARKET WILL CONTINUE OR THAT THE PRICE AT WHICH
AN INVESTOR MAY BE ABLE TO SELL A RETAIL
CITICERTIFICATE WILL BE EQUAL TO OR GREATER THAN
THE INITIAL PURCHASE PRICE OF SUCH
CITICERTIFICATE.
B. REQUESTED DISTRIBUTIONS
IN REDUCTION OF STATED
AMOUNT OF THE RETAIL
CITICERTIFICATES ........... Subject to certain priorities and limitations
described under "DESCRIPTION OF THE OFFERED
CitiCertificates--Distributions in Reduction of
Stated Amount of the Retail CitiCertificates" in
this Prospectus Supplement, Beneficial Owners of
the Retail CitiCertificates have the right to
request that distributions in reduction of
Stated Amount of their Retail CitiCertificates
be made on each Distribution Date on which
distributions in reduction of Stated Amount are
to be made with respect to the Retail
CitiCertificates. There can be no assurance that
funds will be available to make distributions
with respect to Retail CitiCertificates on any
particular Distribution Date or, even if funds
are available to make such distributions, that
such distributions will be made with respect to
the Retail CitiCertificates held by any
particular Beneficial Owner. In addition,
because the amount, if any, available to make
such distributions on any Distribution Date will
be limited, there is no assurance that a
Beneficial Owner who has submitted a request for
a distribution will have such a distribution
made with respect to such Retail CitiCertificate
within a reasonable period of time after such
request is submitted.
C. MANDATORY DISTRIBUTIONS
IN REDUCTION OF STATED
AMOUNT OF THE RETAIL
CITICERTIFICATES ........... To the extent that the portion of the Class A
Principal Distribution Amount allocated to the
Retail CitiCertificates on a Distribution Date
plus any Insured Payment applied in reduction of
the Stated Amount of the Retail CitiCertificates
exceeds the Stated Amount of Retail
CitiCertificates for which requests for
distributions have been timely received,
additional Retail CitiCertificates will be
selected for mandatory distributions. On each
Distribution Date, the Retail CitiCertificates
to receive mandatory distributions in reduction
of Stated Amount will be determined in
accordance with the then applicable established
random lot procedures of DTC and the other
established procedures of the Participants or
Indirect Participants representing the
Beneficial Owners of the Retail
CitiCertificates. Accordingly, a Participant or
Indirect Participant may determine to make a
distribution in reduction of Stated Amount of
the Retail CitiCertificates held in the account
of some Beneficial Owners (which could include
such Participant or Indirect Participant)
without making similar distributions with
respect to Retail CitiCertificates held in the
account of other Beneficial Owners. See
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Distributions in Reduction of Stated Amount of
the Retail CitiCertificates" in this Prospectus
Supplement.
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
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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, the allocation of such prepayments to the
CitiCertificates, and the timing and extent of
losses, if any, allocated to the
CitiCertificates. 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 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-11 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 Mortgage Loans. A low rate of
principal payments (including prepayments) on
the Mortgage Loans will have a negative effect
and a high rate of principal payments (including
prepayments) on the Mortgage Loans will have a
positive effect on the yield to investors in the
Class A-11 CitiCertificates. See "DESCRIPTION OF
THE OFFERED CITICERTIFICATES--Prepayment and
Yield Considerations--Sensitivity of the Class
A-11 CitiCertificates" in this Prospectus
Supplement.
The yield on the Class A-22 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
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S-24
<PAGE>
- --------------------------------------------------------------------------------
effect on the yield to investors in the Class
A-22 CitiCertificates. Because payments on the
Class A-22 CitiCertificates are directly related
to the rate of principal payment on the Discount
Mortgage Loans, the rate of principal payment on
the Class A-22 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--Sensitivity of the Class A-22
CitiCertificates" in this Prospectus Supplement.
The holders of the Class A-18 and Class A-21
CitiCertificates will not be entitled to receive
any distributions in reduction of Stated Amount
prior to the Distribution Date in September
2003, and prior to the Distribution Date in
September 2007 will receive a disproportionately
small portion of principal prepayments and other
unscheduled recoveries on the Mortgage Loans
unless the Stated Amounts of all other Class A
Subclasses (other than the Class A-22
CitiCertificates) have been reduced to zero or
the Stated Amounts of the Subordinated
CitiCertificates have been reduced to zero. As a
result, the weighted average lives will be
longer, and could be significantly longer, than
would be the case if the Class A-18 and Class
A-21 CitiCertificates received their pro rata
share of the Class A Percentage and Class A
Prepayment Percentage of the Non-PO Percentage
of all principal payments received on the
Mortgage Loans.
AN INVESTOR THAT PURCHASES ANY OFFERED
CITICERTIFICATE AT A DISCOUNT SHOULD CAREFULLY
CONSIDER THE RISK THAT A SLOWER THAN ANTICIPATED
RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGE LOANS
WILL RESULT IN AN ACTUAL YIELD THAT IS LOWER
THAN SUCH INVESTOR'S EXPECTED YIELD. AN INVESTOR
THAT PURCHASES ANY OFFERED CITICERTIFICATE AT A
PREMIUM AND ANY CLASS A-4 OR CLASS A-20
CITICERTIFICATES, WHICH HAVE NO STATED AMOUNT,
SHOULD CONSIDER THE RISK THAT A FASTER THAN
ANTICIPATED RATE OF PRINCIPAL PAYMENTS ON THE
MORTGAGE LOANS WILL RESULT IN AN ACTUAL YIELD
THAT IS LOWER THAN SUCH INVESTOR'S EXPECTED
YIELD.
AS A RESULT OF THE PAYMENT PRIORITIES DESCRIBED
HEREIN, CERTAIN CLASS A SUBCLASSES WILL BE
HIGHLY SENSITIVE TO THE RATE OF PREPAYMENTS ON
THE MORTGAGE LOANS. SEE "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--WEIGHTED AVERAGE LIVES
OF THE OFFERED CITICERTIFICATES" IN THIS
PROSPECTUS SUPPLEMENT.
THE MORTGAGE LOANS
A. GENERAL ................. The Mortgage Loans will have mortgage rates
ranging from 6.375% to 8.500% per annum. The
initial weighted average mortgage rate of the
Mortgage Loans is expected to be at least 7.168%
but no more than 7.568% per annum. The weighted
average remaining term to stated maturity of the
Mortgage Loans will be at least 354 months but
no more than 360 months.
The Mortgage Loans will consist of 20- to
30-year fixed rate conventional mortgage loans
originated or acquired by CMI and will include
loans secured by shares issued by 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
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S-25
<PAGE>
- --------------------------------------------------------------------------------
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 September
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.
ALLOCATION OF LOSSES ........ Shortfalls in receipts of interest on the Mortgage
Loans and receipts of principal with respect to
the Mortgage Loans in an amount less than the
decrease in the Pool Adjusted Balance from the
prior Distribution Date with respect to a
Distribution Date may arise due to losses
incurred on Liquidated Loans and to
delinquencies not advanced by the Servicer or
the Trustee (in its individual capacity).
Realized Losses (other than Excess Special Hazard
Losses, Excess Fraud Losses or Excess Bankruptcy
Losses) will not be allocated to holders of the
Class A CitiCertificates (other than the Class
A-22 CitiCertificates) until the Subordination
Depletion Date. Prior to such time, 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 Class M Stated Amount
has been reduced to zero. After the
Subordination Depletion Date, the principal
portion of such Realized Losses allocated to the
Class A-19 CitiCertificates will be covered by
the Insurance Policy as and to the extent
described therein. See "THE INSURANCE POLICY AND
THE INSURER" in this Prospectus Supplement. The
principal portion of such Realized Losses
allocated to the Class A-16 CitiCertificates
will be borne solely by the Class A-18
CitiCertificates for so long as the Class A-18
CitiCertificates are outstanding. The applicable
PO Percentage of such Realized Losses will be
allocated to the Class A-22 CitiCertificates as
a PO Loss Amount until the Stated Amount thereof
has been reduced to zero, but such loss
allocation will give rise to the right to
receive, in respect of the Class A-22
CitiCertificates, reimbursement of losses so
allocated first out of certain funds otherwise
distributable on the Class B CitiCertificates,
and then out of funds otherwise distributable on
the Class M 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.
The applicable Non-PO Percentage of the
principal portion of any Excess Special Hazard
Loss, Excess Fraud Loss or Excess Bankruptcy
Loss will be allocated among the Class A
Subclasses (other than the Class A-22
CitiCertificates), the Class M CitiCertificates
and the Class B Subclasses. Any such allocation
will be accomplished by reducing the outstanding
Stated Amount of each such Class A Subclass, the
Class M CitiCertificates and each Class B
Subclass by the appropriate share of any such
principal losses. Any such losses allocated to
the Class A-19 CitiCertificates will be covered
by the Insurance Policy as and to the extent
described herein. See "THE INSURANCE POLICY AND
THE
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S-26
<PAGE>
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INSURER" in this Prospectus Supplement. The
applicable PO Percentage of such principal
losses will be allocated to the Class A-22
CitiCertificates. See "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Subordination--
Allocation of Losses."
The principal portion of Realized Losses,
together with any other losses, allocated to the
Class A-19 CitiCertificates, including any
losses related to any Excess Special Hazard
Losses, any Excess Fraud Losses or any Excess
Bankruptcy Losses, which would result in a
reduction of the Stated Amount of the Class A-19
CitiCertificates but for an Insured Payment are
herein referred to as "Class A-19 Insured
Principal Losses." Extraordinary Losses
allocated to the Class A-19 CitiCertificates
will not be covered by the Insurance Policy.
Prior to the Subordination Depletion Date, so
long as the Insurer has made an Insured Payment
with regard to any Class A-19 Insured Principal
Loss in respect of the Stated Amount of the
Class A-19 CitiCertificates, a reduction in
Stated Amount of the Class A-19 CitiCertificates
will be made in accordance with the priorities
stated under "Distributions with Respect to the
Retail CitiCertificates" above. If the Insurer
fails to make an Insured Payment then such
losses will be allocated among the Class A
Subclasses pro rata based on, with respect to
each Class A Subclass, the then current Stated
Amount of such Class A Subclass. See
"DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Subordination --Allocation of Losses" in this
Prospectus Supplement.
On each Distribution Date occurring on and after
the Subordination Depletion Date, holders of
Class A CitiCertificates (other than Class A-22
CitiCertificates) will generally receive their
respective pro rata share of the Non-PO
Percentage of net Liquidation Proceeds realized
on Liquidated Loans and holders of the Class
A-22 CitiCertificates will generally receive the
PO Percentage of net Liquidation Proceeds
realized on Liquidated Loans (in each case,
after reimbursement to the Servicer and the
Trustee of any previously unreimbursed advances
made in respect of such loans).
ADVANCES .................... The Servicer intends to make advances in respect
of delinquencies on the Mortgage Loans in an
amount equal to the delinquent payments to the
extent the Servicer determines that such
advances will be recoverable from future
payments and collections on the Mortgage Loans.
The Servicer will contract with the Trustee (in
its individual capacity and not as Trustee) for
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.
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<PAGE>
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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.
CERTAIN FEDERAL INCOME TAX
CONSEQUENCES ............... For federal income tax purposes, the Trust will be
treated as two segregated asset pools. Elections
will be made to treat each segregated pool as a
separate REMIC for purposes of Sections 860A
through 860G of the Code. The Lower-Tier REMIC
will issue the Class A-5, Class A-6, Class A-7,
Class A-8, Class A-9, Class A-10, Class A-11,
Class A-12, Class A-13, Class A-14, Class A-15,
Class A-16, Class A-17, Class A-18, Class A-21,
Class A-22, and Class M CitiCertificates, each
Class B Subclass and the Unoffered Class A-IO
CitiCertificates, each of which will be
designated as a regular interest in the
Lower-Tier REMIC, and the Upper-Tier REMIC will
issue the Class A-1, Class A-2, Class A-3, Class
A-4, Class A-19 and Class A-20 CitiCertificates,
each of which will be designated as a regular
interest in the Upper-Tier REMIC. The Pooling
Agreement will require that the Servicer on
behalf of the Trust maintain separate books and
records for the Lower-Tier and Upper-Tier REMICs
for federal income tax purposes and that the
Trustee act consistently therewith. The Offered
CitiCertificates 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-18
CitiCertificates, the Class A-22
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-11 and Class
A-22 CitiCertificates will be issued with
original issue discount in an amount equal to
the excess of their Initial Stated Amounts over
their respective issue prices. The Class A-8,
Class A-9, Class A-10 and Class A-15
CitiCertificates will be issued with original
issue discount in an amount equal to the excess
of the Initial Stated Amounts thereof and all
interest distributions (whether current or
accrued) expected to be received thereon over
their respective issue prices (including accrued
interest). It is anticipated that the Class A-1,
Class A-2, Class A-3, Class A-5, Class A-6,
Class A-7, Class A-12, Class A-13, Class A-16,
Class A-18, Class A-19, Class A-21, Class M and
Class B-1 CitiCertificates will be issued at a
premium and that the Class A-14, Class A-17 and
Class B-2 CitiCertificates will be issued with
de minimis original issue discount for federal
income tax purposes. It is further anticipated
that the Class
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<PAGE>
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A-4 and Class A-20 CitiCertificates will be
treated as issued with original issue discount
for federal income tax purposes in an amount
equal to the excess of all distributions of
interest expected to be received thereon over
their respective issue prices (including accrued
interest). In the alternative, it is possible
that rules similar to the contingent interest
rules of the OID Regulations could be adopted
with respect to prepayable securities such as
the Class A-4 and Class A-20 CitiCertificates.
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
275% of the Prepayment Model's (as defined
herein) assumed prepayment rates. 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 "regular interests in a REMIC" for
domestic building and loan associations and as
"real estate assets" for real estate investment
trusts, to the extent described in the
Prospectus, as "qualified mortgages" for another
REMIC, and as "permitted assets" for a financial
asset securitization investment trust. 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 February 22, 1991, the Department of Labor
issued to the Senior Underwriter Prohibited
Transaction Exemption PTE 91-14 (the
"Exemption"), which Exemption generally was
intended to apply to the purchase and holding by
ERISA Plans of securities such as the Class A
CitiCertificates, which represent beneficial
interests in pass-through trusts that meet the
requirements of the Exemption. The Exemption
should apply to the acquisition, holding and
resale of the Class A CitiCertificates by an
ERISA Plan, provided that specified conditions
(certain of which are described herein,
including the condition that the ERISA Plan be
an "accredited investor" (as defined in Rule
501(a)(1) of Regulation D of the Securities and
Exchange
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<PAGE>
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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 A-18 CitiCertificates which are
subordinated to the Class A-16 CitiCertificates,
or the Class M CitiCertificates and the Offered
Class B CitiCertificates which are subordinated
to the Class A and Unoffered Class A-IO
CitiCertificates. Accordingly, the Class A-18,
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 A-18,
the Class M or Offered Class B CitiCertificates,
as the case may be, 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 A-18
CITICERTIFICATES, 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,
Class A-11, Class A-20 and Class A-22
CitiCertificates) shall be rated "AAA" by
Standard & Poor's Ratings Group ("S&P") and
Fitch IBCA, Inc. ("Fitch"); the Class A-4,
Class A-11, Class A-20 and Class A-22
CitiCertificates shall be rated "AAAr" by S&P
and "AAA" by Fitch; the Class M CitiCertificates
shall be rated at least "AA" by Fitch; the Class
B-1 CitiCertificates shall be rated at least "A"
by Fitch; and the Class B-2 CitiCertificates
shall be rated at least "BBB" by Fitch. 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 so 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 $501,246,851. This amount is subject to a
permitted upward or downward variance of up to 5.0%. None of the Mortgage Loans
will be CitiMae Mortgage Loans.
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: 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 Percentage 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 the Pool. To the
extent that the Mortgage Loans differ from the descriptions contained herein,
immaterial variances in such information may result.
The weighted average Note Rate of the Mortgage Loans as of the Cut-Off Date
will be at least 7.168% but no more than 7.568% per annum. The Mortgage Loans
will have Note Rates of at least 6.375% but no more than 8.500% per annum. The
weighted average remaining term to stated maturity of the Mortgage Loans as of
the Cut-Off Date will be at least 354 months but no longer than 360 months. All
Mortgage Loans have original maturities of 20 to 30 years. None of the Mortgage
Loans will have been originated prior to June 1, 1989 or after August 1, 1998.
None of the Mortgage Loans will have a scheduled maturity later than August 1,
2028.
The Mortgage Loans 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):
At least 99% of the Mortgage Loans will be Mortgage Loans originated using
loan underwriting policies which require, among other things, proof of income
and liquid assets and telephone verification of employment, or are refinanced
Mortgage Loans originated using alternative or streamlined underwriting
policies. No more than 65% of the Mortgage Loans will be refinanced Mortgage
Loans originated using alternative or streamlined underwriting policies. See
"LOAN UNDERWRITING POLICIES AND LOSS AND DELINQUENCY CONSIDERATIONS" in the
Prospectus.
At least 5% of the Mortgage Loans will be Mortgage Loans each having an
Adjusted Balance of less than $250,000.
At least 80% of the Mortgage Loans will be Mortgage Loans each having an
Adjusted Balance of less than $500,000.
No more than 20% of the Mortgage Loans will be Mortgage Loans each having
an Adjusted Balance of at least $500,000 but less than $1,000,000.
No more than 10% of the Mortgage Loans will have had loan-to-value ratios
at origination in excess of 80%; no more than 5% of the Mortgage Loans will have
had loan-to-value ratios at origination in excess of 90% and none of the
Mortgage Loans will have had loan-to-value ratios at origination in excess of
95%. The weighted average
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loan-to-value ratio at origination of the Mortgage Loans as of the Cut-Off Date
will be no more than 75%. 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 95% of the Mortgage Loans will be secured by one-family dwellings.
No more than 10% of the Mortgage Loans will be secured by condominiums,
townhouses, rowhouses and shares issued by cooperative housing corporations.
No more than 5% of the Mortgage Loans will be secured by Mortgaged
Properties located in any one zip code.
No more than 60% of the Mortgage Loans will be secured by Mortgaged
Properties located in California. No more than 10% of the Mortgage Loans will be
secured by Mortgaged Properties located in any other state.
At least 95% of the Mortgage Loans 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 will be secured by investment properties. See "APPENDIX A:
THE MORTGAGE LOANS AND CITIMORTGAGECERTIFICATES--The Mortgage Loans--General" in
the Prospectus.
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. The aggregate Adjusted Balance outstanding, as of the Cut-off
Date, of the Discount Mortgage Loans and the Premium Mortgage Loans will be
approximately $29,353,623 and $471,893,228, respectively. The weighted average
Note Rate of the Discount Mortgage Loans and the Premium Mortgage Loans, as of
the Cut-off Date, will be approximately 6.820% and 7.402%, respectively. The
weighted average remaining term to stated maturity of the Discount Mortgage
Loans and the Premium Mortgage Loans, as of the Cut-off Date, will be
approximately 357 months each.
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RISK FACTORS
FOR PURCHASERS OF CLASS A-18 CITICERTIFICATES, 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 A-18 CitiCertificates, Class M
CitiCertificates and Offered Class B CitiCertificates.
SUBORDINATION IN RIGHT OF PAYMENT
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 will have a preferential right
to receive out of the Pool Distribution Amount, net of the monthly insurance
premium, 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 the 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.
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-22 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. The
Class A CitiCertificates (other than the Class A-22 CitiCertificates) will be
entitled to receive the Class A Prepayment Percentage of the applicable Non-PO
Percentage of the principal portion of net liquidation proceeds and the Class
A-22 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-22
CitiCertificates). Such Realized Losses allocated to the Class A-19
CitiCertificates will be covered by the Insurance Policy. The principal portion
of such Realized Losses allocated to the Class A-16 CitiCertificates will be
borne solely by the Class A-18 CitiCertificates for so long as the Class A-18
CitiCertificates are outstanding.
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. The Class A CitiCertificates (other than the Class A-22
CitiCertificates)
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will be entitled to receive, in respect of each Mortgage Loan that becomes a
Special Hazard Mortgage Loan in the preceding month, an amount equal to the
Class A Prepayment Percentage of the applicable Non-PO Percentage of the
principal portion of the related net liquidation proceeds, and the Class A-22
CitiCertificates will be entitled to receive an amount equal to the applicable
PO Percentage of the principal portion of such net liquidation proceeds. 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-22 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-22 CitiCertificates. Excess Special Hazard Losses
allocated to the Class A-19 CitiCertificates will be covered by the Insurance
Policy. Excess Special Hazard Losses allocated to the Class A-16
CitiCertificates will not be borne by the Class A-18 CitiCertificates. Excess
Special Hazard Losses are Special Hazard Losses in excess of the Special Hazard
Loss Amount, which will initially be equal to approximately 1.62% 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. 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
second succeeding paragraph. Holders of the Class A CitiCertificates (other than
the Class A-22 CitiCertificates) will be entitled to receive, in respect of each
Mortgage Loan that was subject to a Fraud Loss in the preceding month, an amount
equal to the Class A Prepayment Percentage of the applicable Non-PO Percentage
of the principal portion of the related net liquidation proceeds, and the Class
A-22 CitiCertificates will be entitled to receive an amount equal to the
applicable PO Percentage of the principal portion of such net liquidation
proceeds. 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-22 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-22 CitiCertificates. Excess Fraud Losses allocated to the Class
A-19 CitiCertificates will be covered by the Insurance Policy. Excess Fraud
Losses allocated to the Class A-16 CitiCertificates will not be borne by the
Class A-18 CitiCertificates. Excess Fraud Losses are Fraud Losses in excess of
the Fraud Loss Amount, which will initially be equal to approximately 1.00% 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. 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 next succeeding paragraph. On each Distribution Date occurring prior to
the Bankruptcy Coverage Termination Date, the Stated Amount of the Class M and
Class B CitiCertificates will be reduced, in respect of each Mortgage Loan that
was subject to a Bankruptcy Loss in the preceding month, in an amount equal to
the applicable Non-PO Percentage of the principal portion of such Bankruptcy
Loss. 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-22
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-22 CitiCertificates. Excess Bankruptcy Losses allocated to the Class
A-19 CitiCertificates will be covered by the Insurance Policy. Excess Bankruptcy
Losses allocated to the Class A-16 CitiCertificates will not be borne by the
Class A-18 CitiCertificates. Excess Bankruptcy Losses are Bankruptcy Losses in
excess of the Bankruptcy Loss Amount, which will initially be equal to
approximately 0.03% 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-22
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.
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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.
The interest portion of any Excess Special Hazard Losses, Excess Fraud
Losses and Excess Bankruptcy Losses will be allocated pro rata among the
CitiCertificates (other than the Class A-11 and Class A-22 CitiCertificates)
based on interest accrued on such CitiCertificates. Any such losses allocated to
the Class A-19 CitiCertificates will be covered by the Insurance Policy.
EFFECT OF LOSSES AND OTHER SHORTFALLS
The ultimate payment to holders of the Class M CitiCertificates and the
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 A-18
CitiCertificates, 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 A-18 CitiCertificates, 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 A-18, Class M or Offered Class B
CitiCertificates, as the case may be, 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 A-18
CitiCertificates, the Class M CitiCertificates or the 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 CitiCertificates 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 CitiCertificates and the Offered Class B
CitiCertificates as legal investments under any such laws, regulations, rules
and orders.
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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 (or notional 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.
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-11
and Class A-22 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 (or
in the case of the Class A-4 or Class A-20 CitiCertificates, the Class A-4
Notional Amount or the Class A-20 Notional Amount, respectively), 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-11 and Class A-22 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."
The amount of interest to which holders of the Class A-4 CitiCertificates
are entitled is based on the Class A-4 Notional Amount. The Class A-4 Notional
Amount does not entitle the holders of Class A-4 CitiCertificates to receive
distributions of principal on the basis of such notional amount but is used
solely for the purpose of computing the amount of interest accrued on the Class
A-4 CitiCertificates. The Class A-4 Notional Amount for any Distribution Date
will be equal to the sum of (i) approximately 2.2222222222% of the Stated Amount
of the Class A-1 CitiCertificates, (ii) approximately 7.4074074074% of the
Stated Amount of the Class A-2 CitiCertificates and (iii) approximately
2.9629629629% of the Stated Amount of the Class A-3 CitiCertificates as of such
date.
The amount of interest to which holders of the Class A-20 CitiCertificates
are entitled is based on a notional amount (the "Class A-20 Notional Amount").
The Class A-20 Notional Amount does not entitle the holders of Class A-20
CitiCertificates to receive distributions of principal on the basis of such
notional amount but is used solely for purposes of computing the amount of
interest accrued on the Class A-20 CitiCertificates. The Class A-20 Notional
Amount on any date will be equal to the Stated Amount of the Class A-19
CitiCertificates as of such date.
An amount of interest equal to the Unoffered Class A-IO Interest Amount
will accrue on the 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 will be distributed to
the 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.
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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
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 and Class A-20 CitiCertificates, which have no Stated Amounts, and the
Class A-22 CitiCertificates) as of any Distribution Date before the
Subordination Depletion Date will be the Initial Stated Amount of such Class A
Subclass (plus, in the case of the Class A-8, Class A-9, Class A-10 and Class
A-15 CitiCertificates, all Accretion Distribution Amounts previously added to
the Stated Amounts thereof) 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'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 the Class A CitiCertificates (other than the Class A-22
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 in an amount equal to such Class A Subclass's pro
rata share of the difference, if any, between (a) the Class A Stated Amount
(after subtracting the Class A Subclass Stated Amount of the Class A-22
CitiCertificates) as of such Distribution Date without regard to this provision
and (b) the sum of the products of the applicable Non-PO Percentage of each
Mortgage Loan and the Adjusted Balance of such Mortgage Loan for the preceding
Distribution Date (the "Non-PO Pool Adjusted Balance"). Any reduction allocated
to the Class A-16 CitiCertificates pursuant to the preceding sentence will
instead reduce the Class A Subclass Stated Amount of the Class A-18
CitiCertificates for so long as the Class A-18 CitiCertificates are outstanding.
Any pro rata allocation described in this paragraph will be made among the Class
A Subclasses (other than the Class A-4 and Class A-20 CitiCertificates, which
have no Stated Amounts, and the Class A-22 CitiCertificates) on the basis of
their then outstanding Class A Subclass Stated Amounts as of the preceding
Distribution Date (or, in the case of the Class A-8, Class A-9, Class A-10 or
Class A-15 CitiCertificates, the Initial Stated Amounts, if lower).
The Class A Subclass Stated Amount of the Class A-22 CitiCertificates as of
any Distribution Date will be equal to the difference between the 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-22 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 A-4
and Class A-20 CitiCertificates are interest-only certificates and, accordingly,
have no Stated Amounts.
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
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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 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.
Interest shortfalls resulting from full or partial principal prepayments of
Mortgage Loans ("Prepayment Interest Shortfalls") will be offset to the extent
of the Compensating Cap on the related Distribution Date. The aggregate
Prepayment Interest Shortfalls with respect to a Distribution Date in excess of
the Compensating Cap (the "Non-Supported Interest Shortfall") will be allocated
pro rata among the Classes of CitiCertificates based on interest accrued on each
such Class and accordingly will reduce the amount of interest due to be
distributed to holders of the CitiCertificates then entitled to distributions in
respect of interest. Any such reduction in respect of interest allocated to the
Class A and Class B CitiCertificates will be allocated among the Class A
Subclasses (other than the Class A-11 and Class A-22 CitiCertificates) and the
Class B Subclasses, respectively, pro rata on the basis of their respective
amounts of accrued interest for such Distribution Date. Any Non-Supported
Interest Shortfalls and other losses allocated to the Class A-19
CitiCertificates will be covered by either the Reserve Fund or the Insurance
Policy as and to the extent described below. See "THE INSURANCE POLICY AND THE
INSURER" in this Prospectus Supplement.
A single reserve fund will be established at the time of the issuance of
the Class A-19 CitiCertificates (the "Reserve Fund") by an initial deposit into
a separate account maintained by the Trustee of approximately $14,000. No
additional amounts will be deposited into the Reserve Fund after the initial
deposit. The Reserve Fund will be beneficially owned by Lehman Brothers Inc. and
will not be an asset of the Trust, the Upper-Tier REMIC or the Lower-Tier REMIC.
A withdrawal will be made on each Distribution Date from the amount on
deposit in the Reserve Fund, to the extent available, to cover any Non-Supported
Interest Shortfalls allocated to the Class A-19 CitiCertificates. A withdrawal
from the Reserve Fund may only be made, to the extent funds are available
therein, to cover any Non-Supported Interest Shortfall allocated to such
Subclass and may not be made to cover any Non-Supported
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Interest Shortfall allocated to any other Subclass. Once the Reserve Fund has
been reduced to zero, the Insurance Policy will cover any Non-Supported Interest
Shortfalls allocated to the Class A-19 CitiCertificates.
