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Previous: COLLEGE & UNIVERSITY FACILITY LOAN TRUST TWO, NSAR-A/A, 1997-02-11 |
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College and University
Facility Loan Trust Two
================================================================================
Compiled Financial Statements
Six Months Ended May 31, 1996
<PAGE>
Accountants' Compilation Report
To the Owner Trustee of
College and University Facility
Loan Trust Two:
We have compiled the accompanying balance sheet of College and University
Facility Loan Trust Two, including the schedule of investments, as of May 31,
1996, and the related statements of operations, cash flows, changes in net
assets and financial highlights for the six months then ended, in accordance
with standards established by the American Institute of Certified Public
Accountants. The financial information for the years ended November 30, 1995,
1994, 1993, 1992 and 1991, presented herein for comparative purposes, was
audited by other auditors whose report thereon dated December 29, 1995,
expressed an unqualified opinion.
A compilation is limited to presenting, in the form of financial statements,
information that has been obtained from the books and records of the Trust. We
have not audited or reviewed the accompanying financial statements or
supplemental material and, accordingly, do not express an opinion or any other
form of assurance on them.
We are not independent with respect to College and University Facility Loan
Trust Two.
BDO Seidman, LLP
July 12, 1996
<PAGE>
College and University
Facility Loan Trust Two
Balance Sheet
================================================================================
<TABLE>
<CAPTION>
May 31, 1996
==========================================================================================================================
(Unaudited)
<S> <C>
Assets
Investments, at amortized cost, net of allowance for possible loan
losses of $732,376 (Notes 1, 2, 6, 7 and 8 and Schedule of Investments) $217 201 700
Cash 150 475
Prepaid expenses 13 750
Interest receivable 2 056 426
Deferred bond issuance costs (Note 2) 1 058 190
- --------------------------------------------------------------------------------------------------------------------------
Total assets 220 480 541
- --------------------------------------------------------------------------------------------------------------------------
Liabilities
Bonds payable, net of unamortized discount (Notes 3 and 8) 191 936 177
Interest payable (Note 3) 5 088 279
Dividends payable (Note 5) 718 958
Payable for redemption of Class A Preferred Certificates (Note 5) 679 683
Accrued expenses and other liabilities 172 720
- --------------------------------------------------------------------------------------------------------------------------
Total liabilities 198 595 817
- --------------------------------------------------------------------------------------------------------------------------
Net Assets
Class A Preferred Certificates, par value $1 - authorized and outstanding -
9,854,502 certificates (preference as to annual dividends of 13.65%,
mandatory redemption and liquidation at par value) (Note 5) 9 854 502
- --------------------------------------------------------------------------------------------------------------------------
Class B Certificates, par value $1 - authorized, issued
and outstanding - 1,763,800 certificates (Note 5) 1 763 800
Accumulated undistributed net investment income (Note 2) 73 148
Paid-in capital (Note 2) 10 193 274
- --------------------------------------------------------------------------------------------------------------------------
Total net assets applicable to Class B certificateholders 12 030 222
- --------------------------------------------------------------------------------------------------------------------------
Total net assets $ 21 884 724
==========================================================================================================================
Net asset value per Class B certificate
(based on 1,763,800 certificates outstanding) $6.82
==========================================================================================================================
</TABLE>
See accompanying accountants' compilation report and notes to financial
statements.
3
<PAGE>
College and University
Facility Loan Trust Two
Statement of Operations
================================================================================
<TABLE>
<CAPTION>
Six months ended May 31, 1996
==========================================================================================================================
(Unaudited)
<S> <C>
Investment income:
Interest income (Note 2) $10 806 572
- --------------------------------------------------------------------------------------------------------------------------
Expenses:
Interest expense (Note 3) 8 942 276
Amortization of deferred Bond issuance costs (Note 2) 86 050
Servicer fees (Note 4) 127 591
Trustee fees (Note 4) 34 385
Other trust and bond administration expenses 91 788
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 9 282 090
- --------------------------------------------------------------------------------------------------------------------------
Net investment income 1 524 482
Provision for possible loan losses (Notes 2 and 6) (100 000)
- --------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 1 424 482
Dividends to Class A Preferred Certificateholders (718 958)
- --------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable to Class B
certificateholders resulting from operations $ 705 524
==========================================================================================================================
</TABLE>
See accompanying accountants' compilation report and notes to financial
statements.
4
<PAGE>
College and University
Facility Loan Trust Two
Statement of Cash Flows
================================================================================
<TABLE>
<CAPTION>
Six months ended May 31, 1996
==========================================================================================================================
(Unaudited)
<S> <C>
Cash flows from operating activities:
Interest received $ 5 325 504
Interest paid (5 380 114)
Operating expenses paid (323 745)
Refunds paid (312 953)
- --------------------------------------------------------------------------------------------------------------------------
Net cash used for operating activities (691 308)
- --------------------------------------------------------------------------------------------------------------------------
Cash flows from investing activities:
Net decrease in funds held under investment agreements 4 656 280
Principal payments on Loans 12 016 171
- --------------------------------------------------------------------------------------------------------------------------
Net cash provided by investing activities 16 672 451
- --------------------------------------------------------------------------------------------------------------------------
Cash flows from financing activities:
Principal repayments on Bonds (14 591 748)
Dividends on Class A Preferred certificates (760 849)
Redemptions of Class A Preferred certificates (613 791)
- --------------------------------------------------------------------------------------------------------------------------
Net cash used for financing activities (15 966 388)
- --------------------------------------------------------------------------------------------------------------------------
Net increase in cash 14 755
Cash, beginning of period 135 720
- --------------------------------------------------------------------------------------------------------------------------
Cash, end of period $ 150 475
==========================================================================================================================
Reconciliation of net increase in net assets resulting from
operations to net cash used for operating activities:
Net increase in net assets resulting from operations $ 1 424 482
Provision for possible loan losses 100 000
Decrease in interest receivable 128 911
Increase in prepaid expenses (13 750)
Decrease in accrued expenses and other liabilities (369 184)
Decrease in Bond interest payable (291 835)
Amortization of original issue discount on Bonds 3 853 997
Amortization of purchase discount on Loans (5 609 979)
Amortization of deferred Bond issuance costs 86 050
- --------------------------------------------------------------------------------------------------------------------------
Net cash used for operating activities $ (691 308)
==========================================================================================================================
</TABLE>
See accompanying accountants' compilation report and notes to financial
statements.
5
<PAGE>
College and University
Facility Loan Trust Two
Statements of Changes in Net Assets
(Note 2 (f))
================================================================================
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
May 31, November 30,
1996 1995
==========================================================================================================================
(Unaudited)
<S> <C> <C>
From operations:
Net investment income $ 1 524 482 $ 3 285 412
Provision for possible loan losses (100 000) (430 000)
Dividends to certificateholders:
Class A Preferred Certificateholders
($.1365 per certificate annually)
From net investment income (718 958) (760 849)
As tax return of capital - (809 291)
- --------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable to Class B
certificateholders resulting from operations 705 524 1 285 272
- --------------------------------------------------------------------------------------------------------------------------
Capital certificate transactions (Note 5):
Redemptions of Class A Preferred certificates (679,683 and
1,323,566 certificates in 1996 and 1995, respectively) (679 683) (1 323 566)
- --------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from
capital certificate transactions (679 683) (1 323 566)
- --------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 25 841 (38 294)
Net assets:
Beginning of period 21 858 883 21 897 177
- --------------------------------------------------------------------------------------------------------------------------
End of period $21 884 724 $21 858 883
==========================================================================================================================
</TABLE>
See accompanying accountants' compilation report and notes to financial
statements.
6
<PAGE>
College and University
Facility Loan Trust Two
Selected Financial Highlights for Each
Class B Certificate Outstanding
Throughout the Periods Indicated
(Notes 1 and 5)
================================================================================
<TABLE>
<CAPTION>
For the Six
Months Ended Years Ended November 30,
May 31, ---------------------------------------------------------------------
1996 1995 1994 1993 1992 1991
====================================================================================================================================
(Unaudited)
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of year $ 6.42 $ 5.69 $ 4.77 $ 3.79 $ 2.90 $ 1.99
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .86 1.86 2.09 2.15 2.12 2.24
Provision for possible loan losses (.06) (.24) (.11) -- -- (.10)
Dividends to Class A Preferred
Certificateholders:
From net investment income (.40) (.43) (.26) (1.17) (1.23) (1.23)
As tax return of capital -- (.46) (.80) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 6.82 $ 6.42 $ 5.69 $ 4.77 $ 3.79 $ 2.90
====================================================================================================================================
Total investment return (a) N/A N/A N/A N/A N/A N/A
Net assets applicable to
Class A Preferred
Certificates, end of period $ 9 854 502 $10 534 185 $11 857 751 $13 941 968 $15 435 727 $15 879 192
Net assets applicable to Class
B Certificates, end of period $12 030 222 $11 324 698 $10 039 426 $ 8 406 774 $ 6 677 348 $ 5 109 590
====================================================================================================================================
Ratios and Supplemental Data:
Ratio of expenses to average
net assets applicable to (b)
Class B Certificates 158.97(c) 186.94%(b) 237.22%(b) 311.15%(b) 419.67%(b) 608.00%(b)
Ratio of net investment income
to average net assets applicable
to Class B Certificates 26.11%(c) 30.76% 40.16% 50.29% 63.33% 91.35%
Number of Class B Certificates
outstanding, end of period 1 763 800 1 763 800 1 763 800 1 763 800 1 763 800 1 763 800
(a) The Trust's investments are recorded at amortized cost as discussed in Note 2. Accordingly, the financial statements do not
reflect the market value of such investments. For this reason, management believes that no meaningful information can be
provided regarding "Total Investment Return" and has not included information under that heading.
