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Filed pursuant to Rule 424(b)(5)
Registration File No. 333-33823
PROSPECTUS SUPPLEMENT TO PROSPECTUS DATED JANUARY 19, 2000
$2,750,400
Asset Backed Notes, Series 2000-1
Due December 1, 2029
FAIC II ISSUER TRUST 2000-1
Issuer
Fund America Investors Corporation II
Depositor
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<TABLE>
<CAPTION>
Principal Initial Interest
Amount Interest Rate(1) Rate(2)
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<S> <C> <C> <C>
Class F Notes $1,986,400 One-Month LIBOR + 1.10%(3) 6.35%
Class S Notes 764,000 20.54% - (2.6 x One-Month LIBOR)(4) 6.89%
</TABLE>
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(1) Interest on the notes will be paid monthly beginning on March 1, 2000.
(2) The initial interest rate will apply to the first interest accrual
period. The interest rate on any class of notes for subsequent interest
accrual periods will be calculated using the formula applicable to that
class.
(3) The interest rate on the Class F notes shall not exceed 9.00%.
(4) The interest rate on the Class S notes will not be less than 0.00%.
Before the trust may issue the notes to you, Moody's must have assigned
a rating of "Aaa" to each class of notes.
Merrill Lynch & Co. will purchase the notes at their issuance and will
offer the notes from time to time in negotiated transactions at varying prices
to be determined at the time of sale.
The trust initially will consist of seven agency securities with an
aggregate principal balance of $3,216,000 and an interest reserve fund with a
balance of $5,462.50.
INVESTING IN THE NOTES INVOLVES RISK. SEE "RISK FACTORS" ON PAGE S-10 OF THIS
PROSPECTUS SUPPLEMENT AND PAGE 6 OF THE PROSPECTUS.
NEITHER THE SEC NOR ANY STATE SECURITIES COMMISSION HAS APPROVED OR DISAPPROVED
OF THESE SECURITIES OR DETERMINED IF THIS PROSPECTUS SUPPLEMENT OR THE
PROSPECTUS TO WHICH IT RELATES IS TRUTHFUL OR COMPLETE. ANY REPRESENTATION TO
THE CONTRARY IS A CRIMINAL OFFENSE.
Merrill Lynch & Co.
Prospectus Supplement dated January 19, 2000.
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IMPORTANT NOTICE ABOUT THE INFORMATION WE PRESENT IN THIS
PROSPECTUS SUPPLEMENT AND IN THE ACCOMPANYING PROSPECTUS.
You should rely only on the information contained in this document or
to which we have referred you. We have not authorized anyone to provide you with
different information. This document may only be used where it is legal to sell
these securities. The information in this document may only be accurate on the
date of this document.
We provide information to you about the notes in two separate documents
that progressively provide more detail: the accompanying prospectus, which
provides general information, some of which may not apply to your notes, and
this prospectus supplement, which describes the specific terms of your notes.
NEITHER FANNIE MAE NOR FREDDIE MAC NOR ANY OF THEIR RESPECTIVE AFFILIATES
IS A PARTICIPANT IN THIS OFFERING.
Your notes will not be listed on any securities exchange.
Although the underwriter intends to make a secondary market in your
notes, it is not required to do so. A secondary market for your notes may not
develop. If one does develop, it may not continue or provide sufficient
liquidity.
Until 90 days after the date of this Prospectus Supplement, all dealers
that sell the offered notes, whether or not participating in this offering, may
be required to deliver a prospectus and prospectus supplement. This requirement
is in addition to the dealer's obligation to deliver a prospectus and prospectus
supplement when acting as underwriters with respect to their unsold allotments
or subscriptions.
This prospectus supplement and the accompanying prospectus include
cross-references to captions in these materials where you can find further
related discussions. The following table of contents and the table of contents
included in the accompanying prospectus provide the pages on which these
captions are located.
Certain persons participating in this offering may engage in
transactions that stabilize, maintain or otherwise affect the price of the
notes. Such transactions may include stabilizing, the purchase of notes to cover
syndicate short positions and the imposition of penalty bids.
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TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
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<S> <C>
Summary of Terms...........................................................5
Risk Factors..............................................................10
Summary of Transaction....................................................13
Use of Proceeds...........................................................13
The Issuer................................................................13
Assets of the Issuer and Security for the Notes...........................14
The Agency Securities and Assets of the Underlying Pools..................15
Description of the Notes..................................................19
General ........................................................19
Payments ........................................................19
Priority of Distributions........................................20
Payments of Interest.............................................20
Method of Calculating LIBOR......................................21
Payments of Principal............................................21
Reports to Noteholders...........................................22
Optional Note Redemption.........................................22
Form and Denomination of the Notes...............................23
Yield, Average Life and Prepayment Considerations.........................23
Prepayments and Defaults.........................................23
PSA Standard Prepayment Assumption Model.........................24
Pre-Tax Yields to Maturity.......................................24
Declining Balances Tables........................................25
Description of the Indenture..............................................27
Note Collection Account..........................................27
Interest Reserve Account.........................................28
Expense Reserve Account..........................................28
Events of Default................................................29
Amendment........................................................30
The Note Trustee.................................................31
Duties of the Note Trustee.......................................32
Governing Law.............................................................32
Certain Federal Income Tax Considerations.................................32
Certain ERISA Considerations..............................................35
Legal Investment Considerations...........................................37
Underwriting..............................................................37
Legal Matters.............................................................38
Ratings .................................................................38
SCHEDULE I: LIST OF AGENCY SECURITIES
EXHIBIT A: YIELD TABLE
EXHIBIT B: DECLINING BALANCES TABLES
ANNEX I: OFFERING MEMORANDA FOR AGENCY SECURITIES
</TABLE>
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SUMMARY OF TERMS
o This summary highlights selected information from this document and does
not contain all of the information that you need to consider in making your
investment decision. To understand more completely all of the terms of an
offering of the notes, read carefully this entire document and the
prospectus.
o This summary provides an overview of calculations, cash flows and other
information to aid your understanding and is qualified by the full
description of this information in this prospectus supplement and the
prospectus.
INFORMATION ABOUT THE TRUST
Your notes will be issued by FAIC II Issuer Trust 2000-1, a trust created by
Fund America Investors Corporation II prior to the closing date. The trust's
assets are primarily the agency securities described below. The majority of the
trusts' assets will secure payment of your notes.
Christiana Bank & Trust Company, a banking corporation incorporated in the State
of Delaware, will be the trustee of the issuer. State Street Bank and Trust
Company will be the certificate agent, with respect to the class R certificates,
and will be the note trustee for the notes under the indenture.
SECURITIES OFFERED
The trust will issue the following notes:
o Class F Notes
Principal Amount $1,986,400
Interest Rate One-month LIBOR + 1.10% (capped at 9.00%)
Interest Paid Monthly
o Class S Notes
Principal Amount $764,000
Interest Rate 20.54% - (2.6 x One-month LIBOR) (floor of 0.00%)
Interest Paid Monthly
The assumed final scheduled monthly distribution date on the notes will be
December 1, 2029. The notes constitute senior debt obligations of the trust and
will be secured by a pledge of most of the trust's assets, including the Fannie
Mae and Freddie Mac securities described below, pursuant to an indenture. To the
extent payments collected by the trust on the agency securities exceed amounts
needed to pay interest on the notes on a monthly payment date, the trust will
use the excess collections to prepay the notes.
OTHER SECURITIES NOT OFFERED
The trust will also issue $465,600 aggregate principal amount of FAIC II Issuer
Trust 2000-1, Class R Certificates. The class R certificates are not offered
under this prospectus supplement.
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CLOSING DATE
The closing date will be on or about January 20, 2000.
FORM AND MINIMUM DENOMINATION
The notes will be issued in definitive, fully registered certificated form
without interest coupons in minimum denominations of U.S. $10,000.
See "Description of the Notes - Form, Denomination, Registration and Transfer of
the Notes."
TRANSFER OF ASSETS TO THE TRUST
Pursuant to a Purchase Agreement, dated as of January 20, 2000, between Fund
America II and Merrill Lynch, Fund America II will purchase the seven agency
securities described below. In turn, Fund America II will transfer the agency
securities to the trust, pursuant to a Deposit and Sale Agreement.
THE ASSETS CONTAINED IN YOUR TRUST
The assets of the trust will primarily be:
o the seven agency securities described below;
o the amounts in the note collection account, the interest reserve account,
the expense reserve account (each described below) and the trust agreement
collection account established under the issuer trust agreement; and
o all proceeds of the foregoing.
Under the indenture, the issuer will pledge most of its assets to secure payment
of the notes. The pledged assets, however, will not include principal
collections on the Freddie Mac 2203 PG security until the certificate balance of
the class R certificates has been reduced to zero and also will not include
amounts on deposit in the expense reserve account and the trust agreement
collection account.
THE AGENCY SECURITIES
The Depositor shall deposit seven REMIC securities issued by either Fannie Mae
or Freddie Mac, each of which guarantees the payment of principal and interest
on its respective securities. The agency securities consist of the following
seven securities:
o Fannie Mae 1999-51 R
Principal Balance $500,000
Coupon Rate 6.0%
Stated Maturity October 2029
o Fannie Mae 1999-19 R
Principal Balance $500,000
Coupon Rate 6.5%
Stated Maturity May 2029
o Fannie Mae 1999-39 R
Principal Balance $500,000
Coupon Rate 6.5%
Stated Maturity August 2029
o Freddie Mac 2114 R
Principal Balance $400,000
Coupon Rate 6.0%
Stated Maturity January 15, 2029
o Freddie Mac 2137 R
Principal Balance $500,000
Coupon Rate 6.5%
Stated Maturity March 15, 2029
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o Freddie Mac 2149 R
Principal Balance $500,000
Coupon Rate 6.5%
Stated Maturity May 15, 2029
o Freddie Mac 2203 PG
Principal Balance $316,000
Coupon Rate 6.0%
Stated Maturity September 15, 2022
The total principal balance of the agency securities is approximately
$3,216,000.
With the exception of the Freddie Mac 2203 PG security, each agency security is
a REMIC residual security. Each residual security is entitled to distributions
of interest and principal payments in accordance with the priorities set forth
in the underlying documents related to it. In addition, each residual agency
security is entitled to receive the proceeds of any remaining assets of the
related trust fund after the principal balances of all of the senior securities
have been reduced to zero.
See "The Trust - The Agency Securities and Assets of the Underlying Pools."
Neither Fannie Mae nor Freddie Mac nor any of their respective affiliates is a
participant in this offering.
THE POOLS UNDERLYING THE AGENCY SECURITIES
The assets of the REMIC related to each of the agency securities consist of
either (i) direct beneficial ownership interests in discrete pools of
single-family, fixed rate, first lien, residential mortgages and mortgage
participations or (ii) indirect beneficial ownership interests in mortgage loans
of this type in the form of mortgage-backed securities.
See "The Trust - The Agency Securities and Assets of the Underlying Pools."
NOTE COLLECTION ACCOUNT
The note trustee will establish a note collection account and deposit into it
all amounts collected on the agency securities other than, until the certificate
balance of the class R certificates has been reduced to zero, principal
collected on the Freddie Mac 2203 PG security. On every monthly payment date,
the note trustee will distribute amounts in the note collection account to
noteholders as described below.
See "Description of the Indenture - Note Collection Account."
INTEREST RESERVE ACCOUNT
On the closing date, the Depositor will deposit U.S. $5,462.60, which is an
amount equal to or greater than the amount of interest that will accrue on the
notes from January 20, 2000 through January 31, 2000, into the interest reserve
account. These funds will be applied on the first monthly payment date, together
with accrued interest on the agency securities held in the note collection
account, to make the first interest payment on the notes, which will reflect
interest accrued over the initial accrual period of 41 days. Any funds remaining
in the interest reserve account on the final monthly payment date after all
required payments on the notes have been made shall be deposited into the trust
agreement collection account for distribution as additional investment yield on
the class R certificates.