The balance of any amount remaining in the Reserve Fund on the Distribution
Date on which the Stated Amount of the Class A-19 CitiCertificates is reduced to
zero will be distributed to Lehman Brothers Inc.
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 pro rata among the Classes of CitiCertificates based on the amount of
interest accrued on each such Class and among the Class A Subclasses (other than
the Class A-11 and Class A-22 CitiCertificates), and among the Class B
Subclasses, respectively, pro rata on the basis of their respective amounts of
interest accrued for such Distribution Date. Any such losses allocated to the
Class A-19 CitiCertificates will be covered by the Insurance Policy.
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. After the Subordination Depletion Date, the interest
portion of Realized Losses will be deducted from interest accrued on the
CitiCertificates. Any such losses allocated to the Class A-19 CitiCertificates
will be covered by the Insurance Policy.
On each Distribution Date, prior to the Subordination Depletion Date, on
which the Pool Distribution Amount equals or exceeds the monthly premium for the
Insurance Policy, the Class A Interest Amount and the Distributable Unoffered
Class A-IO Interest Amount, distributions in respect of interest to each Class A
Subclass will equal its Class A Subclass Interest Amount, and distributions in
respect of interest to the Unoffered Class A-IO CitiCertificates will equal the
Distributable Unoffered Class A-IO Interest Amount.
On each Distribution Date prior to the applicable Accretion Termination
Date, an amount equal to the Class A Subclass Interest Amount for the Class A-8,
Class A-9, Class A-10 and Class A-15 CitiCertificates will not be distributed as
interest to holders of the Class A-8, Class A-9, Class A-10 and Class A-15
CitiCertificates but instead will be added to the Class A Subclass Stated
Amounts of the Class A-8, Class A-9, Class A-10 and Class A-15 CitiCertificates,
as applicable, and distributed in reduction of the Stated Amounts of the
Accretion Directed CitiCertificates and the Accrual CitiCertificates on such
Distribution Date.
In the unlikely event that, on any Distribution Date prior to the
Subordination Depletion Date, the Pool Distribution Amount is less than the
monthly premium for the Insurance Policy, the Class A Interest Amount and the
Distributable Unoffered Class A-IO Interest Amount, the amount of interest
currently distributed on the Class A and Unoffered Class A-IO CitiCertificates
will equal the Pool Distribution Amount less the monthly premium for the
Insurance Policy and will be allocated among the Class A Subclasses and the
Unoffered Class A-IO CitiCertificates pro rata in accordance with the Class A
Subclass Interest Amounts and the Distributable Unoffered Class A-IO Interest
Amount, respectively. To the extent that such Class A Interest Shortfall Amount
is allocated to the Class A-19 CitiCertificates such amount will be covered by
the Insurance Policy as and to the extent described herein. 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 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.
On each Distribution Date on which the Pool Distribution Amount exceeds the
monthly premium for the Insurance Policy, the Class A Interest Amount and the
Distributable Unoffered Class A-IO Interest Amount, 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. Such amounts will be allocated among the then outstanding
Class A Subclasses and the Unoffered Class A-IO CitiCertificates 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. Funds which become available to pay any Class A Subclass
Interest Shortfall Amount previously allocated to the Class A-8, Class A-9,
Class A-10 and Class A-15 CitiCertificates will not be distributed (prior to the
applicable Accretion Termination Date) to the Class A-8, Class A-9, Class A-10
or Class A-15 CitiCertificates, as applicable, but will instead be distributed
in reduction of the
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Stated Amounts of the Accretion Directed CitiCertificates and the Accrual
CitiCertificates as described below under "--Distributions in Reduction of
Stated Amount," and the Stated Amount of the applicable Accrual CitiCertificates
will be increased by the amount of such reduction. 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, (ii) all amounts
distributable on the Class A and Unoffered Class A-IO CitiCertificates and (iii)
the monthly premium for the Insurance Policy, 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."
Any 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 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 Offered Class B Subclass Interest Amount for an Offered Class B
Subclass and (ii) all amounts senior in priority of payment to such amount, the
amount of interest currently distributed on such Offered Class B Subclass 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." Any Offered Class B Subclass
Unpaid Interest Shortfall will be added to the amount to be distributed to such
Offered Class B Subclass on subsequent Distribution Dates to the extent that the
Pool Distribution Amount is sufficient therefor and the related Offered Class B
Subclass is then outstanding. No interest will accrue on any Offered Class B
Subclass Unpaid Interest Shortfall.
If, on any Distribution Date, the Pool Distribution Amount is less than the
sum of the monthly premium on the Insurance Policy and all amounts distributable
on the Class A, Unoffered Class A-IO, Class M and Class B-1 CitiCertificates,
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 the monthly premium on the Insurance Policy and all amounts distributable on
the Class A, Unoffered Class A-IO, Class M, Class B-1 and Class B-2
CitiCertificates, 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 the
monthly premium on the Insurance Policy and all amounts distributable on the
Class A and Unoffered Class A-IO CitiCertificates, 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
The Mortgage Loans will be 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%.
Distributions in reduction of Stated Amount of the Class A CitiCertificates
(other than the interest-only Class A-4 and Class A-20 CitiCertificates) will be
made on each Distribution Date in an aggregate amount equal to the Class A
Principal Distribution Amount. The "Class A Principal Distribution Amount" with
respect to any Distribution Date will be equal to the sum of (i) the amount of
principal distributed pursuant to clause (4) as set forth in the first paragraph
under "SUMMARY OF PROSPECTUS AND PROSPECTUS SUPPLEMENT--Priority of
Distributions" in an amount up to the Class A Optimal Principal Amount and (ii)
the sum of the Accretion Distribution Amounts, if any, with respect to such
Distribution Date. The "Accretion Distribution Amount" with respect to any
Distribution Date for
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any Subclass of Accrual CitiCertificates will be equal to the sum of (i) the
Accretion Amount for such Class A Subclass for such Distribution Date and (ii)
prior to the applicable Accretion Termination Date, the portion of any payment
with respect to the Class A Unpaid Interest Shortfall allocated to the such
Accrual CitiCertificates on such Distribution Date. Amounts distributed in
reduction of Stated Amount of any Class A Subclass other than the Retail
CitiCertificates will be allocated pro rata among all CitiCertificates of such
Class A Subclass. Distributions in reduction of Stated Amount of the Retail
CitiCertificates will be made as described under "--Distributions in Reduction
of Stated Amount of the Retail CitiCertificates."
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 monthly premium on the Insurance Policy, the Class A
Interest Amount, the Distributable Unoffered Class A-IO Interest Amount, any
unreimbursed Class A Unpaid Interest Shortfall, any unreimbursed Unoffered Class
A-IO Unpaid Interest Shortfall, the Class A Principal Distribution Amount, the
Class M Optimal Distribution Amount and (to the extent of Available PO Loss
Funds) any Unpaid PO Loss Amounts 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.
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" in this
Prospectus Supplement. 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."
Holders of the Class A-22 CitiCertificates will be entitled to receive on
each Distribution Date, to the extent of the Pool Distribution Amount remaining
after payment of the monthly premium on the Insurance Policy, 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, 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 (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 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 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 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-22 CitiCertificates will be entitled to reimbursement, to the extent of
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.
Holders of the Class A CitiCertificates (other than the Class A-22
CitiCertificates) will be entitled to receive on each Distribution Date, to the
extent of the Pool Distribution Amount remaining after payment of the monthly
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premium on the Insurance Policy, 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, a distribution in reduction of the Stated
Amount thereof in an amount equal to the Class A Non-PO Principal Amount. The
"Class A Non-PO Principal Amount" with respect to each Distribution Date will be
an amount equal to the sum of (i) the Class A Percentage of the applicable
Non-PO Percentage of (A) all scheduled payments of principal due on each
outstanding Mortgage Loan (including each defaulted Mortgage Loan, other than a
Liquidated Loan, with respect to which the related Mortgaged Property has been
acquired by the Trust) on the first day of the month in which the Distribution
Date occurs, less (B) if the Bankruptcy Coverage Termination Date has occurred,
the principal portion of Debt Service Reductions, (ii) the Class A Prepayment
Percentage of the applicable Non-PO Percentage of the Adjusted Balance of each
Mortgage Loan which, during the month preceding the month of such Distribution
Date was repurchased by the Issuer, as described in "APPENDIX A: THE MORTGAGE
LOANS AND CITIMORTGAGE CERTIFICATES--Assignment of Loans" in the Prospectus,
(iii) the Class A Prepayment Percentage of the applicable Non-PO Percentage of
the aggregate net Liquidation Proceeds on all Mortgage Loans that became
Liquidated Loans during such preceding month, less the amounts allocable to
principal of any unreimbursed advances previously made by the Servicer or the
Trustee with respect to such Liquidated Loans and the portion of the net
Liquidation Proceeds allocable to interest, (iv) the Class A Prepayment
Percentage of the applicable Non-PO Percentage of the Adjusted Balance of each
Mortgage Loan which was the subject of a principal prepayment in full during the
month preceding the month of such Distribution Date and (v) the Class 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.
The "Class A Optimal Principal Amount" with respect to each Distribution
Date will be equal to the sum of the Class A PO Principal Amount and the Class A
Non-PO Principal Amount with respect to such Distribution Date. 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%.
On each Distribution Date prior to the latest Accretion Termination Date
for any of the Class A-8, Class A-9 or Class A-10 CitiCertificates, that portion
of the Class A Principal Distribution Amount that represents the aggregate
Accretion Distribution Amount for the Class A-8, Class A-9 and Class A-10
CitiCertificates will be allocated first concurrently, approximately
70.0374531835% to the Class A-7 CitiCertificates and approximately
29.9625468165% sequentially to the Class A-5 CitiCertificates and the Class A-6
CitiCertificates, in each case until the Stated Amount thereof has been reduced
to its respective Schedule I Targeted Balance, second to the Class A-8
CitiCertificates up to the amount necessary to reduce the Stated Amount thereof
to zero, third concurrently, approximately 70.0374531835% to the Class A-7
CitiCertificates and approximately 29.9625468165% sequentially to the Class A-5
CitiCertificates and the Class A-6 CitiCertificates, in each case until the
Stated Amount thereof has been reduced to its respective Schedule II Targeted
Balance, fourth to the Class A-9 CitiCertificates up to the amount necessary to
reduce the Stated Amount thereof to zero, fifth concurrently, approximately
70.0374531835% to the Class A-7 CitiCertificates and approximately
29.9625468165% sequentially to the Class A-5 CitiCertificates and the Class A-6
CitiCertificates, in each case up to the amount necessary to reduce the Stated
Amount thereof to zero and sixth to the Class A-10 CitiCertificates up to the
amount necessary to reduce the Stated Amount thereof to zero.
On each Distribution Date prior to the Accretion Termination Date for the
Class A-15 CitiCertificates, that portion of the Class A Principal Distribution
Amount that represents the Accretion Distribution Amount for the Class A-15
CitiCertificates will be allocated first concurrently, until the Stated Amount
of the Class A-13 CitiCertificates has been reduced to its Targeted Balance,
approximately 22.95% to the Class A-13 CitiCertificates and approximately 77.05%
sequentially to the Class A-12 CitiCertificates and Class A-14 CitiCertificates,
in each case up to the amount necessary to reduce the Stated Amount thereof to
its respective Targeted Balance, second sequentially to the Class A-12
CitiCertificates and Class A-14 CitiCertificates, in each case up to the amount
necessary to reduce the Stated Amount thereof to its respective Targeted Balance
and third to the Class A-15 CitiCertificates up to the amount necessary to
reduce the Stated Amount thereof to zero.
On each Distribution Date prior to the Subordination Depletion Date, the
Class A Principal Distribution Amount (other than the portion that represents
the Accretion Distribution Amounts, which will be distributed as provided in
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the preceding paragraph), will be allocated among and distributed in reduction
of the Stated Amounts of the Class A Subclasses on each Distribution Date
sequentially as follows:
I. The Class A PO Principal Amount for such Distribution Date will be
allocated to the Class A-22 CitiCertificates up to the amount necessary to
reduce the Stated Amount thereof to zero;
II. The Class A Non-PO Principal Amount for such Distribution Date
will be allocated sequentially as follows:
A. to the Class A-18 and Class A-21 CitiCertificates, pro rata
the lesser of (i) the Class A-18 and Class A-21 Priority Amount for
such Distribution Date and (ii) approximately 98.6% of the Class A
Non-PO Principal Amount for such Distribution Date;
B. approximately 41.6965242078% of the Class A Non-PO Principal
Amount remaining after the Class A Non-PO Principal Amount has been
reduced according to clause A above, sequentially as follows:
1. sequentially as follows:
first, concurrently, until the Stated Amount of the Class A-2
CitiCertificates has been reduced to its Planned Balance,
(i) approximately 27.9658195539% to the Class A-1
CitiCertificates up to the amount necessary to reduce the
Stated Amount thereof to its Planned Balance and (ii)
approximately 72.0341804461% to the Class A-2
CitiCertificates up to the amount necessary to reduce the
Stated Amount thereof to its Planned Balance;
second, to the Class A-1 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof to its Planned
Balance; and
third, to the Class A-3 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof to its Planned
Balance;
2. the remaining Class A Non-PO Principal Amount available under
clause B, after the Class A Non-PO Principal Amount has been
reduced according to clause B.1 above, concurrently as follows:
a. approximately 96.4284989137% as follows:
sequentially, (i) concurrently, approximately 70.0374531835%
to the Class A-7 CitiCertificates and approximately
29.9625468165% sequentially to the Class A-5 CitiCertificates
and the Class A-6 CitiCertificates, in each case up to the
amount necessary to reduce the Stated Amount thereof to its
Schedule I Targeted Balance, (ii) to the Class A-8
CitiCertificates up to the amount necessary to reduce the
Stated Amount thereof to zero, (iii) concurrently,
approximately 70.0374531835% to the Class A-7 CitiCertificates
and approximately 29.9625468165% sequentially to the Class A-5
CitiCertificates and the Class A-6 CitiCertificates, in each
case up to the amount necessary to reduce the Stated Amount
thereof to its Schedule II Targeted Balance, (iv) to the Class
A-9 CitiCertificates up to the amount necessary to reduce the
Stated Amount thereof to zero, (v) concurrently, approximately
70.0374531835% to the Class A-7 CitiCertificates and
approximately 29.9625468165% sequentially to the Class A-5
CitiCertificates and the Class A-6 CitiCertificates, in each
case up to the amount necessary to reduce the Stated Amounts
thereof to zero and (vi) to the Class A-10 CitiCertificates up
to the amount necessary to reduce the Stated Amount thereof to
zero; and
b. approximately 3.5715010863% to the Class A-11 CitiCertificates
up to the amount necessary to reduce the Stated Amount thereof
to zero;
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3. the remaining Class A Non-PO Principal Amount available
under clause B, after the Class A Non-PO Principal Amount
has been reduced according to clauses B.1 and B.2 above,
sequentially as follows:
first, concurrently, until the Stated Amount of the Class A-2
CitiCertificates is reduced to zero, (i) approximately
27.9658195539% to the Class A-1 CitiCertificates up to the
amount necessary to reduce the Stated Amount thereof to zero
and (ii) approximately 72.0341804461% to the Class A-2
CitiCertificates up to the amount necessary to reduce the
Stated Amount thereof to zero;
second, to the Class A-1 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof to zero; and
third, to the Class A-3 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof to zero;
C. the remaining Class A Non-PO Principal Amount, after the Class A
Non-PO Principal Amount has been reduced according to clause B
above, as follows:
1. approximately 56.65% sequentially as follows:
first, concurrently, until the Stated Amount of the Class
A-13 CitiCertificates is reduced to its Targeted
Balance, (i) approximately 77.05% sequentially to the
Class A-12 CitiCertificates and the Class A-14
CitiCertificates, in each case up to the amount
necessary to reduce the Stated Amount thereof to its
Targeted Balance and (ii) approximately 22.95% to the
Class A-13 CitiCertificates up to the amount necessary
to reduce the Stated Amount thereof to its Targeted
Balance;
second, sequentially to the Class A-12 CitiCertificates and
the Class A-14 CitiCertificates in each case up to the
amount necessary to reduce the Stated Amount thereof to
its Targeted Balance;
third, to the Class A-15 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof to zero;
fourth, concurrently, until the Stated Amount of the Class
A-13 CitiCertificates is reduced to zero, (i)
approximately 77.05% sequentially to the Class A-12
CitiCertificates and the Class A-14 CitiCertificates,
in each case up to the amount necessary to reduce the
Stated Amount thereof to zero and (ii) approximately
22.95% to the Class A-13 CitiCertificates up to the
amount necessary to reduce the Stated Amount thereof to
zero; and
fifth, sequentially to the Class A-12 CitiCertificates and
the Class A-14 CitiCertificates up to the amount
necessary to reduce the Stated Amounts thereof to zero;
2. the remaining Class A Non-PO Principal Amount, after the
Class A Non-PO Principal Amount has been reduced according
to clause C.1 above, sequentially as follows:
first, beginning in September 2001, $25,000 to the Class
A-19 CitiCertificates up to the amount necessary to
reduce the Stated Amount thereof to zero;
second, to the Class A-16 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof to zero;
third, to the Class A-17 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof by
$7,625,000;
fourth, concurrently, approximately 40% to the Class A-17
CitiCertificates and approximately 60% to the Class
A-19 CitiCertificates until the Stated Amount of the
Class A-17 CitiCertificates is reduced to zero;
fifth, to the Class A-19 CitiCertificates up to the amount
necessary to reduce the Stated Amount thereof to zero;
and
sixth, to the Class A-18 CitiCertificates and the Class A-21
CitiCertificates pro rata, in each case up to the
amount necessary to reduce the Stated Amount thereof to
zero.
S-44
<PAGE>
The "Class A-18 and Class A-21 Priority Amount" for any Distribution Date
means the lesser of (A) the sum of (1) the Stated Amount of the Class A-18
CitiCertificates and (2) the Stated Amount of the Class A-21 CitiCertificates or
(B) the sum of (1) the product of (a) the Class A-18 and Class A-21 Percentage,
(b) the Class A-18 and Class A-21 Shift Percentage and (c) the Scheduled
Principal Amount and (2) the product of (a) the Class A-18 and Class A-21
Percentage, (b) the Class A-18 and Class A-21 Prepayment Shift Percentage and
(c) the Unscheduled Principal Amount.
The "Class A-18 and Class A-21 Percentage" means the lesser of (A) 100% and
(B) the sum of (a) the Stated Amount of the Class A-18 CitiCertificates, (b) the
Stated Amount of the Class A-21 CitiCertificates and (c) $32,300,000, divided by
the Non-PO Pool Adjusted Balance.
The "Class A-18 and Class A-21 Shift Percentage" for any Distribution Date
will be the percentage indicated below:
CLASS A-18 AND
CLASS A-21
DISTRIBUTION DATE OCCURRING IN SHIFT PERCENTAGE
------------------------------ ----------------
September 1998 through August 2003 ...................... 0%
September 2003 and thereafter ........................... 100%
The "Class A-18 and Class A-21 Prepayment Shift Percentage" for
any Distribution Date will be the percentage indicated below:
CLASS A-18 AND
CLASS A-21 PREPAYMENT
DISTRIBUTION DATE OCCURRING IN SHIFT PERCENTAGE
------------------------------ ---------------------
September 1998 through August 2003 ...................... 0%
September 2003 through August 2004 ...................... 30%
September 2004 through August 2005 ...................... 40%
September 2005 through August 2006 ...................... 60%
September 2006 through August 2007 ...................... 80%
September 2007 and thereafter ........................... 100%
The "Scheduled Principal Amount" means the sum for each outstanding
Mortgage Loan (including each defaulted Mortgage Loan, other than a Liquidated
Loan, with respect to which the related Mortgaged Property has been acquired by
the Trust) of the product of (A) the Non-PO Percentage for such Mortgage Loan
and (B) the amount described in clause (i) of the definition of "Class A Non-PO
Principal Amount," but without that amount being multiplied by the Class A
Percentage.
The "Unscheduled Principal Amount" means the sum for each outstanding
Mortgage Loan (including each defaulted Mortgage Loan, other than a Liquidated
Loan, with respect to which the related Mortgaged Property has been acquired by
the Trust) of the product of (A) the Non-PO Percentage for such Mortgage Loan
and (B) the sum of the amounts described in clause (ii), (iii), (iv) and (v) of
the definition of "Class A Non-PO Principal Amount," but without that amount
being multiplied by the Class A Prepayment Percentage.
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. Any such loss allocated to Class A-19 CitiCertificates will be covered by
the Insurance Policy.
The "Class M Optimal Principal Amount" with respect to each Distribution
Date will be an amount equal to the sum of (i) the Class M Percentage of the
applicable Non-PO Percentage of (A) all scheduled payments of principal due on
each outstanding Mortgage Loan (including each defaulted Mortgage Loan, other
than a Liquidated Loan, with respect to which the related Mortgaged Property has
been acquired by the Trust) on the first day of the month in which the
Distribution Date occurs, less (B) if the Bankruptcy Coverage Termination Date
has occurred, the principal portion of Debt Service Reductions, (ii) the Class M
Prepayment Percentage of the applicable Non-PO Percentage of the Adjusted
Balance of each Mortgage Loan which, during the month preceding the month of
such Distribution Date, was repurchased by the Issuer, as described in "APPENDIX
A: THE MORTGAGE LOANS AND CITIMORTGAGE CERTIFICATES--Assignment of Loans" in the
Prospectus, (iii) the Class M Prepayment Percentage of the applicable Non-PO
Percentage of the aggregate net Liquidation Proceeds on all Mortgage Loans that
became Liquidated Loans during such preceding month, less the amounts allocable
to principal of any unreimbursed advances previously made by the Servicer or the
Trustee with respect to such Liquidated Loans and the portion of the net
Liquidation Proceeds allocable to interest, (iv) the Class M Prepayment
Percentage of the applicable Non-PO Percentage of the Adjusted
S-45
<PAGE>
Balance of each Mortgage Loan which was the subject of a principal prepayment in
full during the month preceding the month of such Distribution Date and (v) the
Class M Prepayment Percentage of 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.
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 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 (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 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 which, during the month preceding the month of such Distribution
Date was repurchased by the Issuer, (iii) the 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 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 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 which was the subject
of a principal prepayment in full during the month preceding the month of such
Distribution Date and (v) the Offered Class B Subclass Prepayment Percentage for
such Offered Class B Subclass 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 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 the
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 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
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<PAGE>
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 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 Stated Amount (after subtracting the
Stated Amount of the Class A-22 CitiCertificates) by the Non-PO Pool Adjusted
Balance, 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 A Percentage for the first Distribution Date
is expected to be between 94.99% and 96.99%. The Class A Percentage will
decrease as a result of the allocation of certain unscheduled payments in
respect of principal according to the Class A Prepayment Percentage for a
specified period to the Class A CitiCertificates and will increase as a result
of the allocation of Realized Losses to the Subordinated CitiCertificates.
The "Class A Prepayment Percentage" for any Distribution Date occurring
during the five years beginning on the first Distribution Date will, except as
provided below, equal 100%. Thereafter, the Class A Prepayment Percentage 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 (other than the Class A-18, Class A-21 and Class A-22
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 any Distribution Date occurring
during the periods set forth below will be as follows:
<TABLE>
<CAPTION>
PERIOD (DATES INCLUSIVE) CLASS A PREPAYMENT PERCENTAGE
------------------------ -----------------------------
<S> <C>
September 2003-August 2004 .............. Class A Percentage plus 70% of the
Subordinated CitiCertificate Percentage
September 2004-August 2005 .............. Class A Percentage plus 60% of the
Subordinated CitiCertificate Percentage
September 2005-August 2006 .............. Class A Percentage plus 40% of the
Subordinated CitiCertificate Percentage
September 2006-August 2007 .............. Class A Percentage plus 20% of the
Subordinated CitiCertificate Percentage
September 2007 and thereafter ........... Class A Percentage
</TABLE>
Notwithstanding the foregoing, if the Class A Percentage on any
Distribution Date exceeds the initial Class A Percentage, the 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.
In addition, no reduction of the Class A Prepayment Percentage will occur
on a Distribution Date unless the following 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 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 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
are less than (a) with respect to each Distribution Date in September 2003
through August 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 September 2004 through
August 2005, inclusive, 35% of the Original Subordinated Stated Amount, (c) with
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<PAGE>
respect to each Distribution Date in September 2005 through August 2006,
inclusive, 40% of the Original Subordinated Stated Amount, (d) with respect to
each Distribution Date in September 2006 through August 2007, inclusive, 45% of
the Original Subordinated Stated Amount, and (e) with respect to each
Distribution Date in September 2007 and thereafter, 50% of the Original
Subordinated Stated Amount.
The "Subordinated CitiCertificate Percentage" for any Distribution Date
will be calculated as the difference between 100% and the Class A Percentage for
such date. The Subordinated CitiCertificate Percentage on the Closing Date is
expected to be between 3.01% and 5.01%.
The "Subordinated Prepayment Percentage" for any Distribution Date will be
calculated as the difference between 100% and the Class A Prepayment Percentage
for each date.
The "Class M Percentage" shall be equal to the percentage calculated by
multiplying (i) the Subordinated CitiCertificate Percentage by (ii) a fraction,
the numerator of which is the Class M Stated Amount and the denominator of which
is the sum of the Class M Stated Amount and the Class B Subclass Stated Amount
of each Class B Subclass eligible to receive 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" shall be equal to the percentage
calculated by multiplying (i) the Subordinated Prepayment Percentage by (ii) a
fraction, the numerator of which is the Class M Stated Amount and the
denominator of which is the sum of the Class M Stated Amount and the Class B
Subclass Stated Amount of each Class B Subclass eligible to receive
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 will be calculated as
the difference between the Subordinated CitiCertificate Percentage and the Class
M Percentage.
The "Class B Prepayment Percentage" for any Distribution Date will be
calculated as the difference between the Subordinated Prepayment Percentage and
the Class M Prepayment Percentage.
The "Offered Class B Subclass Percentage" for each Offered Class B Subclass
shall be equal to, on any Distribution Date, the percentage calculated by
multiplying (i) the 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 Class B Prepayment Percentage by (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 original Class M Subordination Level is expected
to be between 1.15% and 3.15%.
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 original Class B-1 Subordination Level is expected to be between 0.75% and
1.75%.
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<PAGE>
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 original Class B-2 Subordination Level
is expected to be between 0.60% and 1.00%.
In the event that on any Distribution Date, the Current Class M, Class B-1
and Class B-2 Subordination Levels equal or exceed their original percentages
but the Current Class B-3 Subordination Level is less than the original Class
B-3 Subordination Level, then the 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, Class B-2 and Class
B-3 CitiCertificates. The original Class B-3 Subordination Level is expected to
be between 0.25% and 0.65%.
In the event that on any Distribution Date, the Current Class M, Class B-1,
Class B-2 and Class B-3 Subordination Levels equal or exceed their original
percentages but the Current Class B-4 Subordination Level is less than the
original Class B-4 Subordination Level, then the 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, Class B-2, Class B-3
and Class B-4 CitiCertificates. The original Class B-4 Subordination Level is
expected to be between 0.10% and 0.40%.
On any Distribution Date on which the Stated Amounts of the Class M and
Class B CitiCertificates have been reduced to zero, the Class A Non-PO Principal
Amount will be distributed pro rata to each Class A Subclass (other than the
Class A-22 CitiCertificates) notwithstanding the priorities described above.
Under the circumstances described in this paragraph, the amount allocated to
each such Class A Subclass will be distributed pro rata among holders of
CitiCertificates of such Class A Subclass.
The PAC Certificates
On each Distribution Date, the Class A Principal Distribution Amount will
be allocated among the Class A Subclasses as described under "--Distributions in
Reduction of Stated Amount". To the extent that funds are available to make
distributions in reduction of the Stated Amounts of the PAC Certificates on each
Distribution Date, the PAC Certificates will be entitled to receive their PAC
Balance Amounts, if any, for such Distribution Date as determined by reference
to the Planned Balances set forth in the table below.
The Planned Balances for each Class A Subclass of the PAC Certificates on
each Distribution Date were calculated assuming that: (i) the Mortgage Loans and
the CitiCertificates have the characteristics set forth in the Structuring
Assumptions described under the heading "--Weighted Average Lives of the Offered
CitiCertificates," and (ii) the Mortgage Loans are prepaid at any constant rate
within the range of 100% to 400% of the Prepayment Model.