(b) Excluding interest expense, the ratio of expenses to average net assets applicable to Class B Certificates was 5.82(c)%, 6.54%,
7.28%, 11.11%, 15.74% and 24.54% in 1996, 1995, 1994, 1993, 1992 and 1991, respectively.
(c) Annualized.
</TABLE>
See accompanying accountants' compilation report and notes to financial
statements.
7
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
1. Organization College and University Facility Loan Trust
and Business Two (the Trust) was formed on March 11, 1988
as a business trust under the laws of the
Commonwealth of Massachusetts by a
declaration of trust by The First National
Bank of Boston (the Owner Trustee), not in
its individual capacity but solely as Owner
Trustee. During 1995, State Street Bank and
Trust Company replaced The First National
Bank of Boston as the Owner Trustee. The
Trust is registered under the Investment
Company Act of 1940 (as amended) as a
diversified, closed-end, management
investment company.
The Trust was formed for the sole purpose of
raising funds through the issuance and sale
of bonds (the Bonds). The Trust commenced
operations on May 12, 1988 (the Closing
Date) and issued Bonds in four tranches in
the aggregate principal amount (at maturity)
of $450,922,000. The Bonds constitute full
recourse obligations of the Trust. The
collateral securing the Bonds consists
primarily of a pool of college and
university facility loans (the Loans) to
various postsecondary educational
institutions and funds held under the
indenture (the Indenture) and the investment
agreements. The Loans were originated by or
previously assigned to the United States
Department of Education (ED) under the
College Housing Loan Program or the Academic
Facilities Loan Program. The Loans, which
have been assigned to The First National
Bank of Chicago (The Bond Trustee), are
secured by various types of collateral,
including mortgages on real estate, general
recourse obligations of the borrowers,
pledges of securities and pledges of
revenues. As of the Closing Date, the Loans
had a weighted average stated interest rate
of approximately 3.18% and a weighted
average remaining term to maturity of
approximately 18.77 years. Payments on the
Loans, pending semiannual bond payment
dates, are managed by the Bond Trustee in
various fund accounts and are invested under
investment contracts (Note 2) as specified
in the Indenture.
See accompanying accountants' compilation report.
8
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
1. Organization and All payments on the Loans and earnings under
Business the investment agreements and any required
(Concluded) transfers from the Expense and Liquidity
Funds are deposited to the credit of the
Revenue Fund held by the Bond Trustee as
defined within, and in accordance with, the
Indenture. On each bond payment date,
amounts on deposit to the credit of the
Revenue Fund are applied in the following
order of priority: to pay amounts due on the
Bonds, to pay administrative expenses not
previously paid from the Expense Fund, to
fund the Expense Fund to the Expense Fund
Requirement and to fund the Liquidity Fund
to the Liquidity Fund Requirement. Any funds
remaining in the Revenue Fund on such
payment date will be used to further pay
down the Bonds to the extent of the maximum
principal distribution amount, after which
any residual amounts are paid to the
certificateholders in the order of priority
discussed in Note 5.
On the Closing Date, certificates were
issued by the Trust to ED as partial
payments for the Loans. In December 1989, ED
sold, through a private placement, all of
its ownership interest in the Trust. This
transaction was accounted for using the
purchase method of accounting, resulting in
a new measurement of the Trust's net assets.
2. Summary of (a) College and University Facility Loans
Significant
Accounting The Loans were purchased and recorded at a
Policies discount below par. Pursuant to a "no-action
letter" that the Trust received from the
Securities and Exchange Commission, the
Loans, included in Investments in the
accompanying balance sheet, are being
accounted for under the amortized cost
method of accounting. Under this method, the
difference between the cost of each Loan to
the Trust and the scheduled principal and
interest payments is amortized, assuming no
prepayments of principal, and included in
the Trust's income by applying the Loan's
effective interest rate to the amortized
cost of that Loan. The remaining balance of
the purchase discount on the Loans as of May
31, 1996 was approximately $96,026,000. As a
result of prepayments of Loans in the six
months ended May 31, 1996, additional
interest income of approximately $58,600 was
recognized.
See accompanying accountants' compilation report.
9
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
2. Summary of (a) College and University Facility Loans
Significant (Continued)
Accounting
Policies The Trust's policy is to discontinue the
(Continued) accrual of interest on Loans for which
payment of principal or interest is 180 days
or more past due or for such other Loans as
considered necessary by management if
collection of interest and principal is
doubtful. When a Loan is placed on
nonaccrual status, all previously accrued
but uncollected interest is reversed against
the current period's interest income.
Subsequently, interest income is recorded
when received. Payments are applied to
interest first with the balance, if any,
applied to principal. At May 31, 1996, one
loan has been placed on nonaccrual status,
as discussed in Note 6.
(b) Other Investments
Other investments, which are included in
Investments on the accompanying balance
sheet, consist of two investment agreements
issued by Morgan Guaranty Trust Company,
bearing fixed rates of interest of 7.05% and
7.75%. These investments may take the form
of repurchase agreements (the underlying
collateral of which shall be as to form and
substance acceptable to each nationally
recognized statistical rating agency that
rates the Bonds), time deposits or other
lawful investments at the bank's option.
These investments are carried at cost.
(c) Federal Income Taxes
It is the Trust's policy to comply with the
requirements applicable to a regulated
investment company under Subchapter M of the
Internal Revenue Code of 1986, as amended,
and to distribute substantially all of its
investment company taxable income to its
certificateholders each year. Accordingly,
no federal or state income tax provision is
required.
For tax purposes, the Loans were transferred
to the Trust at their face values.
Accordingly, the accretion of the purchase
discount creates a permanent book-tax
difference.
See accompanying accountants' compilation report.
10
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
2. Summary of (d) Deferred Bond Issuance Costs
Significant
Accounting Deferred Bond issuance costs are being
Policies amortized using the effective interest rate
(Continued) method over the estimated lives of the
Bonds, which are based on the scheduled
payments of the Loans. When Loan prepayments
occur, a portion of the deferred issuance
costs is expensed in the six months of the
prepayment, so that the future effective
interest rate remains unchanged.
(e) Accounting for Impairment of a Loan and
Allowance for Possible Loan Losses
The Trust accounts for credit losses in
accordance with Statement of Financial
Accounting Standards (SFAS) No. 114,
Accounting by Creditors for Impairment of a
Loan, as amended by SFAS No. 118 (hereafter
collectively referred to as SFAS 114). SFAS
114 requires that impaired loans, as
defined, be measured based on the present
value of the expected future cash flows
discounted at the loan's effective interest
rate or the fair value of the collateral if
the loan is collateral dependent.
Management is responsible for establishing
an allowance for possible loan losses based
on its best estimate of losses that might
occur. Ultimate losses may vary from the
current estimate. This estimate is reviewed
periodically, and as a provision to the
allowance for possible loan losses becomes
necessary, it is reported in the period in
which it becomes known. Allowances are
established for those loans that, in the
opinion of management, are deemed to be
impaired and potentially uncollectible.
See accompanying accountants' compilation report.
11
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
2. Summary of (e) Accounting for Impairment of a Loan and
Significant Allowance for Possible Loan Losses
Accounting (Continued)
Policies
(Continued) The allowance for possible loan losses is
based on management's evaluation of the
level of the allowance required in relation
to the estimated loss exposure in the loan
portfolio. Factors considered in evaluating
the adequacy of the allowance include
previous loss experience, current economic
conditions and their effect on borrowers,
the performance of individual Loans in
relation to contract terms, adverse
situations that may affect the borrower's
ability to pay and the estimated fair values
of collateral.
The factors discussed above are inherently
difficult to predict. Accordingly, the final
outcome of these estimates and the ultimate
realization of amounts on certain Loans may
vary significantly from the amounts
reflected in the accompanying financial
statements.
(f) Presentation of Capital Distributions
On December 1, 1993, the Trust prospectively
adopted the provisions of American Institute
of Certified Public Accountants Statement of
Position 93-2, "Determination, Disclosure
and Financial Statement Presentation of
Income, Capital Gain and Return of Capital
Distributions by Investment Companies" (SOP
93-2). SOP 93-2 requires the Trust to report
distributions that are in excess of tax
basis earnings and profits as a tax return
of capital and to present the capital
accounts on a basis that approximates the
amounts that are available for future
distributions on a tax basis.
The Trust expects to have a tax return of
capital for the fiscal year ending November
30, 1996; however, the amount cannot be
reasonably estimated at May 31, 1996.
Therefore, the current period net increase
in net assets of $705,524 has been offset
against the accumulated deficit and
classified as accumulated undistributed net
investment income.
See accompanying accountants' compilation report.