See "Description of the Indenture - Interest Reserve Account."
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EXPENSE RESERVE ACCOUNT
On the closing date, the Depositor will deposit U.S. $45,000 into the expense
reserve account to pay the fees and ordinary expenses of the issuer trustee, the
note trustee and the issuer certificate agent. That amount is expected to be
sufficient to pay all scheduled fees and ordinary expenses owing to those
parties. On each monthly payment date the issuer trustee shall be entitled to
receive $166.67, the note trustee shall be entitled to receive $291.66 and the
issuer certificate agent shall be entitled to receive $291.66. On any monthly
payment date, if the amount in the expense reserve account shall be insufficient
to pay these amounts, then the issuer trustee, the note trustee and the issuer
certificate agent shall be allocated 22.22%, 38.89% and 38.89%, respectively, of
any amount available in the expense reserve account.
See "Description of the Indenture - Expense Reserve Account."
DISTRIBUTIONS OF INTEREST AND PRINCIPAL
Distributions of interest and principal on your notes will occur on the first
business day of each month beginning on March 1, 2000. In the ordinary course,
monies received on the trust assets will be applied as follows:
o Any principal distributions collected on the Freddie Mac 2203 PG security
will be applied to reduce the certificate balance of the class R
certificates until the class R certificates' certificate balance has been
reduced to zero.
o All other payments received on the assets will be applied as follows:
Step One
Interest payments on the class F notes and class S notes, pro rata
Step Two
Principal payments on class F notes and class S notes, pro rata, until
their respective principal balances have been reduced to zero
Step Three
To the trust agreement collection account for payment (after payment of
certain amounts, if any, owed to the note trustee, issuer trustee, or
issuer certificate agent) to the class R certificates until their
certificate balances are reduced to zero
Step Four
To the trust agreement collection account for payment to the class R
certificates as additional investment yield
OPTIONAL REDEMPTION OF YOUR NOTES
The holders of the class R certificates, or the Depositor or its assignee (if it
has previously caused the trust to redeem the class R certificates or given
notice to the trust of a redemption of the class R certificates on the upcoming
monthly payment date), may cause a redemption of the notes on any monthly
payment date on or after the earlier of (A) June 1, 2005 and (B) the first
monthly payment date on which the remaining balance of the agency securities
shall be equal to or less than 20% of the principal amount of the agency
securities (at original issuance), after giving effect to any
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principal payments on such monthly payment date. The redemption price will be
equal to 100% of the principal balance of the notes.
See "Description of the Notes - Optional Note Redemption."
FEDERAL INCOME TAX CONSEQUENCES TO YOU
Hunton & Williams has advised the issuer that the notes will be treated as debt
for federal income tax purposes. Therefore, interest paid or accrued will be
taxable to you. By acceptance of your notes, you will be deemed to have agreed
to treat your notes as debt instruments for purposes of federal and state income
tax, franchise tax and any other tax measured by income.
See "Certain Federal Income Tax Consequences."
ERISA CONSIDERATIONS FOR PLANS AND PLAN INVESTORS
The notes are eligible for purchase by persons investing assets of employee
benefit plans or individual retirement accounts. You should carefully review
with your legal advisor whether the purchase or holding of the notes could give
rise to a prohibited transaction.
See "Certain ERISA Considerations."
YOUR NOTES MAY BE LEGAL INVESTMENT FOR REGULATED ORGANIZATIONS
The class F and class S notes will be mortgage-related securities for purposes
of the Secondary Mortgage Market Enhancement Act of 1984, as long as they are
rated in one of the two highest rating categories by one or more nationally
recognized statistical rating organizations.
See "Legal Investment Considerations."
THE RATINGS ASSIGNED TO YOUR NOTES
Before the trust may issue the notes to you, Moody's must have assigned a rating
of "Aaa" to each class of notes. A security rating is not a recommendation to
buy, sell or hold securities and may be subject to revision or withdrawal at any
time by the assigning rating organization.
See "Ratings."
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RISK FACTORS
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In addition to the risk factors in the prospectus, you should note the
following:
ASSETS OF THE TRUST ARE LIMITED.
The credit risks associated with agency securities are complex. Only persons
familiar with mortgage loan performance and asset-backed security structures
should consider the notes as an appropriate investment.
The trust will not have any significant assets or sources of funds other than
the agency securities, the accounts described in this prospectus supplement and
certain related contractual rights. The notes represent obligations only of the
trust and do not represent interests in or obligations of Merrill Lynch, Fund
America II, the issuer trustee, the note trustee, the issuer certificate agent,
Fannie Mae, Freddie Mac or any of their respective affiliates.
If an event of default occurs under the indenture, the note trustee may be
instructed to sell or otherwise dispose of the trust's assets. There is no
established trading market providing listings or quotations for securities or
assets similar to the trust assets. Moreover, the value of the agency securities
is subject to fluctuation depending on the performance of the mortgage loans in
the underlying pools related to the agency securities, general economic
conditions and the level of market interest rates. We cannot assure you that, if
the agency securities were to be liquidated, the proceeds of those liquidations
would be sufficient to pay the notes in full.
PREPAYMENTS ON MORTGAGE LOANS MAY ADVERSELY AFFECT YIELDS.
Unlike standard corporate bonds, the timing and amount of principal payments on
the notes are not fixed and will be determined by the timing and amount of cash
flows on the agency securities. These cash flows on the agency securities will
be dependent on the amount of payments and the rate of prepayments on the
mortgage loans in the related underlying pool. The timing of principal payments
on the mortgage loans is affected by a variety of economic, geographic, legal
and social factors, and the borrowers' ability to prepay a mortgage loan at any
time. In general, when interest rates decline, prepayments on a pool of
receivables such as the mortgage loans will increase as borrowers seek to
refinance at lower rates.
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In the case of any notes purchased at a premium to their principal amount, a
faster-than-anticipated rate of principal payments of the mortgage loans in the
underlying pools is likely to result in a lower-than-anticipated yield on those
notes. Conversely, in the case of any notes purchased at a discount to their
principal amount, a slower-than-anticipated rate of principal payments of the
mortgage loans in the underlying pools is likely to result in a
lower-than-anticipated yield on such notes.
CHANGES IN LIBOR MAY AFFECT THE YIELD ON YOUR NOTES.
Investors in the class F notes should consider the risk that
lower-than-anticipated levels of LIBOR could result in actual yields to
investors that are lower than anticipated. In addition, such investors should
consider the fact that the interest rate cannot exceed its specified maximum
rate, regardless of the level of LIBOR.
Investors in the Class S Notes should consider the risks that
higher-than-anticipated levels of LIBOR could result in actual yields to
investors that are significantly lower than anticipated and that, at certain
levels of LIBOR, the interest rate will be 0%.
It is highly unlikely that LIBOR will remain constant at any level. The timing
of changes in the level of LIBOR may affect the actual yield to an investor,
even if the average level is consistent with the investor's expectation. In
general, the earlier a change in the level of LIBOR, the greater the effect on
an investor's yield. As a result, the effect on an investor's yield of a LIBOR
level that is higher (or lower) than the rate anticipated by the investor during
earlier periods is not likely to be offset by a later equivalent reduction (or
increase).
Changes in LIBOR may not correlate with changes in fixed mortgage interest
rates. A higher level of LIBOR could occur concurrently with lower prevailing
fixed mortgage interest rates (which would be expected to result in faster
prepayments), thereby compounding the negative effects of each separate factor
on the yield to investors in the Class S Notes.
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IF FUND AMERICA II BECAME INSOLVENT, THE TRANSFER OF THE AGENCY SECURITIES TO
THE TRUST MAY BE RECHARACTERIZED AS A PLEDGE.
Fund America II intends that the transfer of assets to the trust will constitute
an absolute conveyance, rather than a pledge of the assets to secure
indebtedness. However, if Fund America II were to become a debtor under the
federal bankruptcy code, it is possible that a creditor or trustee in bankruptcy
of Fund America II may argue that the transfer of the assets by Fund America II
to the trust was a pledge of the trust assets rather than an absolute
conveyance. This position, if presented to or accepted by a court, could result
in a delay in or reduction of payments to you.
THE IRS MAY CHARACTERIZE NOTES AS EQUITY INTERESTS.
Hunton & Williams has advised the issuer that the notes will be treated as debt
for United States federal income tax purposes. However, there is no authority
relating to any closely comparable security, and no ruling has been requested or
received from the Internal Revenue Service regarding the characterization of the
notes. If the notes are not characterized as debt, they are likely to be treated
as equity interests in a partnership which holds the assets of the trust. Such a
characterization conceivably could cause you to be required to include in income
amounts substantially in excess of interest accrued on the notes.
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SUMMARY OF TRANSACTION
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Prior to the closing date, Merrill Lynch acquired seven REMIC agency
securities issued by either Fannie Mae or Freddie Mac (the "Agency Securities").
Pursuant to a Purchase Agreement, Merrill Lynch will transfer the agency
securities to Fund America II ("the Depositor"). Pursuant to a Deposit and Sale
Agreement (the "Deposit Agreement"), the Depositor will then transfer the agency
securities and certain of the Depositor's rights under the Purchase Agreement to
FAIC II Issuer Trust 2000-1 (the "Issuer").
On the closing date, pursuant to the indenture, the trust will issue
the notes and pledge certain of its assets to State Street, in its capacity as
note trustee under the indenture (the "Note Trustee"), to secure the obligations
of the trust under the notes. In addition, pursuant to the Issuer Trust
Agreement (defined below), the trust will issue the class R certificates.
Pursuant to the Deposit Agreement, the trust will remit the proceeds of
the sale of the notes and the class R certificates (net of certain amounts to be
deposited to the Interest Reserve Account and the Expense Reserve Account) to
the Depositor. The Depositor will in turn remit such amounts to Merrill Lynch in
consideration for the Agency Securities.
On each Monthly Payment Date, from collections received on the Agency
Securities (other than principal payments on the Freddie Mac 2203 PG security so
long as the class R certificate balance is greater than zero), the Note Trustee
will make payments of interest then due and payable on the notes. To the extent
that collections received with respect to the Agency Securities (other than
principal collections on the Freddie Mac 2203 PG security so long as the class R
certificate balance is greater than zero) exceed amounts necessary to make
payments of interest on the notes on a Monthly Payment Date, the trust shall
make payments of principal of the notes of each class, pro rata based on their
respective outstanding principal balances. Principal received on the Freddie Mac
2203 PG security will be payable on the class R certificates until the
certificate balance of the class R Certificates is reduced to zero, and only
thereafter will be used to make payments on the notes.
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USE OF PROCEEDS
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The trust will remit the net proceeds from the issuance and sale of the
Notes and the Class R Certificates to the Depositor as consideration for the
transfer of the assets to the trust by the Depositor pursuant to the Deposit
Agreement. The Depositor will use the net proceeds of that sale to purchase the
Agency Securities from Merrill Lynch under the Purchase Agreement.
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THE ISSUER
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The Issuer, FAIC II Issuer Trust 2000-1, is a statutory business trust
formed under the laws of the State of Delaware pursuant to an Agreement of
Trust, dated January 19, 2000. The Issuer will be
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governed by an Amended and Restated Agreement of Trust, dated as of January 20,
2000 (the "Issuer Trust Agreement"), among the Depositor, Christiana Bank &
Trust Company, as Issuer Trustee (the "Issuer Trustee") and State Street Bank
and Trust Company (the "Issuer Certificate Agent") for the purpose of entering
into the transactions described in this prospectus supplement. Prior to entering
into the Deposit Agreement, the Issuer will have no assets or obligations. After
its formation, the Issuer will not engage in any activity other than:
o acquiring and holding the Agency Securities and other related
assets, and the proceeds therefrom pursuant to the Deposit
Agreement;
o issuing the Notes pursuant to the Indenture and the Class R
Certificates pursuant to the Issuer Trust Agreement;
o making payments on the Notes and the Class R Certificates; and
o engaging in other activities that are necessary, suitable or
convenient to accomplish the foregoing or are incidental thereto
or connected therewith.