It is extremely unlikely that the Mortgage Loans will prepay at a constant
percentage of the Prepayment Model. In addition, some or all of the other
assumptions stated above that are used in preparing the following table are
unlikely to reflect actual experience. Accordingly, there is no assurance that
the Stated Amount of a Class A Subclass of the PAC Certificates will conform on
any Distribution Date to the applicable level set forth in such table. In
addition, if the portion of the Class A Non-PO Principal Amount available to
make distributions in reduction of the Stated Amounts of the PAC Certificates
exceeds the amount necessary to pay the PAC Balance Amounts for the PAC
Certificates on any Distribution Date, the excess will be allocated on such
Distribution Date to distributions in reduction of Stated Amount of the
CitiCertificates in accordance with the priorities described herein, and will
not be retained for distribution on subsequent Distribution Dates. See
"--Distributions in Reduction of Stated Amount" above. Accordingly, if principal
prepayments on the Mortgage Loans do not occur at a constant rate within the
range specified in the preceding paragraph, the amount available on subsequent
Distribution Dates for payment of the PAC Certificates may be less than the PAC
Balance Amounts for such Distribution Dates, even if on average prepayments on
the Mortgage Loans do occur at such a constant rate. Distributions in reduction
of Stated Amount of a Class A Subclass of the PAC Certificates may reduce the
Stated Amount of such CitiCertificates to zero significantly earlier or later
than the Distribution Date specified herein. See "--Weighted Average Lives of
the Offered CitiCertificates" below for a further discussion of the effect of
prepayments on the Mortgage Loans on the rate of distributions in reduction of
Stated Amount and on the weighted average lives of the CitiCertificates.
S-49
<PAGE>
The following table sets forth the Planned Balances for the PAC Certificates
and the indicated Distribution Dates.
PLANNED BALANCES
<TABLE>
<CAPTION>
CLASS A-1 CLASS A-2 CLASS A-3
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE PLANNED BALANCE PLANNED BALANCE PLANNED BALANCE
- ----------------- ---------------- ---------------- -----------------
<S> <C> <C> <C>
September 25, 1998 ...... $20,055,000.00 $25,000,000.00 $23,443,000.00
October 25, 1998 ........ 20,055,000.00 25,000,000.00 23,443,000.00
November 25, 1998 ....... 20,055,000.00 25,000,000.00 23,443,000.00
December 25, 1998 ....... 20,055,000.00 25,000,000.00 23,443,000.00
January 25, 1999 ........ 20,055,000.00 25,000,000.00 23,443,000.00
February 25, 1999 ....... 20,055,000.00 25,000,000.00 23,443,000.00
March 25, 1999 .......... 20,055,000.00 25,000,000.00 23,443,000.00
April 25, 1999 .......... 20,055,000.00 25,000,000.00 23,443,000.00
May 25, 1999 ............ 20,055,000.00 25,000,000.00 23,443,000.00
June 25, 1999 ........... 20,055,000.00 25,000,000.00 23,443,000.00
July 25, 1999 ........... 20,055,000.00 25,000,000.00 23,443,000.00
August 25, 1999 ......... 19,875,026.59 24,536,425.65 23,443,000.00
September 25, 1999 ...... 19,685,594.24 24,048,486.99 23,443,000.00
October 25, 1999 ........ 19,486,780.16 23,536,382.93 23,443,000.00
November 25, 1999 ....... 19,278,666.42 23,000,324.88 23,443,000.00
December 25, 1999 ....... 19,061,339.92 22,440,536.67 23,443,000.00
January 25, 2000 ........ 18,834,892.31 21,857,254.36 23,443,000.00
February 25, 2000 ....... 18,599,419.94 21,250,726.13 23,443,000.00
March 25, 2000 .......... 18,355,023.80 20,621,212.09 23,443,000.00
April 25, 2000 .......... 18,101,809.42 19,968,984.09 23,443,000.00
May 25, 2000 ............ 17,839,886.83 19,294,325.55 23,443,000.00
June 25, 2000 ........... 17,569,370.48 18,597,531.26 23,443,000.00
July 25, 2000 ........... 17,290,379.14 17,878,907.15 23,443,000.00
August 25, 2000 ......... 17,003,035.84 17,138,770.11 23,443,000.00
September 25, 2000 ...... 16,707,467.77 16,377,447.73 23,443,000.00
October 25, 2000 ........ 16,403,806.16 15,595,278.08 23,443,000.00
November 25, 2000 ....... 16,092,186.23 14,792,609.46 23,443,000.00
December 25, 2000 ....... 15,772,747.09 13,969,800.14 23,443,000.00
January 25, 2001 ........ 15,454,393.08 13,149,785.91 23,443,000.00
February 25, 2001 ....... 15,137,652.96 12,333,928.72 23,443,000.00
March 25, 2001 .......... 14,822,518.54 11,522,207.48 23,443,000.00
April 25, 2001 .......... 14,508,981.66 10,714,601.17 23,443,000.00
May 25, 2001 ............ 14,197,034.21 9,911,088.90 23,443,000.00
June 25, 2001 ........... 13,886,668.11 9,111,649.88 23,443,000.00
July 25, 2001 ........... 13,577,875.35 8,316,263.45 23,443,000.00
August 25, 2001 ......... 13,270,647.93 7,524,909.03 23,443,000.00
September 25, 2001 ...... 12,964,977.93 6,737,566.16 23,443,000.00
October 25, 2001 ........ 12,660,857.42 5,954,214.50 23,443,000.00
November 25, 2001 ....... 12,358,278.57 5,174,833.80 23,443,000.00
December 25, 2001 ....... 12,057,233.54 4,399,403.93 23,443,000.00
January 25, 2002 ........ 11,757,714.56 3,627,904.85 23,443,000.00
February 25, 2002 ....... 11,459,713.90 2,860,316.63 23,443,000.00
March 25, 2002 .......... 11,163,223.86 2,096,619.47 23,443,000.00
April 25, 2002 .......... 10,868,236.78 1,336,793.63 23,443,000.00
May 25, 2002 ............ 10,574,745.06 580,819.51 23,443,000.00
June 25, 2002 ........... 10,111,418.71 0.00 23,443,000.00
July 25, 2002 ........... 9,072,565.90 0.00 23,443,000.00
August 25, 2002 ......... 8,038,979.33 0.00 23,443,000.00
September 25, 2002 ...... 7,010,632.36 0.00 23,443,000.00
October 25, 2002 ........ 5,987,498.45 0.00 23,443,000.00
November 25, 2002 ....... 4,969,551.25 0.00 23,443,000.00
December 25, 2002 ....... 3,956,764.50 0.00 23,443,000.00
January 25, 2003 ........ 2,949,112.10 0.00 23,443,000.00
February 25, 2003 ....... 1,946,568.11 0.00 23,443,000.00
March 25, 2003 .......... 949,106.69 0.00 23,443,000.00
April 25, 2003 .......... 0.00 0.00 23,399,702.15
May 25, 2003 ............ 0.00 0.00 22,412,328.95
June 25, 2003 0.00 0.00 21,429,961.66
<CAPTION>
CLASS A-1 CLASS A-2 CLASS A-3
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE PLANNED BALANCE PLANNED BALANCE PLANNED BALANCE
- ----------------- ---------------- ---------------- -----------------
<S> <C> <C> <C>
July 25, 2003 ........... $ 0.00 $ 0.00 $20,452,575.00
August 25, 2003 ......... 0.00 0.00 19,480,143.83
September 25, 2003 ...... 0.00 0.00 18,652,572.43
October 25, 2003 ........ 0.00 0.00 17,829,916.53
November 25, 2003 ....... 0.00 0.00 17,012,152.27
December 25, 2003 ....... 0.00 0.00 16,199,255.95
January 25, 2004 ........ 0.00 0.00 15,391,204.00
February 25, 2004 ....... 0.00 0.00 14,587,972.96
March 25, 2004 .......... 0.00 0.00 13,789,539.54
April 25, 2004 .......... 0.00 0.00 12,995,880.54
May 25, 2004 ............ 0.00 0.00 12,206,972.91
June 25, 2004 ........... 0.00 0.00 11,422,793.73
July 25, 2004 ........... 0.00 0.00 10,643,320.20
August 25, 2004 ......... 0.00 0.00 9,868,529.67
September 25, 2004 ...... 0.00 0.00 9,170,374.31
October 25, 2004 ........ 0.00 0.00 8,495,843.60
November 25, 2004 ....... 0.00 0.00 7,844,320.64
December 25, 2004 ....... 0.00 0.00 7,215,203.41
January 25, 2005 ........ 0.00 0.00 6,607,904.36
February 25, 2005 ....... 0.00 0.00 6,021,850.11
March 25, 2005 .......... 0.00 0.00 5,456,481.12
April 25, 2005 .......... 0.00 0.00 4,911,251.32
May 25, 2005 ............ 0.00 0.00 4,385,627.86
June 25, 2005 ........... 0.00 0.00 3,879,090.76
July 25, 2005 ........... 0.00 0.00 3,391,132.62
August 25, 2005 ......... 0.00 0.00 2,921,258.34
September 25, 2005 ...... 0.00 0.00 2,666,749.12
October 25, 2005 ........ 0.00 0.00 2,424,337.45
November 25, 2005 ....... 0.00 0.00 2,190,054.45
December 25, 2005 ....... 0.00 0.00 1,962,298.23
January 25, 2006 ........ 0.00 0.00 1,740,902.15
February 25, 2006 ....... 0.00 0.00 1,525,703.59
March 25, 2006 .......... 0.00 0.00 1,316,543.92
April 25, 2006 .......... 0.00 0.00 1,113,268.38
May 25, 2006 ............ 0.00 0.00 915,725.98
June 25, 2006 ........... 0.00 0.00 723,769.41
July 25, 2006 ........... 0.00 0.00 537,254.96
August 25, 2006 ......... 0.00 0.00 356,042.45
September 25, 2006 ...... 0.00 0.00 331,611.51
October 25, 2006 ........ 0.00 0.00 308,299.40
November 25, 2006 ....... 0.00 0.00 286,069.84
December 25, 2006 ....... 0.00 0.00 264,887.56
January 25, 2007 ........ 0.00 0.00 244,718.32
February 25, 2007 ....... 0.00 0.00 225,528.84
March 25, 2007 .......... 0.00 0.00 207,286.79
April 25, 2007 .......... 0.00 0.00 189,960.76
May 25, 2007 ............ 0.00 0.00 173,520.23
June 25, 2007 ........... 0.00 0.00 157,935.57
July 25, 2007 ........... 0.00 0.00 143,178.00
August 25, 2007 ......... 0.00 0.00 129,219.55
September 25, 2007 ...... 0.00 0.00 123,458.24
October 25, 2007 ........ 0.00 0.00 117,833.77
November 25, 2007 ....... 0.00 0.00 112,342.95
December 25, 2007 ....... 0.00 0.00 106,982.65
January 25, 2008 ........ 0.00 0.00 101,749.81
February 25, 2008 ....... 0.00 0.00 96,641.45
March 25, 2008 .......... 0.00 0.00 91,654.64
April 25, 2008 .......... 0.00 0.00 86,786.54
</TABLE>
S-50
<PAGE>
<TABLE>
<CAPTION>
CLASS A-1 CLASS A-2 CLASS A-3
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE PLANNED BALANCE PLANNED BALANCE PLANNED BALANCE
- ----------------- ---------------- ---------------- -----------------
<S> <C> <C> <C>
May 25, 2008 ............ $ 0.00 $ 0.00 $ 82,034.36
June 25, 2008 ........... 0.00 0.00 77,395.40
July 25, 2008 ........... 0.00 0.00 72,866.98
August 25, 2008 ......... 0.00 0.00 68,446.53
September 25, 2008 ...... 0.00 0.00 64,131.50
October 25, 2008 ........ 0.00 0.00 59,919.42
November 25, 2008 ....... 0.00 0.00 55,807.87
December 25, 2008 ....... 0.00 0.00 51,794.49
January 25, 2009 ........ 0.00 0.00 47,876.98
February 25, 2009 ....... 0.00 0.00 44,053.09
March 25, 2009 .......... 0.00 0.00 40,320.60
April 25, 2009 .......... 0.00 0.00 36,677.38
May 25, 2009 ............ 0.00 0.00 33,121.33
<CAPTION>
CLASS A-1 CLASS A-2 CLASS A-3
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE PLANNED BALANCE PLANNED BALANCE PLANNED BALANCE
- ----------------- ---------------- ---------------- -----------------
<S> <C> <C> <C>
June 25, 2009 ........... $ 0.00 $ 0.00 $ 29,650.38
July 25, 2009 ........... 0.00 0.00 26,262.55
August 25, 2009 ......... 0.00 0.00 22,955.88
September 25, 2009 ...... 0.00 0.00 19,728.45
October 25, 2009 ........ 0.00 0.00 16,578.40
November 25, 2009 ....... 0.00 0.00 13,503.90
December 25, 2009 ....... 0.00 0.00 10,503.18
January 25, 2010 ........ 0.00 0.00 7,574.50
February 25, 2010 ....... 0.00 0.00 4,716.15
March 25, 2010 .......... 0.00 0.00 1,926.49
April 25, 2010 and
thereafter ............. 0.00 0.00 0.00
</TABLE>
S-51
<PAGE>
The TAC Certificates
On each Distribution Date, the Class A Principal Distribution Amount will
be allocated among the Class A Subclasses as described above under
"--Distributions in Reduction of Stated Amount." To the extent that funds are
available to make distributions in reduction of the Stated Amounts of the TAC
Certificates on each Distribution Date, the TAC Certificates will be entitled to
receive their TAC Balance Amounts, Schedule I TAC Balance Amounts or Schedule II
TAC Balance Amounts, if any, for such Distribution Date as determined by
reference to the Targeted Balances, Schedule I Targeted Balances and Schedule II
Targeted Balances set forth in the table below.
The Targeted Balances, the Schedule I Targeted Balances and the Schedule II
Targeted Balances for the TAC Certificates on each Distribution Date were
calculated assuming that: (i) the Mortgage Loans and the CitiCertificates have
the characteristics set forth in the Structuring Assumptions described under the
heading "--Weighted Average Lives of the Offered CitiCertificates," and (ii) the
Mortgage Loans are prepaid, in the case of the Class A-5, Class A-6 and Class
A-7 CitiCertificates, at a constant rate equal to 125% of the Prepayment Model
in the case of Schedule I Targeted Balances and 275% of the Prepayment Model in
the case of the Schedule II Targeted Balances, and in the case of the Class
A-12, Class A-13 and Class A-14 CitiCertificates, at a constant rate equal to
115% of the Prepayment Model.
It is extremely unlikely that the Mortgage Loans will prepay at a constant
percentage of the Prepayment Model. In addition, some or all of the other
assumptions stated above that are used in preparing the following table are
unlikely to reflect actual experience. Accordingly, there is no assurance that
the Stated Amount of a Class A Subclass of the TAC Certificates will conform on
any Distribution Date to the applicable level set forth in such table. In
addition, if the portion of the Class A Non-PO Principal Amount available to
make distributions in reduction of Stated Amounts of the TAC Certificates plus
the Accretion Distribution Amounts for such Distribution Date exceeds the amount
necessary to pay the TAC Balance Amounts, Schedule I TAC Balance Amounts or
Schedule II TAC Balance Amounts, for the TAC Certificates on any Distribution
Date, the excess will be allocated on such Distribution Date to distributions in
reduction of Stated Amount of the CitiCertificates in accordance with the
priorities described herein, and will not be retained for distribution on
subsequent Distribution Dates. See "--Distributions in Reduction of Stated
Amount" above. Accordingly, for example, if principal prepayments on the
Mortgage Loans do not occur at a constant 115% of the Prepayment Model, the
amount available on subsequent Distribution Dates for payment of the Class A-12,
Class A-13 and Class A-14 CitiCertificates may be less than the TAC Balance
Amounts for such Distribution Dates, even if on average prepayments on the
Mortgage Loans do occur at 115% of the Prepayment Model. Distributions in
reduction of Stated Amount of a Class A Subclass of the TAC Certificates may
reduce the Stated Amounts of such CitiCertificates to zero significantly earlier
or later than the Distribution Date specified herein. See "--Weighted Average
Lives of the Offered CitiCertificates" below for a further discussion of the
effect of prepayments on the Mortgage Loans on the rate of distributions in
reduction of Stated Amount and on the weighted average lives of the
CitiCertificates.
S-52
<PAGE>
The following table sets forth the Schedule I Targeted Balances for the
Class A-5, Class A-6 and Class A-7 CitiCertificates for the indicated
Distribution Dates.
SCHEDULE I TARGETED BALANCES
<TABLE>
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE I SCHEDULE I SCHEDULE I
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
September 25, 1998 .................. $1,891,898.65 $22,000,000.00 $55,847,313.10
October 25, 1998 .................... 1,770,816.92 22,000,000.00 55,564,284.54
November 25, 1998 ................... 1,636,781.94 22,000,000.00 55,250,977.79
December 25, 1998 ................... 1,489,829.12 22,000,000.00 54,907,475.57
January 25, 1999 .................... 1,330,002.08 22,000,000.00 54,533,879.86
February 25, 1999 ................... 1,157,352.67 22,000,000.00 54,130,311.85
March 25, 1999 ...................... 971,940.94 22,000,000.00 53,696,911.94
April 25, 1999 ...................... 773,835.12 22,000,000.00 53,233,839.60
May 25, 1999 ........................ 563,111.60 22,000,000.00 52,741,273.36
June 25, 1999 ....................... 339,854.83 22,000,000.00 52,219,410.65
July 25, 1999 ....................... 104,157.31 22,000,000.00 51,668,467.71
August 25, 1999 ..................... 42,056.13 22,000,000.00 51,523,306.20
September 25, 1999 .................. 0.00 21,977,495.42 51,372,395.54
October 25, 1999 .................... 0.00 21,910,511.59 51,215,820.84
November 25, 1999 ................... 0.00 21,841,143.77 51,053,673.57
December 25, 1999 ................... 0.00 21,769,433.75 50,886,051.39
January 25, 2000 .................... 0.00 21,695,425.91 50,713,058.07
February 25, 2000 ................... 0.00 21,619,167.21 50,534,803.34
March 25, 2000 ...................... 0.00 21,540,707.08 50,351,402.80
April 25, 2000 ...................... 0.00 21,460,097.42 50,162,977.72
May 25, 2000 ........................ 0.00 21,377,392.49 49,969,654.95
June 25, 2000 ....................... 0.00 21,292,648.86 49,771,566.72
July 25, 2000 ....................... 0.00 21,205,925.34 49,568,850.49
August 25, 2000 ..................... 0.00 21,117,282.90 49,361,648.78
September 25, 2000 .................. 0.00 21,026,784.59 49,150,108.97
October 25, 2000 .................... 0.00 20,934,495.46 48,934,383.13
November 25, 2000 ................... 0.00 20,840,482.49 48,714,627.81
December 25, 2000 ................... 0.00 20,744,814.47 48,491,003.82
January 25, 2001 .................... 0.00 20,649,766.50 48,268,829.20
February 25, 2001 ................... 0.00 20,555,466.76 48,048,403.55
March 25, 2001 ...................... 0.00 20,461,906.03 47,829,705.35
April 25, 2001 ...................... 0.00 20,369,075.18 47,612,713.23
May 25, 2001 ........................ 0.00 20,276,965.10 47,397,405.92
June 25, 2001 ....................... 0.00 20,185,566.76 47,183,762.31
July 25, 2001 ....................... 0.00 20,094,871.20 46,971,761.42
August 25, 2001 ..................... 0.00 20,004,869.47 46,761,382.40
September 25, 2001 .................. 0.00 19,915,552.73 46,552,604.51
October 25, 2001 .................... 0.00 19,826,912.16 46,345,407.18
November 25, 2001 ................... 0.00 19,738,939.01 46,139,769.93
December 25, 2001 ................... 0.00 19,651,624.57 45,935,672.43
January 25, 2002 .................... 0.00 19,564,960.20 45,733,094.46
February 25, 2002 ................... 0.00 19,478,937.30 45,532,015.93
March 25, 2002 ...................... 0.00 19,393,547.33 45,332,416.88
April 25, 2002 ...................... 0.00 19,308,781.81 45,134,277.47
May 25, 2002 ........................ 0.00 19,224,632.29 44,937,577.98
June 25, 2002 ....................... 0.00 19,141,090.40 44,742,298.80
July 25, 2002 ....................... 0.00 19,058,147.79 44,548,420.45
August 25, 2002 ..................... 0.00 18,975,796.18 44,355,923.57
September 25, 2002 .................. 0.00 18,894,027.34 44,164,788.92
October 25, 2002 .................... 0.00 18,812,833.09 43,974,997.35
November 25, 2002 ................... 0.00 18,732,205.29 43,786,529.85
December 25, 2002 ................... 0.00 18,652,135.84 43,599,367.53
January 25, 2003 .................... 0.00 18,572,616.72 43,413,491.58
February 25, 2003 ................... 0.00 18,493,639.93 43,228,883.33
March 25, 2003 ...................... 0.00 18,415,197.52 43,045,524.21
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE I SCHEDULE I SCHEDULE I
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
April 25, 2003 ...................... $ 0.00 $18,337,281.61 $42,863,395.77
May 25, 2003 ........................ 0.00 18,259,884.34 42,682,479.64
June 25, 2003 ....................... 0.00 18,182,997.90 42,502,757.59
July 25, 2003 ....................... 0.00 18,106,614.54 42,324,211.48
August 25, 2003 ..................... 0.00 18,030,726.54 42,146,823.28
September 25, 2003 .................. 0.00 17,961,634.57 41,985,320.81
October 25, 2003 .................... 0.00 17,892,985.59 41,824,853.81
November 25, 2003 ................... 0.00 17,824,772.00 41,665,404.55
December 25, 2003 ................... 0.00 17,756,986.27 41,506,955.41
January 25, 2004 .................... 0.00 17,689,620.90 41,349,488.85
February 25, 2004 ................... 0.00 17,622,668.43 41,192,987.46
March 25, 2004 ...................... 0.00 17,556,121.45 41,037,433.88
April 25, 2004 ...................... 0.00 17,489,972.58 40,882,810.90
May 25, 2004 ........................ 0.00 17,424,214.49 40,729,101.37
June 25, 2004 ....................... 0.00 17,358,839.89 40,576,288.23
July 25, 2004 ....................... 0.00 17,293,841.52 40,424,354.55
August 25, 2004 ..................... 0.00 17,229,212.17 40,273,283.45
September 25, 2004 .................. 0.00 17,153,982.52 40,097,434.13
October 25, 2004 .................... 0.00 17,073,551.62 39,909,426.90
November 25, 2004 ................... 0.00 16,988,084.25 39,709,646.94
December 25, 2004 ................... 0.00 16,897,740.99 39,498,469.58
January 25, 2005 .................... 0.00 16,802,678.30 39,276,260.53
February 25, 2005 ................... 0.00 16,703,048.61 39,043,376.13
March 25, 2005 ...................... 0.00 16,599,000.43 38,800,163.51
April 25, 2005 ...................... 0.00 16,490,678.45 38,546,960.88
May 25, 2005 ........................ 0.00 16,378,223.61 38,284,097.69
June 25, 2005 ....................... 0.00 16,261,773.20 38,011,894.85
July 25, 2005 ....................... 0.00 16,141,460.94 37,730,664.94
August 25, 2005 ..................... 0.00 16,017,417.07 37,440,712.41
September 25, 2005 .................. 0.00 15,851,383.15 37,052,608.12
October 25, 2005 .................... 0.00 15,683,146.80 36,659,355.64
November 25, 2005 ................... 0.00 15,513,842.74 36,263,607.42
December 25, 2005 ................... 0.00 15,343,921.90 35,866,417.44
January 25, 2006 .................... 0.00 15,173,420.56 35,467,870.57
February 25, 2006 ................... 0.00 15,002,373.92 35,068,049.04
March 25, 2006 ...................... 0.00 14,830,816.08 34,667,032.59
April 25, 2006 ...................... 0.00 14,658,780.09 34,264,898.46
May 25, 2006 ........................ 0.00 14,486,297.97 33,861,721.50
June 25, 2006 ....................... 0.00 14,313,400.72 33,457,574.18
July 25, 2006 ....................... 0.00 14,140,118.38 33,052,526.71
August 25, 2006 ..................... 0.00 13,966,480.02 32,646,647.05
September 25, 2006 .................. 0.00 13,766,287.50 32,178,697.02
October 25, 2006 .................... 0.00 13,566,710.55 31,712,185.92
November 25, 2006 ................... 0.00 13,367,749.75 31,247,115.05
December 25, 2006 ................... 0.00 13,169,405.41 30,783,485.15
January 25, 2007 .................... 0.00 12,971,677.59 30,321,296.37
February 25, 2007 ................... 0.00 12,774,566.13 29,860,548.34
March 25, 2007 ...................... 0.00 12,578,070.65 29,401,240.13
April 25, 2007 ...................... 0.00 12,382,190.52 28,943,370.34
May 25, 2007 ........................ 0.00 12,186,924.93 28,486,937.03
June 25, 2007 ....................... 0.00 11,992,272.85 28,031,937.79
July 25, 2007 ....................... 0.00 11,798,233.05 27,578,369.74
August 25, 2007 ..................... 0.00 11,604,804.09 27,126,229.56
September 25, 2007 .................. 0.00 11,426,034.33 26,708,355.24
October 25, 2007 .................... 0.00 11,247,803.63 26,291,740.97
</TABLE>
S-53
<PAGE>
<TABLE>
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE I SCHEDULE I SCHEDULE I
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
November 25, 2007 ................... $ 0.00 $11,070,105.66 $25,876,371.99
December 25, 2007 ................... 0.00 10,892,934.12 25,462,233.50
January 25, 2008 .................... 0.00 10,716,282.67 25,049,310.75
February 25, 2008 ................... 0.00 10,540,145.02 24,637,588.98
March 25, 2008 ...................... 0.00 10,364,514.85 24,227,053.46
April 25, 2008 ...................... 0.00 10,189,385.86 23,817,689.46
May 25, 2008 ........................ 0.00 10,014,751.78 23,409,482.28
June 25, 2008 ....................... 0.00 9,840,606.29 23,002,417.21
July 25, 2008 ....................... 0.00 9,666,943.14 22,596,479.58
August 25, 2008 ..................... 0.00 9,493,756.03 22,191,654.73
September 25, 2008 .................. 0.00 9,321,038.71 21,787,927.99
October 25, 2008 .................... 0.00 9,148,784.92 21,385,284.75
November 25, 2008 ................... 0.00 8,976,988.39 20,983,710.37
December 25, 2008 ................... 0.00 8,805,642.89 20,583,190.26
January 25, 2009 .................... 0.00 8,634,742.17 20,183,709.82
February 25, 2009 ................... 0.00 8,464,280.00 19,785,254.50
March 25, 2009 ...................... 0.00 8,294,250.15 19,387,809.74
April 25, 2009 ...................... 0.00 8,124,646.41 18,991,360.99
May 25, 2009 ........................ 0.00 7,955,462.57 18,595,893.75
June 25, 2009 ....................... 0.00 7,786,692.41 18,201,393.52
July 25, 2009 ....................... 0.00 7,618,329.75 17,807,845.79
August 25, 2009 ..................... 0.00 7,450,368.39 17,415,236.12
September 25, 2009 .................. 0.00 7,282,802.16 17,023,550.05
October 25, 2009 .................... 0.00 7,115,624.88 16,632,773.15
November 25, 2009 ................... 0.00 6,948,830.38 16,242,891.01
December 25, 2009 ................... 0.00 6,782,412.50 15,853,889.22
January 25, 2010 .................... 0.00 6,616,365.10 15,465,753.42
February 25, 2010 ................... 0.00 6,450,682.03 15,078,469.24
March 25, 2010 ...................... 0.00 6,285,357.15 14,692,022.33
April 25, 2010 ...................... 0.00 6,120,154.32 14,305,860.72
May 25, 2010 ........................ 0.00 5,954,759.74 13,919,250.90
June 25, 2010 ....................... 0.00 5,789,723.47 13,533,478.61
July 25, 2010 ....................... 0.00 5,625,038.96 13,148,528.57
August 25, 2010 ..................... 0.00 5,460,699.69 12,764,385.52
September 25, 2010 .................. 0.00 5,296,699.15 12,381,034.27
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE I SCHEDULE I SCHEDULE I
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
October 25, 2010 .................... $ 0.00 $ 5,133,030.86 $11,998,459.63
November 25, 2010 ................... 0.00 4,969,688.33 11,616,646.48
December 25, 2010 ................... 0.00 4,806,665.13 11,235,579.74
January 25, 2011 .................... 0.00 4,643,954.80 10,855,244.35
February 25, 2011 ................... 0.00 4,481,550.93 10,475,625.29
March 25, 2011 ...................... 0.00 4,319,447.10 10,096,707.61
April 25, 2011 ...................... 0.00 4,157,636.94 9,718,476.35
May 25, 2011 ........................ 0.00 3,996,114.06 9,340,916.61
June 25, 2011 ....................... 0.00 3,834,872.10 8,964,013.53
July 25, 2011 ....................... 0.00 3,673,904.72 8,587,752.27
August 25, 2011 ..................... 0.00 3,513,205.58 8,212,118.05
September 25, 2011 .................. 0.00 3,352,768.38 7,837,096.08
October 25, 2011 .................... 0.00 3,192,586.80 7,462,671.65
November 25, 2011 ................... 0.00 3,032,654.57 7,088,830.06
December 25, 2011 ................... 0.00 2,872,965.41 6,715,556.63
January 25, 2012 .................... 0.00 2,713,513.05 6,342,836.75
February 25, 2012 ................... 0.00 2,554,291.25 5,970,655.79
March 25, 2012 ...................... 0.00 2,395,293.78 5,598,999.20
April 25, 2012 ...................... 0.00 2,236,514.41 5,227,852.42
May 25, 2012 ........................ 0.00 2,077,946.93 4,857,200.95
June 25, 2012 ....................... 0.00 1,919,585.15 4,487,030.30
July 25, 2012 ....................... 0.00 1,761,422.89 4,117,326.00
August 25, 2012 ..................... 0.00 1,603,453.96 3,748,073.64
September 25, 2012 .................. 0.00 1,445,672.22 3,379,258.81
October 25, 2012 .................... 0.00 1,288,071.50 3,010,867.13
November 25, 2012 ................... 0.00 1,130,645.67 2,642,884.25
December 25, 2012 ................... 0.00 973,388.60 2,275,295.85
January 25, 2013 .................... 0.00 816,294.17 1,908,087.62
February 25, 2013 ................... 0.00 659,356.28 1,541,245.30
March 25, 2013 ...................... 0.00 502,568.82 1,174,754.62
April 25, 2013 ...................... 0.00 345,925.71 808,601.36
May 25, 2013 ........................ 0.00 189,420.88 442,771.31
June 25, 2013 ....................... 0.00 33,048.25 77,250.28
July 25, 2013 and
thereafter ......................... 0.00 0.00 0.00
</TABLE>
S-54
<PAGE>
The following table sets forth the Schedule II Targeted Balances for the
Class A-5, Class A-6 and Class A-7 CitiCertificates for the indicated
Distribution Dates.