12
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
2. Summary of (g) Use of Estimates
Significant
Accounting The preparation of financial statements in
Policies conformity with generally accepted
(Concluded) accounting principles requires management to
make estimates and assumptions that affect
the reported amounts of assets and
liabilities at the date of the financial
statements and the reported amounts of
revenues and expenses during the reporting
period. Actual results could differ from
those estimates.
3. Bonds The Bonds outstanding at May 31, 1996
consist of the following:
<TABLE>
<CAPTION>
Outstanding Unamortized
Interest Principal Discount Carrying Value
Type Rate Stated Maturity (000s) (000s) (000s)
=====================================================================================================================
<S> <C> <C> <C> <C> <C>
Sequential 4.00% June 1, 1999 $ 29 083 $ 573 $ 28 510
Sequential 4.00% June 1, 2002 75 961 9 501 66 460
Sequential 4.00% June 1, 2018 149 370 52 404 96 966
---------------------------------------------------------------------------------------------------------------------
$254 414 $62 478 $191 936
=====================================================================================================================
</TABLE>
Interest on the Bonds is payable
semiannually. On June 3, 1996, the Trust
made a principal payment of $10,539,496 on
the sequential 4%, June 1, 1999 bonds.
Principal payments on the Bonds will be made
prior to the respective stated maturities on
each bond payment date in an amount equal to
the lesser of either (1) amounts available
in the Revenue Fund after certain required
payments of interest and principal (at the
stated maturity of the Bonds) and,
administrative expenses after required
transfers to the Expense Fund and the
Liquidity Fund (such that the amounts on
deposit are equal to the Expense Fund
Requirement and the Liquidity Fund
Requirement, respectively), or (2) the
Maximum Principal Distribution Amount, as
defined within the Indenture. These
principal payments will be applied to each
class of Bonds in the order of their stated
maturities, so that no payment of principal
will be made on the Bonds of any class until
all Bonds having an earlier stated maturity
have been paid in full.
See accompanying accountants' compilation report.
13
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
3. Bonds (Concluded) The estimated aggregate principal payments
on the Bonds at May 31, 1996, after taking
into consideration actual Loan prepayments,
Defaulted Loans and the Maximum Principal
Distribution Amount, as defined in the
Indenture, are as follows:
Fiscal Year Amount
(000s)
============================================
1996 $ 10 539
1997 23 528
1998 22 683
1999 21 304
2000 20 087
Thereafter 156 273
--------------------------------------------
Total $254 414
============================================
Actual Bond principal payments may differ
from estimated payments because borrowers
may prepay or default on their obligations.
The Bonds are not subject to optional
redemption by either the Trust or the
bondholders.
In the event of negative cash flows, a
Liquidity Fund has been established and
maintained such that, on or before such
payment date, the Liquidity Fund may be used
by the Bond Trustee to make any required
payments on the Bonds and to pay operating
expenses of the Trust.
The original issue discount is being
amortized using the effective interest rate
method over the estimated lives of the
Bonds, which are based on the scheduled
payments of the Loans. Accordingly, loan
prepayments have the effect of accelerating
bond payments. When Bond payments occur
sooner than estimated payments, a portion of
the original issue discount is expensed in
the six months of prepayment, so that the
future effective interest rate remains
unchanged.
See accompanying accountants' compilation report.
14
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
4. Administrative (a) Servicer
Agreements
As compensation for the services provided
under the servicing agreement, General
Electric Capital Corporation (GECC) receives
a collection fee. The fee is paid
semiannually with respect to each Loan on
each date payments are received on each
Loan. The fee is equal to .075 of 1% of the
outstanding principal balance of each Loan
divided by the number of payments of
principal and interest for each Loan in a
calendar year. For the six months ended May
31, 1996, this fee totaled $117,789. GECC
was also reimbursed for other related
expenses of $9,802.
(b) Trustees
As compensation for services provided, the
Owner and Bond Trustees are entitled under
the Declaration of Trust and the Indenture
to receive the following fees:
o The Owner Trustee, in its capacities as
manager of the Trust and as Owner
Trustee, received fees of $6,250 and
$7,500, respectively, for the six
months ended May 31, 1996. In addition,
the Owner Trustee, in its capacity as
manager, was reimbursed $973 for
out-of-pocket expenses.
o The Bond Trustee is entitled to an
annual fee equal to .015 of 1% of the
aggregate outstanding principal of the
Bonds on the bond payment date
immediately preceding the date of
payment of such fee. The fee is payable
semiannually in arrears on each bond
payment date. The Bond Trustee is also
reimbursed for out-of-pocket expenses
in an amount not to exceed 4% of the
applicable annual fee. For the six
months ended May 31, 1996, Bond Trustee
fees were $18,899. In addition, the
Bond Trustee was reimbursed $793 for
out-of-pocket expenses.
See accompanying accountants' compilation report.
15
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
5. Certificates The certificates comprise two classes,
namely 13.65% Class A Preferred and Class B.
The Class A Preferred certificates have
preference over the Class B certificates
with respect to the payment of dividends,
rights of redemption and liquidation
payments. Dividends on the Class A Preferred
certificates are payable in cash on each
Distribution Date (defined below) at the
rate of 13.65% per annum from amounts
received by the Owner Trustee pursuant to
the Declaration of Trust. To the extent that
such amounts are not sufficient to pay
accrued dividends on any Class A Preferred
certificates on any Distribution Date, such
dividends will be paid in additional
certificates of the Class A Preferred
certificates. The Class A Preferred
certificates are required to be redeemed by
the Trust, in whole or in part, on any
Distribution Date to the extent of the
amount on deposit to the credit of the
Revenue Fund, as discussed in Note 1, and
after all accrued but unpaid dividends
thereon have been paid in full. No
distributions on the Class B certificates
may be made until all Class A Preferred
certificates have been fully redeemed.
Following the redemption in full of the
Class A Preferred certificates, on each
Distribution Date, the holders of the Class
B certificates will receive amounts paid to
the Owner Trustee pursuant to the
Declaration of Trust, pro-rata, in the same
proportion that the par value of the
certificates evidenced by each Class B
certificate bears to the sum of the par
value of the certificates evidenced by all
of the Class B certificates.
Dividends and other payments are distributed
to the certificateholders, while the Bonds
are outstanding, on the second business day
in each June and December (the Distribution
Date) and, after the Bonds are paid in full,
on the first business day of each calendar
month.
On June 4, 1996, the Trust paid $1,398,641
to the holders of the Class A Preferred
certificates, of which $718,958 was for
payment of dividends and $679,683 was a
redemption of Class A Preferred
certificates. These payments are reflected
as liabilities in the accompanying balance
sheet.
The certificateholders shall each be
entitled to one vote per certificate.
See accompanying accountants' compilation report.
16
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
6. Possible Loan Losses An analysis of the allowance for possible
loan losses for the six months ended May 31,
1996 is summarized as follows:
Balance, beginning of period $632 376
Provision 100 000
Charge-off --
--------------------------------------------
Balance, end of period $732 376
============================================
At May 31, 1996, the recorded investment in
loans that are considered to be impaired
under SFAS 114 was approximately $17,000
with a related allowance for possible loan
losses of $3,000.
The average recorded investment in impaired
loans during the six months ended May 31,
1996 was approximately $17,000. For the six
months ended May 31, 1996, interest income
recognized on impaired loans was
approximately $2,000.
The amortized cost of the Loan placed on
nonaccrual status is approximately $17,000
at May 31, 1996. See "Accounting for a
Possible Loan Loss and Accounting for
Impairment of a Loan" for a discussion of
the Trust's impaired loan.
See accompanying accountants' compilation report.
17
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
7. Loans Scheduled principal and interest payments on
the Loans as of May 31, 1996, excluding
payments for Loans in Default, as defined in
the Indenture, are as follows:
<TABLE>
<CAPTION>
Principal Interest
Payments Payments Total
Fiscal Year (000s) (000s) (000s)
=======================================================================
<S> <C> <C> <C>
1996 $ 15 261 $ 4 597 $ 19 858
1997 26 146 8 599 34 745
1998 24 997 7 769 32 766
1999 23 593 6 975 30 568
2000 22 107 6 220 28 327
Thereafter 178 615 38 952 217 567
-----------------------------------------------------------------------
Total $290 719 $73 112 $363 831
=======================================================================
</TABLE>
Expected payments may differ from
contractual payments because borrowers may
prepay or default on their obligations.
Accordingly, actual principal and interest
on the loans may vary significantly from the
scheduled payments.
The following analyses summarize the
stratification of the loan portfolio by type
of collateral and institution as of May 31,
1996:
<TABLE>
<CAPTION>
Amortized
Number Cost
Type of Collateral of Loans (000s) %
==================================================================================
<S> <C> <C> <C>
Loans secured by a
first mortgage 340 $102 702 52.7 %
Loans not secured by
a first mortgage 216 91 991 47.3
----------------------------------------------------------------------------------
Total Loans 556 $194 693 100.0 %
==================================================================================
</TABLE>
See accompanying accountants' compilation report.