The address of the registered office of the Issuer in the State of
Delaware is c/o Christiana Bank & Trust Company, Greenville Center, 3801 Kennett
Pike, Greenville, Delaware 19807. The duties of the Issuer Trustee are
ministerial and are limited to those expressly provided by the Issuer Trust
Agreement.
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ASSETS OF THE ISSUER AND SECURITY FOR THE NOTES
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The assets of the Issuer (the "Issuer Assets") will consist primarily
of:
o the Agency Securities;
o the amounts in the Note Collection Account, the Interest Reserve
Account, the Expense Reserve Account and the Trust Agreement
Collection Account (each as defined herein), including any
Eligible Investments purchased with funds held in the Note
Collection Account, the Interest Reserve Account and the Expense
Reserve Account; and
o all proceeds of the foregoing.
The Notes will be secured by all of the Issuer Assets except for:
o the amounts in the Trust Agreement Collection Account and the
Expense Reserve Account (including any Eligible Investments
purchased with funds held in the Expense Reserve Account); and
o until the certificate balance of the Class R Certificates has
been reduced to zero, principal collections on the Freddie Mac
2203 PG security.
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The assets which secure payments on the Notes are referred to in this
prospectus supplement as the "Pledged Assets."
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THE AGENCY SECURITIES AND ASSETS OF THE UNDERLYING POOLS
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On or before the Closing Date, the Depositor will transfer the Agency
Securities to the Issuer. These Agency Securities comprise most of the Issuer's
assets. Fannie Mae guarantees timely distribution of principal and interest to
holders of the Fannie Mae securities. Freddie Mac guarantees the timely payment
of interest at the rates described below and the payment of the principal amount
of the Freddie Mac securities. The seven Agency Securities are described more
fully below.
Fannie Mae Certificates
The assets of the Issuer include the following securities issued by
Fannie Mae:
o Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1999-51
Designation: Class R
Principal Amount: $500,000
Principal Type: PAC
Interest Rate: 6.00%
Stated Maturity: October 2029
o Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1999-19
Designation: Class R
Principal Amount: $500,000
Principal Type: SEQ
Interest Rate: 6.50%
Stated Maturity: May 2029
o Guaranteed REMIC Pass-Through Certificates
Fannie Mae REMIC Trust 1999-39
Designation: Class R
Principal Amount: $500,000
Principal Type: PAC
Interest Rate: 6.50%
Stated Maturity: August 2029
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Each of the Fannie Mae Agency Securities is designated a "residual
class" with respect a REMIC Trust and is entitled to receive payments of
interest at the stated rate of interest in the related documents identified on
Schedule I attached to this prospectus supplement (the "Fannie Mae Underlying
Documents"), principal payments in accordance with the priorities set forth in
the related Fannie Mae Underlying Documents, subject to the limitations and
other provisions more fully described in such Fannie Mae Underlying Documents.
The Fannie Mae Agency Securities are also entitled to the proceeds of the
remaining assets, if any, of the related trust after all required principal and
interest payments on all other classes of securities issued by the related trust
have been made.
The Fannie Mae 1999-51, Class R Certificate ("Fannie Mae 1999-51 R")
represents a residual interest and beneficial ownership interest in the
underlying Fannie Mae 1999-51 Trust. The assets of the Fannie Mae 1999-51 Trust
include (i) certain Fannie Mae Guaranteed Mortgage Pass-Through Certificates
("Fannie Mae MBS"), (ii) certain "fully modified pass-through" mortgage-backed
securities guaranteed as to timely payment of principal and interest by Ginnie
Mae ("Ginnie Mae Certificates"), and (iii) seven separate non-interest bearing
cash deposits of $999.99 each. Each Fannie Mae MBS represents a beneficial
ownership interest in a pool of first lien, single-family, fixed rate loans
("Fannie Mae Mortgages"). In addition, the mortgage loans underlying the Ginnie
Mae Certificates are either insured or guaranteed by the Federal Housing
Administration ("FHA"), the Department of Veterans Affairs ("VA") or the Rural
Housing Service ("Ginnie Mae Mortgages").
The Fannie Mae 1999-19, Class R Certificate ("Fannie Mae 1999-19 R")
represents a residual interest and beneficial ownership interest in the
underlying Fannie Mae 1999-19 Trust. The assets of the Fannie Mae 1999-19 Trust
include five groups of Fannie Mae MBS, which ultimately are secured by Fannie
Mae Mortgages.
The Fannie Mae 1999-39, Class R Certificate ("Fannie Mae 1999-39 R,"
and, together with Fannie Mae 1999-19R and Fannie Mae 1999-51R, the "Fannie Mae
Residual Securities") represents a residual interest and beneficial ownership
interest in the underlying Fannie Mae 1999-39 Trust. The assets of the Fannie
Mae 1999-39 Trust include two groups of Fannie Mae MBS and a previously issued
REMIC certificate. The previously issued REMIC certificate evidences the
beneficial ownership interests in a related Fannie Mae REMIC Trust, the assets
of which are Fannie Mae MBS.
Freddie Mac Certificates
The assets of the Issuer include the following securities issued by
Freddie Mac:
o Multiclass REMIC Certificates and Modifiable and
Combinable REMIC Certificates, Series 2114
Designation: Class R
Principal Amount: $400,000
Principal Type: PAC
Interest Rate: 6.00%
Stated Maturity: January 15, 2029
S-16
<PAGE> 17
o Multiclass REMIC Certificates and Modifiable and
Combinable REMIC Certificates, Series 2137
Designation: Class R
Principal Amount: $500,000
Principal Type: PAC
Interest Rate: 6.50%
Stated Maturity: March 15, 2029
o Multiclass REMIC Certificates and Modifiable and
Combinable REMIC Certificates, Series 2149
Designation: Class R
Principal Amount: $500,000
Principal Type: PAC
Interest Rate: 6.50%
Stated Maturity: May 15, 2029
o Multiclass REMIC Certificates and Modifiable and
Combinable REMIC Certificates, Series 2203
Designation: Class PG
Principal Amount: $316,000
Principal Type: SC/PAC
Interest Rate: 6.00%
Stated Maturity: September 15, 2022
Each of the Series 2114 Class R Freddie Mac Security ("Freddie Mac 2114
R"), the Series 2137 Class R Freddie Mac Security ("Freddie Mac 2137 R") and the
Series 2149 Class R Freddie Mac Security ("Freddie Mac 2149 R") (each, a
"Freddie Mac Residual Security") is designated the "Residual Class" with respect
to the Upper-Tier REMIC Pool related to such Freddie Mac Residual Security.
Capitalized terms used in this paragraph and not otherwise defined above are
defined in the Base Book or the Series Supplement related to the applicable
Freddie Mac Residual Security identified on Schedule I. The assets of each such
Upper-Tier REMIC consists of (i) the classes of "regular interests" in one or
more separate trust funds each referred to as a "Lower-Tier REMIC" in the
related Series Supplement and (ii) in the case of Freddie Mac 2114 R and Freddie
Mac 2137 R, a non-interest bearing cash deposit of a relatively de minimis
amount in the related Retail Rounding Account. The assets of such Lower Tier
REMICs differ for each Freddie Mac Residual Security but generally consist of
Freddie Mac PCs, Giant PCs, Gold PCs, Gold PCs, Gold Giant PCs, Multiclass PCs,
Giant Securities, Ginnie Mae Certificates and/or other assets. Each such asset
represents directly or indirectly a beneficial ownership interest in a related
pool of Mortgage Loans described in the related Series Supplement. Each Freddie
Mac Residual Security is entitled to receive payments of interest at the stated
rate of interest thereon, principal payments in accordance with the priorities
set forth in the related documents identified on Schedule I attached to this
prospectus supplement (the "FHLMC Underlying Documents" and, together with the
Fannie Mae Underlying Documents, the "Underlying
S-17
<PAGE> 18
Documents"), subject to the limitations and other provisions more fully
described in such Underlying Documents and the proceeds of the remaining assets,
if any, of the related REMIC Pool after all required principal and interest
payments on all classes issued from such REMIC pool have been made.
The Series 2203 Class PG Freddie Mac Security ("Freddie Mac 2203 PG")
is designated as a "Regular Class" with respect to the Upper-Tier REMIC related
to the Series 2203 Freddie Mac Securities. The structure and assets of such
Upper-Tier REMIC are similar to the Upper-Tier REMICs related to the Freddie Mac
Residual Securities. Freddie Mac 2203 PG is entitled to distributions of
interest at the stated rate of interest thereon and principal payments, in
accordance with the priorities set forth in the related Underlying Documents
until such principal amount is reduced to zero, subject to the limitations and
other provisions as described more fully in such FHLMC Underlying Documents.
Principal Types
Except for Fannie Mae 1999-19 R, which receives principal in sequence
with other related securities, each of the Agency Securities was structured as a
"planned amortization class" or "PAC Class." A PAC Class is designed to receive
principal payments collected on the underlying assets to the extent necessary to
amortize such class in accordance with a planned amortization schedule.
The applicable planned amortization schedule for each Agency Security
was based on certain assumptions as to prepayments on the mortgage loans
underlying such Agency Security. This Prospectus Supplement does not contain
information as to whether such classes have adhered to their planned
amortization schedule, whether any related support classes remain outstanding or
whether such classes otherwise have performed as originally anticipated.
The Underlying Mortgage Loans
The Mortgage Loans consist of conventional, fixed rate,
one-to-four-family, fully-amortizing, level monthly payment, first mortgage
loans with original maturities of up to approximately 30 years. Payments on the
Mortgage Loans, directly or indirectly, underlying the Agency Securities will
either be distributed in the same month of payment or the month succeeding the
month of payment.
Additional Information
The description of the Agency Securities and the Mortgage Loans herein
does not purport to be complete. Set forth on Schedule I attached hereto is a
list of documents relevant to each of the Agency Securities.
Fannie Mae documents may be obtained from Fannie Mae by writing or
calling its MBS Helpline at 3900 Wisconsin Avenue, N.W., Area 2H-3S, Washington,
D.C. 20016; telephone 1-800-BEST-MBS or 202-752-6547. Most of the related
offering documents are available on Fannie Mae's website located at
http://www.fanniemae.com.
Investors can order the Freddie Mac documents from Freddie Mac by
writing or calling its Investor Inquiry Department at 8200 Jones Branch Drive,
McLean, Virginia 22102; outside Washington, D.C. metropolitan area, telephone
800-336-3672; within Washington, D.C. metropolitan area, telephone 703-450-3777.
Freddie Mac also publishes a supplemental statement applicable to
S-18
<PAGE> 19
each series shortly after the applicable closing date. Investors can obtain the
supplemental statement, any offering materials for specific certificates, and
historic and current information concerning specific certificates from Freddie
Mac's Investor Inquiry Department. Freddie Mac's Internet Web-Site
(http://www.freddiemac.com) displays the offering circular supplements, the
supplemental statements, schedules of the certificates, and information, updated
monthly, regarding each class of the applicable underlying Freddie Mac series.
The documents referenced above and listed on Schedule I attached hereto
pursuant to which each Agency Security were offered are collectively referred to
herein as the "Underlying Offering Documents" related to such Agency Security. A
copy of each Underlying Offering Document related to the agency securities is
attached hereto as Annex I.
Material changes in facts and circumstances may have occurred since the
date of each Underlying Document. These may include changes in prepayment
speeds, prevailing interest rates and other economic factors. As a result, the
usefulness of the information set forth in the Underlying Documents may be
limited.