SCHEDULE II TARGETED BALANCES
<TABLE>
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE II SCHEDULE II SCHEDULE II
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
September 25, 1998 ................. $1,891,898.65 $22,000,000.00 $55,847,313.10
October 25, 1998 ................... 1,770,816.92 22,000,000.00 55,564,284.54
November 25, 1998 .................. 1,636,781.94 22,000,000.00 55,250,977.79
December 25, 1998 .................. 1,489,829.12 22,000,000.00 54,907,475.57
January 25, 1999 ................... 1,330,002.08 22,000,000.00 54,533,879.86
February 25, 1999 .................. 1,157,352.67 22,000,000.00 54,130,311.85
March 25, 1999 ..................... 971,940.94 22,000,000.00 53,696,911.94
April 25, 1999 ..................... 773,835.12 22,000,000.00 53,233,839.60
May 25, 1999 ....................... 563,111.60 22,000,000.00 52,741,273.36
June 25, 1999 ...................... 339,854.83 22,000,000.00 52,219,410.65
July 25, 1999 ...................... 104,157.31 22,000,000.00 51,668,467.71
August 25, 1999 .................... 42,056.13 22,000,000.00 51,523,306.20
September 25, 1999 ................. 0.00 21,977,495.42 51,372,395.54
October 25, 1999 ................... 0.00 21,910,511.59 51,215,820.84
November 25, 1999 .................. 0.00 21,841,143.77 51,053,673.57
December 25, 1999 .................. 0.00 21,769,433.75 50,886,051.39
January 25, 2000 ................... 0.00 21,695,425.91 50,713,058.07
February 25, 2000 .................. 0.00 21,619,167.21 50,534,803.34
March 25, 2000 ..................... 0.00 21,503,153.85 50,263,622.13
April 25, 2000 ..................... 0.00 21,142,421.31 49,420,409.82
May 25, 2000 ....................... 0.00 20,770,207.50 48,550,360.04
June 25, 2000 ...................... 0.00 20,387,135.96 47,654,930.30
July 25, 2000 ...................... 0.00 19,993,852.11 46,735,629.32
August 25, 2000 .................... 0.00 19,591,021.93 45,794,013.75
September 25, 2000 ................. 0.00 19,179,330.37 44,831,684.73
October 25, 2000 ................... 0.00 18,759,479.90 43,850,284.27
November 25, 2000 .................. 0.00 18,332,188.91 42,851,491.59
December 25, 2000 .................. 0.00 17,898,190.07 41,837,019.28
January 25, 2001 ................... 0.00 17,473,200.64 40,843,606.49
February 25, 2001 .................. 0.00 17,058,005.34 39,873,087.48
March 25, 2001 ..................... 0.00 16,652,437.26 38,925,072.09
April 25, 2001 ..................... 0.00 16,256,332.08 37,999,176.24
May 25, 2001 ....................... 0.00 15,869,528.06 37,095,021.84
June 25, 2001 ...................... 0.00 15,491,865.95 36,212,236.67
July 25, 2001 ...................... 0.00 15,123,189.00 35,350,454.30
August 25, 2001 .................... 0.00 14,763,342.90 34,509,314.02
September 25, 2001 ................. 0.00 14,412,175.72 33,688,460.74
October 25, 2001 ................... 0.00 14,069,537.93 32,887,544.90
November 25, 2001 .................. 0.00 13,735,282.31 32,106,222.40
December 25, 2001 .................. 0.00 13,409,263.95 31,344,154.49
January 25, 2002 ................... 0.00 13,091,340.21 30,601,007.73
February 25, 2002 .................. 0.00 12,781,370.64 29,876,453.87
March 25, 2002 ..................... 0.00 12,479,217.02 29,170,169.79
April 25, 2002 ..................... 0.00 12,184,743.28 28,481,837.42
May 25, 2002 ....................... 0.00 11,897,815.47 27,811,143.67
June 25, 2002 ...................... 0.00 11,618,301.74 27,157,780.32
July 25, 2002 ...................... 0.00 11,346,072.30 26,521,444.01
August 25, 2002 .................... 0.00 11,080,999.39 25,901,836.08
September 25, 2002 ................. 0.00 10,822,957.26 25,298,662.60
October 25, 2002 ................... 0.00 10,571,822.12 24,711,634.19
November 25, 2002 .................. 0.00 10,327,472.11 24,140,466.05
December 25, 2002 .................. 0.00 10,089,787.30 23,584,877.82
January 25, 2003 ................... 0.00 9,858,649.64 23,044,593.54
February 25, 2003 .................. 0.00 9,633,942.92 22,519,341.57
March 25, 2003 ..................... 0.00 9,415,552.75 22,008,854.56
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE II SCHEDULE II SCHEDULE II
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
April 25, 2003 ..................... $ 0.00 $ 9,203,366.56 $21,512,869.33
May 25, 2003 ....................... 0.00 8,997,273.52 21,031,126.85
June 25, 2003 ...................... 0.00 8,797,164.56 20,563,372.15
July 25, 2003 ...................... 0.00 8,602,932.32 20,109,354.29
August 25, 2003 .................... 0.00 8,414,471.13 19,668,826.26
September 25, 2003 ................. 0.00 8,277,930.11 19,349,661.63
October 25, 2003 ................... 0.00 8,146,564.88 19,042,595.41
November 25, 2003 .................. 0.00 8,020,276.03 18,747,395.21
December 25, 2003 .................. 0.00 7,898,965.70 18,463,832.32
January 25, 2004 ................... 0.00 7,782,537.61 18,191,681.67
February 25, 2004 .................. 0.00 7,670,897.02 17,930,721.77
March 25, 2004 ..................... 0.00 7,563,950.65 17,680,734.66
April 25, 2004 ..................... 0.00 7,461,606.77 17,441,505.82
May 25, 2004 ....................... 0.00 7,363,775.05 17,212,824.18
June 25, 2004 ...................... 0.00 7,270,366.64 16,994,482.01
July 25, 2004 ...................... 0.00 7,181,294.08 16,786,274.91
August 25, 2004 .................... 0.00 7,096,471.32 16,588,001.72
September 25, 2004 ................. 0.00 7,016,985.74 16,402,204.17
October 25, 2004 ................... 0.00 6,935,809.68 16,212,455.14
November 25, 2004 .................. 0.00 6,853,035.12 16,018,969.60
December 25, 2004 .................. 0.00 6,768,751.08 15,821,955.65
January 25, 2005 ................... 0.00 6,683,043.69 15,621,614.63
February 25, 2005 .................. 0.00 6,595,996.31 15,418,141.37
March 25, 2005 ..................... 0.00 6,507,689.54 15,211,724.30
April 25, 2005 ..................... 0.00 6,418,201.36 15,002,545.68
May 25, 2005 ....................... 0.00 6,327,607.16 14,790,781.74
June 25, 2005 ...................... 0.00 6,235,979.83 14,576,602.84
July 25, 2005 ...................... 0.00 6,143,389.80 14,360,173.65
August 25, 2005 .................... 0.00 6,049,905.15 14,141,653.28
September 25, 2005 ................. 0.00 5,938,678.44 13,881,660.85
October 25, 2005 ................... 0.00 5,827,425.85 13,621,607.92
November 25, 2005 .................. 0.00 5,717,230.84 13,364,027.08
December 25, 2005 .................. 0.00 5,608,494.02 13,109,854.77
January 25, 2006 ................... 0.00 5,501,202.33 12,859,060.45
February 25, 2006 .................. 0.00 5,395,342.53 12,611,613.17
March 25, 2006 ..................... 0.00 5,290,901.20 12,367,481.57
April 25, 2006 ..................... 0.00 5,187,864.78 12,126,633.92
May 25, 2006 ....................... 0.00 5,086,219.54 11,889,038.17
June 25, 2006 ...................... 0.00 4,985,951.62 11,654,661.91
July 25, 2006 ...................... 0.00 4,887,047.05 11,423,472.47
August 25, 2006 .................... 0.00 4,789,491.72 11,195,436.89
September 25, 2006 ................. 0.00 4,684,935.96 10,951,037.81
October 25, 2006 ................... 0.00 4,581,980.65 10,710,379.77
November 25, 2006 .................. 0.00 4,480,598.41 10,473,398.79
December 25, 2006 .................. 0.00 4,380,762.20 10,240,031.65
January 25, 2007 ................... 0.00 4,282,445.33 10,010,215.97
February 25, 2007 .................. 0.00 4,185,621.44 9,783,890.11
March 25, 2007 ..................... 0.00 4,090,264.50 9,560,993.26
April 25, 2007 ..................... 0.00 3,996,348.82 9,341,465.36
May 25, 2007 ....................... 0.00 3,903,849.04 9,125,247.14
June 25, 2007 ...................... 0.00 3,812,740.14 8,912,280.07
July 25, 2007 ...................... 0.00 3,722,997.39 8,702,506.40
August 25, 2007 .................... 0.00 3,634,596.41 8,495,869.10
September 25, 2007 ................. 0.00 3,575,481.26 8,357,687.44
October 25, 2007 ................... 0.00 3,516,925.12 8,220,812.47
</TABLE>
S-55
<PAGE>
<TABLE>
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE II SCHEDULE II SCHEDULE II
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
November 25, 2007 .................. $ 0.00 $ 3,458,917.61 $ 8,085,219.90
December 25, 2007 .................. 0.00 3,401,448.48 7,950,885.82
January 25, 2008 ................... 0.00 3,344,507.63 7,817,786.59
February 25, 2008 .................. 0.00 3,288,085.09 7,685,898.90
March 25, 2008 ..................... 0.00 3,232,171.03 7,555,199.77
April 25, 2008 ..................... 0.00 3,176,755.72 7,425,666.50
May 25, 2008 ....................... 0.00 3,121,829.60 7,297,276.70
June 25, 2008 ...................... 0.00 3,067,383.22 7,170,008.27
July 25, 2008 ...................... 0.00 3,013,407.24 7,043,839.41
August 25, 2008 .................... 0.00 2,959,892.46 6,918,748.62
September 25, 2008 ................. 0.00 2,906,829.80 6,794,714.65
October 25, 2008 ................... 0.00 2,854,210.30 6,671,716.57
November 25, 2008 .................. 0.00 2,802,025.11 6,549,733.69
December 25, 2008 .................. 0.00 2,750,265.51 6,428,745.62
January 25, 2009 ................... 0.00 2,698,922.88 6,308,732.22
February 25, 2009 .................. 0.00 2,647,988.71 6,189,673.62
March 25, 2009 ..................... 0.00 2,597,454.63 6,071,550.20
April 25, 2009 ..................... 0.00 2,547,312.35 5,954,342.62
May 25, 2009 ....................... 0.00 2,497,553.70 5,838,031.77
June 25, 2009 ...................... 0.00 2,448,170.61 5,722,598.80
July 25, 2009 ...................... 0.00 2,399,155.12 5,608,025.09
August 25, 2009 .................... 0.00 2,350,499.37 5,494,292.28
September 25, 2009 ................. 0.00 2,302,195.61 5,381,382.25
October 25, 2009 ................... 0.00 2,254,236.19 5,269,277.08
November 25, 2009 .................. 0.00 2,206,613.53 5,157,959.13
December 25, 2009 .................. 0.00 2,159,320.19 5,047,410.95
January 25, 2010 ................... 0.00 2,112,348.80 4,937,615.32
February 25, 2010 .................. 0.00 2,065,692.09 4,828,555.26
March 25, 2010 ..................... 0.00 2,019,342.88 4,720,213.99
April 25, 2010 ..................... 0.00 1,973,064.07 4,612,037.27
<CAPTION>
CLASS A-5 CLASS A-6 CLASS A-7
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
SCHEDULE II SCHEDULE II SCHEDULE II
TARGETED TARGETED TARGETED
DISTRIBUTION DATE BALANCES BALANCES BALANCES
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
May 25, 2010 ....................... $ 0.00 $ 1,926,541.00 $ 4,503,289.58
June 25, 2010 ...................... 0.00 1,880,322.91 4,395,254.79
July 25, 2010 ...................... 0.00 1,834,402.55 4,287,915.95
August 25, 2010 .................... 0.00 1,788,772.76 4,181,256.33
September 25, 2010 ................. 0.00 1,743,426.48 4,075,259.40
October 25, 2010 ................... 0.00 1,698,356.74 3,969,908.88
November 25, 2010 .................. 0.00 1,653,556.66 3,865,188.69
December 25, 2010 .................. 0.00 1,609,019.45 3,761,082.96
January 25, 2011 ................... 0.00 1,564,738.41 3,657,576.03
February 25, 2011 .................. 0.00 1,520,706.92 3,554,652.43
March 25, 2011 ..................... 0.00 1,476,918.47 3,452,296.93
April 25, 2011 ..................... 0.00 1,433,366.61 3,350,494.44
May 25, 2011 ....................... 0.00 1,390,044.97 3,249,230.12
June 25, 2011 ...................... 0.00 1,346,947.29 3,148,489.29
July 25, 2011 ...................... 0.00 1,286,681.69 3,007,618.45
August 25, 2011 .................... 0.00 1,176,648.17 2,750,415.11
September 25, 2011 ................. 0.00 1,067,910.00 2,496,239.63
October 25, 2011 ................... 0.00 960,444.20 2,245,038.33
November 25, 2011 .................. 0.00 854,228.15 1,996,758.29
December 25, 2011 .................. 0.00 749,239.52 1,751,347.39
January 25, 2012 ................... 0.00 645,456.36 1,508,754.25
February 25, 2012 .................. 0.00 542,857.00 1,268,928.25
March 25, 2012 ..................... 0.00 441,420.11 1,031,819.50
April 25, 2012 ..................... 0.00 341,124.64 797,378.84
May 25, 2012 ....................... 0.00 241,949.87 565,557.83
June 25, 2012 ...................... 0.00 143,875.39 336,308.72
July 25, 2012 ...................... 0.00 46,881.06 109,584.48
August 25, 2012
and thereafter .................... 0.00 0.00 0.00
</TABLE>
S-56
<PAGE>
The following table sets forth the Targeted Balances for the Class A-12,
Class A-13 and Class A-14 CitiCertificates for the indicated Distribution Dates.
TARGETED BALANCES
<TABLE>
<CAPTION>
CLASS A-12 CLASS A-13 CLASS A-14
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE TARGETED BALANCE TARGETED BALANCE TARGETED BALANCE
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
September 25, 1998 .................. $77,576,907.26 $24,939,507.09 $10,220,000.00
October 25, 1998 .................... 77,348,644.59 24,871,517.11 10,220,000.00
November 25, 1998 ................... 77,095,265.17 24,796,045.89 10,220,000.00
December 25, 1998 ................... 76,816,836.92 24,713,113.66 10,220,000.00
January 25, 1999 .................... 76,513,442.58 24,622,745.06 10,220,000.00
February 25, 1999 ................... 76,185,179.59 24,524,969.13 10,220,000.00
March 25, 1999 ...................... 75,832,160.14 24,419,819.28 10,220,000.00
April 25, 1999 ...................... 75,454,511.07 24,307,333.28 10,220,000.00
May 25, 1999 ........................ 75,052,373.81 24,187,553.26 10,220,000.00
June 25, 1999 ....................... 74,625,904.33 24,060,525.69 10,220,000.00
July 25, 1999 ....................... 74,175,273.00 23,926,301.30 10,220,000.00
August 25, 1999 ..................... 73,700,664.51 23,784,935.11 10,220,000.00
September 25, 1999 .................. 73,202,277.74 23,636,486.36 10,220,000.00
October 25, 1999 .................... 72,680,325.63 23,481,018.47 10,220,000.00
November 25, 1999 ................... 72,135,035.02 23,318,599.01 10,220,000.00
December 25, 1999 ................... 71,566,646.46 23,149,299.63 10,220,000.00
January 25, 2000 .................... 70,975,414.10 22,973,196.02 10,220,000.00
February 25, 2000 ................... 70,361,605.40 22,790,367.86 10,220,000.00
March 25, 2000 ...................... 69,725,501.00 22,600,898.74 10,220,000.00
April 25, 2000 ...................... 69,067,394.48 22,404,876.10 10,220,000.00
May 25, 2000 ........................ 68,387,592.10 22,202,391.16 10,220,000.00
June 25, 2000 ....................... 67,686,412.56 21,993,538.85 10,220,000.00
July 25, 2000 ....................... 66,964,186.79 21,778,417.74 10,220,000.00
August 25, 2000 ..................... 66,221,257.59 21,557,129.94 10,220,000.00
September 25, 2000 .................. 65,457,979.44 21,329,781.03 10,220,000.00
October 25, 2000 .................... 64,674,718.13 21,096,479.96 10,220,000.00
November 25, 2000 ................... 63,871,850.48 20,857,338.98 10,220,000.00
December 25, 2000 ................... 63,049,764.05 20,612,473.52 10,220,000.00
January 25, 2001 .................... 62,230,778.04 20,368,531.55 10,220,000.00
February 25, 2001 ................... 61,416,209.93 20,125,905.49 10,220,000.00
March 25, 2001 ...................... 60,606,031.09 19,884,586.81 10,220,000.00
April 25, 2001 ...................... 59,800,213.03 19,644,567.02 10,220,000.00
May 25, 2001 ........................ 58,998,727.43 19,405,837.70 10,220,000.00
June 25, 2001 ....................... 58,201,546.12 19,168,390.44 10,220,000.00
July 25, 2001 ....................... 57,408,641.08 18,932,216.91 10,220,000.00
August 25, 2001 ..................... 56,619,984.46 18,697,308.80 10,220,000.00
September 25, 2001 .................. 55,835,548.54 18,463,657.87 10,220,000.00
October 25, 2001 .................... 55,055,305.77 18,231,255.90 10,220,000.00
November 25, 2001 ................... 54,279,228.73 18,000,094.73 10,220,000.00
December 25, 2001 ................... 53,507,290.16 17,770,166.24 10,220,000.00
January 25, 2002 .................... 52,739,462.95 17,541,462.36 10,220,000.00
February 25, 2002 ................... 51,975,720.13 17,313,975.04 10,220,000.00
March 25, 2002 ...................... 51,216,034.89 17,087,696.31 10,220,000.00
April 25, 2002 ...................... 50,460,380.55 16,862,618.22 10,220,000.00
May 25, 2002 ........................ 49,708,730.58 16,638,732.86 10,220,000.00
June 25, 2002 ....................... 48,961,058.60 16,416,032.38 10,220,000.00
July 25, 2002 ....................... 48,217,338.35 16,194,508.96 10,220,000.00
August 25, 2002 ..................... 47,477,543.73 15,974,154.82 10,220,000.00
September 25, 2002 .................. 46,741,648.80 15,754,962.23 10,220,000.00
October 25, 2002 .................... 46,009,627.71 15,536,923.50 10,220,000.00
November 25, 2002 ................... 45,281,454.78 15,320,030.98 10,220,000.00
December 25, 2002 ................... 44,557,104.48 15,104,277.06 10,220,000.00
January 25, 2003 .................... 43,836,551.38 14,889,654.18 10,220,000.00
February 25, 2003 ................... 43,119,770.22 14,676,154.79 10,220,000.00
March 25, 2003 ...................... 42,406,735.86 14,463,771.42 10,220,000.00
April 25, 2003 ...................... 41,697,423.28 14,252,496.62 10,220,000.00
<CAPTION>
CLASS A-12 CLASS A-13 CLASS A-14
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE TARGETED BALANCE TARGETED BALANCE TARGETED BALANCE
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
May 25, 2003 ........................ $40,991,807.63 $14,042,322.97 $10,220,000.00
June 25, 2003 ....................... 40,289,864.16 13,833,243.12 10,220,000.00
July 25, 2003 ....................... 39,591,568.27 13,625,249.73 10,220,000.00
August 25, 2003 ..................... 38,896,895.47 13,418,335.51 10,220,000.00
September 25, 2003 .................. 38,299,196.92 13,240,305.90 10,220,000.00
October 25, 2003 .................... 37,705,033.37 13,063,329.21 10,220,000.00
November 25, 2003 ................... 37,114,381.26 12,887,398.44 10,220,000.00
December 25, 2003 ................... 36,527,217.17 12,712,506.61 10,220,000.00
January 25, 2004 .................... 35,943,517.81 12,538,646.77 10,220,000.00
February 25, 2004 ................... 35,363,260.01 12,365,812.03 10,220,000.00
March 25, 2004 ...................... 34,786,420.73 12,193,995.53 10,220,000.00
April 25, 2004 ...................... 34,212,977.05 12,023,190.44 10,220,000.00
May 25, 2004 ........................ 33,642,906.18 11,853,389.97 10,220,000.00
June 25, 2004 ....................... 33,076,185.45 11,684,587.36 10,220,000.00
July 25, 2004 ....................... 32,512,792.30 11,516,775.90 10,220,000.00
August 25, 2004 ..................... 31,952,704.31 11,349,948.92 10,220,000.00
September 25, 2004 .................. 31,414,990.25 11,189,786.19 10,220,000.00
October 25, 2004 .................... 30,880,407.57 11,030,556.18 10,220,000.00
November 25, 2004 ................... 30,348,934.31 10,872,252.33 10,220,000.00
December 25, 2004 ................... 29,820,548.60 10,714,868.14 10,220,000.00
January 25, 2005 .................... 29,295,228.72 10,558,397.13 10,220,000.00
February 25, 2005 ................... 28,772,953.05 10,402,832.87 10,220,000.00
March 25, 2005 ...................... 28,253,700.08 10,248,168.94 10,220,000.00
April 25, 2005 ...................... 27,737,448.41 10,094,398.97 10,220,000.00
May 25, 2005 ........................ 27,224,176.76 9,941,516.64 10,220,000.00
June 25, 2005 ....................... 26,713,863.97 9,789,515.62 10,220,000.00
July 25, 2005 ....................... 26,206,488.97 9,638,389.64 10,220,000.00
August 25, 2005 ..................... 25,702,030.81 9,488,132.47 10,220,000.00
September 25, 2005 .................. 25,236,972.97 9,349,611.03 10,220,000.00
October 25, 2005 .................... 24,774,469.27 9,211,850.35 10,220,000.00
November 25, 2005 ................... 24,314,500.03 9,074,844.59 10,220,000.00
December 25, 2005 ................... 23,857,045.68 8,938,587.91 10,220,000.00
January 25, 2006 .................... 23,402,086.74 8,803,074.51 10,220,000.00
February 25, 2006 ................... 22,949,603.84 8,668,298.61 10,220,000.00
March 25, 2006 ...................... 22,499,577.71 8,534,254.49 10,220,000.00
April 25, 2006 ...................... 22,051,989.17 8,400,936.42 10,220,000.00
May 25, 2006 ........................ 21,606,819.14 8,268,338.73 10,220,000.00
June 25, 2006 ....................... 21,164,048.64 8,136,455.76 10,220,000.00
July 25, 2006 ....................... 20,723,658.77 8,005,281.88 10,220,000.00
August 25, 2006 ..................... 20,285,630.75 7,874,811.50 10,220,000.00
September 25, 2006 .................. 19,884,297.17 7,755,270.86 10,220,000.00
October 25, 2006 .................... 19,484,895.06 7,636,305.54 10,220,000.00
November 25, 2006 ................... 19,087,408.05 7,517,910.64 10,220,000.00
December 25, 2006 ................... 18,691,819.86 7,400,081.32 10,220,000.00
January 25, 2007 .................... 18,298,114.29 7,282,812.76 10,220,000.00
February 25, 2007 ................... 17,906,275.21 7,166,100.14 10,220,000.00
March 25, 2007 ...................... 17,516,286.57 7,049,938.70 10,220,000.00
April 25, 2007 ...................... 17,128,132.41 6,934,323.67 10,220,000.00
May 25, 2007 ........................ 16,741,796.83 6,819,250.32 10,220,000.00
June 25, 2007 ....................... 16,357,264.00 6,704,713.94 10,220,000.00
July 25, 2007 ....................... 15,974,518.19 6,590,709.83 10,220,000.00
August 25, 2007 ..................... 15,593,543.73 6,477,233.34 10,220,000.00
September 25, 2007 .................. 15,246,135.56 6,373,754.85 10,220,000.00
October 25, 2007 .................... 14,900,018.45 6,270,660.91 10,220,000.00
November 25, 2007 ................... 14,555,180.44 6,167,947.97 10,220,000.00
December 25, 2007 ................... 14,211,609.62 6,065,612.47 10,220,000.00
</TABLE>
S-57
<PAGE>
<TABLE>
<CAPTION>
CLASS A-12 CLASS A-13 CLASS A-14
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE TARGETED BALANCE TARGETED BALANCE TARGETED BALANCE
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
January 25, 2008 .................... $13,869,294.11 $ 5,963,650.87 $10,220,000.00
February 25, 2008 ................... 13,528,222.11 5,862,059.67 10,220,000.00
March 25, 2008 ...................... 13,188,381.82 5,760,835.34 10,220,000.00
April 25, 2008 ...................... 12,849,761.53 5,659,974.39 10,220,000.00
May 25, 2008 ........................ 12,512,349.54 5,559,473.36 10,220,000.00
June 25, 2008 ....................... 12,176,134.22 5,459,328.75 10,220,000.00
July 25, 2008 ....................... 11,841,103.97 5,359,537.13 10,220,000.00
August 25, 2008 ..................... 11,507,247.24 5,260,095.06 10,220,000.00
September 25, 2008 .................. 11,174,552.51 5,160,999.09 10,220,000.00
October 25, 2008 .................... 10,843,008.32 5,062,245.83 10,220,000.00
November 25, 2008 ................... 10,512,603.25 4,963,831.86 10,220,000.00
December 25, 2008 ................... 10,183,325.90 4,865,753.79 10,220,000.00
January 25, 2009 .................... 9,855,164.95 4,768,008.25 10,220,000.00
February 25, 2009 ................... 9,528,109.09 4,670,591.87 10,220,000.00
March 25, 2009 ...................... 9,202,147.07 4,573,501.30 10,220,000.00
April 25, 2009 ...................... 8,877,267.65 4,476,733.19 10,220,000.00
May 25, 2009 ........................ 8,553,459.68 4,380,284.23 10,220,000.00
June 25, 2009 ....................... 8,230,712.00 4,284,151.08 10,220,000.00
July 25, 2009 ....................... 7,909,013.52 4,188,330.44 10,220,000.00
August 25, 2009 ..................... 7,588,353.18 4,092,819.02 10,220,000.00
September 25, 2009 .................. 7,268,719.96 3,997,613.54 10,220,000.00
October 25, 2009 .................... 6,950,102.88 3,902,710.72 10,220,000.00
November 25, 2009 ................... 6,632,490.98 3,808,107.31 10,220,000.00
December 25, 2009 ................... 6,315,873.36 3,713,800.05 10,220,000.00
January 25, 2010 .................... 6,000,239.15 3,619,785.70 10,220,000.00
February 25, 2010 ................... 5,685,577.52 3,526,061.05 10,220,000.00
March 25, 2010 ...................... 5,371,877.66 3,432,622.87 10,220,000.00
April 25, 2010 ...................... 5,059,128.82 3,339,467.96 10,220,000.00
May 25, 2010 ........................ 4,747,320.27 3,246,593.12 10,220,000.00
June 25, 2010 ....................... 4,436,441.31 3,153,995.17 10,220,000.00
July 25, 2010 ....................... 4,126,481.29 3,061,670.94 10,220,000.00
August 25, 2010 ..................... 3,817,429.59 2,969,617.25 10,220,000.00
September 25, 2010 .................. 3,509,275.62 2,877,830.96 10,220,000.00
October 25, 2010 .................... 3,202,008.82 2,786,308.92 10,220,000.00
November 25, 2010 ................... 2,895,618.68 2,695,048.00 10,220,000.00
December 25, 2010 ................... 2,590,094.70 2,604,045.08 10,220,000.00
January 25, 2011 .................... 2,285,426.43 2,513,297.03 10,220,000.00
February 25, 2011 ................... 1,981,603.44 2,422,800.77 10,220,000.00
March 25, 2011 ...................... 1,678,615.35 2,332,553.18 10,220,000.00
<CAPTION>
CLASS A-12 CLASS A-13 CLASS A-14
CITICERTIFICATES CITICERTIFICATES CITICERTIFICATES
DISTRIBUTION DATE TARGETED BALANCE TARGETED BALANCE TARGETED BALANCE
- ----------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
April 25, 2011 ...................... $ 1,376,451.80 $ 2,242,551.18 $10,220,000.00
May 25, 2011 ........................ 1,075,102.45 2,152,791.71 10,220,000.00
June 25, 2011 ....................... 774,557.01 2,063,271.69 10,220,000.00
July 25, 2011 ....................... 474,805.21 1,973,988.05 10,220,000.00
August 25, 2011 ..................... 175,836.81 1,884,937.77 10,220,000.00
September 25, 2011 .................. 0.00 1,796,117.78 10,097,641.61
October 25, 2011 .................... 0.00 1,707,525.07 9,800,209.43
November 25, 2011 ................... 0.00 1,619,156.60 9,503,530.12
December 25, 2011 ................... 0.00 1,531,009.37 9,207,593.55
January 25, 2012 .................... 0.00 1,443,080.37 8,912,389.64
February 25, 2012 ................... 0.00 1,355,366.59 8,617,908.32
March 25, 2012 ...................... 0.00 1,267,865.06 8,324,139.56
April 25, 2012 ...................... 0.00 1,180,572.79 8,031,073.34
May 25, 2012 ........................ 0.00 1,093,486.80 7,738,699.69
June 25, 2012 ....................... 0.00 1,006,604.13 7,447,008.65
July 25, 2012 ....................... 0.00 919,921.83 7,155,990.29
August 25, 2012 ..................... 0.00 833,436.94 6,865,634.70
September 25, 2012 .................. 0.00 747,146.52 6,575,932.01
October 25, 2012 .................... 0.00 661,047.64 6,286,872.37
November 25, 2012 ................... 0.00 575,137.37 5,998,445.95
December 25, 2012 ................... 0.00 489,412.79 5,710,642.95
January 25, 2013 .................... 0.00 403,870.99 5,423,453.58
February 25, 2013 ................... 0.00 318,509.06 5,136,868.10
March 25, 2013 ...................... 0.00 233,324.10 4,850,876.78
April 25, 2013 ...................... 0.00 148,313.23 4,565,469.89
May 25, 2013 ........................ 0.00 63,473.55 4,280,637.77
June 25, 2013 ....................... 0.00 0.00 3,975,172.93
July 25, 2013 ....................... 0.00 0.00 3,606,955.45
August 25, 2013 ..................... 0.00 0.00 3,239,446.40
September 25, 2013 .................. 0.00 0.00 2,872,633.31
October 25, 2013 .................... 0.00 0.00 2,506,503.77
November 25, 2013 ................... 0.00 0.00 2,141,045.37
December 25, 2013 ................... 0.00 0.00 1,776,245.73
January 25, 2014 .................... 0.00 0.00 1,412,092.52
February 25, 2014 ................... 0.00 0.00 1,048,573.41
March 25, 2014 ...................... 0.00 0.00 685,676.10
April 25, 2014 ...................... 0.00 0.00 323,388.33
May 25, 2014 and
thereafter ......................... 0.00 0.00 0.00
</TABLE>
DISTRIBUTIONS IN REDUCTION OF STATED AMOUNT OF THE RETAIL CITICERTIFICATES
General
Subject to the priorities and limitations described herein, Beneficial
Owners of the Retail CitiCertificates have the right to request that
distributions in reduction of Stated Amount be made with respect to their
Retail CitiCertificates on each Distribution Date on which distributions in
reduction of Stated Amount are made with respect to the Retail
CitiCertificates. All such distributions are subject to the limitations
that they are made (i) only in lots equal to $1,000 of Initial Stated
Amount (each an "Individual Retail CitiCertificate") and (ii) only to the
extent that the portion of the Class A Principal Distribution Amount
allocated to the Retail CitiCertificates and any Insured Payment applied in
reduction of the Stated Amount of the Retail CitiCertificates on the
applicable Distribution Date (plus any amounts available from the Retail
Cash Deposit) provides sufficient funds for such requested distributions.