18
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
7. Loans (Continued)
<TABLE>
<CAPTION>
Amortized
Number Cost
Type of Institution of Loans (000s) %
==================================================================================
<S> <C> <C> <C>
Private 349 $101 944 52.4 %
Public 207 92 749 47.6
----------------------------------------------------------------------------------
Total Loans 556 $194 693 100.0 %
==================================================================================
</TABLE>
The ability of a borrower to meet future
debt service payments on a Loan will depend
on a number of factors relevant to the
financial condition of such borrower,
including, among others, the size and
diversity of the borrower's sources of
revenues; enrollment trends; reputation;
management expertise; the availability and
restrictions on the use of endowments and
other funds; the quality and maintenance
costs of the borrower's facilities; and, in
the case of some Loans to public
institutions, which are obligations of a
state, the financial condition of the
relevant state or other governmental entity
and its policies with respect to education.
The ability of a borrower to maintain
enrollment levels will depend on such
factors as tuition costs, geographical
location, geographic diversity, quality of
the student body, quality of the faculty and
the diversity of program offerings.
The collateral for Loans that are secured by
a mortgage on real estate generally consists
of special purpose facilities, such as
dormitories, dining halls and gymnasiums,
which are integral components of the overall
educational setting. As a result, in the
event of borrower default on a Loan, where a
restructuring of debt service payments is
not achieved, the Trust's ability to realize
the outstanding balance of the Loan through
the sale of the underlying collateral may be
negatively impacted by the special purpose
nature and location of such collateral.
See accompanying accountants' compilation report.
19
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
7. Loans (Concluded) A number of borrowers are currently
experiencing financial difficulties due to
declining enrollment, increasing costs and a
decline in endowments, grants, private
gifts, and State and Federal funding. Many
of these troubled borrowers are developing
and implementing strategic plans to improve
their financial position; the plans
generally include taking actions to control
costs and increase revenues through tuition
increases, fundraising campaigns, higher
enrollment and a reduction of faculty.
Due to the special purpose nature of the
borrowers' properties, the ability of
troubled borrowers to repay their loans may
ultimately be dependent upon the future
success of the institutions' programs.
8. Fair Value SFAS No. 107, "Disclosures about Fair Value
of Financial of Financial Instruments," allows for the
Instruments use of a wide range of valuation techniques;
therefore, it may be difficult to compare
the Trust's fair value information to
independent markets or to other fair value
information. Accordingly, the fair value
information presented below does not purport
to represent, and should not be construed to
represent, the underlying "market" value of
the Trust's net assets or the amounts that
would result from the sale or settlement of
the related financial instruments. Further,
as the assumptions inherent in fair value
estimates change, the fair value estimates
will change.
See accompanying accountants' compilation report.
20
<PAGE>
College and University
Facility Loan Trust Two
Notes to Financial Statements
================================================================================
8. Fair Value Current market prices are not available for
of Financial most of the Trust's financial instruments
Instruments since an active market generally does not
(Concluded) exist for such instruments. In accordance
with the terms of the Indenture, the Trust
is required to hold all of the Loans to
maturity and to use the cash flows therefrom
to retire the Bonds. Accordingly, the Trust
has estimated the fair values of its
financial instruments using a discounted
cash flow methodology. This methodology is
similar to the approach used at the
formation of the Trust to determine the
carrying amounts of these items for
financial reporting purposes. In applying
the methodology, the calculations have been
adjusted for the change in the relevant
market rates of interest, the estimated
duration of the instruments and an
internally developed credit risk rating of
the instruments. All calculations are based
on the scheduled principal and interest
payments on the loans because the prepayment
rate on these loans is not subject to
estimate.
The estimated fair value of each category of
the Trust's financial instruments and its
related book value presented in the
accompanying balance sheet as of May 31,
1996 is as follows:
<TABLE>
<CAPTION>
Book Value Fair Value
(000s) (000s)
=================================================================
<S> <C> <C>
Loans * $193 961 $235 753
Investment Agreements:
Revenue Fund 17 683 17 219
Liquidity Fund 5 557 5 198
-----------------------------------------------------------------
$217 201 $258 170
=================================================================
Bonds $191 936 $215 303
=================================================================
* Net of Allowance for Possible Loan Losses of $732,000.
</TABLE>
See accompanying accountants' compilation report.
21
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
COLLEGE AND UNIVERSITY LOANS (89.3%)
-------------- A --------------
$ 685 Alabama Agricultural and Mechanical University 3.000-3.750 07/01/2005 10.25 $ 502
2,095 Alabama Agricultural and Mechanical University 3.000 05/01/2018 10.27 1,129
182 Albion College 3.000 10/01/2009 10.56 117
623 Albright College 3.000 11/01/2015 10.23 360
59 Alcorn State University 2.875 11/01/1999 10.11 51
51 Alcorn State University 3.500 11/01/2002 10.15 42
50 Allegheny College 3.000 07/01/2015 10.38 20
38 Allentown College of St. Francis De Sales 3.000 11/01/1998 10.98 34
390 Alma College 3.750 04/01/2002 11.52 308
115 American International College 3.375 10/01/2002 10.84 92
154 Anderson University 3.500 03/01/2003 11.42 116
320 Anderson University 3.000 03/01/2006 11.19 217
4 Appalachian State University 2.750 07/01/1996 10.24 4
97 Appalachian State University 3.500 07/01/2001 10.28 80
64 Appalachian State University 3.000 06/01/1997 10.11 59
615 Arizona State University 3.125 09/01/2001 10.17 504
425 Arizona State University 3.375 10/01/2002 10.16 342
1,495 Arizona State University 3.000 04/01/2006 10.60 1,040
276 Arkansas State University 3.500 04/01/2001 10.97 228
272 Arkansas State University 3.375 10/01/2000 10.25 236
833 Arkansas State University 3.750 04/01/2005 10.75 613
55 Arkansas Technical University 2.875 10/01/1999 10.21 48
2,405 Auburn University 3.000 12/01/2018 9.16 1,361
238 Azusa Pacific University 3.750 04/01/2015 10.88 138
-------------- B --------------
438 Ball State University 3.000 07/01/1999 9.98 380
1,175 Baptist College at Charleston 3.000 03/01/2019 10.73 592
807 Baptist College at Charleston 3.000 03/01/2011 10.98 482
51 Bard College 2.750 10/01/1998 11.40 45
214 Barnard College 3.000 10/01/1997 11.06 197
272 Becker Junior College 3.000 04/01/2005 11.21 190
151 Bellarmine College 3.625 05/01/2004 11.34 113
47 Belmont Abbey College 3.000 11/01/1998 10.96 42
28 Benedict College 2.875 02/01/1999 11.83 24
181 Benedict College 3.750 11/01/2004 10.75 138
1,190 Benedict College 3.000 11/01/2006 10.61 837
2,026 Benedict College 3.000 11/01/2020 10.36 1,039
2,223 Bentley College 3.000 11/01/2007 10.57 1,509
20 Bethany College 2.875 05/01/1998 11.89 18
361 Bethany College 3.375 11/01/2012 10.54 225
315 Bethany College 3.000 11/01/2017 10.40 169
625 Bethany College 3.000 11/01/2012 10.40 376
26 Bethune-Cookman College 3.000 11/01/2002 10.74 20
261 Boston Architectural Center 3.750 11/01/2004 10.77 200
255 Bradford College 3.375 10/01/2001 10.85 207
93 Brandeis University 2.875 10/01/1996 11.17 89