NEITHER FANNIE MAE NOR FREDDIE MAC NOR ANY OF THEIR RESPECTIVE
AFFILIATES IS A PARTICIPANT IN THIS OFFERING.
An election was made to treat each Underlying Pool as a "Real Estate
Mortgage Investment Conduit" ("REMIC") for federal income tax purposes. The
REMIC regulations require that the REMIC issue a single class of "residual
interest," in addition to one or more classes of "regular interests." The
Freddie Mac Regular Security is a "regular interest" in the related Underlying
Pool. Each of the Fannie Mae Residual Securities and the Freddie Mac Residual
Securities constitutes the "residual interest" in the related Underlying Pool.
- --------------------------------------------------------------------------------
DESCRIPTION OF THE NOTES
- --------------------------------------------------------------------------------
GENERAL
The Notes will be issued and secured pursuant to the terms of the
Indenture.
PAYMENTS
Principal and interest on the Notes will be payable on the first
business day of each month starting on March 1, 2000 (each, a "Monthly Payment
Date") to Holders of record of the Notes as of the close of business on the last
Business Day of the calendar month immediately preceding such Payment Date (the
"Record Date").
The Note Trustee will send each payment on a Monthly Payment Date to
each Holder, together with a statement setting forth, among other things, (i)
the amount of such payment allocable to interest and (ii) the amount of such
payment allocable to principal. Such amounts will be expressed as a dollar
amount per U.S. $1,000 of the original principal amount of the Notes.
S-19
<PAGE> 20
PRIORITY OF DISTRIBUTIONS
Monies received from the Agency Securities and, in certain cases, funds
from the Interest Reserve Account, will be allocated as follows:
First, the principal distributions from Freddie Mac 2203 PG will be
applied to reduce the certificate balance of the Class R Certificates, until the
certificate balance of the Class R Certificates has been reduced to zero.
Second, principal and interest from the Freddie Mac Residual Securities
and the Fannie Mae Residual Securities, and any interest from Freddie Mac 2203
PG (and any principal from Freddie Mac 2203 PG after the certificate balance of
the Class R Certificates has been reduced to zero) will be applied in the
following order of priority:
o to make interest payments on the Class F and Class S Notes,
allocated pro rata between the Classes based on their respective
Note Interest Amounts;
o to make principal payments on the Class F and Class S Notes,
allocated pro rata between the Classes based on their respective
outstanding principal balances, until the principal balances
thereof have been reduced to zero; and
o to the Trust Agreement Collection Account (and after payment of
certain amounts, if any, owed to the Note Trustee, Issuer Trustee
or Issuer Certificate Agent) (A) first, to reduce the certificate
balance of the Class R Certificates, until the certificate
balance of the Class R Certificates has been reduced to zero and
(B) second, to pay additional investment yield on the Class R
Certificates.
PAYMENTS OF INTEREST
For the initial interest accrual period, interest will accrue on the
outstanding principal amounts of the Class F and Class S Notes at their
respective initial interest rates set forth on the cover of this prospectus
supplement. Thereafter, interest will accrue on the outstanding principal amount
of the Class F and Class S Notes at the respective adjustable per annum interest
rates described on the cover of this prospectus supplement, calculated as
described in "-- Method of Calculating LIBOR" below. Interest shall be payable
on each Monthly Payment Date at one-twelfth of the annual rate (calculated on
the basis of a 360-day year consisting of twelve 30-day months) (for each
Monthly Payment Date, and each Class of Notes, the related "Note Interest
Amount"). On each Monthly Payment Date, the Note Trustee will pay the Note
Interest Amount on each Class of Notes, pro rata based on their respective Note
Interest Amounts, to the holders of Notes of such Class. Interest on the Notes
will accrue from and including the prior Monthly Payment Date (or, in the case
of the first Monthly Payment Date, the Closing Date) up to but excluding the
current Monthly Payment Date (each, an "Interest Accrual Period").
Amounts in the Interest Reserve Account will be used to make payments
of interest on the Class F and Class S Notes on the first Monthly Payment Date.
Thereafter, any remaining amounts will be used to make interest payments on the
Notes as necessary.
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<PAGE> 21
METHOD OF CALCULATING LIBOR
The Note Trustee will determine LIBOR and calculate the interest rate
on the Notes for any Interest Accrual Period pursuant to the "BBA Method," two
business days prior to the Monthly Payment Date on which the Interest Accrual
Period begins. LIBOR is calculated under the BBA Method based on the Interest
Settlement Rate of the British Bankers' Association ("BBA") for one-month U.S.
dollar deposits. The "Interest Settlement Rate" will be the rate found on
Telerate page 3750 (or any replacement page) as of 11:00 a.m. (London time) on
that date. Currently, it is based on rates quoted by 16 BBA-designated banks as
being, in their view, the offered rate at which these deposits are being quoted
to prime banks in the London interbank market. The Interest Settlement Rate is
calculated by eliminating the four highest rates and the four lowest rates,
averaging the eight remaining rates, carrying the percentage result to six
decimal places and rounding to five decimal places.
The Note Trustee's calculation of the interest rate on each Class of
Notes for each Interest Accrual Period will be final and binding, absent
manifest error. If the Note Trustee is unable to calculate LIBOR on any required
date, it will use the LIBOR calculated for the prior Interest Accrual Period
until a new LIBOR can be calculated.
Listed below are historical one-month LIBOR rates since 1996 (as
published by The Bloomberg). The Bloomberg is not the source for the
determination of LIBOR, and there are likely to be minor variations in LIBOR
quoted by The Bloomberg and LIBOR determined as provided above. In any event,
LIBOR may fluctuate significantly over time and may not increase or decrease in
a constant pattern from period to period. The following does not purport to be
representative of future one-month LIBOR rates. No assurance can be given as to
the one-month LIBOR value to be applied to calculate interest rates on either
class of the Notes for any Interest Accrual Period.
<TABLE>
<CAPTION>
Month Year
----- ---------------------------------------------------
1999 1998 1997 1996
------- ------- ------- --------
<S> <C> <C> <C> <C>
January.............. 4.87656% 5.53516% 5.37500% 5.37500%
February............. 4.90000 5.62500 5.37500 5.25000
March................ 4.87469 5.62500 5.62500 5.37500
April................ 4.84000 5.59375 5.62500 5.37500
May.................. 4.88125 5.59375 5.62500 5.37500
June................. 5.17375 5.59766 5.62500 5.43359
July................. 5.13125 5.59275 5.56250 5.40234
August............... 5.31250 5.58203 5.59375 5.37500
September............ 5.33750 5.31250 5.59375 5.37109
October.............. 5.34625 5.17625 5.58594 5.31250
November............. 6.42000 5.55813 5.90625 5.50000
December............. 5.76000 6.00156 5.65625 5.43750
</TABLE>
PAYMENTS OF PRINCIPAL
The Notes will be due and payable on December 1, 2029 (the "Final
Scheduled Payment Date") to the extent not repaid or redeemed prior thereto. On
each Monthly Payment Date, the Note Trustee will pay principal to the holders of
each Class of Notes, pro rata based on their respective outstanding principal
balances from amounts collected on the Agency Securities (other than, until the
principal balance of the Class R Certificates has been reduced to zero, amounts
representing principal paid on the Freddie Mae 2203 PG security).
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<PAGE> 22
REPORTS TO NOTEHOLDERS
Within five Business Days following each Monthly Payment Date,
commencing March 1, 2000, the Note Trustee shall furnish or make available to
the Issuer and each Noteholder a statement (an "Account Statement") setting
forth the status of the Note Collection Account, the Interest Reserve Account,
the Expense Reserve Account and the Trust Agreement Collection Account showing,
for the related Interest Accrual Period, deposits in or withdrawals from the
Note Collection Account, the Interest Reserve Account, the Expense Reserve
Account and the Trust Agreement Collection Account and proceeds of investments
of funds in the Note Collection Account, the Interest Reserve Account and the
Expense Reserve Account. The Account Statement shall also set forth the
following information:
o the Outstanding Principal Amounts of each Class of the Notes and
the outstanding certificate balance of the Class R Certificates,
respectively, as of the end of the immediately preceding Interest
Accrual Period;
o the amounts in the Note Collection Account, the Interest Reserve
Account, the Expense Reserve Account and the Trust Agreement
Collection Account as of the end of the immediately preceding
Interest Accrual Period;
o the amounts of such funds in the Note Collection Account (and, if
any, the Interest Reserve Account) applied toward the payment of
any Note Interest Amount on each Class of the Notes on the
preceding Monthly Payment Date;
o the amount, if any, of such amounts in the Note Collection
Account applied toward the reduction of the outstanding principal
balance of the each Class of Notes on the preceding Monthly
Payment Date;
o the amounts, if any, of such amounts in the Trust Agreement
Collection Account applied toward the reduction of the
outstanding certificate balance of the Class R Certificates, and
applied toward the payment of any additional investment yield on
the Class R Certificates, respectively, on the preceding Monthly
Payment Date; and
o the Outstanding Principal Amounts of each Class of the Notes and
the outstanding certificate balance of the Class R Certificates,
respectively, at the close of business on the immediately
preceding Monthly Payment Date, after application of payments to
the Notes and the Class R Certificates on such Monthly Payment
Date.
OPTIONAL NOTE REDEMPTION
The holders of the Class R Certificates may cause the Issuer to redeem
all but not less than all of the Notes at a price equal to 100% of the
Outstanding Principal Amount of the Notes (the "Optional Note Redemption
Amount") on any Monthly Payment Date on or after the earlier of (A) June 1, 2005
and (B) the first Monthly Payment Date on which the remaining balance of the
Agency Securities shall be equal to or less than 20% of the principal amount of
the Agency Securities (at original issuance), after giving effect to any
principal payments on such Payment Date (any such date, a "Permitted Note
Redemption Date"); provided that if the Depositor or its assignee has caused the
Issuer to redeem the Class R Certificates or has delivered a written demand to
the Issuer Certificate Agent for the optional
S-22
<PAGE> 23
redemption of the Class R Certificates to occur on the upcoming Monthly Payment
Date, then such entity, and not the holders of the Class R Certificates, may
cause a redemption of the Notes. In order for a redemption of the Notes to occur
on a particular Monthly Payment Date, (i) the Note Trustee shall have received
from the Issuer Trustee or the Issuer Certificate Agent a written demand for
such redemption at least 10 days but no greater than 25 days prior to the
Monthly Payment Date selected for such redemption, and (ii) the Optional Note
Redemption Amount shall have been deposited into the Note Collection Account no
later than the 9th calendar day prior to such Monthly Payment Date.
On the Monthly Payment Date established for the redemption of the
Notes, the Note Trustee will pay to each Noteholder its pro rata portion of the
Optional Note Redemption Amount together with the Note Interest Amount for such
Noteholder's Note(s) on such Monthly Payment Date, to the extent of collections
on the Agency Securities available therefor.
FORM AND DENOMINATION OF THE NOTES
Form. The Notes will be issued in definitive, fully registered
certificated form without interest coupons. The Notes are not issuable in bearer
form.
Denomination. Unless otherwise agreed by the Issuer, the Notes shall be
issued in minimum denominations of U.S. $10,000. After issuance, any Note may
fail to be in such required minimum denominations due to repayment of principal.
Registration. Pursuant to the Indenture, State Street Bank and Trust
Company shall be appointed and will serve as the registrar and transfer agent
with respect to the Notes (in such capacities, respectively, the "Note
Registrar" and the "Note Transfer Agent") and will provide for the registration
of Notes and the registration of transfers or exchanges of Notes in the register
maintained by it (the "Note Register").