Interest will accrue on all Retail CitiCertificates with respect to which
distributions are made through the last day of the month preceding the
month in which such distributions are made.
S-58
<PAGE>
Notwithstanding any provisions to the contrary, if the Insurer fails to
make an Insured Payment or on any Distribution Date on and after the
Subordination Depletion Date, distributions in reduction of Stated Amount of the
Retail CitiCertificates will be made pro rata among the holders of the Retail
CitiCertificates and shall no longer be required to be made in integral
multiples of $1,000 or pursuant to requested distributions or mandatory
distributions by random lot. In the event that such pro rata distributions
cannot be made through the facilities of DTC, the Retail CitiCertificates will
be withdrawn from the facilities of DTC and Definitive Certificates will be
issued to replace such withdrawn Book-Entry CitiCertificates.
There is no assurance that a Beneficial Owner who has submitted a request
for such distribution will receive such distribution within a reasonable period
of time after such distribution is requested. There can be no assurance that
funds will be available for making such distributions on any particular
Distribution Date, or, even if funds are available for making such distributions
in reduction of Stated Amount of the Retail CitiCertificates, that such
distributions with respect to the Retail CitiCertificates owned by any
particular Beneficial Owner will be made. See "--Weighted Average Lives of the
Class A CitiCertificates" herein.
Priority of Requested Distributions
Subject to the limitations described herein, Beneficial Owners of Retail
CitiCertificates have the right to request that distributions be made in
reduction of the Stated Amount of their Retail CitiCertificates. On each
Distribution Date on which distributions in reduction of Stated Amount are made
on the Retail CitiCertificates, such distributions will be made in the following
order of priority:
(1) with respect to a Deceased Holder(1), any request by the personal
representatives or by a surviving tenant by the entirety, by a surviving
joint tenant or by a surviving tenant in common, but not exceeding an
aggregate Stated Amount of $100,000 per request; and
(2) with respect to a Beneficial Owner other than a Deceased Holder,
any request not exceeding an aggregate Stated Amount of $10,000.
Thereafter, requests for distributions in reduction of Stated Amount
will be honored with respect to a Deceased Holder as provided in (1) above
up to a second $100,000, and requests for such distributions will be
honored with respect to a Beneficial Owner other than a Deceased Holder as
provided in (2) above up to a second $10,000. This sequence of priorities
will be repeated until all requests for distribution in reduction of Stated
Amount have been honored.
- ----------
1 A "Deceased Holder" is a Beneficial Owner of a Retail CitiCertificate who
was living at the time such interest was acquired and whose executor or
other authorized representative causes to be furnished to DTC evidence of
death satisfactory to the Trustee and any tax waivers requested by the
Trustee. Retail CitiCertificates beneficially owned by tenants by the
entirety, joint tenants or tenants in common will be considered to be
beneficially owned by a single owner. The death of a tenant by the
entirety, joint tenant or tenant in common will be deemed to be the death
of the Beneficial Owner, and the Retail CitiCertificates so beneficially
owned will be eligible for priority with respect to distributions in
reduction of Stated Amount, subject to the limitations stated above. Retail
CitiCertificates beneficially owned by a trust will be considered to be
beneficially owned by each beneficiary of the trust to the extent of such
beneficiary's beneficial interest therein, but in no event will a trust's
beneficiaries collectively be deemed to be Beneficial Owners of a number of
Individual Retail CitiCertificates greater than the number of Individual
Retail CitiCertificates of which such trust is the owner. The death of a
beneficiary of a trust will be deemed to be the death of a Beneficial Owner
of the Retail CitiCertificates beneficially owned by the trust to the
extent of such beneficiary's beneficial interest in such trust. The death
of an individual who was a tenant by the entirety, joint tenant or tenant
in common in a tenancy which is the beneficiary of a trust will be deemed
to be the death of the beneficiary of the trust. The death of a person who,
during his or her lifetime, was entitled to substantially all of the
beneficial ownership interests in Retail CitiCertificates will be deemed to
be the death of the Beneficial Owner of such Retail CitiCertificates
regardless of the registration of ownership, if such beneficial interest
can be established to the satisfaction of the Trustee. Such beneficial
interest will be deemed to exist in typical cases of street name or nominee
ownership, ownership by a trustee, ownership under the Uniform Gifts to
Minors Act and community property or other joint ownership arrangements
between a husband and wife. Beneficial interests shall include the power to
sell, transfer or otherwise dispose of a Retail CitiCertificate and the
right to receive the proceeds therefrom, as well as interest and
distributions in reduction of Stated Amount payable with respect thereto.
S-59
<PAGE>
Procedure for Requested Distributions
A Beneficial Owner of a Retail CitiCertificate may request that
distributions in reduction of Stated Amount thereof be made on a Distribution
Date by delivering a written request therefor, together with appropriate
evidence of death and any necessary tax waivers in the case of a request by a
Deceased Holder, to the Participant or Indirect Participant that maintains its
account in the Retail CitiCertificates such that the request for such
distribution is received by the Trustee on or before the last day of the month
preceding the month in which such Distribution Date occurs. That firm should in
turn make the request of DTC (or, in the case of an Indirect Participant, such
firm must notify the related Participant of such request, which Participant
should make the request of DTC) in the manner required under the rules and
regulations of DTC's APUT system and provided to the Participant. This procedure
is further discussed below under the heading "--Book-Entry Registration." Upon
receipt of such request, DTC will date and time stamp such request and forward
such request to the Trustee. DTC may establish such procedures as it deems fair
and equitable to establish the order of receipt of requests for such
distributions received by it on the same day. Neither the Servicer nor the
Trustee shall be liable for any delay by DTC, any Participant or any Indirect
Participant in the delivery of requests for distributions to the Trustee. The
Servicer will instruct the Trustee that requests for distributions are to be
honored in the order of their receipt (subject to the priorities described
above). The exact procedures to be followed by the Trustee for purposes of
determining the order of receipt of such requests will be those established from
time to time by the Trustee, acting in conjunction with DTC. Requests for
distributions in reduction of Stated Amount received by DTC and forwarded to the
Trustee after the last day of the month preceding the month in which a
Distribution Date occurs and requests for distributions received in a timely
manner but not accepted with respect to a given Distribution Date, will be
treated as requests for distributions on the next succeeding Distribution Date
and each succeeding Distribution Date thereafter until each request is accepted
or is withdrawn as described below. Each request for distributions in reduction
of Stated Amount of a Retail CitiCertificate submitted by a Beneficial Owner
will be held by the Trustee until such request has been accepted or has been
withdrawn in writing. Each Individual Retail CitiCertificate covered by such
request will continue to bear interest at the related Stated Rate through the
last day of the month preceding the month in which such Distribution Date
occurs.
With respect to Retail CitiCertificates as to which Beneficial Owners have
requested distributions on a particular Distribution Date on which distributions
in reduction of Stated Amount of the Retail CitiCertificates are being made, DTC
and its Participants will be notified prior to such Distribution Date whether,
and the extent to which, such Retail CitiCertificates have been accepted for
distributions. Participants and Indirect Participants holding Retail
CitiCertificates are required to notify the Beneficial Owners of such
CitiCertificates. It is expected that Beneficial Owners will receive such notice
no later than 3 days prior to the applicable Distribution Date. Individual
Retail CitiCertificates which have been accepted for a distribution shall be due
and payable on the applicable Distribution Date and shall cease to bear interest
after the last day of the month preceding the month in which such Distribution
Date occurs.
Any Beneficial Owner of a Retail CitiCertificate which has requested a
distribution may withdraw its request by so notifying in writing the Participant
or Indirect Participant that maintains such Beneficial Owner's account. In the
event that such account is maintained by an Indirect Participant, such Indirect
Participant must notify the related Participant which in turn must forward the
withdrawal of such request, in the manner required under the rules and
regulations of DTC's APUT system. If such notice of withdrawal of a request for
distribution has not been received by the Trustee on or before the last day of
the month preceding the month in which a Distribution Date occurs, the
previously made request for distribution will be irrevocable with respect to the
making of distributions in reduction of Stated Amount of Retail CitiCertificates
on the applicable Distribution Date.
Mandatory Distributions on Retail CitiCertificates
To the extent, if any, that distributions in reduction of Stated Amount of
the Retail CitiCertificates on a Distribution Date exceed the remaining Stated
Amount of Retail CitiCertificates with respect to which distribution requests
have been received by the applicable date, additional Retail CitiCertificates in
lots equal to Individual Retail CitiCertificates will be selected for
distributions in accordance with the then applicable established random lot
procedures of DTC, and established procedures of the Participants and Indirect
Participants representing the Beneficial Owners of the Retail CitiCertificates
from the accounts of the Beneficial Owners. Participants and Indirect
Participants holding Retail CitiCertificates selected for mandatory
distributions in reduction of Stated Amount are required to provide notice of
such mandatory distributions to the affected Beneficial Owners.
S-60
<PAGE>
It is expected that mandatory distributions in reduction of Stated Amount
of Retail CitiCertificates are most likely to occur when prevailing interest
rates substantially decline relative to the Stated Rate on the Retail
CitiCertificates. Under such conditions, it is anticipated that fewer Beneficial
Owners would request distributions in reduction of Stated Amount and mortgagors
would be more likely to prepay the Mortgage Loans. Owners of Retail
CitiCertificates with respect to which such distributions have been made may not
be able to reinvest the proceeds of such distributions at interest rates equal
to the Stated Rate on the Retail 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,
Unoffered Class A-IO 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 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.
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 of the monthly premium for the Insurance Policy, 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 of the monthly premium for the Insurance Policy, 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 the payment of the monthly
premium for the Insurance Policy has been made and all required payments to
S-61
<PAGE>
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 of the monthly premium for
the Insurance Policy, 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-22 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 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.
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
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described in the second succeeding paragraph. The principal portion of any
Realized Losses occurring on or after the Subordination Depletion Date will be
allocated as follows: the applicable PO Percentage of any Realized Loss will be
allocated to the Class A-22 CitiCertificates and the Non-PO Percentage of any
Realized Loss will be allocated among the other outstanding Class A Subclasses.
After the Subordination Depletion Date, the principal portion of Realized
Losses, other than Excess Special Hazard Losses, Excess Fraud Losses and Excess
Bankruptcy Losses, allocated to the Class A-16 CitiCertificates will be borne by
the Class A-18 CitiCertificates and not by the Class A-16 CitiCertificates for
so long as the Class A-18 CitiCertificates are outstanding.
The principal portion of Realized Losses allocated to the Class A-19
CitiCertificates will be covered by the Insurance Policy.
Allocations of (i) the principal portion of Debt Service Reductions prior
to the Bankruptcy Termination Date, (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 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-22
CitiCertificates and the applicable Non-PO Percentage of such Realized Losses
shall be allocated on a pro rata basis among the Class A Subclasses (other than
the interest-only Class A-4 and Class A-20 CitiCertificates and the Class A-22
CitiCertificates) and the Class M and Class B CitiCertificates based on the
aggregate Stated Amount of each such Class or Subclass or, in the case of the
Class A-8, Class A-9, Class A-10 or Class A-15 CitiCertificates, the Initial
Stated Amount, if lower. The interest portion of such losses with respect to the
Mortgage Loans will be allocated pro rata among the Classes of CitiCertificates
based on accrued interest on each such Class. Any interest losses so allocated
to the Class A CitiCertificates will be allocated among the outstanding Class A
Subclasses (other than the Class A-11 and Class A-22 CitiCertificates) pro rata
based on interest accrued. 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 notional amount or respective Stated
Amount, as the case may be. Any losses so allocated to the Unoffered Class A-IO
or Class M CitiCertificates will be allocated among the outstanding Unoffered
Class A-IO or Class M CitiCertificates, as the case may be, in accordance with
their notional amount or respective 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. Any Excess Special
Hazard Losses, Excess Fraud Losses and Excess Bankruptcy Losses allocated to the
Class A-19 CitiCertificates will be covered by the Insurance Policy.
As described above, the Pool Distribution Amount 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 Pool
Distribution Amount is not sufficient to cover the amount of the Class A Optimal
Principal Amount on a particular Distribution Date (other than with respect to
the Class A-22 CitiCertificates), the percentage of principal payments on the
Mortgage Loans to which holders of the Class A CitiCertificates (other than the
Class A-22 CitiCertificates) will be entitled (i.e., the 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. Such a
shortfall could occur, for example, if a considerable number of Mortgage Loans
were to become Liquidated Loans in a particular month.
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<PAGE>
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 1.62% 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 1.00% of the Initial
Mortgage Loan Balance. On each Distribution Date thereafter, the Fraud Loss
Amount will equal (X) prior to the second 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) 0.50% 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 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 0.03% 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) $134,421 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 without
regard to the Insurance Policy. 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
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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 ("Extraordinary 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. Any such losses allocated to the Class A-19 CitiCertificates
will not be covered by the Insurance Policy.
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 (or, in the case of the Class A-4
and Class A-20 CitiCertificates, until the Class A-4 Notional Amount or the
Class A-20 Notional Amount, as the case may be, is reduced to zero). The
weighted average lives of the Offered CitiCertificates will be influenced by the
rate at which principal on the Mortgage Loans is paid. The weighted average life
of a Class A-4 CitiCertificate refers to the average amount of time from the
date of issuance thereof until each dollar of principal in reduction of the
Initial Stated Amounts of the Class A-1, Class A-2 and Class A-3
CitiCertificates is paid to investors in such CitiCertificates. The weighted
average life of a Class A-20 CitiCertificate refers to the average amount of
time from the date of issuance thereof until each dollar of principal in
reduction of the initial Stated Amount of the Class A-19 CitiCertificates is
paid to investors in the Class A-19 CitiCertificates. 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). 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; "275% of the Prepayment Model" assumes such
Mortgage Loans will prepay at rates equal to 275% 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
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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. 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,
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. On each Distribution Date, the excess, if any, of the portion of
the Class A Non-PO Principal Amount available to make distributions in reduction
of Stated Amounts to the PAC Certificates over the PAC Balance Amounts for such
Distribution Date will be allocated to the Class A-5, Class A-6, Class A-7,
Class A-8, Class A-9, Class A-10 and Class A-11 CitiCertificates, as otherwise
provided herein. As a result, the weighted average lives of the Class A
Subclasses that support the PAC Certificates will be relatively more sensitive
to faster prepayment rates than that of the PAC Certificates, and may be
significantly more sensitive than would be the case if the Class A
CitiCertificates did not include the PAC Certificates. Conversely, under certain
relatively slow prepayment scenarios, the PAC Balance Amounts for the PAC
Certificates may not be paid in full on a given Distribution Date. In such case,
the portion of the Class A Non-PO Principal Amount available to make
distributions in reduction of Stated Amounts to the PAC Certificates for each
subsequent Distribution Date will be applied first to the PAC Certificates until
the current Stated Amounts thereof equal their respective Planned Balances and,
as a result, the weighted average lives of the Subclasses that support the PAC
Certificates may be extended accordingly.
The weighted average lives of the TAC Certificates will depend upon the
particular prepayment scenario. The sensitivity of the TAC Certificates to
principal prepayments on the Mortgage Loans and the allocation of the Accretion
Distribution Amount of the Class A-8, Class A-9, Class A-10 and Class A-15
CitiCertificates to such Class A Subclasses will depend in part upon the period
of time during which the Class A Subclasses that support such TAC Certificates
remain outstanding. Under certain relatively fast prepayment scenarios, one or
more Class A Subclasses of TAC Certificates may continue to be outstanding when
the Class A Subclasses that support such TAC Certificates are no longer
outstanding. Under such circumstances, the portion of the Class A Non-PO
Principal Amount available to make distributions in reduction of Stated Amount
to a Class A Subclass of TAC Certificates will be applied to such TAC
Certificates without regard to their related TAC Balance Amounts, Schedule I TAC
Balance Amounts or Schedule II TAC Balance Amounts, as the case may be. Thus,
when the Stated Amounts of the Class A Subclasses that support the TAC
Certificates are reduced to zero, the rate of distributions in reduction of the
Stated Amounts of the TAC Certificates will become more sensitive to prepayment
rates on the Mortgage Loans. Conversely, under certain relatively slow
prepayment scenarios, the portion of the Class A Non-PO Principal Amount
available to make distributions in reduction of Stated Amount to a Class A
Subclass of TAC Certificates and the Accretion Distribution Amounts of the
Accrual CitiCertificates may not be sufficient to pay the TAC Balance Amount,
Schedule I TAC Balance Amount or Schedule II TAC Balance Amount, as the case may
be, to such TAC Certificates on a given Distribution Date. In such cases, the
portion of the Class A Non-PO Principal Amount available to make distributions
in reduction of Stated Amount to such TAC Certificates for each subsequent
Distribution Date will be applied, together with any Accretion Distribution
Amount for such Distribution Date, to such TAC Certificates until their
outstanding Stated Amounts equal their scheduled Targeted Balances, Schedule I
Targeted Balances or Schedule II Targeted Balances, as the case may be.
The weighted average lives of the Class A Subclasses of PAC Certificates
will depend upon the particular prepayment scenario. To the extent that
principal prepayments are made at rates that are continuously slower than the
lowest rate in the range of 100% to 400% of the Prepayment Model, the weighted
average life of any Class A Subclass of PAC Certificates may be extended (and
may be extended significantly). To the extent that such principal prepayments
are made at rates that are continuously faster than the highest rate in the
range of 100% to 400% of the Prepayment Model, the weighted average life of any
Class A Subclass of PAC Certificates may be reduced (and may be reduced
significantly).
The sensitivity of the PAC Certificates to principal prepayments on the
Mortgage Loans will depend in part upon the period of time during which the
Class A-5, Class A-6, Class A-7, Class A-8, Class A-9, Class A-10 and Class A-11
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CitiCertificates (the "PAC Support Classes") remain outstanding. Under certain
relatively fast prepayment scenarios, one or more of the Class A Subclasses of
PAC Certificates may continue to be outstanding when the PAC Support Classes are
no longer outstanding. Under such circumstances, the portion of the Class A
Non-PO Principal Amount available to make distributions in reduction of Stated
Amount to the PAC Certificates will be applied to the PAC Certificates as
described herein, without regard to the PAC Balance Amounts for such Class A
Subclasses of PAC Certificates. Thus, when the Stated Amounts of the PAC Support
Classes are reduced to zero, the rate of distributions in reduction of Stated
Amount of any outstanding Class A Subclass of PAC Certificates will become more
sensitive to prepayment rates on the Mortgage Loans. Conversely, under certain
relatively slow prepayment scenarios, the portion of the Class A Non-PO
Principal Amount available to make distributions in reduction of Stated Amount
to the PAC Certificates may not be sufficient to pay the PAC Balance Amounts for
all Class A Subclasses of PAC Certificates on a given Distribution Date. In such
cases, the portion of the Class A Non-PO Principal Amount available to make
distributions in reduction of Stated Amount to the PAC Certificates for each
such subsequent Distribution Date will be applied to the Class A Subclasses of
PAC Certificates in accordance with the priorities described herein until the
outstanding Stated Amount of each such Class A Subclass equals its scheduled
Planned Balance, and the weighted average life of any Class A Subclass of PAC
Certificates that did not receive its PAC Balance Amount on a Distribution Date
may be extended accordingly.