347 Brandeis University 3.000 11/01/2011 10.64 211
195 Brevard College 3.000 11/01/2004 10.71 146
96 Brevard College 3.000 05/01/2006 11.12 65
10 Brevard College 3.000 11/01/1996 11.14 10
174 Bryan College 3.500 04/01/2003 11.39 132
134 Bucks County Community College 3.000 06/01/1997 10.11 117
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 49 Buena Vista College 3.500 02/01/2000 11.85 $ 41
149 Buena Vista College 3.000 02/01/2006 11.23 101
-------------- C --------------
1,320 California Polytechnic State University 3.000 11/01/2006 10.05 920
455 California State University 3.000 11/01/2006 8.75 344
1,465 California State University 3.000 11/01/2013 8.93 950
2,933 California State University 3.000 11/01/2019 8.99 1,697
236 Calvin College 3.000 11/01/2000 10.83 197
2,895 Cameron University 3.000 04/01/2007 10.16 1,993
335 Canisius College 3.375 05/01/2002 11.48 265
1,790 Canisius College 3.000 11/01/2017 10.40 968
226 Canisius College 3.000 11/01/1999 10.89 195
24 Carnegie-Mellon University 2.750 05/01/1997 11.62 22
87 Carnegie-Mellon University 3.000 05/01/1999 11.37 74
360 Carnegie-Mellon University 3.500 11/01/2001 10.52 296
330 Carnegie-Mellon University 3.000 05/01/2009 10.73 209
1,140 Carnegie-Mellon University 3.000 11/01/2017 10.51 613
267 Carroll College 3.125 06/01/2000 10.75 221
408 Carroll College 3.750 06/01/2014 10.46 247
187 Carroll College 3.000 06/01/2018 10.15 100
488 Carroll College 3.750 03/01/2015 10.93 282
340 Case Western Reserve University 3.500 04/01/2003 11.39 256
319 Catawba College 3.000 12/01/2009 10.27 205
184 Central Missouri State University 3.125 07/01/2000 10.24 154
394 Central Missouri State University 3.375 07/01/2001 10.27 324
834 Central Missouri State University 3.625 07/01/2004 10.29 635
1,270 Central Missouri State University 3.000 07/01/2007 10.18 871
73 Central Texas College 3.000 11/01/1997 10.15 68
35 Central Texas College 3.000 11/01/1998 10.14 32
183 Champlain College 3.000 12/01/2013 10.19 105
660 Chapman College 3.000 10/01/2013 10.65 381
477 Chapman College 3.000 11/01/2005 10.63 342
300 Chapman College 3.000 11/01/2007 10.57 204
1,875 Chateau Community Housing Association 3.000 10/01/2012 10.51 1,122
94 Cisco Junior College 3.000 11/01/2005 10.04 69
110 Cisco Junior College 3.000 07/01/2005 10.15 70
48 Claflin College 3.125 04/01/2001 11.59 39
23 Claflin College 3.000 11/01/1997 11.05 21
550 Clemson University 3.000 07/01/2005 9.51 412
178 Coker College 3.000 12/01/2009 10.04 114
90 College of Notre Dame of Maryland 2.875 11/01/1997 10.61 83
145 College of Notre Dame of Maryland 3.375 11/01/2002 10.48 116
376 College of Our Lady of the Elms 3.375 10/01/2001 10.86 306
55 College of Saint Rose 2.875 04/01/1998 11.95 49
1,003 College of Saint Rose 3.000 05/01/2022 10.43 497
677 College of Saint Thomas 3.000 11/01/2009 10.53 447
97 College of Santa Fe 3.500 10/01/2001 10.86 79
299 College of Santa Fe 3.000 10/01/2005 10.66 214
9 College of Santa Fe 3.000 09/01/1996 11.24 9
683 College of Santa Fe 3.000 10/01/2018 10.43 365
255 College of the Holy Cross 3.500 10/01/1999 11.03 228
1,220 College of the Holy Cross 3.625 10/01/2013 10.60 755
1,065 College of the Holy Cross 3.000 10/01/2006 10.63 741
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 60 College of the Virgin Islands 3.000 11/01/2002 10.15 $ 48
132 College of the Virgin Islands 3.000 10/01/2003 10.16 102
36 Colorado State University 3.500 10/01/1996 9.22 35
34 Columbia College 2.750 07/01/1997 11.16 31
351 Columbia College 3.625 07/01/2004 10.90 261
110 Columbia College 3.000 07/01/2006 10.80 77
175 Concordia College 3.000 04/01/2009 11.05 112
805 Concordia College 3.000 05/01/2019 10.65 409
208 Connecticut College 3.000 11/01/1999 10.89 179
88 Cornell College 3.000 10/01/2005 10.66 63
373 Cumberland University 3.000 08/01/2017 10.52 201
-------------- D --------------
163 Daemen College 3.125 04/01/2000 11.68 135
705 Daemen College 3.000 04/01/2016 10.77 378
217 Dakota Wesleyan University 3.000 10/01/2015 10.46 122
355 Dana College 3.000 04/01/2005 11.22 247
88 Dana College 3.500 04/01/2003 11.39 66
19 David Lipscomb College 3.000 06/01/1996 11.17 18
4 Dean Academy & Jr. College 3.125 10/01/1996 11.25 4
215 Dean Academy & Jr. College 3.500 10/01/1999 10.97 186
155 Dickinson College 3.000 05/01/2018 10.30 85
321 Dillard University 3.000 04/01/2008 11.09 211
180 Doane College 3.000 11/01/2000 10.83 150
930 Dormitory Authority State of NY (New York University) 3.000 07/01/2000 8.95 800
754 Dowling College 3.000 10/01/2010 10.75 468
14 Drake University 2.750 10/01/1996 11.22 13
187 Drexel University 2.875 05/01/2001 11.57 152
1,220 Drexel University 3.500 05/01/2014 10.53 677
35 Drury College 3.125 10/01/1999 11.32 30
327 Drury College 3.000 04/01/2015 10.63 184
608 Drury College 3.000 10/01/2010 10.75 377
1,245 D'Youville College 3.000 04/01/2018 10.90 651
-------------- E --------------
247 East Texas State University 2.875 09/01/1999 8.94 219
1,526 East Texas State University 3.500 03/01/2002 9.48 1,164
1,809 East Texas State University 3.000 03/01/2002 9.60 1,322
200 East Texas State University 3.000 11/01/2000 9.26 173
143 Eastern Oklahoma State College 3.125 05/15/1999 9.96 130
465 Elizabeth City State University 3.000 10/01/2017 10.02 265
635 Embry-Riddle Aeronautical University 3.000 09/01/2007 10.64 427
191 Emmanuel College 3.000 11/01/2013 10.45 111
22 Emory & Henry College 2.750 05/01/1997 11.61 20
493 Emory University 2.875 09/01/1998 11.00 436
-------------- F --------------
126 Fairleigh Dickinson University 3.125 11/01/1999 10.93 110
1,900 Fairleigh Dickinson University 3.000 11/01/2017 10.39 1,031
26 Fairmont State College 3.000 05/01/1997 11.14 24
24 Findlay College 3.000 11/01/1996 11.13 23
19 Findlay College 2.750 07/01/1998 11.04 17
20 Findlay College 3.000 07/01/1997 11.21 19
304 Florida Agricultural and Mechanical University 3.625 07/01/2004 10.29 231
328 Florida Atlantic University 3.500 07/01/2004 10.27 252
465 Florida Atlantic University 3.000 07/01/2006 10.18 326
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 240 Florida Institute of Technology 3.000 11/01/2009 10.53 $ 155
122 Florida Southern College 3.000 11/01/1999 10.89 105
215 Florida State University 3.000 01/01/1999 9.20 190
364 Florida State University 3.500 06/01/2001 8.44 313
895 Florida State University 3.000 01/01/2009 9.40 615
88 Fort Hays State University 3.500 10/01/2001 10.19 74
183 Fort Hays State University 3.625 10/01/2002 10.18 148
215 Fort Hays State University 3.000 10/01/2007 10.08 148
765 Fort Lewis College 3.000 10/01/2006 10.09 545
-------------- G --------------
23 Gannon University 2.750 11/01/1996 10.67 22
880 Gannon University 3.000 11/01/2011 10.49 542
222 Gannon University 3.000 12/01/2022 10.13 108
105 Gavilan College 3.000 04/01/2006 10.59 73
124 George Fox College 3.500 04/01/2001 11.25 100
882 George Fox College 3.000 07/01/2018 10.64 459
19 George Washington University 2.875 11/01/1996 10.72 18
251 George Washington University 3.500 05/01/2000 11.30 210
1,298 George Washington University 3.500 11/01/2002 10.50 1,054
111 George Washington University 3.000 11/01/1998 10.58 99
106 Georgetown College 3.000 12/01/1999 10.02 89
627 Georgetown College 3.000 12/01/2008 10.04 410
1,080 Georgetown College 3.000 12/01/2009 10.05 688
3,173 Georgetown University 3.000 11/01/2020 10.36 1,627
7,990 Georgetown University 4.000 11/01/2020 10.52 4,502
1,676 Georgetown University 3.000 05/01/2005 10.86 1,207
965 Georgia Education Authority Board of Regents
of the University System of Georgia 3.375 01/01/2003 10.60 744
57 Goucher College 3.500 05/01/1998 11.88 50
28 Goucher College 3.500 11/01/1999 10.95 24
249 Grambling State University 3.000 10/01/1997 10.17 232
25 Grambling State University 3.000 11/01/1999 10.12 22
205 Grambling State University 3.000 11/01/2000 10.11 174
129 Greenville College 3.500 04/01/2001 11.56 103
-------------- H --------------
458 Hampshire College 3.000 07/01/2013 10.75 262
1,634 Hampshire College 3.000 02/01/2014 10.70 928
325 Harcum Junior College 3.375 11/01/2002 10.77 257
940 Harper Grace Hospital 3.625 04/01/2005 11.26 673