- --------------------------------------------------------------------------------
YIELD, AVERAGE LIFE AND PREPAYMENT CONSIDERATIONS
- --------------------------------------------------------------------------------
The yield, average life and expected maturity of the Notes may be
affected by a number of factors that may affect the amounts and timing of the
distributions on the Issuer Assets. The two primary factors are defaults and
voluntary prepayments on the mortgage loans (the "Mortgage Loans") in the pools
of Mortgage Loans (the "Underlying Pools") underlying the Agency Securities, and
levels of LIBOR from time to time, which will determine the rate at which
interest accrues on each Class of Notes.
PREPAYMENTS AND DEFAULTS
Rapid rates of prepayments on the Mortgage Loans are likely to coincide
with periods of low prevailing interest rates. During such periods, the yields
at which an investor may be able to reinvest amounts received as principal
payments on the Notes may be lower than the yield on the Notes. Conversely, slow
rates of prepayments on the Mortgage Loans are likely to coincide with periods
of high prevailing interest rates. During such periods, the amount of principal
payments available to an investor for reinvestment at such high rates may be
relatively low.
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<PAGE> 24
The Mortgage Loans will not prepay at any constant rate until maturity,
nor will all of the Mortgage Loans prepay at the same rate at any one time. The
timing of changes in the rate of prepayments may affect the actual yield to an
investor, even if the average rate of principal prepayments is consistent with
the investor's expectation. In general, the earlier a prepayment of principal on
the Mortgage Loans, the greater the effect on an investor's yield. As a result,
the effect on an investor's yield of principal prepayments occurring at a rate
higher (or lower) than the rate anticipated by the investor during the period
immediately following the Closing Date is not likely to be offset by a later
equivalent reduction (or increase) in the rate of principal prepayments.
PSA STANDARD PREPAYMENT ASSUMPTION MODEL
Prepayments of Mortgage Loans are commonly measured by a prepayment
standard or model. The model used in this Prospectus Supplement is The Bond
Market Association's standard prepayment assumption model ("PSA"), which
represents an assumed rate of prepayment each month relative to the then
outstanding principal balance of the Mortgage Loans to which such model is
applied. A prepayment assumption of 100% PSA assumes prepayment of the then
aggregate outstanding principal balances of the Mortgage Loans in the month
following origination thereof at an annual rate of 0.2% and an additional 0.2%
in each month thereafter (for example, at an annual rate of 0.4% in the second
month) until the thirtieth month. Beginning in the thirtieth month, and in each
month thereafter until all of the Mortgage Loans are paid in full, 100% PSA
assumes that the rate of prepayment remains constant at 6% per annum. PSA does
not purport to be an historical description of prepayment experience or a
prediction of the anticipated rate of prepayment of any of the Mortgage Loans.
No representation is made as to the anticipated rate of prepayments or
foreclosures on the Mortgage Loans in any Underlying Pool or as to the
anticipated yield to maturity of any Class of Notes. You are urged to make an
investment decision with respect to any Class of Notes based upon a comparison
of desired yield to maturity with the yield to maturity that would result based
on a price paid for the Notes of such Class and your own determinations as to
anticipated rates of prepayments and foreclosures with respect to the Mortgage
Loans.
PRE-TAX YIELDS TO MATURITY
The tables contained in Exhibit A show the pre-tax yields to maturity
(corporate bond equivalent) of the Class S Notes at various constant percentages
of PSA and at various levels of LIBOR. The Issuer has prepared these tables
using the modeling assumption that all Mortgage Loans in the Underlying Pools
prepay at the same rate and are purchased for the assumed purchase prices shown
in the tables. Where the assumed price is expressed as a dollar amount, it
includes accrued interest. The assumed prices are not necessarily those at which
actual sales will occur. The yields set forth in the Pre-Tax Yield tables were
calculated by determining the monthly discount rates which, when applied to the
assumed stream of cash flows to be paid on each Note, would cause the discounted
present value of such assumed stream of cash flows to equal the assumed purchase
price for such Note plus accrued interest thereon and converting such monthly
rates to corporate bond equivalent rates. Such calculations do not take into
account variations that may occur in the interest rates at which investors may
be able to reinvest funds received by them as payments of principal of and
interest on the Notes and consequently does not purport to reflect the return on
any investment in the Notes when such reinvestment rates are considered.
S-24
<PAGE> 25
Class F Notes. Investors in the Class F Notes should understand that
interest accrues on the Class F Notes at a variable rate and is subject to a
maximum interest rate of 9.00%. Should prevailing interest rates cause LIBOR to
exceed 7.90%, the Class F Notes will only accrue interest at the maximum rate
and not at a higher rate which would account for LIBOR exceeding 7.90%.
Investors in the Class F Notes should also consider the risk that lower than
anticipated levels of LIBOR could result in actual yields to such investors that
are lower than anticipated yields.
Investors in the Class F Notes should understand that the timing of
changes in the level of LIBOR may affect the actual yields to such investors
even if the average level is consistent with such investors' expectations. Each
investor must make an independent decision as to the appropriate LIBOR
assumptions to be used in deciding whether to purchase the Class F Notes.
Class S Notes. The yield to investors in the Class S Notes will be
extremely sensitive to changes in LIBOR. High prevailing levels of LIBOR will
have a materially negative effect on the yield to investors in the Class S
Notes, which will be entitled to interest at a rate that varies inversely with
and at a multiple of LIBOR.
Changes in LIBOR may or may not correlate with changes in mortgage
interest rates. It is possible that lower mortgage interest rates, which might
be expected to result in faster prepayments, could occur concurrently with an
increased level of LIBOR, thereby compounding the negative effects of each
separate factor on the yield to investors in the Class S Notes. Conversely,
higher mortgage interest rates, which might be expected to result in slower
prepayments, could occur concurrently with a low level of LIBOR.
The significance of the effects of prepayments and changes in LIBOR on
the payments on the Class S Notes are illustrated in the Pre-Tax Yield Tables,
attached as Exhibit A, which show the approximate pre-tax yields (on a corporate
bond equivalent basis) to the holders of such Notes under the different constant
percentages of PSA and varying LIBOR levels indicated. The pre-tax yields set
forth in these tables were calculated assuming the purchase price of the Class S
Notes was $519,520, which includes accrued interest.
DECLINING BALANCES TABLES
The tables contained in Exhibit B shows, for each Class of the Notes,
(i) the percentages of their original principal amounts that would be
outstanding after each of the dates shown at various constant percentages of PSA
and (ii) their weighted average life at such various constant percentages of
PSA.
Variations in actual prepayment experience for the Mortgage Loans may
increase or decrease the percentages of initial principal amounts (and weighted
average lives) shown in the tables contained in Exhibit B. The declining balance
tables have been prepared based on assumptions about the Agency Securities and
the Underlying Mortgage Loans using the information provided by either Fannie
Mae or Freddie Mac with respect to the characteristics of the Mortgage Loans in
the Underlying Pools. It has been assumed that the mortgage loans underlying
each Agency Security have the following characteristics:
S-25
<PAGE> 26
<TABLE>
<CAPTION>
Approximate Weighted Approximate
Original Average Remaining Approximate Weighted
Backing Term to Term Weighted Average Average
Underlying Security Group Maturity to Maturity Loan Age Coupon
------------------- ------- -------- --------------------- ---------------- ------------
<S> <C> <C> <C> <C> <C>
Fannie Mae 1999-19 R Group 2 MBS 360 331 24 7.18%
Fannie Mae 1999-39 R Group 2 MBS 360 338 19 7.09
Fannie Mae 1999-51 R Group 2 MBS 360 340 17 6.90
Freddie Mac 2114 R Group 2 360 342 13 6.69
Freddie Mac 2137 R Group 3 360 345 11 7.03
Freddie Mac 2149 R Group 1 360 349 8 7.04
Freddie Mac 2203 PG Group 4
FHLMC 2081
PA, 2085 PG, 360 336 18 7.15
2102 PA, 360 338 17 7.11
2102 PJ 360 342 13 7.03
360 342 13 7.03
</TABLE>
It has been further assumed, among other things, that (i) the Agency Securities
have the principal balances, interest rates, and stated maturities set forth in
"The Agency Securities and Assets of the Underlying Pools" herein, (ii) each
payment on each Mortgage Loan will be made on its due date and that no such
Mortgage Loan will be prepaid or will default, (iii) the Monthly Payment Dates
on the Notes occur on the first day of each month commencing in March 2000, (iv)
the Mortgage Loans prepay at the constant percentage of PSA specified in the
tables, (v) all amounts due with respect to the Mortgage Loans are applied to
the payment of the Agency Securities guaranteed by Freddie Mac on the 15th day
of each month and to the payment of the Agency Securities guaranteed by Fannie
Mae on the 25th day of each month, (vi) there are no optional terminations of
the Agency Securities and no optional redemption of the Notes occurs, (vii) the
settlement date is January 20, 2000, (viii) each month consists of 30 days, (ix)
no reinvestment income on funds in the Note Collection Account or the Interest
Reserve Account will be available to make principal and interest payments on the
Notes, (x) all amounts in the Interest Reserve Account will be paid on the Notes
on the first Monthly Payment Date, and (xi) interest rates applicable to each
Class of Notes for each Interest Accrual Period subsequent to the first Interest
Accrual Period will be calculated based on the indicated level of LIBOR.
There is no assurance that prepayment of the Mortgage Loans will conform to any
of the constant percentages of PSA described in the tables contained in Exhibit
B. The Mortgage Loans do not have the characteristics assumed, and mortgage
prepayment rates may differ from the constant rates shown. These differences may
affect the actual payment behavior and weighted average life of any Class of
Notes.
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<PAGE> 27
- --------------------------------------------------------------------------------
DESCRIPTION OF THE INDENTURE
- --------------------------------------------------------------------------------
The Notes will be issued pursuant to an Indenture (the "Indenture") to
be dated as of January 20, 2000, between the Issuer and State Street and Trust
Company, a trust company organized in the Commonwealth of Massachusetts, as the
trustee thereunder (the "Note Trustee").
The Note Trustee will be responsible for:
o authentication and delivery of the Notes;
o maintaining the Note Register to record registrations, transfers
and exchanges of the Notes;
o cancellation and redemption of the Notes;
o collection of amounts in respect of Issuer Assets;
o calculation of the applicable interest rate on each Class of the
Notes for each Monthly Payment Date;
o paying interest, principal and other payments due on the Notes;
and
o giving notice to, and receiving notice from, Noteholders, in each
case as provided in the Indenture.
NOTE COLLECTION ACCOUNT
All interest and principal payments and other collections in respect of
the Pledged Assets and any Optional Note Redemption Amount will be remitted to
the Note Trustee and deposited into a segregated account in the name of the Note
Trustee for the benefit of the Noteholders (the "Note Collection Account") and
will be available to make payments as described herein. Funds held in the Note
Collection Account shall be invested by the Note Trustee in Eligible Investments
that mature not later than the business day immediately preceding the next
Monthly Payment Date, except that obligations of State Street may mature on the
Monthly Payment Date. On each Monthly Payment Date, principal collections on
Freddie Mac 2203 PG will be remitted to the Trust Agreement Collection Account
and distributed in reduction of the certificate balance of the Class R
Certificates until the certificate balance of the Class R Certificates is
reduced to zero, and only thereafter will be used to make payments on the Notes.
On any Monthly Payment Date, including the Final Scheduled Monthly
Payment Date, any collections from the Agency Securities remaining in the Note
Collection Account after all principal of and interest on the Notes have been
paid in full shall be withdrawn from the Note Collection Account by the Note
Trustee and deposited into the Trust Agreement Collection Account for
distribution by the Issuer Certificate Agent to the Certificateholders on such
date (after payment of certain amounts, if any, owed to the Note Trustee, Issuer
Trustee or Issuer Certificate Agent) in reduction of the certificate balance of
the Class R Certificates or, if the outstanding certificate balance of the Class
R Certificates is zero, as additional investment yield on the Class R
Certificates.