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 (other than the Class A-22 CitiCertificates) will be entitled
to receive the Class A Percentage of the applicable Non-PO Percentage of all the
Scheduled Principal, and the Class A Prepayment Percentage of the applicable
Non-PO Percentage of the net proceeds of Liquidated Loans and of the prepayment
principal. 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 Trust 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 Discount Mortgage Loan and
Premium Mortgage Loan will have an original term to maturity of 358 months and
359 months, respectively, a weighted average remaining term to stated maturity
of 357 months each, a rate of interest passed through to holders of the
CitiCertificates of approximately 6.5699212415% and 7.1524770049%, respectively,
and, in each case, a Servicing Fee of 0.25% per annum; (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
$1,755,000, $1,002,000, and $1,253,745, respectively; (v) the Initial Mortgage
Loan Balance of Discount Mortgage Loans and Premium Mortgage Loans are
approximately $29,353,623 and approximately $471,893,228, 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 August 27, 1998; (vii) distribution
in reduction of Stated Amount of the Retail CitiCertificates are made pro rata
to the holders thereof and are not rounded to integral multiples of $1,000, as
described under the heading "--Distributions in Reduction of Stated Amount of
the Retail CitiCertificates;" and (viii) distributions to holders of the
CitiCertificates will be made on the 25th day of each month commencing September
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 (or initial notional 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 (or notional 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 stated 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
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the Discount Mortgage Loans or all of the Premium Mortgage Loans will have the
respective mortgage interest rates assumed by the Structuring Assumptions. In
addition, the diverse remaining terms to maturity of the Mortgage Loans (which
may include recently originated Mortgage Loans) could produce slower
distributions in reduction of Stated Amounts (or initial notional amounts) than
indicated in the table at the various percentages of the Prepayment Model
specified even if the weighted average remaining terms to stated 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 (or initial notional 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
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 100 99 99 99 99
August 25, 2000 ......................... 97 85 85 85 85
August 25, 2001 ......................... 94 66 66 66 66
August 25, 2002 ......................... 90 40 40 40 0
August 25, 2003 ......................... 87 0 0 0 0
August 25, 2004 ......................... 84 0 0 0 0
August 25, 2005 ......................... 81 0 0 0 0
August 25, 2006 ......................... 77 0 0 0 0
August 25, 2007 ......................... 74 0 0 0 0
August 25, 2008 ......................... 70 0 0 0 0
August 25, 2009 ......................... 65 0 0 0 0
August 25, 2010 ......................... 61 0 0 0 0
August 25, 2011 ......................... 56 0 0 0 0
August 25, 2012 ......................... 49 0 0 0 0
August 25, 2013 ......................... 28 0 0 0 0
August 25, 2014 ......................... 6 0 0 0 0
August 25, 2015 ......................... 0 0 0 0 0
August 25, 2016 ......................... 0 0 0 0 0
August 25, 2017 ......................... 0 0 0 0 0
August 25, 2018 ......................... 0 0 0 0 0
August 25, 2019 ......................... 0 0 0 0 0
August 25, 2020 ......................... 0 0 0 0 0
August 25, 2021 ......................... 0 0 0 0 0
August 25, 2022 ......................... 0 0 0 0 0
August 25, 2023 ......................... 0 0 0 0 0
August 25, 2024 ......................... 0 0 0 0 0
August 25, 2025 ......................... 0 0 0 0 0
August 25, 2026 ......................... 0 0 0 0 0
August 25, 2027 ......................... 0 0 0 0 0
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 11.7 3.4 3.4 3.4 3.2
<CAPTION>
CLASS A-2 CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 100 98 98 98 98
August 25, 2000 ......................... 94 69 69 69 69
August 25, 2001 ......................... 87 30 30 30 30
August 25, 2002 ......................... 80 0 0 0 0
August 25, 2003 ......................... 73 0 0 0 0
August 25, 2004 ......................... 67 0 0 0 0
August 25, 2005 ......................... 60 0 0 0 0
August 25, 2006 ......................... 53 0 0 0 0
August 25, 2007 ......................... 46 0 0 0 0
August 25, 2008 ......................... 37 0 0 0 0
August 25, 2009 ......................... 29 0 0 0 0
August 25, 2010 ......................... 19 0 0 0 0
August 25, 2011 ......................... 9 0 0 0 0
August 25, 2012 ......................... 0 0 0 0 0
August 25, 2013 ......................... 0 0 0 0 0
August 25, 2014 ......................... 0 0 0 0 0
August 25, 2015 ......................... 0 0 0 0 0
August 25, 2016 ......................... 0 0 0 0 0
August 25, 2017 ......................... 0 0 0 0 0
August 25, 2018 ......................... 0 0 0 0 0
August 25, 2019 ......................... 0 0 0 0 0
August 25, 2020 ......................... 0 0 0 0 0
August 25, 2021 ......................... 0 0 0 0 0
August 25, 2022 ......................... 0 0 0 0 0
August 25, 2023 ......................... 0 0 0 0 0
August 25, 2024 ......................... 0 0 0 0 0
August 25, 2025 ......................... 0 0 0 0 0
August 25, 2026 ......................... 0 0 0 0 0
August 25, 2027 ......................... 0 0 0 0 0
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 8.1 2.5 2.5 2.5 2.5
<CAPTION>
CLASS A-3 CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 100 100 100 100 100
August 25, 2000 ......................... 100 100 100 100 100
August 25, 2001 ......................... 100 100 100 100 100
August 25, 2002 ......................... 100 100 100 100 94
August 25, 2003 ......................... 100 83 83 83 3
August 25, 2004 ......................... 100 42 42 42 0
August 25, 2005 ......................... 100 12 12 12 0
August 25, 2006 ......................... 100 2 2 2 0
August 25, 2007 ......................... 100 1 1 1 0
August 25, 2008 ......................... 100 * * * 0
August 25, 2009 ......................... 100 * * * 0
August 25, 2010 ......................... 100 0 0 0 0
August 25, 2011 ......................... 100 0 0 0 0
August 25, 2012 ......................... 100 0 0 0 0
August 25, 2013 ......................... 100 0 0 0 0
August 25, 2014 ......................... 100 0 0 0 0
August 25, 2015 ......................... 85 0 0 0 0
August 25, 2016 ......................... 64 0 0 0 0
August 25, 2017 ......................... 40 0 0 0 0
August 25, 2018 ......................... 15 0 0 0 0
August 25, 2019 ......................... 0 0 0 0 0
August 25, 2020 ......................... 0 0 0 0 0
August 25, 2021 ......................... 0 0 0 0 0
August 25, 2022 ......................... 0 0 0 0 0
August 25, 2023 ......................... 0 0 0 0 0
August 25, 2024 ......................... 0 0 0 0 0
August 25, 2025 ......................... 0 0 0 0 0
August 25, 2026 ......................... 0 0 0 0 0
August 25, 2027 ......................... 0 0 0 0 0
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 18.6 6.0 6.0 6.0 4.5
<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-69
<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(2) CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 100 99 99 99 99
August 25, 2000 .......................... 96 78 78 78 78
August 25, 2001 .......................... 91 52 52 52 52
August 25, 2002 .......................... 86 29 29 29 22
August 25, 2003 .......................... 81 19 19 19 1
August 25, 2004 .......................... 77 10 10 10 0
August 25, 2005 .......................... 72 3 3 3 0
August 25, 2006 .......................... 68 * * * 0
August 25, 2007 .......................... 62 * * * 0
August 25, 2008 .......................... 57 * * * 0
August 25, 2009 .......................... 51 * * * 0
August 25, 2010 .......................... 44 0 0 0 0
August 25, 2011 .......................... 37 0 0 0 0
August 25, 2012 .......................... 30 0 0 0 0
August 25, 2013 .......................... 27 0 0 0 0
August 25, 2014 .......................... 24 0 0 0 0
August 25, 2015 .......................... 20 0 0 0 0
August 25, 2016 .......................... 15 0 0 0 0
August 25, 2017 .......................... 9 0 0 0 0
August 25, 2018 .......................... 4 0 0 0 0
August 25, 2019 .......................... 0 0 0 0 0
August 25, 2020 .......................... 0 0 0 0 0
August 25, 2021 .......................... 0 0 0 0 0
August 25, 2022 .......................... 0 0 0 0 0
August 25, 2023 .......................... 0 0 0 0 0
August 25, 2024 .......................... 0 0 0 0 0
August 25, 2025 .......................... 0 0 0 0 0
August 25, 2026 .......................... 0 0 0 0 0
August 25, 2027 .......................... 0 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 11.0 3.4 3.4 3.4 3.0
<CAPTION>
CLASS A-5 CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 58 15 2 2 2
August 25, 2000 .......................... 41 0 0 0 0
August 25, 2001 .......................... 23 0 0 0 0
August 25, 2002 .......................... 3 0 0 0 0
August 25, 2003 .......................... 0 0 0 0 0
August 25, 2004 .......................... 0 0 0 0 0
August 25, 2005 .......................... 0 0 0 0 0
August 25, 2006 .......................... 0 0 0 0 0
August 25, 2007 .......................... 0 0 0 0 0
August 25, 2008 .......................... 0 0 0 0 0
August 25, 2009 .......................... 0 0 0 0 0
August 25, 2010 .......................... 0 0 0 0 0
August 25, 2011 .......................... 0 0 0 0 0
August 25, 2012 .......................... 0 0 0 0 0
August 25, 2013 .......................... 0 0 0 0 0
August 25, 2014 .......................... 0 0 0 0 0
August 25, 2015 .......................... 0 0 0 0 0
August 25, 2016 .......................... 0 0 0 0 0
August 25, 2017 .......................... 0 0 0 0 0
August 25, 2018 .......................... 0 0 0 0 0
August 25, 2019 .......................... 0 0 0 0 0
August 25, 2020 .......................... 0 0 0 0 0
August 25, 2021 .......................... 0 0 0 0 0
August 25, 2022 .......................... 0 0 0 0 0
August 25, 2023 .......................... 0 0 0 0 0
August 25, 2024 .......................... 0 0 0 0 0
August 25, 2025 .......................... 0 0 0 0 0
August 25, 2026 .......................... 0 0 0 0 0
August 25, 2027 .......................... 0 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 1.8 0.7 0.6 0.6 0.6
<CAPTION>
CLASS A-6 CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 100 100 100 100 100
August 25, 2000 .......................... 100 100 89 78 57
August 25, 2001 .......................... 100 98 67 44 12
August 25, 2002 .......................... 100 96 50 22 0
August 25, 2003 .......................... 98 94 38 8 0
August 25, 2004 .......................... 96 92 32 5 0
August 25, 2005 .......................... 94 88 27 5 0
August 25, 2006 .......................... 92 79 22 5 0
August 25, 2007 .......................... 89 68 17 4 0
August 25, 2008 .......................... 86 59 13 4 0
August 25, 2009 .......................... 83 49 11 4 0
August 25, 2010 .......................... 80 40 8 4 0
August 25, 2011 .......................... 77 30 5 4 0
August 25, 2012 .......................... 73 21 0 2 0
August 25, 2013 .......................... 69 12 0 1 0
August 25, 2014 .......................... 65 3 0 0 0
August 25, 2015 .......................... 61 0 0 0 0
August 25, 2016 .......................... 56 0 0 0 0
August 25, 2017 .......................... 51 0 0 0 0
August 25, 2018 .......................... 45 0 0 0 0
August 25, 2019 .......................... 36 0 0 0 0
August 25, 2020 .......................... 20 0 0 0 0
August 25, 2021 .......................... 4 0 0 0 0
August 25, 2022 .......................... 0 0 0 0 0
August 25, 2023 .......................... 0 0 0 0 0
August 25, 2024 .......................... 0 0 0 0 0
August 25, 2025 .......................... 0 0 0 0 0
August 25, 2026 .......................... 0 0 0 0 0
August 25, 2027 .......................... 0 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 17.3 10.8 5.3 3.4 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 or notional 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
or notional amount of the Class or Subclass of the Offered CitiCertificates.
(2) With respect to the Class A-4 CitiCertificates, the percentages are expressed as percentages of the
initial Class A-4 Notional Amount.
* Indicates an amount above zero and less than 0.5% of Initial Stated Amount or notional amount is
outstanding.
</FN>
</TABLE>
S-70
<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-7 CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 97 93 92 92 92
August 25, 2000 ......................... 95 91 82 72 52
August 25, 2001 ......................... 94 90 62 41 11
August 25, 2002 ......................... 92 88 46 20 0
August 25, 2003 ......................... 90 86 35 7 0
August 25, 2004 ......................... 88 85 30 4 0
August 25, 2005 ......................... 86 81 25 4 0
August 25, 2006 ......................... 84 72 20 4 0
August 25, 2007 ......................... 82 63 15 4 0
August 25, 2008 ......................... 79 54 12 4 0
August 25, 2009 ......................... 76 45 10 4 0
August 25, 2010 ......................... 74 36 7 4 0
August 25, 2011 ......................... 70 28 5 3 0
August 25, 2012 ......................... 67 19 0 2 0
August 25, 2013 ......................... 64 11 0 1 0
August 25, 2014 ......................... 60 2 0 0 0
August 25, 2015 ......................... 56 0 0 0 0
August 25, 2016 ......................... 51 0 0 0 0
August 25, 2017 ......................... 46 0 0 0 0
August 25, 2018 ......................... 41 0 0 0 0
August 25, 2019 ......................... 33 0 0 0 0
August 25, 2020 ......................... 19 0 0 0 0
August 25, 2021 ......................... 4 0 0 0 0
August 25, 2022 ......................... 0 0 0 0 0
August 25, 2023 ......................... 0 0 0 0 0
August 25, 2024 ......................... 0 0 0 0 0
August 25, 2025 ......................... 0 0 0 0 0
August 25, 2026 ......................... 0 0 0 0 0
August 25, 2027 ......................... 0 0 0 0 0
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 16.0 10.0 5.0 3.2 2.1
<CAPTION>
CLASS A-8 CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 107 107 55 12 0
August 25, 2000 ......................... 115 115 0 0 0
August 25, 2001 ......................... 123 123 0 0 0
August 25, 2002 ......................... 132 132 0 0 0
August 25, 2003 ......................... 142 142 0 0 0
August 25, 2004 ......................... 152 152 0 0 0
August 25, 2005 ......................... 163 163 0 0 0
August 25, 2006 ......................... 175 175 0 0 0
August 25, 2007 ......................... 187 187 0 0 0
August 25, 2008 ......................... 201 201 0 0 0
August 25, 2009 ......................... 215 215 0 0 0
August 25, 2010 ......................... 231 231 0 0 0
August 25, 2011 ......................... 248 248 0 0 0
August 25, 2012 ......................... 266 266 0 0 0
August 25, 2013 ......................... 285 285 0 0 0
August 25, 2014 ......................... 305 305 0 0 0
August 25, 2015 ......................... 328 278 0 0 0
August 25, 2016 ......................... 351 232 0 0 0
August 25, 2017 ......................... 377 187 0 0 0
August 25, 2018 ......................... 404 135 0 0 0
August 25, 2019 ......................... 433 75 0 0 0
August 25, 2020 ......................... 464 17 0 0 0
August 25, 2021 ......................... 498 0 0 0 0
August 25, 2022 ......................... 431 0 0 0 0
August 25, 2023 ......................... 327 0 0 0 0
August 25, 2024 ......................... 215 0 0 0 0
August 25, 2025 ......................... 63 0 0 0 0
August 25, 2026 ......................... 0 0 0 0 0
August 25, 2027 ......................... 0 0 0 0 0
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 25.6 19.5 1.0 0.7 0.5
<CAPTION>
CLASS A-9 CITICERTIFICATES
-----------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 107 107 107 107 17
August 25, 2000 ......................... 115 115 115 0 0
August 25, 2001 ......................... 123 123 123 0 0
August 25, 2002 ......................... 132 132 132 0 0
August 25, 2003 ......................... 142 142 142 0 0
August 25, 2004 ......................... 152 152 152 0 0
August 25, 2005 ......................... 163 163 163 0 0
August 25, 2006 ......................... 175 175 175 0 0
August 25, 2007 ......................... 187 187 187 0 0
August 25, 2008 ......................... 201 201 201 0 0
August 25, 2009 ......................... 215 215 215 0 0
August 25, 2010 ......................... 231 231 231 0 0
August 25, 2011 ......................... 248 248 248 0 0
August 25, 2012 ......................... 266 266 262 0 0
August 25, 2013 ......................... 285 285 200 0 0
August 25, 2014 ......................... 305 305 149 0 0
August 25, 2015 ......................... 328 328 106 0 0
August 25, 2016 ......................... 351 351 70 0 0
August 25, 2017 ......................... 377 377 40 0 0
August 25, 2018 ......................... 404 404 14 0 0
August 25, 2019 ......................... 433 433 0 0 0
August 25, 2020 ......................... 464 464 0 0 0
August 25, 2021 ......................... 498 409 0 0 0
August 25, 2022 ......................... 534 320 0 0 0
August 25, 2023 ......................... 573 235 0 0 0
August 25, 2024 ......................... 614 154 0 0 0
August 25, 2025 ......................... 658 76 0 0 0
August 25, 2026 ......................... 484 1 0 0 0
August 25, 2027 ......................... 146 0 0 0 0
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 28.5 25.1 16.7 1.3 1.0
<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 (or notional amount, as
the case may be) of the Class or Subclass of the Offered CitiCertificates.
</FN>
</TABLE>
S-71
<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-10 CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................ 100 100 100 100 100
August 25, 1999 ........................ 107 107 107 107 107
August 25, 2000 ........................ 115 115 115 115 115
August 25, 2001 ........................ 123 123 123 123 123
August 25, 2002 ........................ 132 132 132 132 0
August 25, 2003 ........................ 142 142 142 142 0
August 25, 2004 ........................ 152 152 152 152 0
August 25, 2005 ........................ 163 163 163 163 0
August 25, 2006 ........................ 175 175 175 175 0
August 25, 2007 ........................ 187 187 187 187 0
August 25, 2008 ........................ 201 201 201 201 0
August 25, 2009 ........................ 215 215 215 215 0
August 25, 2010 ........................ 231 231 231 231 0
August 25, 2011 ........................ 248 248 248 248 0
August 25, 2012 ........................ 266 266 266 266 0
August 25, 2013 ........................ 285 285 285 285 0
August 25, 2014 ........................ 305 305 305 284 0
August 25, 2015 ........................ 328 328 328 207 0
August 25, 2016 ........................ 351 351 351 149 0
August 25, 2017 ........................ 377 377 377 107 0
August 25, 2018 ........................ 404 404 404 76 0
August 25, 2019 ........................ 433 433 384 54 0
August 25, 2020 ........................ 464 464 294 37 0
August 25, 2021 ........................ 498 498 221 26 0
August 25, 2022 ........................ 534 534 163 17 0
August 25, 2023 ........................ 573 573 116 11 0
August 25, 2024 ........................ 614 614 79 7 0
August 25, 2025 ........................ 658 658 50 4 0
August 25, 2026 ........................ 706 706 28 2 0
August 25, 2027 ........................ 757 297 10 1 0
August 25, 2028 ........................ 0 0 0 0 0
Weighted Average
Life (Years)(1) ....................... 29.6 28.9 23.7 18.8 3.5
<CAPTION>
CLASS A-11 CITICERTIFICATES
--------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................ 100 100 100 100 100
August 25, 1999 ........................ 98 95 89 84 79
August 25, 2000 ........................ 98 95 75 61 45
August 25, 2001 ........................ 98 95 59 35 10
August 25, 2002 ........................ 98 95 46 18 0
August 25, 2003 ........................ 98 95 37 7 0
August 25, 2004 ........................ 98 95 33 5 0
August 25, 2005 ........................ 98 93 30 5 0
August 25, 2006 ........................ 98 89 26 5 0
August 25, 2007 ........................ 98 82 23 5 0
August 25, 2008 ........................ 98 77 21 5 0
August 25, 2009 ........................ 98 72 20 5 0
August 25, 2010 ........................ 98 67 19 5 0
August 25, 2011 ........................ 98 62 17 5 0
August 25, 2012 ........................ 98 58 14 4 0
August 25, 2013 ........................ 98 54 11 3 0
August 25, 2014 ........................ 98 50 9 2 0
August 25, 2015 ........................ 98 46 7 1 0
August 25, 2016 ........................ 98 43 6 1 0
August 25, 2017 ........................ 98 40 5 1 0
August 25, 2018 ........................ 98 36 4 1 0
August 25, 2019 ........................ 95 31 3 * 0
August 25, 2020 ........................ 89 27 2 * 0
August 25, 2021 ........................ 81 23 2 * 0
August 25, 2022 ........................ 73 19 1 * 0
August 25, 2023 ........................ 64 15 1 * 0
August 25, 2024 ........................ 55 12 1 * 0
August 25, 2025 ........................ 42 8 * * 0
August 25, 2026 ........................ 28 5 * * 0
August 25, 2027 ........................ 12 2 * * 0
August 25, 2028 ........................ 0 0 0 0 0
Weighted Average
Life (Years)(1) ....................... 25.6 16.3 6.1 3.1 1.9
<CAPTION>
CLASS A-12 CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................ 100 100 100 100 100
August 25, 1999 ........................ 98 95 95 95 92
August 25, 2000 ........................ 96 86 80 70 57
August 25, 2001 ........................ 93 75 57 39 20
August 25, 2002 ........................ 91 65 37 16 0
August 25, 2003 ........................ 88 54 21 0 0
August 25, 2004 ........................ 85 46 11 0 0
August 25, 2005 ........................ 83 39 3 0 0
August 25, 2006 ........................ 80 32 0 0 0
August 25, 2007 ........................ 77 26 0 0 0
August 25, 2008 ........................ 74 21 0 0 0
August 25, 2009 ........................ 70 15 0 0 0
August 25, 2010 ........................ 66 10 0 0 0
August 25, 2011 ........................ 62 6 0 0 0
August 25, 2012 ........................ 58 1 0 0 0
August 25, 2013 ........................ 53 0 0 0 0
August 25, 2014 ........................ 48 0 0 0 0
August 25, 2015 ........................ 43 0 0 0 0
August 25, 2016 ........................ 37 0 0 0 0
August 25, 2017 ........................ 31 0 0 0 0
August 25, 2018 ........................ 24 0 0 0 0
August 25, 2019 ........................ 17 0 0 0 0
August 25, 2020 ........................ 9 0 0 0 0
August 25, 2021 ........................ 1 0 0 0 0
August 25, 2022 ........................ 0 0 0 0 0
August 25, 2023 ........................ 0 0 0 0 0
August 25, 2024 ........................ 0 0 0 0 0
August 25, 2025 ........................ 0 0 0 0 0
August 25, 2026 ........................ 0 0 0 0 0
August 25, 2027 ........................ 0 0 0 0 0
August 25, 2028 ........................ 0 0 0 0 0
Weighted Average
Life (Years)(1) ....................... 14.4 6.2 3.6 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-72
<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-13 CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 98 96 95 95 92
August 25, 2000 .......................... 96 87 82 72 60
August 25, 2001 .......................... 94 77 60 44 26
August 25, 2002 .......................... 91 67 42 22 2
August 25, 2003 .......................... 89 58 27 5 0
August 25, 2004 .......................... 86 50 17 0 0
August 25, 2005 .......................... 84 43 10 0 0
August 25, 2006 .......................... 81 37 5 0 0
August 25, 2007 .......................... 79 31 3 0 0
August 25, 2008 .......................... 76 26 1 0 0
August 25, 2009 .......................... 72 22 * 0 0
August 25, 2010 .......................... 69 17 0 0 0
August 25, 2011 .......................... 65 12 0 0 0
August 25, 2012 .......................... 61 8 0 0 0
August 25, 2013 .......................... 57 4 0 0 0
August 25, 2014 .......................... 52 0 0 0 0
August 25, 2015 .......................... 47 0 0 0 0
August 25, 2016 .......................... 42 0 0 0 0
August 25, 2017 .......................... 36 0 0 0 0
August 25, 2018 .......................... 30 0 0 0 0
August 25, 2019 .......................... 23 0 0 0 0
August 25, 2020 .......................... 16 0 0 0 0
August 25, 2021 .......................... 8 0 0 0 0
August 25, 2022 .......................... * 0 0 0 0
August 25, 2023 .......................... 0 0 0 0 0
August 25, 2024 .......................... 0 0 0 0 0
August 25, 2025 .......................... 0 0 0 0 0
August 25, 2026 .......................... 0 0 0 0 0
August 25, 2027 .......................... 0 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 15.1 6.9 4.0 2.9 2.3
<CAPTION>
CLASS A-14 CITICERTIFICATES
--------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 100 100 100 100 100
August 25, 2000 .......................... 100 100 100 100 100
August 25, 2001 .......................... 100 100 100 100 100
August 25, 2002 .......................... 100 100 100 100 58
August 25, 2003 .......................... 100 100 100 85 0
August 25, 2004 .......................... 100 100 100 5 0
August 25, 2005 .......................... 100 100 100 0 0
August 25, 2006 .......................... 100 100 83 0 0
August 25, 2007 .......................... 100 100 62 0 0
August 25, 2008 .......................... 100 100 52 0 0
August 25, 2009 .......................... 100 100 43 0 0
August 25, 2010 .......................... 100 100 35 0 0
August 25, 2011 .......................... 100 100 26 0 0
August 25, 2012 .......................... 100 100 * 0 0
August 25, 2013 .......................... 100 71 0 0 0
August 25, 2014 .......................... 100 35 0 0 0
August 25, 2015 .......................... 100 0 0 0 0
August 25, 2016 .......................... 100 0 0 0 0
August 25, 2017 .......................... 100 0 0 0 0
August 25, 2018 .......................... 100 0 0 0 0
August 25, 2019 .......................... 100 0 0 0 0
August 25, 2020 .......................... 100 0 0 0 0
August 25, 2021 .......................... 100 0 0 0 0
August 25, 2022 .......................... 41 0 0 0 0
August 25, 2023 .......................... 0 0 0 0 0
August 25, 2024 .......................... 0 0 0 0 0
August 25, 2025 .......................... 0 0 0 0 0
August 25, 2026 .......................... 0 0 0 0 0
August 25, 2027 .......................... 0 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 23.9 15.6 10.6 5.5 4.1
<CAPTION>
CLASS A-15 CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 107 107 53 11 0
August 25, 2000 .......................... 114 114 0 0 0
August 25, 2001 .......................... 122 122 0 0 0
August 25, 2002 .......................... 131 131 0 0 0
August 25, 2003 .......................... 140 140 0 0 0
August 25, 2004 .......................... 150 150 0 0 0
August 25, 2005 .......................... 160 160 0 0 0
August 25, 2006 .......................... 171 171 0 0 0
August 25, 2007 .......................... 183 183 0 0 0
August 25, 2008 .......................... 196 196 0 0 0
August 25, 2009 .......................... 210 210 0 0 0
August 25, 2010 .......................... 224 224 0 0 0
August 25, 2011 .......................... 240 240 0 0 0
August 25, 2012 .......................... 257 257 0 0 0
August 25, 2013 .......................... 274 274 0 0 0
August 25, 2014 .......................... 294 294 0 0 0
August 25, 2015 .......................... 314 302 0 0 0
August 25, 2016 .......................... 336 270 0 0 0
August 25, 2017 .......................... 359 239 0 0 0
August 25, 2018 .......................... 384 203 0 0 0
August 25, 2019 .......................... 411 160 0 0 0
August 25, 2020 .......................... 440 119 0 0 0
August 25, 2021 .......................... 470 80 0 0 0
August 25, 2022 .......................... 503 44 0 0 0
August 25, 2023 .......................... 474 9 0 0 0
August 25, 2024 .......................... 386 0 0 0 0
August 25, 2025 .......................... 262 0 0 0 0
August 25, 2026 .......................... 128 0 0 0 0
August 25, 2027 .......................... 0 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 27.0 21.2 1.0 0.7 0.5
<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-73
<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-16 CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 98 96 91 88 83
August 25, 2000 .......................... 97 88 72 62 49
August 25, 2001 .......................... 95 77 49 31 12
August 25, 2002 .......................... 94 68 30 8 0
August 25, 2003 .......................... 92 59 14 0 0
August 25, 2004 .......................... 91 52 4 0 0
August 25, 2005 .......................... 89 45 0 0 0
August 25, 2006 .......................... 88 40 0 0 0
August 25, 2007 .......................... 86 35 0 0 0
August 25, 2008 .......................... 84 32 0 0 0
August 25, 2009 .......................... 82 28 0 0 0
August 25, 2010 .......................... 80 25 0 0 0
August 25, 2011 .......................... 78 21 0 0 0
August 25, 2012 .......................... 75 18 0 0 0
August 25, 2013 .......................... 73 16 0 0 0
August 25, 2014 .......................... 69 13 0 0 0
August 25, 2015 .......................... 66 11 0 0 0
August 25, 2016 .......................... 63 8 0 0 0
August 25, 2017 .......................... 59 6 0 0 0
August 25, 2018 .......................... 55 4 0 0 0
August 25, 2019 .......................... 50 1 0 0 0
August 25, 2020 .......................... 45 0 0 0 0
August 25, 2021 .......................... 40 0 0 0 0
August 25, 2022 .......................... 34 0 0 0 0
August 25, 2023 .......................... 28 0 0 0 0
August 25, 2024 .......................... 21 0 0 0 0
August 25, 2025 .......................... 11 0 0 0 0
August 25, 2026 .......................... 1 0 0 0 0
August 25, 2027 .......................... 0 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 19.0 8.0 3.1 2.4 2.0
<CAPTION>
CLASS A-17 CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 100 100 100 100 100
August 25, 2000 .......................... 100 100 100 100 100
August 25, 2001 .......................... 100 100 100 100 100
August 25, 2002 .......................... 100 100 100 100 11
August 25, 2003 .......................... 100 100 100 28 0
August 25, 2004 .......................... 100 100 100 0 0
August 25, 2005 .......................... 100 100 72 0 0
August 25, 2006 .......................... 100 100 35 0 0
August 25, 2007 .......................... 100 100 18 0 0
August 25, 2008 .......................... 100 100 15 0 0
August 25, 2009 .......................... 100 100 13 0 0
August 25, 2010 .......................... 100 100 11 0 0
August 25, 2011 .......................... 100 100 10 0 0
August 25, 2012 .......................... 100 100 2 0 0
August 25, 2013 .......................... 100 100 0 0 0
August 25, 2014 .......................... 100 100 0 0 0
August 25, 2015 .......................... 100 100 0 0 0
August 25, 2016 .......................... 100 100 0 0 0
August 25, 2017 .......................... 100 100 0 0 0
August 25, 2018 .......................... 100 100 0 0 0
August 25, 2019 .......................... 100 100 0 0 0
August 25, 2020 .......................... 100 80 0 0 0
August 25, 2021 .......................... 100 58 0 0 0
August 25, 2022 .......................... 100 37 0 0 0
August 25, 2023 .......................... 100 19 0 0 0
August 25, 2024 .......................... 100 3 0 0 0
August 25, 2025 .......................... 100 0 0 0 0
August 25, 2026 .......................... 100 0 0 0 0
August 25, 2027 .......................... 11 0 0 0 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 28.6 23.5 8.4 4.9 3.8
<CAPTION>
CLASS A-18 CITICERTIFICATES
-----------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 100 100 100 100 100
August 25, 2000 .......................... 100 100 100 100 100
August 25, 2001 .......................... 100 100 100 100 100
August 25, 2002 .......................... 100 100 100 100 100
August 25, 2003 .......................... 100 100 100 100 100
August 25, 2004 .......................... 98 95 91 87 62
August 25, 2005 .......................... 96 90 80 72 37
August 25, 2006 .......................... 93 83 65 54 23
August 25, 2007 .......................... 91 75 49 36 14
August 25, 2008 .......................... 88 66 33 24 9
August 25, 2009 .......................... 85 57 19 14 6
August 25, 2010 .......................... 82 49 8 7 4
August 25, 2011 .......................... 78 41 0 1 3
August 25, 2012 .......................... 75 34 0 0 2
August 25, 2013 .......................... 70 27 0 0 1
August 25, 2014 .......................... 66 20 0 0 1
August 25, 2015 .......................... 62 14 0 0 *
August 25, 2016 .......................... 56 8 0 0 *
August 25, 2017 .......................... 51 3 0 0 *
August 25, 2018 .......................... 45 0 0 0 *
August 25, 2019 .......................... 39 0 0 0 *
August 25, 2020 .......................... 32 0 0 0 *
August 25, 2021 .......................... 25 0 0 0 *
August 25, 2022 .......................... 17 0 0 0 *
August 25, 2023 .......................... 9 0 0 0 *
August 25, 2024 .......................... 0 0 0 0 *
August 25, 2025 .......................... 0 0 0 0 *
August 25, 2026 .......................... 0 0 0 0 *
August 25, 2027 .......................... 0 0 0 0 *
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 18.1 12.1 9.0 8.5 7.1
<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-74
<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-19(2) AND CLASS A-20(3) CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 100 100 100 100 100
August 25, 2000 .......................... 100 100 100 100 100
August 25, 2001 .......................... 100 100 100 100 100
August 25, 2002 .......................... 99 99 99 99 93
August 25, 2003 .......................... 98 98 98 98 4
August 25, 2004 .......................... 96 96 96 79 0
August 25, 2005 .......................... 95 95 95 42 0
August 25, 2006 .......................... 94 94 94 28 0
August 25, 2007 .......................... 93 93 92 27 0
August 25, 2008 .......................... 92 92 89 27 0
August 25, 2009 .......................... 90 90 86 26 0
August 25, 2010 .......................... 89 89 84 26 0
August 25, 2011 .......................... 88 88 82 26 0
August 25, 2012 .......................... 87 87 77 21 0
August 25, 2013 .......................... 86 86 63 15 0
August 25, 2014 .......................... 84 84 50 11 0
August 25, 2015 .......................... 83 83 40 8 0
August 25, 2016 .......................... 82 82 32 6 0
August 25, 2017 .......................... 81 81 25 4 0
August 25, 2018 .......................... 80 80 20 3 0
August 25, 2019 .......................... 78 78 15 2 0
August 25, 2020 .......................... 77 77 12 1 0
August 25, 2021 .......................... 76 76 9 1 0
August 25, 2022 .......................... 75 75 6 1 0
August 25, 2023 .......................... 74 73 5 * 0
August 25, 2024 .......................... 72 63 3 * 0
August 25, 2025 .......................... 71 46 2 * 0
August 25, 2026 .......................... 70 28 1 * 0
August 25, 2027 .......................... 64 12 * * 0
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 25.2 24.0 16.3 9.1 4.6
<CAPTION>
CLASS A-21 CITICERTIFICATES
--------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 100 100 100 100 100
August 25, 2000 .......................... 100 100 100 100 100
August 25, 2001 .......................... 100 100 100 100 100
August 25, 2002 .......................... 100 100 100 100 100
August 25, 2003 .......................... 100 100 100 100 100
August 25, 2004 .......................... 98 95 91 87 62
August 25, 2005 .......................... 96 90 80 72 37
August 25, 2006 .......................... 93 83 65 54 23
August 25, 2007 .......................... 91 75 49 36 14
August 25, 2008 .......................... 88 66 33 24 9
August 25, 2009 .......................... 85 57 19 14 6
August 25, 2010 .......................... 82 49 8 7 4
August 25, 2011 .......................... 78 41 0 1 3
August 25, 2012 .......................... 75 34 0 0 2
August 25, 2013 .......................... 70 27 0 0 1
August 25, 2014 .......................... 66 20 0 0 1
August 25, 2015 .......................... 62 14 0 0 *
August 25, 2016 .......................... 56 8 0 0 *
August 25, 2017 .......................... 51 3 0 0 *
August 25, 2018 .......................... 45 0 0 0 *
August 25, 2019 .......................... 39 0 0 0 *
August 25, 2020 .......................... 32 0 0 0 *
August 25, 2021 .......................... 25 0 0 0 *
August 25, 2022 .......................... 17 0 0 0 *
August 25, 2023 .......................... 9 0 0 0 *
August 25, 2024 .......................... 0 0 0 0 *
August 25, 2025 .......................... 0 0 0 0 *
August 25, 2026 .......................... 0 0 0 0 *
August 25, 2027 .......................... 0 0 0 0 *
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 18.1 12.1 9.0 8.5 7.1
<CAPTION>
CLASS A-22 CITICERTIFICATES
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial .................................. 100 100 100 100 100
August 25, 1999 .......................... 99 97 95 93 91
August 25, 2000 .......................... 98 93 84 77 70
August 25, 2001 .......................... 97 86 69 59 47
August 25, 2002 .......................... 95 80 57 44 31
August 25, 2003 .......................... 94 74 47 33 21
August 25, 2004 .......................... 92 68 39 25 14
August 25, 2005 .......................... 91 63 32 18 9
August 25, 2006 .......................... 89 58 26 14 6
August 25, 2007 .......................... 87 54 21 10 4
August 25, 2008 .......................... 85 49 17 8 3
August 25, 2009 .......................... 83 45 14 6 2
August 25, 2010 .......................... 81 41 11 4 1
August 25, 2011 .......................... 78 38 9 3 1
August 25, 2012 .......................... 76 34 7 2 *
August 25, 2013 .......................... 73 31 6 2 *
August 25, 2014 .......................... 70 28 5 1 *
August 25, 2015 .......................... 67 25 4 1 *
August 25, 2016 .......................... 63 22 3 1 *
August 25, 2017 .......................... 60 20 2 * *
August 25, 2018 .......................... 56 17 2 * *
August 25, 2019 .......................... 52 15 1 * *
August 25, 2020 .......................... 47 13 1 * *
August 25, 2021 .......................... 42 11 1 * *
August 25, 2022 .......................... 37 9 1 * *
August 25, 2023 .......................... 32 7 * * *
August 25, 2024 .......................... 26 6 * * *
August 25, 2025 .......................... 20 4 * * *
August 25, 2026 .......................... 13 2 * * *
August 25, 2027 .......................... 6 1 * * *
August 25, 2028 .......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ......................... 19.6 11.5 6.1 4.5 3.5
<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 or notional 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
or notional amount of the Class or Subclass of the Offered CitiCertificates.