145 Henderson State University 3.125 04/01/1999 11.06 124
28 Hendrick Medical Center 3.000 10/01/1997 11.08 26
201 Hesston College 3.000 04/01/2006 11.14 136
402 High Point College 3.000 12/01/2010 10.26 248
2,309 Hinds Junior College 3.000 04/01/2013 10.42 1,378
153 Hiwassee College 3.375 01/01/2003 11.58 116
225 Hiwassee College 3.000 09/15/2018 10.58 117
2,402 Hofstra University 3.000 11/01/2012 10.61 1,429
46 Holy Family College 3.000 12/01/1997 10.00 41
341 Hood College 3.625 11/01/2014 10.54 207
465 Houston Tillotson College 3.500 04/01/2014 10.90 273
90 Huntingdon College 3.500 03/01/2002 11.54 70
335 Huntingdon College 3.000 10/01/2008 10.60 220
-------------- I --------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 99 Illinois Benedictine College 3.000 10/01/1998 10.98 $ 88
297 Illinois Institute of Technology 3.000 03/01/2003 11.10 225
105 Indiana State University 3.000 07/01/1996 8.72 101
53 Indiana University 2.750 12/01/1996 8.06 50
476 Indiana University 2.875 04/01/1998 10.10 430
182 Indiana University 2.875 04/01/1999 10.08 160
672 Indiana University 3.375 04/01/2001 10.06 559
1,420 Indiana University 3.500 04/01/2001 10.06 1,179
1,948 Indiana University 3.750 12/01/2003 8.84 1,584
745 Indiana University 3.000 07/01/1999 9.31 654
164 Inter American University of Puerto Rico 3.000 09/01/2007 10.66 112
2,827 Inter American University of Puerto Rico 3.000 01/01/2017 10.94 1,493
-------------- J --------------
2,175 James Madison University 3.000 06/01/2009 10.49 1,393
58 John Brown University 2.875 04/01/2000 11.64 47
463 Johnson & Wales College 3.000 11/01/2013 10.59 270
295 Johnson C. Smith University 3.000 05/01/2005 11.18 207
44 Judson College 3.750 07/01/2004 10.92 33
-------------- K --------------
331 Kansas State University 3.375 10/01/2002 9.12 276
775 Kansas State University 3.625 04/01/2004 9.77 560
154 Kendall College 3.375 10/01/2002 10.82 121
306 Kendall College 3.000 10/01/2008 10.59 202
716 Kent State University 3.500 12/01/2000 8.90 610
450 Knox College 3.000 04/01/2006 11.15 305
-------------- L --------------
385 LaGrange College 3.000 03/01/2009 11.06 240
18 Lamar University 2.875 04/01/1997 11.17 17
319 Lamar University 3.500 04/01/2003 10.76 245
494 Langston University 3.375 10/01/2003 10.15 388
1,325 Langston University 3.000 04/01/2007 10.56 898
514 Lassen Junior College District 3.000 04/01/2020 10.27 265
1,915 Leland Stanford Junior College 3.375 05/01/2003 11.33 1,440
244 Lenoir Rhyne College 3.000 12/01/2006 10.04 169
94 Linfield College 3.000 10/01/2017 10.44 50
301 Long Island University 3.000 10/01/1998 11.00 269
996 Long Island University 3.750 05/01/2005 11.22 720
269 Long Island University 3.000 11/01/2009 10.69 172
940 Long Island University 3.000 11/01/2009 10.69 600
569 Long Island University 3.750 04/01/2003 11.41 433
645 Long Island University 3.625 06/01/2014 10.49 386
41 Long Island University 3.750 05/01/1998 11.90 36
161 Long Island University 3.750 10/01/2004 10.79 121
643 Louisiana State University 3.500 07/01/2001 8.65 555
1,386 Louisiana State University 3.625 07/01/2004 9.04 1,103
333 Louisiana State University 3.000 07/01/2005 8.84 258
553 Louisiana State University 3.000 07/01/2005 8.84 428
475 Louisiana State University 3.000 07/01/2006 8.87 360
229 Louisiana State University 3.000 05/01/1999 9.17 205
490 Louisiana State University 3.000 07/01/2001 8.62 415
136 Loyola University 3.000 11/01/1998 10.96 122
169 Loyola University - Mundelein Branch 3.750 11/01/1997 11.11 157
287 Lycoming College 3.500 05/01/2001 11.22 233
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 277 Lycoming College 3.625 05/01/2014 10.64 $ 166
370 Lycoming College 3.750 05/01/2015 10.62 220
82 Lycoming College 3.000 10/01/1996 11.16 78
573 Lynchburg College 3.750 05/01/2015 10.64 343
725 Lynchburg College 3.000 05/01/2018 10.68 378
-------------- M --------------
720 Macalester College 3.375 05/01/2002 11.41 557
498 Macalester College 3.000 05/01/2020 10.46 256
40 Madison General Hospital 3.000 12/01/1999 9.67 34
630 Marian College 3.000 10/01/2016 10.45 347
73 Marian College 3.000 11/01/1999 10.89 63
80 Marist College 3.500 04/01/2000 11.73 67
101 Marquette University 3.000 07/31/2024 10.59 47
62 Mary Baldwin College 2.875 11/01/1999 10.94 55
493 Mary Baldwin College 3.375 05/01/2012 10.68 303
710 Marymount University 3.000 05/01/2016 10.52 388
8 Mater Dei College 3.000 11/01/1996 11.13 8
20 McCook Community College 3.000 01/01/1998 11.16 18
1,065 McLennan Community College 3.000 04/01/2006 10.49 747
128 McNeese State University 3.500 10/01/2001 10.18 106
1,194 Memorial Hospital for Cancer and Allied Diseases 3.375 04/01/2012 10.68 732
139 Menlo College 3.125 04/01/2001 11.53 110
561 Mercer University 3.000 05/01/2014 10.58 323
1,730 Mercy College of Detroit 3.625 10/01/2013 10.59 1,055
41 Mercy Hospital (A) (B) 3.000 10/01/1998 10.98 17
50 Merrimack College 3.000 04/15/2019 10.53 33
136 Merrimack College 3.000 04/15/2008 10.79 70
83 Middlebury College 3.000 10/01/1996 11.16 79
11 Middlebury College 2.750 10/01/1996 11.67 10
121 Middlebury College 3.375 10/01/2002 11.12 95
131 Midland Lutheran College 3.000 04/01/2005 11.20 91
59 Midland Lutheran College 3.000 10/01/1998 10.98 52
644 Millsaps College 3.000 11/01/2021 10.34 324
114 Mississippi State University 2.875 01/01/2000 10.99 94
1,730 Mississippi State University 3.000 12/01/2020 9.64 917
152 Mississippi Valley State University 3.500 07/01/2001 10.28 125
158 Molloy College 3.375 10/01/2002 10.81 124
27 Montreat-Anderson College 3.000 11/01/1998 10.96 24
270 Moravian College 3.375 11/01/2012 10.52 166
795 Morehouse College 3.000 07/01/2010 10.50 439
2,619 Morgan State University 3.000 11/01/2014 10.56 1,492
254 Morris Brown College 3.750 05/01/2007 11.12 174
2,251 Morris Brown College 2.750-3.750 05/01/2018 10.89 1,302
768 Morris College 3.000 11/01/2009 10.53 496
160 Muhlenberg College 3.000 11/01/2000 10.50 134
-------------- N --------------
178 New England College 3.000 04/01/2016 10.77 96
755 Newark Beth Israel Hospital 3.625 01/01/2014 11.06 436
82 NIACC Dormitories, Inc. 3.000 10/01/2012 10.27 50
142 Nicholls State University 3.000 09/01/1999 8.88 126
3,132 Norfolk State University 3.000 12/01/2021 9.77 1,621
727 North Carolina Agricultural and
Technical State University 3.000 05/01/2014 10.34 419
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 820 North Carolina State University 3.625 09/01/2004 7.97 $ 683
434 North Carolina State University 3.125 09/01/2001 7.58 381
508 North Carolina State University 3.500 09/01/2001 7.63 449
229 North Greenville College 3.000 11/01/2003 10.72 177
331 Northeast Louisiana University 3.500 04/01/2001 10.28 275
24 Northeast Missouri State University 2.875 05/01/1997 11.14 22
568 Northeast Missouri State University 3.375-3.500 05/01/2002 10.75 451
220 Northeastern Oklahoma State University 3.000 06/01/1998 9.73 197
3,435 Northeastern University 3.000 05/01/2018 10.53 1,820
188 Northeastern University 3.000 05/01/2004 10.97 139
124 Northwest Nazarene College 3.750 04/01/2003 11.44 95
123 Northwestern State University 3.125 10/01/2000 10.15 104
495 Nova University 3.000 12/01/2007 10.04 333
-------------- O -------------
67 Occidental College 3.000 10/01/1997 11.09 62
312 Occidental College 3.000 10/01/2019 10.41 162
922 Oklahoma City University 3.000 04/01/2005 11.22 645
280 Olympic Community College 3.000 10/01/2008 10.07 189
107 Ouachita Baptist University 3.125 12/01/1999 10.03 90
40 Ouachita Baptist University 3.000 12/01/2006 10.04 27
-------------- P -------------
28 Pacific University 3.000 11/01/1999 10.89 24
1,078 Paine College 3.000 10/01/2016 10.45 593
34 Pan American University 3.000 10/01/1999 9.23 30
2,655 Philadelphia College of Art 3.000 01/01/2022 10.62 1,288
910 Pine Manor College 3.625 10/01/2003 10.80 702
17 Pittsburg State University 2.750 10/01/1996 10.16 16
57 Point Loma Nazarene College 2.875 04/01/1999 11.85 49
20 Point Loma Nazarene College 2.875 04/01/1998 11.89 18
205 Polytechnic University 3.375 10/01/2011 10.59 129
1,698 Portland Student Services Inc. 3.000 01/01/2011 10.36 1,054