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INTEREST RESERVE ACCOUNT
On the Closing Date, U.S. $5,462.60, an amount equal to or greater than
the amount of interest that will accrue on the Notes from the Closing Date
through the end of January 2000, shall be deposited into a segregated account in
the name of the Note Trustee for the benefit of the Noteholders (the "Interest
Reserve Account") and will be added to interest collections from the Agency
Securities in February 2000 to enable the Issuer to make in full the first
interest payments due on the Notes, which will accrue over 41 days. Funds held
in the Interest Reserve Account shall be invested by the Note Trustee in
Eligible Investments that mature not later than the Business Day immediately
preceding the next Monthly Payment Date, except that obligations of State Street
may mature on the Monthly Payment Date. On any Monthly Payment Date, any funds
remaining in the Interest Reserve Account after all required payments have been
made on such date shall be reinvested by the Note Trustee in Eligible
Investments that mature not later than the Business Day immediately preceding
the next Monthly Payment Date, except that obligations of State Street may
mature on such next succeeding Monthly Payment Date; provided that any funds
remaining in the Interest Reserve Account after all required payments on the
Notes have been made in full will be withdrawn from the Interest Reserve Account
by the Note Trustee and deposited into the Trust Agreement Collection Account
for distribution by the Issuer Certificate Agent to the Certificateholders on
such date as distributions of interest on the Class R Certificates.
EXPENSE RESERVE ACCOUNT
On the Closing Date, U.S. $45,000 shall be deposited into a segregated
account in the name of the Note Trustee for the benefit of the Issuer Trustee,
the Note Trustee and the Issuer Certificate Agent (the "Expense Reserve
Account") and will be available to pay the expected fees and ordinary expenses
of the Issuer Trustee, the Note Trustee and the Issuer Certificate Agent as
described in the Indenture and the Issuer Trust Agreement, as applicable;
provided that on each Payment Date the Issuer Trustee shall be entitled to
receive $166.67, the Note Trustee shall be entitled to receive $291.66 and the
Issuer Certificate Agent shall be entitled to receive $291.66, in each case to
the extent that funds are available therein to pay such fees. On any Payment
Date, if the amount in the Expense Reserve Account shall be insufficient to pay
each of the Issuer Trustee, the Note Trustee and the Issuer Certificate Agent,
then the Issuer Trustee, the Note Trustee and the Issuer Certificate Agent shall
be allocated 22.22%, 38.89% and 38.89%, respectively, of such amount available
in the Expense Reserve Account and such respective portions shall be distributed
to the Issuer Trustee, the Note Trustee and the Issuer Certificate Agent.
Funds held in the Expense Reserve Account shall be invested by the Note
Trustee in Eligible Investments that mature not later than the Business Day
immediately preceding the next Monthly Payment Date, except that obligations of
State Street may mature on the Monthly Payment Date. On any Monthly Payment
Date, any funds remaining in the Expense Reserve Account after all required
payments have been made on such date shall be reinvested by the Note Trustee in
Eligible Investments that mature not later than the Business Day immediately
preceding the next Monthly Payment Date, except that obligations of State Street
may mature on such next succeeding Payment Date; provided that any funds
remaining in the Expense Reserve Account after all required payments on the
Notes and the Class R Certificates have been made in full will be withdrawn from
the Expense Reserve Account by the Note Trustee and allocated among the Issuer
Trustee, the Note Trustee and the Issuer Certificate
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<PAGE> 29
Agent in accordance with the proportions specified above and such respective
portions shall be distributed to the Issuer Trustee, the Note Trustee and the
Issuer Certificate Agent on such date.
Unless otherwise specified in the Indenture and the Issuer Trust
Agreement, the Issuer Trustee, the Note Trustee and the Issuer Certificate
Agent, or their respective successors in such capacities, shall be entitled to
receive fees solely from amounts on deposit in the Expense Reserve Account. In
the event that any of the Issuer Trustee, the Note Trustee and the Issuer
Certificate Agent shall resign from their respective capacities in accordance
with the terms of the agreements to which it is a party, any amounts required to
be provided by it in respect of the fees of its successor in such capacity or
capacities shall be deposited into the Expense Reserve Account.
EVENTS OF DEFAULT
Pursuant to the Indenture, "Events of Default" will consist of each of
the following:
o failure by the Issuer to make (or cause to be made on its behalf)
payment of the Outstanding Principal Amount of the Notes when due
at maturity;
o failure by the Issuer to make (or cause to be made on its behalf)
on any Monthly Payment Date a payment on each Class of Notes of
the Note Interest Amount for such Class;
o failure by the Issuer duly to observe or to perform any other
covenant or agreement of the Issuer under the Indenture, the
Notes or any other Transaction Document (as defined in the
Indenture), as the case may be, which failure (i) materially
adversely affects the rights of the Noteholders and (ii)
continues unremedied for a period of 30 days (or, with respect to
any covenant or agreement relating to the remittance of
distributions and other amounts by the Issuer, a period of 5
days) after the earlier of (x) a responsible officer of the
Issuer becoming aware of such default and (y) the giving of
written notice of such failure by the Note Trustee or by any
Noteholder;
o termination or impairment of the Note Trustee's security interest
in the Pledged Assets;
o any representation, warranty, certification or statement made by
the Issuer in the Indenture or in any Transaction Document or in
any Note, financial statement or other document delivered
pursuant to any Transaction Document shall prove to have been
incorrect in any material respect when made (or deemed made);
o (i) the Issuer shall become insolvent or bankrupt; or shall admit
in writing its inability to pay its debts or honor its
obligations, or shall apply to any tribunal for the appointment
of a receiver, liquidator or trustee of or for itself or for all
or any substantial part of its property or assets; (ii) a
receiver, liquidator or trustee of or for the Issuer (or for all
or any substantial part of its property or assets) is appointed
and not discharged within 60 days; or (iii) any bankruptcy,
insolvency, reorganization, arrangement or liquidation
proceedings (or similar proceedings analogous in purpose and
effect) shall be instituted by or against the Issuer, or any
supervisory authority having jurisdiction in the premises shall
have taken possession of the business or property of the Issuer
with a view to the liquidation of its affairs or the
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<PAGE> 30
conservation of its assets, and in either case, are consented to
by the Issuer, or are not dismissed within 60 days;
o the rendering of any final judgment, enforceable in any competent
court, against the Issuer, for the payment of money equal to or
in excess of U.S. $10,000, and such judgment shall not be
discharged or dismissed or execution thereon stayed pending
appeal within 60 days after entry; or
o the Certificate of Trust or other related organizational
documents of the Issuer shall be amended without the written
consent of a majority of the Noteholders.
If an Event of Default with respect to the Notes occurs and is
continuing, the Note Trustee at the direction of the registered holders of at
least 25% of the aggregate outstanding principal amount of the Notes may declare
the entire principal amount of the Notes to be immediately due and payable. Such
declaration may, under certain circumstances, be rescinded by the Majority
Noteholders.
If the Notes have been declared due and payable following an Event of
Default, the Note Trustee may liquidate all or any portion of the Issuer Assets,
or elect to maintain possession of the Issuer Assets and continue to apply all
collections from the Issuer Assets as if there had been no declaration of
acceleration, all as directed by the Majority Noteholders. Any proceeds from the
liquidation of the Freddie Mac 2203 PG security representing principal of that
security will be distributed to the Certificateholders separate from other
liquidation proceeds received by the Note Trustee. The Note Trustee will be
prohibited from selling the Issuer Assets following an Event of Default, unless
(i) all of the Noteholders consent to such sale; or (ii) the proceeds of such
sale are sufficient to pay in full the principal of and the accrued interest on
the outstanding Notes and the outstanding certificate balance of the Class R
Certificates, in each case, at the time of such sale; or (iii) the Note Trustee
determines that the collections on the Issuer Assets will not be sufficient on
an ongoing basis to make all payments of interest on the Notes as such payments
become due and to pay the outstanding principal amount of the Notes at maturity,
and the Note Trustee obtains the consent of the Noteholders of 66-2/3% of the
aggregate outstanding amount of the Notes.
AMENDMENT
The Indenture may be amended by the Issuer and the Note Trustee but
without the consent of any of the Noteholders, to cure any ambiguity or to
correct or supplement any provision therein, provided that such action will not
materially and adversely affect the interests of any Noteholder or affect any
other securities previously issued by Fund America II or a related trust. The
Indenture may also be amended by the Issuer and the Note Trustee and at least
two-thirds by aggregate principal balance of the registered Noteholders for the
purpose of adding any provisions to or changing in any manner or eliminating
certain of the provisions of the Indenture or of modifying, in any manner, the
rights of the Noteholders. Notwithstanding the foregoing, no terms of the
Indenture may be altered or amended unless the Note Trustee has received an
opinion of counsel stating that for federal income tax purposes the alteration
or amendment will not cause the Issuer to be treated as an association or a
publicly traded partnership taxed as a corporation, or cause the Notes to fail
to be treated as indebtedness.
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<PAGE> 31
No such amendment may (i) increase or reduce in any manner the amount
of, or accelerate or delay the timing of, payments that are required to be made
on any Note or change of the Note Interest Rate on any Class of Notes (ii)
reduce the percentage of the aggregate Outstanding Principal Amount of the Notes
required to consent to any such amendment, without the consent of the
Noteholders of all Notes then outstanding or (iii) permit the creation of a lien
with a priority before the lien of the Indenture.
THE NOTE TRUSTEE
State Street Bank and Trust Company is the Note Trustee under the
Indenture. State Street Bank and Trust Company is a trust company organized in
the Commonwealth of Massachusetts and its corporate trust office is located at
(i) for courier deliveries, 2 Avenue de Lafayette, 6th Floor, Boston,
Massachusetts 02111, and (ii) for deliveries by U.S. Mail, P.O. Box 778, Boston,
Massachusetts 02102-0778. Merrill Lynch and its affiliates may maintain
commercial banking relations with the Note Trustee and its affiliates. Except
for determining LIBOR and calculating the interest rate on each Class of the
Notes, the Note Trustee will perform limited administrative functions under the
Indenture, including making payments from the Note Collection Account, the
Interest Reserve Account and the Expense Reserve Account. The Note Trustee's
liability in connection with the issuance and sale of the Notes is limited
solely to the express obligations of the Note Trustee set forth in the
Indenture. State Street Bank and Trust Company also acts as the Issuer
Certificate Agent under the Issuer Trust Agreement.
State Street Bank and Trust Company, in its capacity as the Note
Trustee, in its individual capacity or otherwise, and any of its affiliates, may
hold Class R Certificates in their own names or as pledgees. In addition, for
the purpose of meeting the legal requirements of certain jurisdictions, the Note
Trustee, with the consent of the Issuer, shall have the power to appoint
co-trustees. In the event of such appointment, all rights, powers and duties and
obligations conferred or imposed upon the Note Trustee by the Indenture will be
conferred or imposed upon the Note Trustee and such co-trustee jointly, or, in
any jurisdiction where the Note Trustee is incompetent or unqualified to perform
certain acts, singly upon such co-trustee who shall exercise and perform such
rights, powers, duties and obligations solely at the discretion of the Note
Trustee.
The Note Trustee may not resign and be discharged from the trust
created by the Indenture unless:
o the Note Trustee shall have provided 30 days' written notice to
the Issuer and the Noteholders;
o the Note Trustee shall locate a successor Note Trustee satisfying
the eligibility requirements for such successor Note Trustee set
forth in the Indenture; and
o the Note Trustee shall have agreed with such prospective
successor Note Trustee as to fees to be paid such successor Note
Trustee for serving as Note Trustee with respect to the Notes so
long as the Notes are outstanding and, if such agreed-upon fees
to be paid the successor Note Trustee exceed the amounts
remaining in the Expense Reserve Account allocated to the Note
Trustee, the Note Trustee shall have made provisions for such
shortfall in a manner satisfactory to such successor Note
Trustee; and
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<PAGE> 32
o such successor Note Trustee shall agree to be assigned all of the
rights and powers, and to assume all of duties and obligations,
of the Note Trustee set forth in the Indenture and the other
related Transaction Documents.