(2) The weighted average lives shown for the Class A-19 CitiCertificates apply to the Class A-19
CitiCertificates as a group and, because principal distribution on the Class A-19 CitiCertificates
will be made on the basis of requests for distribution or by random lots, are not likely to reflect
the experience of any particular investor, even if the Mortgage Loans were to prepay at the rates
assumed.
(3) With respect to the Class A-20 CitiCertificates, the percentages are expressed as percentages of the
initial Class A-20 Notional Amount.
* Indicates an amount above zero and less than 0.5% of Initial Stated Amount or notional amount is
outstanding.
</FN>
</TABLE>
S-75
<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
------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 99 99 99 99 99
August 25, 2000 ......................... 98 98 98 98 98
August 25, 2001 ......................... 97 97 97 97 97
August 25, 2002 ......................... 96 96 96 96 96
August 25, 2003 ......................... 94 94 94 94 94
August 25, 2004 ......................... 93 91 88 86 83
August 25, 2005 ......................... 91 88 81 76 69
August 25, 2006 ......................... 90 83 71 63 54
August 25, 2007 ......................... 88 77 60 50 38
August 25, 2008 ......................... 86 71 49 37 25
August 25, 2009 ......................... 84 65 40 27 16
August 25, 2010 ......................... 82 60 33 20 11
August 25, 2011 ......................... 80 55 27 15 7
August 25, 2012 ......................... 77 50 21 11 5
August 25, 2013 ......................... 75 45 17 8 3
August 25, 2014 ......................... 72 41 14 6 2
August 25, 2015 ......................... 69 37 11 4 1
August 25, 2016 ......................... 65 33 9 3 1
August 25, 2017 ......................... 62 29 7 2 *
August 25, 2018 ......................... 58 26 5 2 *
August 25, 2019 ......................... 53 22 4 1 *
August 25, 2020 ......................... 49 19 3 1 *
August 25, 2021 ......................... 44 16 2 1 *
August 25, 2022 ......................... 39 13 2 * *
August 25, 2023 ......................... 33 11 1 * *
August 25, 2024 ......................... 27 8 1 * *
August 25, 2025 ......................... 21 6 1 * *
August 25, 2026 ......................... 14 4 * * *
August 25, 2027 ......................... 6 2 * * *
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 19.9 14.9 10.9 9.5 8.5
<CAPTION>
CLASS B-1 CITICERTIFICATES
-------------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 99 99 99 99 99
August 25, 2000 ......................... 98 98 98 98 98
August 25, 2001 ......................... 97 97 97 97 97
August 25, 2002 ......................... 96 96 96 96 96
August 25, 2003 ......................... 94 94 94 94 94
August 25, 2004 ......................... 93 91 88 86 83
August 25, 2005 ......................... 91 88 81 76 69
August 25, 2006 ......................... 90 83 71 63 54
August 25, 2007 ......................... 88 77 60 50 38
August 25, 2008 ......................... 86 71 49 37 25
August 25, 2009 ......................... 84 65 40 27 16
August 25, 2010 ......................... 82 60 33 20 11
August 25, 2011 ......................... 80 55 27 15 7
August 25, 2012 ......................... 77 50 21 11 5
August 25, 2013 ......................... 75 45 17 8 3
August 25, 2014 ......................... 72 41 14 6 2
August 25, 2015 ......................... 69 37 11 4 1
August 25, 2016 ......................... 65 33 9 3 1
August 25, 2017 ......................... 62 29 7 2 *
August 25, 2018 ......................... 58 26 5 2 *
August 25, 2019 ......................... 53 22 4 1 *
August 25, 2020 ......................... 49 19 3 1 *
August 25, 2021 ......................... 44 16 2 1 *
August 25, 2022 ......................... 39 13 2 * *
August 25, 2023 ......................... 33 11 1 * *
August 25, 2024 ......................... 27 8 1 * *
August 25, 2025 ......................... 21 6 1 * *
August 25, 2026 ......................... 14 4 * * *
August 25, 2027 ......................... 6 2 * * *
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 19.9 14.9 10.9 9.5 8.5
<CAPTION>
CLASS B-2 CITICERTIFICATES
-----------------------------------------------------------
PAYMENT DATE 0% 100% 275% 400% 550%
- ------------ --- --- --- --- ---
<S> <C> <C> <C> <C> <C>
Initial ................................. 100 100 100 100 100
August 25, 1999 ......................... 99 99 99 99 99
August 25, 2000 ......................... 98 98 98 98 98
August 25, 2001 ......................... 97 97 97 97 97
August 25, 2002 ......................... 96 96 96 96 96
August 25, 2003 ......................... 94 94 94 94 94
August 25, 2004 ......................... 93 91 88 86 83
August 25, 2005 ......................... 91 88 81 76 69
August 25, 2006 ......................... 90 83 71 63 54
August 25, 2007 ......................... 88 77 60 50 38
August 25, 2008 ......................... 86 71 49 37 25
August 25, 2009 ......................... 84 65 40 27 16
August 25, 2010 ......................... 82 60 33 20 11
August 25, 2011 ......................... 80 55 27 15 7
August 25, 2012 ......................... 77 50 21 11 5
August 25, 2013 ......................... 75 45 17 8 3
August 25, 2014 ......................... 72 41 14 6 2
August 25, 2015 ......................... 69 37 11 4 1
August 25, 2016 ......................... 65 33 9 3 1
August 25, 2017 ......................... 62 29 7 2 *
August 25, 2018 ......................... 58 26 5 2 *
August 25, 2019 ......................... 53 22 4 1 *
August 25, 2020 ......................... 49 19 3 1 *
August 25, 2021 ......................... 44 16 2 1 *
August 25, 2022 ......................... 39 13 2 * *
August 25, 2023 ......................... 33 11 1 * *
August 25, 2024 ......................... 27 8 1 * *
August 25, 2025 ......................... 21 6 1 * *
August 25, 2026 ......................... 14 4 * * *
August 25, 2027 ......................... 6 2 * * *
August 25, 2028 ......................... 0 0 0 0 0
Weighted Average
Life (Years)(1) ........................ 19.9 14.9 10.9 9.5 8.5
<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-76
<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, 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 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, because the entire amount of
those delinquencies would be borne by the Offered Class B Subclasses in reverse
numerical order prior to the Class A, Unoffered Class A-IO and Class M
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,
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 or
the purchaser of a Class A-4 or Class A-20 CitiCertificate which has no Stated
Amount 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, 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 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 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.
As described under "DESCRIPTION OF THE OFFERED CITICERTIFICATES--
Distributions in Reduction of Stated Amount" herein, all or a disproportionate
percentage of principal prepayments on the Mortgage Loans (including
liquidations and repurchases of Mortgage Loans) will be distributed, to the
extent of the Non-PO Percentage, to the holders of the Class A CitiCertificates
(other than the Class A-22 CitiCertificates) then entitled to distributions in
respect of principal during the nine years beginning on the first Distribution
Date, and, to the extent that such principal prepayments are made in respect of
a Discounted Mortgage Loan, to the Class A-22 CitiCertificates in proportion to
the interest of the Class A-22 CitiCertificates in such Discount Mortgage Loan
represented by the PO Percentage. The holders of the Class A-18 and Class A-21
CitiCertificates will not be entitled to receive any distributions in reduction
of Stated Amount prior to the Distribution Date in September 2003, and prior to
the Distribution Date in September 2007 will receive a disproportionately small
portion of principal prepayments and other unscheduled recoveries on the
Mortgage Loans, unless the Stated Amounts of all other Class A Subclasses (other
than the Class A-22 CitiCertificates) have been reduced to zero or the Stated
Amounts of the Subordinated CitiCertificates have been reduced to zero. As a
result, the weighted average life will be longer, and could be significantly
longer, than would be the case if the Class A-18 and Class 21 CitiCertificates
received their pro rata share of the Class A Percentage and Class A Prepayment
Percentage of the Non-PO Percentage of all principal payments received on the
Mortgage Loans.
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
S-77
<PAGE>
Report on Form 8-K. See "INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE"
herein. Such tables and materials were prepared by the Underwriters 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 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.
SENSITIVITY OF THE CLASS A-4 CITICERTIFICATES
THE YIELD TO INVESTORS IN THE CLASS A-4 CITICERTIFICATES WILL BE HIGHLY
SENSITIVE TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) ON THE
MORTGAGE LOANS. A HIGH RATE OF PREPAYMENTS WILL HAVE A MATERIAL NEGATIVE EFFECT
ON THE YIELD TO INVESTORS IN THE CLASS A-4 CITICERTIFICATES AND MAY RESULT IN
THE FAILURE OF SUCH INVESTORS TO FULLY RECOVER THEIR INITIAL INVESTMENTS.
To illustrate the significance of changes in the level prepayments on the
Class A-4 CitiCertificates, the following table indicates the pre-tax yields to
maturity (on a corporate bond equivalent basis) under the assumptions specified
in the following paragraph. It is highly unlikely that the Mortgage Loans will
repay at a constant level of the Prepayment Model until maturity or that all of
the Mortgage Loans will prepay at the same rate. As discussed above, the timing
of changes in the rate of prepayments may significantly affect total
distributions received, the date of receipt of such distribution and the actual
yield to maturity to an investor in a Class A-4 CitiCertificate, even if the
average rate of principal prepayments is consistent with such investor's
expectations.
The following table has been prepared on the basis of the Structuring
Assumptions under the heading "--Weighted Average Lives of the Offered
CitiCertificates," and the additional assumptions that (i) the aggregate
purchase price for the Class A-4 CitiCertificates is $480,703.73 (which price
includes accrued interest) and (ii) such purchase price is paid on August 27,
1998. The Mortgage Loans will not have all the characteristics assumed above and
there can be no assurance that the Mortgage Loans will prepay at any of the
constant rates shown in the table or at any other particular rate, the rate
pre-tax yield to maturity on the Class A-4 CitiCertificates will correspond to
any of the amounts shown herein or that the aggregate purchase price of the
Class A-4 CitiCertificates will be equal to that assumed. Each investor must
make an independent decision as to the appropriate prepayment assumptions to be
used in deciding whether to purchase a Class A-4 CitiCertificate.
The pre-tax yields set forth in the following 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 aggregate purchase price for the Class A-4 CitiCertificates of
$480,703.73 (which price includes accrued interest) and (ii) converting such
monthly rates to corporate bond equivalent rates. Such calculations do 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 do not purport to reflect the return on any investment in Class A-4
CitiCertificate when such reinvestment rates are considered.
PRE-TAX YIELDS TO MATURITY
<TABLE>
<CAPTION>
PERCENTAGES OF PREPAYMENT MODEL
---------------------------------------------------------------------------------------------------
CLASS 0% 100% 275% 400% 550%
----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Class A-4 ............... 41.86% 19.97% 19.97% 19.97% 15.58%
</TABLE>
SENSITIVITY OF THE CLASS A-11 CITICERTIFICATES
THE YIELD TO INVESTORS IN THE CLASS A-11 CITICERTIFICATES WILL BE EXTREMELY
SENSITIVE TO THE RATE AND TIMING OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS)
OF THE MORTGAGE LOANS, WHICH RATE MAY FLUCTUATE SIGNIFICANTLY FROM TIME TO TIME.
INVESTORS SHOULD FULLY CONSIDER THE ASSOCIATED RISKS, INCLUDING THE RISK THAT A
RELATIVELY LOW
S-78
<PAGE>
RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) ON THE MORTGAGE LOANS WILL
HAVE A NEGATIVE EFFECT ON THE YIELD TO INVESTORS IN THE CLASS A-11
CITICERTIFICATES.
The following table indicates the sensitivity to various rates of
prepayment on the Mortgage Loans of the pre-tax yields to maturity on a
corporate bond equivalent basis of the Class A-11 CitiCertificates. Such
calculations are based on distributions made in accordance with "DESCRIPTION OF
THE OFFERED CITICERTIFICATES--Distributions in Reduction of Stated Amount"
herein, on the Structuring Assumptions under the heading "DESCRIPTION OF THE
OFFERED CITICERTIFICATES--Weighted Average Lives of the Offered
CitiCertificates" and on the further assumption that the Class A-11
CitiCertificates will be purchased on August 27, 1998 at an aggregate purchase
price equal to approximately 78% of the Initial Stated Amount thereof.
PRE-TAX YIELDS TO MATURITY
<TABLE>
<CAPTION>
PERCENTAGES OF PREPAYMENT MODEL
--------------------------------------------------------------------------------------------------
CLASS 0% 100% 275% 400% 550%
----- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C>
Class A-11 ............... 0.98% 1.57% 4.62% 9.23% 14.16%
</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-11 CitiCertificates, would cause the
discounted present value of such assumed stream of cash flows to equal an
assumed purchase price for each Class A-11 CitiCertificate equal to 78% 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-11 CitiCertificates and consequently does not
purport to reflect the return on any investment in Class A-11 CitiCertificates
when such reinvestment rates are considered.
Notwithstanding the assumed prepayment rate reflected in the preceding
table, it is highly unlikely that the Mortgage Loans will prepay at a constant
rate until maturity or that all of the Mortgage Loans will prepay at the same
time. 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 table. As a result of these factors, the pre-tax yields on the
Class A-11 CitiCertificates are likely to differ from those shown in such table,
even if all of the Mortgage Loans prepay at the indicated percentages of the
Prepayment Model.
SENSITIVITY OF THE CLASS A-20 CITICERTIFICATES
THE YIELD TO INVESTORS IN THE CLASS A-20 CITICERTIFICATES WILL BE HIGHLY
SENSITIVE TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) ON THE
MORTGAGE LOANS. A HIGH RATE OF PREPAYMENTS WILL HAVE A MATERIAL NEGATIVE EFFECT
ON THE YIELD TO INVESTORS IN THE CLASS A-20 CITICERTIFICATES AND MAY RESULT IN
THE FAILURE OF SUCH INVESTORS TO FULLY RECOVER THEIR INITIAL INVESTMENTS.
To illustrate the significance of changes in the level prepayments on the
Class A-20 CitiCertificates, the following table indicates the pre-tax yields to
maturity (on a corporate bond equivalent basis) under the assumptions specified
in the following paragraph. It is highly unlikely that the Mortgage Loans will
repay at a constant level of the Prepayment Model until maturity or that all of
the Mortgage Loans will prepay at the same rate. As discussed above, the timing
of changes in the rate of prepayments may significantly affect total
distributions received, the date of receipt of such distribution and the actual
yield to maturity to an investor in a Class A-20 CitiCertificates, even if the
average rate of principal prepayments is consistent with such investor's
expectations.
The following table has been prepared on the basis of the Structuring
Assumptions described under the heading "--Weighted Average Lives of the Offered
CitiCertificates," and the additional assumptions that (i) the aggregate
purchase price for the Class A-20 CitiCertificates is $390,034.72 (which price
includes accrued interest) and (ii) such purchase price is paid on August 27,
1998. The Mortgage Loans will not have all the characteristics assumed above and
there can be no assurance that the Mortgage Loans will prepay at any of the
constant rates shown in the table or at any other particular rate, the rate
pre-tax yield to maturity on the Class A-20 CitiCertificates will correspond to
any of the amounts shown herein or that the aggregate purchase price of the
Class A-20 CitiCertificates will be equal to that assumed. Each investor must
make an independent decision as to the appropriate prepayment assumptions to be
used in deciding whether to purchase a Class A-20 CitiCertificate.
S-79
<PAGE>
The pre-tax yields set forth in the following 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-20 CitiCertificates, would cause the
discounted present value of such assumed stream of cash flows to equal an
assumed aggregate purchase price for the Class A-20 CitiCertificates of
$390,034.72 (which price includes accrued interest) and (ii) converting such
monthly rates to corporate bond equivalent rates. Such calculations do 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-20 CitiCertificates and
consequently do not purport to reflect the return on any investment in Class
A-20 CitiCertificate when such reinvestment rates are considered.
PRE-TAX YIELDS TO MATURITY
<TABLE>
<CAPTION>
PERCENTAGES OF PREPAYMENT MODEL
---------------------------------------------------------------------------------------------------
CLASS 0% 100% 275% 400% 550%
----- ------ ------ ------ ------ -----
<S> <C> <C> <C> <C> <C>
Class A-20 ............... 26.43% 26.42% 25.95% 20.92% 7.22%
</TABLE>
SENSITIVITY OF THE CLASS A-22 CITICERTIFICATES
THE YIELD TO INVESTORS IN THE CLASS A-22 CITICERTIFICATE 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-22
CITICERTIFICATE WILL BE DIRECTLY RELATED TO THE RATE OF PRINCIPAL PAYMENTS ON
THE DISCOUNT MORTGAGE LOANS, PAYMENTS IN REDUCTION OF THE CLASS A-22
CITICERTIFICATE 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-22 CitiCertificate. Such calculationsare
based on distributions made in accordance with "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Distributions in Reduction of Stated Amount of the Offered
CitiCertificates" herein, on the Structuring Assumptions whichpertain to the
Discount Mortgage Loans described under the heading "DESCRIPTION OF THE OFFERED
CITICERTIFICATES--Weighted Average Lives of the Offered CitiCertificates" and on
the further assumption that the Class A-22 CitiCertificate will be purchased on
August 27, 1998 at an aggregate purchase price equal to approximately 70.00% of
the Initial Stated Amount thereof.
PRE-TAX YIELDS TO MATURITY
<TABLE>
<CAPTION>
PERCENTAGES OF PREPAYMENT MODEL
----------------------------------------------------------------------------------------------------------
CLASS 0% 100% 275% 400% 550%
----- ----- ----- ----- ----- ------
<S> <C> <C> <C> <C> <C>
Class A-22 ........ 1.88% 3.43% 6.65% 8.87% 11.36%
</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-22 CitiCertificates, would cause the
discounted present value of such assumed stream of cash flows to equal an
assumed purchase price for each Class A-22 CitiCertificate equal to 70.00% 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-22 CitiCertificates and consequently does not
purport to reflect the return on any investment in Class A-22 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-22 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-22 CitiCertificates are likely to
differ from those shown in such table, even if all of the Discount Mortgage
Loans prepay at the indicated
S-80
<PAGE>
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 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, "150% SDA" assumes
default rates equal to the product of 1.50 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, 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 Class A Prepayment Percentage 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
August 27, 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) August 27, 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
S-81
<PAGE>
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.
PRE-TAX YIELD TO MATURITY OF THE CLASS B-1 CITICERTIFICATES
(AT AN ASSUMED PURCHASE PRICE OF 99.6875%
OF THEIR INITIAL STATED AMOUNT PLUS ACCRUED INTEREST)
<TABLE>
<CAPTION>
PREPAYMENT SPEED
-----------------------------------------------------------------------------------------------------------
20% LOSS SEVERITY 30% LOSS SEVERITY
---------------------------------------- -------------------------------------------------
SDA PERCENTAGE 100% 275% 400% 100% 275% 400%
- -------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
50% 6.829% 6.826% 6.825% 6.829% 6.826% 6.825%
100% 6.829% 6.826% 6.825% 6.830% 6.826% 6.825%
150% 6.829% 6.826% 6.825% 6.076% 6.826% 6.825%
200% 6.831% 6.826% 6.824% 2.057% 6.269% 6.824%
</TABLE>
PRE-TAX YIELD TO MATURITY OF THE CLASS B-2 CITICERTIFICATES
(AT AN ASSUMED PURCHASE PRICE OF 97.59375%
OF THEIR INITIAL STATED AMOUNT PLUS ACCRUED INTEREST)
<TABLE>
<CAPTION>
PREPAYMENT SPEED
-----------------------------------------------------------------------------------------------------------
20% LOSS SEVERITY 30% LOSS SEVERITY
---------------------------------------- -------------------------------------------------
SDA PERCENTAGE 100% 275% 400% 100% 275% 400%
- -------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
50% 7.082% 7.126% 7.148% 7.085% 7.126% 7.148%
100% 7.062% 7.126% 7.149% 5.478% 7.129% 7.149%
150% 5.579% 7.129% 7.149% (18.639)% 3.296% 7.090%
200% (3.870)% 5.752% 7.151% (29.633)% (20.622)% (0.076)%
</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:
AGGREGATE REALIZED LOSSES
<TABLE>
<CAPTION>
PREPAYMENT SPEED
-----------------------------------------------------------------------------------------------------------
20% LOSS SEVERITY 30% LOSS SEVERITY
---------------------------------------- -------------------------------------------------
SDA PERCENTAGE 100% 275% 400% 100% 275% 400%
- -------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
50% 0.309% 0.218% 0.175% 0.464% 0.327% 0.262%
100% 0.614% 0.433% 0.348% 0.920% 0.650% 0.521%
150% 0.913% 0.646% 0.518% 1.370% 0.969% 0.778%
200% 1.208% 0.856% 0.687% 1.812% 1.284% 1.031%
</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
S-82
<PAGE>
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 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-18 and
Class A-22 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
Partici-
S-83
<PAGE>
pants, 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.
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-18 CitiCertificates, the Class A-22 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
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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, 97% of the voting rights of holders of the CitiCertificates
under the Pooling Agreement will be allocated among the Class A CitiCertificates
(other than the Class A-4 and Class A-20 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. The holders of the
Class A-4 and Class A-20 CitiCertificates will each be allocated 1% of such
voting rights. Voting rights will be allocated among the Subclasses of the same
Class (other than the Class A-4 and Class A-20 CitiCertificates) in proportion
to their percentage interest in such Class based on their Stated Amounts (or
notional amounts in the case of the Class A-4 and Class A-20 CitiCertificates).
THE INSURANCE POLICY AND THE INSURER
The following information has been supplied by MBIA Insurance Corporation
(the "Insurer") for inclusion in this Prospectus Supplement. A copy of the
Insurance Policy may be obtained from the Trustee upon request.
THE INSURANCE POLICY
The Insurer in consideration of the payment of the premium and subject to
the terms of the Certificate Guaranty Insurance Policy (the "Insurance Policy")
thereby unconditionally and irrevocably guarantees to any Owner that an amount
equal to each full and complete Insured Payment will be received by the Trustee
or its successors, as trustee for the Owners, on behalf of the Owners from the
Insurer, for distribution by the Trustee to each Owner of each Owner's
proportionate share of the Insured Payment. The Insurer's obligations under the
Insurance Policy with respect to a particular Insured Payment shall be
discharged to the extent funds equal to the applicable Insured Payment are
received by the Trustee whether or not such funds are properly applied by the
Trustee. Insured Payments shall be made only at the time set forth in the
Insurance Policy, and no accelerated Insured Payments shall be made regardless
of any acceleration of the Class A-19 CitiCertificates, unless such acceleration
is at the sole option of the Insurer.