245 Post College 3.000 04/01/2010 10.76 153
1,610 Purdue University 3.625 07/01/2004 9.33 1,265
463 Purdue University 3.000 07/01/2005 9.26 353
-------------- Q -------------
72 Queens College 3.000 07/01/1998 11.07 63
85 Queens College 3.500 11/01/2001 10.88 71
221 Queens College 3.625 07/01/2004 10.90 164
-------------- R -------------
375 Randolph-Macon College 3.000 05/01/2010 10.72 237
461 Randolph-Macon College 3.000 11/01/2000 10.50 387
16 Regis College (Denver) 2.750 11/01/1996 11.17 15
630 Regis College (Denver) 3.000 11/01/2012 10.47 378
223 Regis College (Weston) 3.375 10/01/2002 10.85 181
320 Rhode Island College 3.000 10/01/2005 10.09 235
185 Rider College 3.500 05/01/2001 11.57 151
368 Rider College 3.375 05/01/2002 11.44 287
172 Rider College 3.125 11/01/2000 10.86 145
1,950 Rider College 3.625 11/01/2013 10.42 1,148
497 Rider College 3.000 05/01/2017 10.70 263
132 Rio Grande College 3.000 03/30/2009 10.93 86
86 Roberts Wesleyan College 3.000 11/01/2000 10.83 72
333 Roger Williams College 3.000 11/01/1999 10.89 287
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 120 Russell Sage College 3.000 10/01/1998 10.98 $ 107
300 Rutgers, The State University 2.750 05/01/1999 8.84 267
755 Rutgers, The State University 3.750 05/01/2016 9.19 484
70 Rutgers, The State University 2.875 05/01/1999 8.80 63
1,015 Rutgers, The State University 3.125 05/01/2001 8.89 889
-------------- S -------------
213 Saint Ambrose University 3.000 11/01/2001 10.78 172
225 Saint Anselm College 3.375 10/01/2001 10.88 186
57 Saint Edward's University 3.125 04/01/2000 11.69 48
159 Saint John's University 3.000 10/01/2002 10.76 124
255 Saint Joseph Hospital 3.500 10/01/2001 10.87 208
252 Saint Louis College of Pharmacy 3.375 10/01/2004 10.74 188
146 Saint Louis University 3.125 10/01/2000 10.90 123
674 Saint Louis University 3.500 11/01/2002 10.80 538
142 Saint Mary's College 3.000 03/01/2005 11.25 99
466 Saint Mary's College 3.000 06/01/2020 10.14 232
67 Saint Mary's University of San Antonio 3.000 10/01/1998 10.98 60
2,300 Saint Michael's College 3.000 05/01/2013 10.60 1,353
401 Saint Norbert College 3.375 04/01/2002 11.52 316
294 Saint Norbert College 3.625 04/01/2004 11.33 216
487 Saint Norbert College 3.000 04/01/2007 11.10 322
572 Saint Paul's College 3.000 11/01/2014 10.56 326
170 Saint Peter's College 3.000 05/01/1999 11.70 144
740 Saint Vincent College 3.500 05/01/2013 10.86 441
98 Sam Houston State University 2.750 10/01/1996 8.63 95
121 Sam Houston State University 2.875 10/01/1997 8.74 114
505 Sam Houston State University 3.500 10/01/2001 9.10 430
1,205 San Diego State University 3.000 11/01/2007 10.04 860
1,395 Sangamon State University 3.000 11/01/2018 10.12 771
605 Seattle University 3.500 11/01/2001 10.84 499
655 Seattle University 3.000 11/01/2008 10.55 433
520 Seton Hall University 3.000 11/01/2000 10.83 433
21 Seton Hill College 2.750 11/01/1996 11.11 20
390 Seton Hill College 3.625 11/01/2014 10.53 235
93 Siena College 2.875 10/01/1997 11.08 87
38 Sierra College 3.375 04/01/2002 10.87 31
368 Simpson College 3.000 07/01/2016 10.58 199
17 South Dakota School of Mines and Technology 2.750 04/01/1997 11.17 16
440 South Dakota School of Mines and Technology 3.000 04/01/2018 10.30 234
437 South Dakota School of Mines and Technology 3.625 04/01/2002 10.85 351
52 South Plains College 3.500 10/01/2002 10.18 42
118 South Plains College 3.625 10/01/2004 10.17 90
83 South Plains College 3.000 10/01/2005 10.10 62
630 Southeast Missouri State University 3.500 04/01/2002 10.82 498
1,486 Southeast Missouri State University 3.000 04/01/2007 10.58 1,017
68 Southeastern Louisiana University 2.750 04/01/1997 11.16 62
915 Southeastern Oklahoma State University 3.000 04/01/2009 10.51 591
234 Southern Arkansas University 3.500 10/01/2002 10.23 188
717 Southern Methodist University 3.000 10/01/2007 10.61 485
318 Southern Nazarene University 3.750 04/01/2005 11.27 229
100 Southern University and
Agricultural and Mechanical College 2.875 04/01/1998 11.13 90
80 Southwest Missouri State College 2.875 10/01/1997 10.16 74
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$1,135 Southwest Missouri State College 3.375 10/01/2002 10.17 $ 927
2,725 Southwest Texas State University 3.000 10/01/2015 9.51 1,627
32 Southwestern Christian College 3.000 11/01/2000 10.83 27
85 Spalding University 3.125 09/01/2000 10.95 72
491 Spalding University 3.000 09/01/2007 10.66 339
77 Springfield College 3.500 11/01/1999 10.60 68
67 Springfield College 3.125 05/01/2000 11.29 56
553 Springfield College 3.500 05/01/2013 10.67 339
116 Springfield College 3.000 05/15/2005 10.11 87
265 State Center Community College 3.000 10/01/2004 10.10 199
104 Stephen F. Austin State University 2.875 10/01/1999 9.23 92
2,337 Stephen F. Austin State University 3.375-3.500 10/01/2012 9.57 1,528
20 Stetson University 3.000 07/01/1996 11.24 19
243 Stetson University 3.000 01/01/2006 11.25 162
196 Stillman College 3.750 02/01/2004 11.42 143
468 Stonehill College 3.000 10/01/2006 10.64 326
83 Stonehill College 3.000 11/01/1998 10.96 74
175 SUNY, Mohawk Valley Community College 3.000 04/01/2005 10.26 104
134 Susquehanna University 3.125 05/01/2000 11.27 111
871 Syracuse University 3.000 05/01/2008 10.74 577
-------------- T -------------
91 Talladega College 3.375 12/01/2001 10.08 73
491 Talladega College 3.000 12/01/2012 10.24 293
25 Taylor University 2.750 10/01/1996 11.14 24
329 Taylor University 3.000 10/01/2012 10.50 196
996 Taylor University 3.000 10/01/2013 10.49 586
206 Temple University 3.125 03/01/1999 10.70 180
384 Tennessee State University 3.375 01/01/1999 11.10 328
856 Texas A & I University 3.000 07/01/2009 9.57 576
140 Texas A & I University 3.000 06/01/1998 9.10 127
238 Texas Southern University 3.500 04/01/2001 10.89 195
575 Texas Southern University 3.500 04/01/2013 10.45 349
578 Transylvania University 3.000 11/01/2010 10.51 364
1,160 Trinity University 3.625 09/01/2004 10.82 868
597 Tufts University 3.375 10/01/2001 10.87 488
2,580 Tufts University 3.000 10/01/2021 10.39 1,293
198 Tulane University of Louisiana 2.875 10/01/1997 8.62 186
270 Tulane University of Louisiana 3.000 10/01/1998 8.74 247
1,090 Tulane University of Louisiana 3.375-3.500 10/01/2001 9.06 927
-------------- U -------------
74 Union College 3.000 11/01/2002 10.74 58
2,410 University of Alabama in Birmingham 3.000 11/01/2008 7.97 1,814
187 University of Alabama in Huntsville 3.000 05/01/1999 10.05 163
164 University of Alaska 3.500 04/01/2000 10.94 138
268 University of Alaska 3.375 04/01/2002 10.82 212
631 University of Alaska 3.500 04/01/2003 10.80 498
380 University of Alaska 3.000 10/01/1999 10.22 330
368 University of Arizona 3.500 04/01/2003 10.82 290
70 University of Arkansas 3.000 07/01/1996 9.11 67
203 University of Arkansas at Little Rock 3.500 04/01/2001 10.04 169
229 University of Arkansas at Little Rock 3.000 11/01/2009 9.42 159
15 University of Central Arkansas 2.750 04/01/1997 11.24 14
638 University of Central Arkansas 3.000 04/01/2005 10.69 455
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$ 685 University of Central Florida 3.000 10/01/2007 10.08 $ 475
420 University of Chicago 3.500 12/01/2001 10.10 336
133 University of Chicago 3.375 12/01/2001 10.08 106
48 University of Chicago 3.500 12/01/2002 10.11 37
150 University of Delaware 2.750 11/01/1997 8.54 142
245 University of Delaware 3.125 11/01/2000 8.84 214
408 University of Delaware 3.375 11/01/2000 8.81 365
1,640 University of Delaware 3.000 11/01/2006 9.08 1,223
749 University of Delaware 3.000 12/01/2018 8.81 434
2,670 University of Florida 3.000 07/01/2014 10.15 1,555
28 University of Hartford 3.000 05/01/1997 12.02 26
251 University of Hartford 3.000 11/01/2001 10.78 203
105 University of Hawaii at Manoa 2.875 10/01/1999 10.13 91
1 University of Hawaii at Manoa 3.000 10/01/1996 10.20 1
113 University of Hawaii at Manoa 3.500 10/01/2001 10.18 94
104 University of Lowell 3.000 11/01/2000 7.62 93
3,250 University of Michigan 3.750 10/01/2005 9.51 2,514
280 University of Michigan 3.000 04/01/1999 10.08 245
160 University of Missouri 2.875 05/01/1997 10.10 149