The Note Trustee may be removed upon written notice by the a majority
of the Noteholders delivered to the Note Trustee and to the Issuer. The Issuer
may also remove the Note Trustee, if the Note Trustee ceases to be eligible to
serve, becomes legally unable to act, is adjudged insolvent or is placed in
receivership or similar proceedings. In such circumstances, the Issuer will be
obligated to appoint a successor trustee. Any resignation or removal of the Note
Trustee and appointment of a successor trustee will not become effective until
acceptance of the appointment by the successor trustee; provided that no
successor to the Note Trustee shall be appointed unless such successor Note
Trustee shall also be appointed the successor to the Issuer Certificate Agent
under the Issuer Trust Agreement.
DUTIES OF THE NOTE TRUSTEE
The Note Trustee will be required to perform only those duties
specifically required of it under the Indenture. Pursuant to the Indenture, the
Note Trustee is authorized and empowered after the failure to pay any amount on
or in connection with any Issuer Asset when such amount is due and payable under
the applicable Underlying Document and to the extent permitted under and in
compliance with applicable law and regulations, to commence enforcement
proceedings with respect to such Issuer Asset.
The Note Trustee shall be under no obligation to exercise any of the
rights or powers vested in it by the Indenture at the request, order or
direction of any of the Noteholders, including the Majority Noteholders,
pursuant to the provisions of the Indenture, unless such Noteholders shall have
furnished to the Note Trustee reasonable security or indemnity against the
costs, expenses and liabilities (including, without limitation, attorneys' fees
and expenses) which might be incurred therein or thereby.
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GOVERNING LAW
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The Notes and the Indenture will be governed by and construed in
accordance with the laws of the State of New York. The Issuer has irrevocably
submitted to the non-exclusive jurisdiction of any New York State or United
States federal court sitting in The City and County of New York over any suit,
action or proceeding arising out of or relating to any of the Notes and the
Indenture. The Issuer will appoint the Issuer Trustee as its agent upon whom
process may be served in any such suit, action or proceeding.
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CERTAIN FEDERAL INCOME TAX CONSIDERATIONS
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The following is a general discussion of certain federal income tax
consequences relating to the purchase, ownership, and disposition of the Notes.
The discussion is based upon the current provisions of the Internal Revenue Code
of 1986, as amended (the "Code"), the Treasury Regulations promulgated
thereunder and judicial or ruling authority, all of which are subject to change,
which change
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may be retroactive. The discussion addresses only the original holders of Notes
in whose hands the Notes are capital assets and does not purport to deal with
federal income tax consequences applicable to special classes of investors, such
as dealers in securities or currencies, life insurance companies, tax exempt
entities, and persons that hold a Note in connection with an arrangement that
completely or partially hedges the Note. Investors should consult their own tax
advisors with respect to the consequences (including state, local, foreign and
any other tax consequences) of the purchase, ownership, and disposition of
Notes.
This discussion is based upon existing law, contained in the Code, the
Treasury regulations promulgated under the Code, administrative rulings and
other pronouncements, and court decisions as of the date hereof. The existing
law, as currently interpreted, is subject to change by either new legislation,
or by differing interpretations of existing law in regulations, administrative
pronouncements or court decisions, any of which could, by retroactive
application or otherwise, adversely affect an investment in the Issuer.
Treatment of Notes as Debt. The Noteholders will agree by their
purchase of Notes to treat the Notes as debt for United States federal, state
and local income, franchise and any similar tax purposes. Although there are no
regulations, published rulings or judicial decisions involving the
characterization for federal income tax purposes of interests with closely
comparable terms to the Notes, in the opinion of Hunton & Williams, the Notes
will be classified as debt for federal income tax purposes. This opinion is
based in part on certain projections and other financial information supplied by
the Underwriter. Except as otherwise specified, the discussion below assumes
this characterization of the Notes is correct.
Interest Income on the Notes. Payments of stated interest on a Note
will be taxable to a Holder as ordinary income at the time it is received or
accrued, depending on the Noteholder's method of tax accounting. The Notes will
be treated as having original issue discount ("OID") if their principal amount
exceeds their "issue price" (generally the first price at which the Underwriter
sells a substantial portion of the Notes) by more than a statutory de minimis
amount. Computation of the statutory de minimis rule is unclear in the case of
instruments such as the Notes on which principal is to be paid based on the
timing of payments received by the Issuer from underlying debt instruments or
securities. If the Notes are treated as having OID, Noteholders generally will
be required to account for income derived from the Notes annually based on their
yield to maturity without regard to the amount of cash received. Consequently, a
Noteholder would be required to include in gross income OID in an amount that
may exceed payments of interest made on a Monthly Payment Date.
Sale or Other Disposition. If a Noteholder sells a Note, the Noteholder
will recognize gain or loss in an amount equal to the difference between the
amount realized on the sale and the Noteholder's adjusted tax basis in the Note.
The adjusted tax basis of a Note to a particular Noteholder generally will equal
the Noteholder's cost for the Note, increased by any market discount, OID and
gain previously included by such Noteholder in income with respect to the Note
and decreased by principal payments previously received by such Noteholder and
the amount of bond premium previously amortized with respect to the Note. Any
such gain or loss will be capital gain or loss if the Note was held as a capital
asset, except for gain representing accrued interest and accrued market discount
not previously included in income, and will be long-term capital gain or loss if
the Note was held for more than one year. Capital losses generally may be used
only to offset capital gains.
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Foreign Holders. For purposes of this discussion, a "Foreign Holder"
means a Noteholder that is not:
o a citizen or resident of the United States;
o a partnership, corporation or other entity created or organized
in or under the law of the United States or of any State of the
United States;
o an estate the income of which is subject to United States federal
income tax regardless of its source; or
o a trust if a court within the United States can exercise primary
supervision over its administration and at least one United
States person has the authority to control all substantial
decisions of the trust.
Generally, interest paid to a Noteholder who is a Foreign Noteholder
and who does not hold the Note in connection with a United States trade or
business will be treated as "portfolio interest" and therefore will be exempt
from the 30% U.S. withholding tax; provided that such Noteholder (i) is not a
bank described in Code Section 881(c), (ii) is not a holder of 10% or more of
the Class R Certificates or the stock of any Certificateholder, (iii) is not a
"controlled foreign corporation" (within the meaning of Code Section 957(a))
that is related, directly or indirectly, to the Trust or any Certificateholder,
and (iv) is not more than 10% owned by any Certificateholder. Such a Noteholder
will be entitled to receive interest payments on the Notes free of United States
federal income tax provided that such Noteholder periodically provides the Note
Trustee (or other person who would otherwise be required to withhold tax) with a
statement certifying under penalty of perjury that such Noteholder is not a
United States person and provides the name and address of such Noteholder. A
Foreign Noteholder will not be subject to federal income tax on gain from the
disposition of a Note unless the gain is effectively connected with a U.S. trade
or business of the Foreign Noteholder or the Noteholder is an individual who is
present in the United States for 183 days or more during the taxable year in
which the disposition takes place and certain other requirements are met.
Effect of Recharacterization As Other Than Debt. If the Notes are not
characterized as debt, it is likely that they would be characterized as equity
interests in the Issuer. Since the Issuer in such circumstances is likely to be
treated as a partnership for United States federal income tax purposes, the
Notes would accordingly be treated as partnership interests. The treatment of
Noteholders if the Notes are treated as partnership interests would be
materially different than if the Notes are treated as debt. As holders of
interests in a partnership, Noteholders would be required to take into account
their allocable share of the aggregate of the Issuer's items of income,
deduction and loss for the Issuer's taxable year ending with or within the
taxable year of the Noteholder. The Noteholders would increase their basis in
the Notes by any income so allocated and would decrease their basis by the
amount of any losses so allocated as well as the amount of any distributions,
which are not separately taxable unless the distributions exceed the
Noteholder's basis in the Note. Although it is not entirely clear how any amount
so allocated to the Noteholders would be determined, it is conceivable that the
Noteholders could be required to include in income amounts substantially in
excess of the interest accrued on the Notes for some period of time, reflecting
the fact that the Issuer Assets require their holders to include amounts in
taxable income that may far exceed the economic income generated by the Issuer
Assets.
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<PAGE> 35
Backup Withholding. Under certain circumstances, a Noteholder may be
subject to "backup withholding" at a 31% rate. Backup withholding may apply to a
Noteholder who is a United States person if the holder, among other
circumstances, fails to furnish such holder's Social Security number or other
taxpayer identification number to the Note Trustee. Backup withholding may
apply, under certain circumstances, to a Noteholder who is a Foreign Holder if
the Noteholder fails to provide the Note Trustee or the Noteholder's securities
broker with the statement necessary to establish the exemption from federal
income and withholding tax on interest on the Note. Backup withholding, however,
does not apply to payments on a Note made to certain exempt recipients, such as
corporations and tax-exempt organizations, and to certain foreign persons.
Noteholders should consult their tax advisors for additional information
concerning the potential application of backup withholding to payments received
by them with respect to a Note. The U.S. Treasury Department has issued
regulations that modify the current system of backup withholding compliance
effective for payments made after December 31, 2000.
THE DISCUSSION OF CERTAIN FEDERAL INCOME TAX CONSEQUENCES SET FORTH
ABOVE IS INCLUDED FOR GENERAL INFORMATION ONLY AND MAY NOT BE APPLICABLE
DEPENDING UPON A HOLDER'S PARTICULAR TAX SITUATION. PROSPECTIVE PURCHASERS
SHOULD CONSULT THEIR TAX ADVISORS WITH RESPECT TO THE TAX CONSEQUENCES TO THEM
OF THE PURCHASE, OWNERSHIP AND DISPOSITION OF NOTES, INCLUDING THE TAX
CONSEQUENCES UNDER STATE, LOCAL, FOREIGN AND OTHER TAX LAWS AND THE POSSIBLE
EFFECTS OF CHANGES IN FEDERAL OR OTHER TAX LAWS.
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CERTAIN ERISA CONSIDERATIONS
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The Employee Retirement Income Security Act of 1974, as amended
("ERISA"), and the Code impose certain requirements on those employee benefit
plans, including individual Retirement Accounts and Individual Retirement
Annuities (collectively "IRAs"), to which they apply, and on other persons using
"plan assets" of any such plan or arrangement (each, a "Plan") and on those
persons who are fiduciaries with respect to Plans that are subject to ERISA
("ERISA Plans"). In accordance with ERISA's general fiduciary standards, before
investing in the Notes, an ERISA Plan fiduciary should determine whether such an
investment is permitted under the governing Plan instruments and is appropriate
for the ERISA Plan in view of its overall investment policy and the composition
and diversification of its portfolio. For example, a fiduciary should consider
whether an investment in the Notes may be too illiquid or too speculative for a
particular ERISA Plan, and whether the assets of the ERISA Plan would be
sufficiently diversified.
Other provisions of ERISA and the Code prohibit certain transactions
involving the assets of a Plan and persons who have certain specified
relationships to the Plan ("parties in interest" within the meaning of ERISA or
"disqualified persons" within the meaning of Section 4975 of the Code), unless a
statutory or administrative exemption is applicable to the transaction.
Non-exempt prohibited transactions may generate excise taxes and other
liabilities; non-exempt prohibited transactions involving an IRA may result in
the disqualification of the IRA. Thus, an ERISA Plan fiduciary or other Plan
investor considering an investment in the Notes should also consider whether
such an investment might constitute or give rise to a non-exempt prohibited
transaction under ERISA and/or Section 4975 of the Code.