Notwithstanding the foregoing paragraph, the Insurance Policy does not
cover shortfalls, if any, attributable to any liability of a REMIC, the Trust
Fund or the Trustee for withholding taxes, if any (including interest and
penalties in respect of any such liability). THE INSURANCE POLICY DOES NOT
PROVIDE CREDIT ENHANCEMENT FOR ANY CLASS OR SUBCLASS OF CITICERTIFICATES OTHER
THAN THE CLASS A-19 CITICERTIFICATES.
The Insurer will pay any Insured Payment that is a Preference Amount on the
Business Day following receipt on a Business Day by the Fiscal Agent (as
described below) of (i) a certified copy of the order requiring the return of a
preference payment, (ii) an opinion of counsel satisfactory to the Insurer that
such order is final and not subject to appeal, (iii) an assignment in such form
as is reasonably required by the Insurer, irrecovably assigning to the Insurer
all rights and claims of the Owner relating to or arising under the Class A-19
CitiCertificates against the debtor which made such preference payment or
otherwise with respect to such preference payment and (iv) appropriate
instruments to effect the appointment of the Insurer as agent for such Owner in
any legal proceeding related to such preference payment, such instruments being
in a form satisfactory to the Insurer, provided that if such documents are
received after 12:00 noon New York City time on such Business Day, they will be
deemed to be received on the following Business Day. Such payments shall be
disbursed to the receiver or trustee in bankruptcy named in the final order of
the court exercising jurisdiction on behalf of the Owner and not to any Owner
directly unless such Owner has returned principal or interest paid on the Class
A-19 CitiCertificates to such receiver or trustee in bankruptcy, in which case
such payment shall be disbursed to such Owner.
The Insurer will pay any other amount payable under the Insurance Policy no
later than 12:00 noon New York City time on the later of the Distribution Date
on which the related Deficiency Amount is due or the third Business Day
following receipt in New York, New York on a Business Day by State Street Bank
and Trust Company, N.A., as Fiscal Agent for the Insurer or any successor fiscal
agent appointed by the Insurer (the "Fiscal Agent") of a Notice (as
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described below); provided that if such Notice is received after 12:00 noon New
York City time on such Business Day, it will be deemed to be received on the
following Business Day. If any such Notice received by the Fiscal Agent is not
in proper form or is otherwise insufficient for the purpose of making claim
under the Insurance Policy it shall be deemed not to have been received by the
Fiscal Agent for purposes of this paragraph, and the Insurer or the Fiscal
Agent, as the case may be, shall promptly so advise the Trustee and the Trustee
may submit an amended Notice.
Insured Payments due under the Insurance Policy, unless otherwise stated
therein, will be disbursed by the Fiscal Agent to the Trustee on behalf of the
Owners by wire transfer of immediately available funds in the amount of the
Insured Payment less, in respect of Insured Payments related to Preference
Amounts, any amount held by the Trustee for the payment of such Insured Payment
and legally available therefor.
The Fiscal Agent is the agent of the Insurer only and the Fiscal Agent
shall in no event be liable to Owners for any acts of the Fiscal Agent or any
failure of the Insurer to deposit or cause to be deposited, sufficient funds to
make payments due under the Insurance Policy.
Upon and to the extent of any disbursement under the Insurance Policy, the
Insurer shall become the owner or holder of such right to payment and shall be
subrogated to the rights of the Owner to receive payments under the Class A-19
CitiCertificates to the extent of any payment by the Insurer under the Insurance
Policy.
As used herein and in the Insurance Policy, the following terms shall have
the following meanings:
"Agreement" means the Pooling and Servicing Agreement, dated as of August
1, 1998, between Citicorp Mortgage Securities, Inc. and The Bank of New York, in
its individual capacity and as Trustee, without regard to any amendment or
supplement thereto, unless such amendment or supplement has been approved in
writing by the Insurer.
"Business Day" means any day other than a Saturday, a Sunday or a day on
which the Insurer is closed or banking institutions in New York City or in the
city in which the corporate trust office of the Trustee under the Agreement is
located are authorized or obligated by law or executive order to close.
"Deficiency Amount" means for any Distribution Date, without duplication,
(A) the sum of (i) the Class A Subclass Interest Shortfall Amount for such
Distribution Date for the Class A-19 CitiCertificates, (ii) any Non-Supported
Interest Shortfall for such Distribution Date allocated to the Class A-19
CitiCertificates and not covered by the Reserve Fund and (iii) the amount of the
principal or interest portion of any Realized Losses for such Distribution Date
allocated to the Class A-19 CitiCertificates, including any Excess Special
Hazard Losses, Excess Fraud Losses or Excess Bankruptcy Losses (and excluding
any Extraordinary Losses) and (B) for the Last Scheduled Distribution Date, the
Stated Amount of the Class A-19 CitiCertificates to the extent unpaid on the
Last Scheduled Distribution Date.
"Insured Payment" means (i) as of any Distribution Date, any Deficiency
Amount and (ii) any Preference Amount.
"Notice" means the telephonic or telegraphic notice, promptly confirmed in
writing by facsimile substantially in the form of Exhibit A attached to the
Insurance Policy, the original of which is subsequently delivered by registered
or certified mail, from the Trustee specifying the Insured Payment which shall
be due and owing on the applicable Distribution Date.
"Owner" means each Class A-19 CitiCertificateholder (as defined in the
Agreement) who, on the applicable Distribution Date, is entitled under the terms
of the applicable Class A-19 CitiCertificates to payment thereunder.
"Preference Amount" means any amount previously distributed to an Owner on
the Class A-19 CitiCertificates that is recoverable and sought to be recovered
as a voidable preference by a trustee in bankruptcy pursuant to the United
States Bankruptcy Code (11 U.S.C.), as amended from time to time in accordance
with a final nonappealable order of a court having competent jurisdiction.
Capitalized terms used in the Insurance Policy and not otherwise defined in
the Insurance Policy shall have the respective meanings set forth in the
Agreement as of the date of execution of such Insurance Policy, without giving
effect to any subsequent amendment or modification to the Agreement unless such
amendment or modification has been approved in writing by the Insurer.
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Any notice under the Insurance Policy or service of process on the Fiscal
Agent may be made at the address listed below for the Fiscal Agent or such other
address as the Insurer shall specify in writing to the Trustee.
The notice address of the Fiscal Agent is 61 Broadway, 15th Floor, New
York, NY 10006, Attention: Municipal Registrar and Paying Agency or such other
address as the Fiscal Agent shall specify to the Trustee in writing.
THE INSURANCE POLICY IS BEING ISSUED UNDER AND PURSUANT TO, AND SHALL BE
CONSTRUED UNDER, THE LAWS OF THE STATE OF NEW YORK, WITHOUT GIVING EFFECT TO THE
CONFLICT OF LAWS PRINCIPLES THEREOF.
The insurance provided by the Insurance Policy is not covered by the
Property/Casualty Insurance Security Fund specified in Article 76 of the New
York Insurance Law. The Insurance Policy is not cancelable for any reason except
by delivery to the Trustee of a replacement policy in accordance with the
Agreement and provided that the Insurance Policy shall remain in effect with
respect to any claims for Insured Payments relating to Preference Amounts
resulting from distributions made on the Class A-19 CitiCertificates prior to
the effective date of the cancellation of the Insurance Policy. The premium on
the Insurance Policy is not refundable for any reason including payment, or
provision being made for payment, prior to maturity of the Class A-19
CitiCertificates; provided, however, that no premium on the Insurance Policy
shall be due after the effective date of cancellation of the Insurance Policy as
set forth above.
MBIA INSURANCE CORPORATION
The Insurer is the principal operating subsidiary of MBIA Inc., a New York
Stock Exchange listed company ("MBIA Inc."). MBIA Inc. is not obligated to pay
the debts of or claims against the Insurer. The Insurer is domiciled in the
State of New York and licensed to do business in and is subject to regulation
under the laws of all 50 states, the District of Columbia, the Commonwealth of
Puerto Rico, the Commonwealth of the Northern Mariana Islands, the Virgin
Islands of the United States and the Territory of Guam. The Insurer has two
European branches, one in the Republic of France and the other in the Kingdom of
Spain. New York has laws prescribing minimum capital requirements, limiting
classes and concentrations of investments and requiring the approval of policy
rates and forms. State laws also regulate the amount of both the aggregate and
individual risks that may be insured, the payment of dividends by the Insurer,
changes in control and transactions among affiliates. Additionally, the Insurer
is required to maintain contingency reserves on its liabilities in certain
amounts and for certain periods of time.
Effective February 17, 1998, MBIA Inc. acquired all of the outstanding
stock of Capital Markets Assurance Corporation ("CMAC") through a merger with
its parent CapMAC Holdings Inc. Pursuant to a reinsurance agreement, CMAC has
ceded all of its net insured risks (including any amounts due but unpaid from
third party reinsurers), as well as its unearned premiums and contingency
reserves, to the Insurer. MBIA Inc. is not obligated to pay the debts of or
claims against CMAC.
The consolidated financial statements of the Insurer, a wholly owned
subsidiary of MBIA Inc., and its subsidiaries as of December 31, 1997 and
December 31, 1996 and for each of the three years in the period ended December
31, 1997, prepared in accordance with generally accepted accounting principles,
included in the Annual Report on Form 10-K of MBIA Inc. for the year ended
December 31, 1997 and the consolidated financial statements of the Insurer and
its subsidiaries as of June 30, 1998 and for the six month periods ending June
30, 1998 and June 30, 1997 included in the Quarterly Report on Form 10-Q of MBIA
Inc. for the period ending June 30, 1998, are hereby incorporated by reference
into this Prospectus Supplement and shall be deemed to be a part hereof. Any
statement contained in a document incorporated by reference herein shall be
modified or superseded for purposes of this Prospectus Supplement to the extent
that a statement contained herein or in any other subsequently filed document
which also is incorporated by reference herein modifies or supersedes such
statement. Any statement so modified or superseded shall not be deemed, except
as so modified or superseded, to constitute a part of this Prospectus
Supplement.
All financial statements of the Insurer and its subsidiaries included in
documents filed by MBIA Inc. pursuant to Section 13(a), 13(c), 14 or 15(d) of
the Securities Exchange Act of 1934, as amended, subsequent to the date of this
Prospectus Supplement and prior to the termination of the offering of the
Offered CitiCertificates shall be deemed to be incorporated by reference into
this Prospectus Supplement and to be a part hereof from the respective dates of
filing such documents.
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The tables below present selected financial information of the Insurer
determined in accordance with statutory accounting practices prescribed or
permitted by insurance regulatory authorities ("SAP") and generally accepted
accounting principles ("GAAP"):
SAP
--------------------------------------------
DECEMBER 31, 1997 JUNE 30, 1998
----------------- -------------
(AUDITED) (UNAUDITED)
(IN MILLIONS)
Admitted Assets ................... $5,256 $6,048
Liabilities ....................... 3,496 3,962
Capital and Surplus ............... 1,760 2,086
GAAP
--------------------------------------------
DECEMBER 31, 1997 JUNE 30, 1998
----------------- -------------
(AUDITED) (UNAUDITED)
(IN MILLIONS)
Assets ............................ $5,988 $6,794
Liabilities ....................... 2,624 2,977
Shareholder's Equity .............. 3,364 3,817
Copies of the financial statements of the Insurer incorporated by reference
herein and copies of the Insurer's 1997 year-end audited financial statements
prepared in accordance with statutory accounting practices are available,
without charge, from the Insurer. The address of the Insurer is 113 King Street,
Armonk, New York 10504. The telephone number of the Insurer is (914) 273-4545.
The Insurer does not accept any responsibility for the accuracy or
completeness of this Prospectus Supplement or any information or disclosure
contained herein, or omitted herefrom, other than with respect to the accuracy
of the information regarding the Insurance Policy and the Insurer set forth
under the heading "THE INSURANCE POLICY AND THE INSURER". Additionally, the
Insurer makes no representation regarding the Class A-19 CitiCertificates or the
advisability of investing in the Class A-19 CitiCertificates.
Moody's Investors Service, Inc. rates the claims paying ability of the
Insurer "Aaa."
Standard & Poor's Rating Services, a division of The McGraw-Hill Companies,
Inc. rates the claims paying ability of the Insurer "AAA."
Fitch IBCA, Inc. (formerly known as Fitch Investors Service, L.P.) rates
the claims paying ability of the Insurer "AAA."
Each rating of the Insurer should be evaluated independently. The ratings
reflect the respective rating agency's current assessment of the
creditworthiness of the Insurer and its ability to pay claims on its policies of
insurance. Any further explanation as to the significance of the above ratings
may be obtained only from the applicable rating agency.
The above ratings are not recommendations to buy, sell or hold the Class
A-19 CitiCertificates, and such ratings may be subject to revision or withdrawal
at any time by the rating agencies. Any downward revision or withdrawal of any
of the above ratings may have an adverse effect on the market price of the Class
A-19 CitiCertificates. The Insurer does not guarantee the market price of the
Class A-19 CitiCertificates nor does it guarantee that the ratings on the Class
A-19 CitiCertificates will not be revised or withdrawn.
CERTAIN ERISA CONSIDERATIONS
The Department of Labor has granted to the Senior Underwriter an
administrative exemption, Prohibited Transaction Exemption PTE 91-14 (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 (other than the Class A-18
CitiCertificates) by an ERISA Plan, provided that specified conditions (certain
of which are described below) are met.
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Among the conditions which must be satisfied for the Exemption to apply to
the acquisition by an ERISA Plan of the Offered Senior CitiCertificates (other
than the Class A-18 CitiCertificates) are the following: (1) the acquisition of
such 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 such Offered Senior CitiCertificates
acquired by the ERISA Plan are not subordinated to the rights and interests
evidenced by other certificates of the Trust; (3) such 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 such 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 other than the Class A-18 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 Senior
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 "Certain ERISA
Considerations" in the Prospectus) applies to the acquisition or holding of the
Class A-18 CitiCertificates, which are subordinated as described herein to the
Class A-16 CitiCertificates, or the Class M CitiCertificates or the Offered
Class B CitiCertificates, which are subordinated to the Class A and Unoffered
Class A-IO CitiCertificates. Accordingly, no transfer of a Class A-18
CitiCertificate, 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 A-18 CitiCertificates, Class M CitiCertificates
or Offered Class B CitiCertificates, as the case may be, 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 A-18 CitiCertificates, the Class M CitiCertificates 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.
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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 Senior Underwriter (the "Senior Underwriting
Agreement"), the Senior CitiCertificates are being purchased from the Issuer by
the Senior Underwriter upon issuance. The Senior Underwriter is committed to
purchase all of the Senior CitiCertificates if any CitiCertificates are
purchased. Subject to the terms and conditions of the Underwriting Agreement
among Citicorp, the Issuer and the Subordinated Underwriter (the "Subordinated
Underwriting Agreement" and, together with the Senior Underwriting Agreement,
the "Underwriting Agreements"), the Offered Subordinated CitiCertificates are
being purchased by the Subordinated Underwriter upon issuance. The Subordinated
Underwriter is committed to purchase all of the Offered Subordinated
CitiCertificates if any CitiCertificates are purchased. The closing of the sale
of the Senior CitiCertificates is a condition to the closing of the sale of the
Offered Subordinated CitiCertificates and vice versa. Distribution of such
Offered CitiCertificates is being made by the respective Underwriter from time
to time in negotiated transactions or otherwise at varying prices to be
determined at the time of sale. The Senior Underwriter has advised the Issuer
that Edward D. Jones & Co., L.P. (the "Dealer") also proposes to offer the Class
A-19 CitiCertificates, 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 99.26488% of the aggregate Initial Stated
Amount of the Class A CitiCertificates, approximately 99.49747% of the aggregate
Initial Stated Amount of the Class M CitiCertificates and approximately
98.02760% 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
$481,196,106, 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 0.001% and if the aggregate Initial Stated
Amount of the Class A CitiCertificates is greater than $481,196,106, 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 0.001%. In connection with the purchase and sale of
the Offered CitiCertificates, the Underwriters may be deemed to have received
compensation from the Issuer in the form of underwriting discounts.
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Subject to the terms and conditions of the purchase agreement among
Citicorp, the Issuer and Salomon Brothers Inc (the "Purchase Agreement"), the
Unoffered Class B CitiCertificates (not offered hereby) are being purchased by
Salomon Brothers Inc upon issuance. Salomon Brothers 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 Salomon Brothers 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 Agreements provide that the Issuer and Citicorp will
indemnify the Underwriters against certain civil liabilities under the
Securities Act or contribute to payments the Underwriters may be required to
make in respect thereof.
On April 5, 1998, Citicorp, of which the Issuer, CMI, CFSB and Citibank are
wholly owned subsidiaries, and Travelers Group Inc. ("Travelers"), of which
Salomon Brothers Inc is a wholly owned subsidiary, agreed to merge (the
"Merger"). The combined company will be known as Citigroup Inc. The Merger is
subject to customary closing conditions, including regulatory approvals.
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
Underwriters 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 0.01% 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. Certain legal matters will be
passed upon for the Insurer by Kutak, Rock, Omaha, Nebraska.
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 August 21, 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 ffering 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-91
<PAGE>
INDEX OF PRINCIPAL DEFINITIONS IN PROSPECTUS SUPPLEMENT
PAGE
----
Accretion Amount ........................................................ S-16
Accretion Directed CitiCertificates ..................................... S-2
Accretion Distribution Amount ........................................... S-40
Accretion Termination Date .............................................. S-2
Adjusted Balance ........................................................ S-31
Adjustment Amount ....................................................... S-64
Agreement ............................................................... S-86
Available PO Loss Funds ................................................. S-18
Bankruptcy Coverage Termination Date .................................... S-64
Bankruptcy Loss ......................................................... S-46
Bankruptcy Loss Amount .................................................. S-64
Beneficial Owner ........................................................ S-9
Book-Entry CitiCertificates ............................................. S-5
Business Day ............................................................ S-86
Cede .................................................................... S-5
Certificate Account ..................................................... S-26
Certificateholder ....................................................... S-5
CFSB .................................................................... S-2
Citibank ................................................................ S-2
CitiCertificates ........................................................ S-2
Class A CitiCertificates ................................................ S-1
Class A Interest Amount ................................................. S-13
Class A Non-PO Principal Amount ......................................... S-42
Class A Optimal Principal Amount ........................................ S-42
Class A Percentage ...................................................... S-47
Class A PO Principal Amount ............................................. S-41
Class A Prepayment Percentage ........................................... S-47
Class A Principal Distribution Amount ................................... S-40
Class A Stated Amount ................................................... S-8
Class A Subclass ........................................................ S-2
Class A Subclass Interest Amount ........................................ S-36
Class A Subclass Interest Shortfall Amount .............................. S-15
Class A Subclass Stated Amount .......................................... S-8
Class A Unpaid Interest Shortfall ....................................... S-15
Class A-4 Notional Amount ............................................... S-7
Class A-18 and Class A-21 Percentage .................................... S-45
Class A-18 and Class A-21 Prepayment Shift Percentage ................... S-45
Class A-18 and Class A-21 Priority Amount ............................... S-45
Class A-18 and Class A-21 Shift Percentage .............................. S-45
Class A-19 Insured Principal Losses ..................................... S-27
Class A-20 Notional Amount .............................................. S-7
Class B CitiCertificates ................................................ S-2
Class B Interest Amount ................................................. S-37
Class B Percentage ...................................................... S-48
Class B Prepayment Percentage ........................................... S-48
Class B Stated Amount ................................................... S-8
Class B Subclass ........................................................ S-2
Class B Subclass Principal Distribution Amount .......................... S-19
Class B Subclass Stated Amount .......................................... S-8
Class B-1 Interest Amount ............................................... S-13
Class B-2 Interest Amount ............................................... S-13
Class B-1 Principal Distribution Amount ................................. S-19
Class B-2 Principal Distribution Amount ................................. S-19
Class B-1 Stated Amount ................................................. S-9
Class B-2 Stated Amount ................................................. S-9
S-92
<PAGE>
PAGE
----
Class B-1 Unpaid Interest Shortfall ..................................... S-17
Class B-2 Unpaid Interest Shortfall ..................................... S-17
Class M CitiCertificates ................................................ S-2
Class M Interest Amount ................................................. S-13
Class M Optimal Distribution Amount ..................................... S-41
Class M Optimal Principal Amount ........................................ S-45
Class M Percentage ...................................................... S-48
Class M Prepayment Percentage ........................................... S-48
Class M Principal Distribution Amount ................................... S-19
Class M Stated Amount ................................................... S-8
Class M Unpaid Interest Shortfall ....................................... S-16
Closing Date ............................................................ S-9
CMAC .................................................................... S-87
CMI ..................................................................... S-2
CMSI .................................................................... S-2
Code .................................................................... S-29
Commission .............................................................. S-30
Companion Class ......................................................... S-2
Compensating Cap ........................................................ S-15
Current Class B-1 Subordination Level ................................... S-20
Current Class B-2 Subordination Level ................................... S-21
Current Class M Subordination Level ..................................... S-20
Cut-Off Date ............................................................ S-1
Dealer .................................................................. S-1
Debt Service Reduction .................................................. S-46
Deceased Holder ......................................................... S-59
Deficient Valuation ..................................................... S-47
Deficiency Amount ....................................................... S-86
Definitive Certificates ................................................. S-84
Detailed Description .................................................... S-31
Discount Mortgage Loans ................................................. S-40
Distributable Unoffered Class A-IO Interest Amount ...................... S-14
Distribution Date ....................................................... S-2
DTC ..................................................................... S-1
ERISA ................................................................... S-29
ERISA Plan .............................................................. S-29
Excess Bankruptcy Losses ................................................ S-64
Excess Fraud Losses ..................................................... S-64
Excess Special Hazard Losses ............................................ S-64
Exemption ............................................................... S-29
Extraordinary Losses .................................................... S-65
Fiscal Agent ............................................................ S-85
Fitch ................................................................... S-30
Fraud Coverage Termination Date ......................................... S-64
Fraud Loss .............................................................. S-46
Fraud Loss Amount ....................................................... S-64
GAAP .................................................................... S-88
Indirect Participants ................................................... S-83
Individual Retail CitiCertificate ....................................... S-58
Initial Mortgage Loan Balance ........................................... S-2
Initial Stated Amount ................................................... S-1
Insurance Policy ........................................................ S-2
Insured Payment ......................................................... S-86
Insurer ................................................................. S-2
S-93
<PAGE>
PAGE
----
Interest Accrual Period ................................................. S-14
Issuer .................................................................. S-2
Last Scheduled Distribution Date ........................................ S-23
Liquidated Loan ......................................................... S-46
Liquidated Loan Loss .................................................... S-46
Liquidated Proceeds ..................................................... S-46
Loss Severity Percentage ................................................ S-81
Lower-Tier REMIC ........................................................ S-2
MBIA Inc. ............................................................... S-87
Merger .................................................................. S-91
Mortgage Loans .......................................................... S-2
NNR ..................................................................... S-40
Non-PO Loss Amount ...................................................... S-62
Non-PO Percentage ....................................................... S-42
Non-PO Pool Adjusted Balance ............................................ S-37
Non-Supported Interest Shortfall ........................................ S-15
Notice .................................................................. S-86
Offered CitiCertificates ................................................ S-2
Offered Class B CitiCertificates ........................................ S-2
Offered Class B Interest Amount ......................................... S-13
Offered Class B Optimal Distribution Amount ............................. S-41
Offered Class B Stated Amount ........................................... S-9
Offered Class B Subclass ................................................ S-2
Offered Class B Subclass Interest Amount ................................ S-37
Offered Class B Subclass Optimal Distribution Amount .................... S-41
Offered Class B Subclass Optimal Principal Amount ....................... S-46
Offered Class B Subclass Percentage ..................................... S-48
Offered Class B Subclass Prepayment Percentage .......................... S-48
Offered Class B Subclass Stated Amount .................................. S-38
Offered Class B Subclass Unpaid Interest Shortfall ...................... S-17
Offered Senior CitiCertificates ......................................... S-2
Offered Subordinated CitiCertificates ................................... S-2
Original Subordinated Stated Amount ..................................... S-47
Owner ................................................................... S-86
PAC Balance Amount ...................................................... S-18
PAC Certificates ........................................................ S-2
PAC Support Classes ..................................................... S-67
Participants ............................................................ S-83
Plan .................................................................... S-29
Planned Balance ......................................................... S-18
Pool .................................................................... S-2
Pool Adjusted Balance ................................................... S-38
Pool Distribution Amount ................................................ S-19
Pooling Agreement ....................................................... S-7
PO Loss Amount .......................................................... S-37
PO Percentage ........................................................... S-42
Preference Amount ....................................................... S-86
Premium Mortgage Loans .................................................. S-40
Prepayment Interest Shortfalls .......................................... S-15
Prepayment Model ........................................................ S-65
PTE 95-60 ............................................................... S-89
Purchase Agreement. ..................................................... S-91
Realized Losses ......................................................... S-47
REMIC ................................................................... S-2
S-94
<PAGE>
PAGE
----
Reserve Fund ............................................................ S-2
Residual Certificates ................................................... S-2
Retail Cash Deposit ..................................................... S-21
Retail CitiCertificates ................................................. S-2
Rules ................................................................... S-83
SAP ..................................................................... S-88
Schedule I TAC Balance Amount ........................................... S-18
Schedule I Targeted Balance ............................................. S-18
Schedule II TAC Balance Amount .......................................... S-18
Schedule II Targeted Balance ............................................ S-18
Scheduled Principal Amount .............................................. S-45
SDA ..................................................................... S-81
Securities Act .......................................................... S-89
Senior Underwriter ...................................................... S-1
Senior Underwriter Agreement ............................................ S-90
Servicer ................................................................ S-83
Servicing Fee ........................................................... S-83
Similar Law ............................................................. S-29
SMMEA ................................................................... S-6
Special Hazard Loss ..................................................... S-46
Special Hazard Loss Amount .............................................. S-64
Special Hazard Termination Date ......................................... S-64
Special Hazards ......................................................... S-46
S&P ..................................................................... S-30
Structuring Assumptions ................................................. S-67
Subordinated CitiCertificates ........................................... S-10
Subordinated CitiCertificate Percentage ................................. S-48
Subordinated Prepayment Percentage ...................................... S-48
Subordinated Underwriter ................................................ S-1
Subordinated Underwriting Agreement ..................................... S-90
Subordination Depletion Date ............................................ S-10
TAC Balance Amount ...................................................... S-18
TAC Certificates ........................................................ S-2
Targeted Balance ........................................................ S-18
Travelers ............................................................... S-91
Trust ................................................................... S-2
Trustee ................................................................. S-7
Underwriter ............................................................. S-1
Underwriters ............................................................ S-1
Underwriting Agreements ................................................. S-90
Unoffered Class A-IO Interest Amount .................................... S-14
Unoffered Class A-IO CitiCertificates ................................... S-2
Unoffered Class A-IO Notional Amount .................................... S-7
Unoffered Class A-IO Unpaid Interest Shortfall .......................... S-15
Unoffered Class B CitiCertificates ...................................... S-2
Unoffered Class B Interest Amount ....................................... S-37
Unoffered Class B Stated Amount ......................................... S-9
Unoffered Class B Subclass Interest Amount .............................. S-37
Unoffered Class B Subclass Stated Amount ................................ S-38
Unpaid PO Loss Amount ................................................... S-41
Unscheduled Principal Amount ............................................ S-45
pper-Tier REMIC ......................................................... S-2
S-95
<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 ANY 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-6
Description of the Pool and the Mortgaged
Properties ........................................................... S-31
Risk Factors for Purchasers of Class A-18
CitiCertificates, Class M CitiCertificates
and Offered Class B CitiCertificates ................................. S-33
Description of the Offered CitiCertificates ........................... S-36
The Insurance Policy and the Insurer .................................. S-85
Certain ERISA Considerations .......................................... S-88
Legal Investment ...................................................... S-90
Plan of Distribution .................................................. S-90
Legal Matters ......................................................... S-91
Incorporation of Certain Documents by Reference ....................... S-91
Index of Principal Definitions in Prospectus
Supplement ........................................................... S-92
PROSPECTUS
Report 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
================================================================================
================================================================================
$497,236,106
(APPROXIMATE)
CITICORP MORTGAGE
SECURITIES, INC.
(PACKAGER AND SERVICER)
REMIC PASS-THROUGH CERTIFICATES
SERIES 1998-7
----------
PROSPECTUS SUPPLEMENT
AUGUST 21, 1998
----------
LEHMAN BROTHERS
EDWARD D. JONES & CO., L.P.
SALOMON SMITH BARNEY
================================================================================