140 University of Missouri 3.000 05/01/1998 10.07 126
1,333 University of Missouri 3.375 05/01/2002 10.03 1,106
187 University of Missouri 2.875 11/01/2000 9.25 161
212 University of Missouri 3.000 05/01/1998 10.07 191
35 University of Missouri 3.000 05/01/1998 10.08 32
171 University of Montevallo 3.125 11/01/2000 9.27 148
341 University of Nevada at Reno 3.000 11/01/1999 10.12 298
1,082 University of North Carolina 3.000 11/01/2005 8.81 842
745 University of North Carolina 3.000 01/01/2008 9.50 514
67 University of North Carolina 3.000 01/01/2007 9.50 48
1,136 University of Notre Dame 3.000 02/15/2019 10.62 587
93 University of Portland 2.875 04/01/1998 11.96 82
930 University of Portland 3.375 04/01/2013 10.88 555
138 University of Portland 3.000 11/01/1998 10.98 124
68 University of Puerto Rico, Rio Piedras Campus 3.125 06/01/2000 9.17 59
2,159 University of Puerto Rico, Rio Piedras Campus 3.000 06/01/2011 9.39 1,402
72 University of Rhode Island 3.000 10/01/2001 9.68 60
123 University of Rochester 2.875 10/01/1998 11.04 112
736 University of Saint Thomas 3.000 10/01/2019 10.41 382
610 University of Santa Clara 3.125 04/01/2002 11.44 467
275 University of Santa Clara 3.375 04/01/2002 11.45 212
1,305 University of Santa Clara 3.625 04/01/2004 11.33 962
79 University of Scranton 3.125 11/01/2000 10.84 66
302 University of South Dakota 3.500 10/01/2001 9.59 254
1,220 University of South Florida 3.750 07/01/2005 10.30 906
405 University of Steubenville 3.125 04/01/2010 10.98 250
53 University of Tampa 2.875 11/01/1998 10.95 47
185 University of Texas at Arlington 3.000 07/01/1998 9.87 166
1,476 University of Vermont 3.000 07/01/2016 8.95 899
350 University of Vermont 3.375 07/01/2001 8.33 304
1,340 University of Vermont 3.000 07/01/2019 9.06 768
340 University of Washington 3.000 08/01/1999 8.82 302
435 University of Washington 3.500 08/01/2002 9.07 361
478 University of Washington 3.000 08/01/2003 9.06 381
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$1,735 University Student Co-Operative Association 3.000 04/01/2019 10.70 $ 880
229 Ursinus College 3.000 10/01/2000 10.86 190
645 Utica College 3.000 11/01/2009 10.53 416
-------------- V -------------
610 Vermont State College 3.000 06/01/2008 9.02 432
303 Vermont State College 3.000 07/01/2014 9.30 186
1,295 Villanova University 3.000 04/01/2019 10.70 657
4,180 Vincennes University 3.000 06/01/2023 9.02 2,251
3,157 Virginia Commonwealth University 3.000 06/01/2011 10.01 1,973
1,510 Virginia Commonwealth University 3.000 06/01/2004 10.08 1,125
433 Virginia Wesleyan College 3.000 11/01/2009 10.54 284
245 Virginia Wesleyan College 3.000 11/01/2010 10.51 154
-------------- W -------------
48 Waldorf College 3.125 07/01/2000 10.97 40
329 Waldorf College 3.000 07/01/2005 10.77 232
81 Wartburg College 3.500 10/01/2001 10.87 66
186 Wartburg College 3.750 04/01/2011 11.00 117
27 Wartburg College 3.000 11/01/1996 11.13 26
985 Washington State University 3.625 04/01/2004 10.02 760
640 Washington State University 3.750 04/01/2004 10.03 497
1,130 Washington State University 3.375 04/01/2003 10.02 886
75 Washington State University 3.000 04/01/1999 10.08 65
304 Washington University 3.000 10/01/1998 11.05 278
607 Washington University 3.500 10/01/2001 10.91 506
195 Wayne State University 3.000 04/01/2000 11.69 174
264 Wesley College 3.375 05/01/2013 10.88 159
92 West Kern Junior College District 3.625 04/01/2004 10.73 69
590 West Valley College 3.000 04/01/2009 10.50 381
400 West Virginia State College 3.000 05/01/1998 11.05 356
247 West Virginia Wesleyan College 2.875 05/01/2000 11.56 206
517 West Virginia Wesleyan College 3.000 05/01/2015 10.75 284
584 Western Carolina University 3.625 05/01/2003 10.75 457
210 Western Washington University 3.125 10/01/1998 10.18 191
385 Western Washington University 3.500 10/01/2001 10.18 319
875 Western Washington University 3.625 10/01/2004 10.18 672
605 Western Washington University 3.750 10/01/2005 10.19 456
295 Westminster College of Salt Lake 3.000 11/01/2017 10.39 160
77 Westmoreland Hospital Association 3.500 07/01/2001 10.98 62
46 Wheaton College 2.875 04/01/1999 11.50 40
960 Wheaton College 3.500 04/01/2013 10.70 575
284 Wheeling College 3.500 05/01/2001 11.23 220
111 Wheeling College 3.000 11/01/2007 10.59 76
33 Wheelock College 3.000 05/01/2011 10.23 22
79 Wichita State University 3.000 10/01/2000 9.29 68
3 Wilson College 2.750 10/01/1996 10.76 3
880 Wittenberg University 3.000 05/01/2015 10.76 482
272 Wittenberg University 3.000 11/01/2017 10.39 147
63 Wooster Business College 3.000 03/30/2009 10.88 41
97 Worcester Polytechnic Institute 2.750 10/01/1997 11.04 89
209 Worcester Polytechnic Institute 3.375 04/01/2001 11.57 168
809 Wright State University 3.000 05/01/2009 9.89 546
-------------- Y -------------
398 York Hospital 3.000 05/01/2020 10.64 201
- -------- --------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
COLLEGE AND UNIVERSITY FACILITY LOAN TRUST TWO
SCHEDULE OF INVESTMENTS
May 31, 1996
(Dollar Amounts in Thousands)
(continued)
Outstanding Stated Internal Amortized
Principal Interest Maturity Rate of Cost (Notes
Balance Description Rate % Date Return % 1 and 2)
------- ----------- ------ ---- -------- --------
<C> <S> <C> <C> <C> <C>
$290,719 Total College and University Loans $194,693
- ----------
Allowance for Possible Loan Losses 732
--------
Net College and University Loans 193,961
--------
INVESTMENT AGREEMENTS (10.7%)
5,557 Morgan Guaranty Trust Company -
Liquidity Fund 7.750 06/01/2018 7.750 5,557
17,683 Morgan Guaranty Trust Company -
- ---------- Revenue Fund 7.050 06/01/2018 7.050 17,683
--------
23,240 Total Investment Agreements 23,240
- ---------- --------
$ 313,959 Total Investments (100.0%) $217,201
========== ========
</TABLE>
(A) This institution has filed for bankruptcy under Chapter 11 of the Federal
Bankruptcy Code.
(B) This institution has been placed on nonaccrual status as more fully
discribed in Note 6.
<PAGE>
(Signature Page, to follow Item 79 at Screen Number 40, Page
Number 33)
This report is signed on behalf of the registrant in the City of Boston
and the Commonwealth of Massachusetts on the 26th day of July, 1996.
COLLEGE AND UNIVERSITY FACILITY
LOAN TRUST TWO
By: State Street Bank and Trust
Company, not in its individual
capacity, but solely as Owner
Trustee under a Declaration of Trust
dated March 11, 1988 and amended and
restated on May 12, 1988, and
December 4, 1989.
By: James E. Schultz
Assistant Secretary
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This Schedule contains summary financial information extracted from the
May 31, 1996 Financial Statements and is qualified in its entirety by
reference to such financial statements.
</LEGEND>
<MULTIPLIER> 1000
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> NOV-30-1996
<PERIOD-START> DEC-01-1995
<PERIOD-END> MAY-31-1996
<INVESTMENTS-AT-COST> 217202
<INVESTMENTS-AT-VALUE> 0
<RECEIVABLES> 2056
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 1223
<TOTAL-ASSETS> 220481
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 191936
<OTHER-ITEMS-LIABILITIES> 6660
<TOTAL-LIABILITIES> 198596
<SENIOR-EQUITY> 9855
<PAID-IN-CAPITAL-COMMON> 10193
<SHARES-COMMON-STOCK> 1763800
<SHARES-COMMON-PRIOR> 1763800
<ACCUMULATED-NII-CURRENT> 73
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 21885
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 10807
<OTHER-INCOME> 0
<EXPENSES-NET> 9282
<NET-INVESTMENT-INCOME> 1525
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 1425
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 719
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 26
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 10193
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 8942
<GROSS-EXPENSE> 9282
<AVERAGE-NET-ASSETS> 21872
<PER-SHARE-NAV-BEGIN> 6.42
<PER-SHARE-NII> .86
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> .40
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 6.82
<EXPENSE-RATIO> .42
<AVG-DEBT-OUTSTANDING> 197255
<AVG-DEBT-PER-SHARE> 111.84
</TABLE>
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