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<PAGE> 36
Certain transactions involved in the operation of the Issuer might be
deemed to constitute prohibited transactions under ERISA and Section 4975 of the
Code, if assets of the Issuer were deemed to be assets of a Plan. ERISA and the
Code do not define "plan assets." The U.S. Department of Labor (the "DOL") has
published a regulation (the "Regulation") concerning whether or not a Plan's
assets will be deemed to include an interest in the underlying assets of an
entity (such as the Issuer) for purposes of the reporting and disclosure and
fiduciary responsibility provisions of ERISA and of the excise tax provisions
related to prohibited transactions in Section 4975 of the Code if the Plan
acquires an "equity interest" in such entity. The Regulation only applies to the
purchase by a Plan of an "equity interest" in an entity. An equity interest is
defined in the Regulation as an interest in an entity other than an instrument
which is treated as debt under applicable local law, has no substantial equity
features, and which is not a beneficial interest in a trust, an undivided
ownership interest in property or a profit interest in a partnership. The Issuer
believes that the Notes will not constitute an "equity interest" of the Issuer
for purposes of the Regulation.
Regardless of whether the assets of the Issuer are Plan assets, the
acquisition of the Notes by a Plan could, depending upon the facts and
circumstances of such acquisition, be a prohibited transaction if, for example,
the Issuer, the Depositor or the Underwriter or one of its affiliates were a
"party in interest" or a "disqualified person" with respect to the Plan. Such a
prohibited transaction may, however, be treated as exempt under ERISA and
Section 4975 of the Code if the Notes were acquired pursuant to and in
accordance with one or more prohibited transaction class exemptions ("PTEs")
issued by the Department of Labor, such as PTE 90-1 (a class exemption for
certain transactions involving insurance company pooled separate accounts), PTE
91-38 (a class exemption for certain transactions involving bank collective
investment funds), PTE 95-60 (a class exemption for certain transactions
involving insurance company general accounts), PTE 84-14 (a class exemption for
certain transactions determined by independent qualified professional asset
managers) and PTE 96-23 (a class exemption for certain transactions determined
by in-house asset managers).
Governmental plans and certain church plans, while not subject to the
fiduciary responsibility provisions of ERISA or the provisions of Section 4975
of the Code, may nevertheless be subject to local, state or other federal laws
that are substantially similar to the foregoing provisions of ERISA and the
Code. Fiduciaries of any such plans should consult with their counsel before
purchasing any Notes.
EACH HOLDER OF NOTES THAT IS A PLAN WILL BE REQUIRED TO REPRESENT AND
WARRANT IN CONNECTION WITH ITS INVESTMENT IN NOTES THAT THE ACQUISITION AND
HOLDING OF THE NOTES BY THE PLAN WILL NOT RESULT IN A NON-EXEMPT PROHIBITED
TRANSACTION UNDER ERISA AND/OR SECTION 4975 OF THE CODE. FIDUCIARIES OF
GOVERNMENTAL PLANS AND CERTAIN CHURCH PLANS WILL BE REQUIRED TO PROVIDE SIMILAR
REPRESENTATIONS WITH RESPECT TO ANY SUBSTANTIALLY SIMILAR FEDERAL, STATE OR
LOCAL LAW.
In this regard, any potential investor that is an insurance company
investing assets of its general account should consider the United States
Supreme Court's decision in John Hancock Mutual Life Insurance Co. vs. Harris
Trust and Savings Bank, 510 U.S. 86 (1993), which in certain circumstances
treats such general account assets as assets of an ERISA Plan for certain
purposes, as well as the effects of Section 401(c) of ERISA and the proposed
regulations issued by the Department of Labor thereunder in December 1997.
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<PAGE> 37
The sale of any Notes to a Plan is in no respect a representation by
the Issuer, the Underwriter, the Note Trustee or any of their respective
affiliates that such an investment meets all relevant legal requirements with
respect to investments by Plans generally or any particular Plan, or that such
an investment is appropriate for Plans generally or any particular Plan.
The discussion of ERISA and the Code contained in this Prospectus
Supplement, is, of necessity, general, and does not purport to be complete. ANY
FIDUCIARY OF A PLAN OR OTHER PLAN INVESTOR CONSIDERING AN INVESTMENT IN THE
NOTES IS STRONGLY URGED TO CONSULT ITS OWN LEGAL AND TAX ADVISERS REGARDING THE
CONSEQUENCES OF SUCH AN INVESTMENT UNDER ERISA, THE CODE AND/OR OTHER APPLICABLE
LAW AND THE ABILITY TO MAKE THE REPRESENTATIONS DESCRIBED ABOVE.
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LEGAL INVESTMENT CONSIDERATIONS
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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 Notes. Any such institution
should consult its legal advisors in determining whether and to what extent
there may be restrictions on its ability to invest in the Notes. So long as
Moody's assigns a rating of "Aaa" to a class of Notes, that class of Notes will
constitute "mortgage related securities" for purposes of the Secondary Mortgage
Market Enhancement Act of 1984 ("SMMEA"). We expect the Notes to constitute
"mortgage-related securities" when issued.
- --------------------------------------------------------------------------------
UNDERWRITING
- --------------------------------------------------------------------------------
Subject to the terms and conditions set forth in the Underwriting
Agreement, dated January 19, 2000 (the "Underwriting Agreement"), among the
Issuer, Merrill Lynch, Pierce, Fenner & Smith Incorporated (the "Underwriter")
and, with respect to certain representations, warranties and covenants, Fund
America II, the Issuer has agreed to sell to the Underwriter, and the
Underwriter has agreed to purchase from the Issuer, all of the Notes. The
Underwriting Agreement provides that the Underwriter's obligations thereunder
are subject to certain conditions precedent, and that the Underwriter will be
obligated to purchase all of the Notes if any are purchased.
The Underwriter has advised the Issuer that it proposes to offer the
Notes from time to time in one or more negotiated transactions, or otherwise, at
varying prices to be determined, in each case, at the time of sale. The
Underwriter may effect such transactions by selling the Notes to or through
dealers, and such dealers may receive compensation in the form of discounts,
concessions or commissions from the Underwriter and/or commissions from any
purchaser of the Notes for whom they may act as agents. The Underwriter and any
dealers that participate with the Underwriter in the distribution of the Notes
may be deemed to be underwriters, and any discounts, concessions or commissions
received by them, and any profit on the resale of the Notes positioned by them,
may be deemed to be underwriting discounts and commissions under the Securities
Act of 1933, as amended (the "Securities Act").
S-37
<PAGE> 38
The Issuer has agreed to indemnify the Underwriter against certain
civil liabilities, including liabilities under the Securities Act, to the extent
and under the circumstances set forth in the Underwriting Agreement.
Certain persons participating in this offering may engage in
transactions that stabilize, maintain or otherwise affect the price of the
notes. Such transactions may include stabilizing, the purchase of notes to cover
syndicate short positions and the imposition of penalty bids.
The Underwriter and its affiliates, from time to time, engage in other
transactions with the Depositor, including offerings of securities that are
similar to the Notes. In addition, the Depositor will purchase the Agency
Securities described herein from the Underwriter or one of its affiliates for
sale by the Depositor to the trust.
- --------------------------------------------------------------------------------
LEGAL MATTERS
- --------------------------------------------------------------------------------
Certain legal matters relating to the Notes will be passed upon for the
Issuer by Hunton & Williams, Richmond, Virginia. The material federal income tax
consequences of the Notes will be passed upon by Hunton & Williams. Certain
legal matters relating to the Notes will be passed upon for the Underwriter by
Milbank, Tweed, Hadley & McCloy LLP, New York, New York.
- --------------------------------------------------------------------------------
RATINGS
- --------------------------------------------------------------------------------
Before the Issuer may issue any Notes to you, Moody's must have
assigned a rating of "Aaa" to each Class of the Notes.
The ratings assigned by Moody's to the Notes address the likelihood of
the receipt by Noteholders of all distributions to which such Noteholders are
entitled. The ratings are based principally on the guarantees of Fannie Mae and
Freddie Mac on the Agency Certificates and on the assets securing the underlying
Agency Securities. Moody's ratings do not represent any assessment of the
likelihood that prepayments on the Mortgage Loans underlying the Agency
Securities will be made by borrowers or the degree to which such prepayments
will differ from that originally anticipated. The ratings do not address the
possibility that, as a result of prepayments, Noteholders may suffer a lower
than anticipated yield on the Notes.
A security rating is not a recommendation to buy, sell or hold
securities and may be subject to revision or withdrawal at any time by the
assigning rating organization. Each security rating should be evaluated
independently of any other security rating. In the event that the ratings
initially assigned to the Notes are subsequently lowered for any reason, no
person or entity is obligated to provide any additional credit support or credit
enhancement with respect to the Notes.
The Issuer has not requested a rating of the Notes by any rating agency
other than Moody's. However, there can be no assurance as to whether any other
rating agency will rate the Notes or, in
S-38
<PAGE> 39
such event, what rating would be assigned to the Notes by such other rating
agency. The rating assigned by such other rating agency to the Notes may be
lower than the rating assigned by Moody's.
S-39
<PAGE> 40
SCHEDULE I
ISSUER ASSETS: AGENCY SECURITIES AND RELATED DOCUMENTS
<TABLE>
<CAPTION>
==============================================================================================================================
BASE AGREEMENT AND ANY SUPPLEMENT UNDERLYING OFFERING DOCUMENT
AGENCY SECURITY THERETO PURSUANT TO WHICH SUCH AGENCY PURSUANT TO WHICH SUCH AGENCY
TRANSFERRED TO THE ISSUER SECURITY IS ISSUED SECURITY IS OFFERED
- ------------------------------- ----------------------------------------------- --------------------------------------------
<S> <C> <C>
Fannie Mae Guaranteed o Trust Agreement dated as of April 1, 1999 o Prospectus,dated September 18,
REMIC Pass-Through by Fannie Mae as issuer and Trustee 1998, relating to Guaranteed REMIC
Certificate, Series 1999-19 thereunder for Guaranteed REMIC Pass- Pass-Through Certificates (the
Class R, Due May 2029 Through Certificates relating to Fannie "Prospectus") and
Mae REMIC Trust 1999-19.
o Prospectus Supplement, dated March
3, 1999, to the Prospectus relating to
the Underlying Fannie Mae Trust.
- -------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Guaranteed o Trust Agreement dated as of July 1, 1999 o The Prospectus and
REMIC Pass-Through by Fannie Mae as issuer and Trustee
Certificate, Series 1999-39 thereunder for Guaranteed REMIC Pass- o Prospectus Supplement, dated June
Class R, Due August 2029 Through Certificates relating to Fannie 22, 1999, to the Prospectus relating to
Mae REMIC Trust 1999-39. the Underlying Fannie Mae Trust.
- -------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Guaranteed o Trust Agreement dated as of September 1, o The Prospectus and
REMIC Pass-Through 1999 by Fannie Mae as issuer and Trustee
Certificate, Series 1999-51 thereunder for Guaranteed REMIC Pass- o Prospectus Supplement, dated August
Class R, Due October 2029 Through Certificates relating to Fannie 11, 1999, to the Prospectus relating to
Mae REMIC Trust 1999-51. the Underlying Fannie Mae Trust.
- -------------------------------------------------------------------------------------------------------------------------------
Freddie Mac Multiclass o The Multiclass REMIC Certificate o Offering Circular, dated April 1, 1998,
REMIC Certificates, Series Agreement dated as of April 1, 1998 (the relating to the offering of Multiclass
2114, Class R, Due January 15, "Underlying Freddie Mac REMIC Certificates and Modifiable
2029 Agreement") among Freddie Mac and the and Combinable REMIC Certificates
Holders of the REMIC Certificates issued by Freddie Mac (the "Base
referred to therein; and Book"); and
o the Terms Supplement to the Underlying
Freddie Mac Agreement, dated as of o Offering Circular Supplement, dated
January 29, 1999, relating to the Series December 10, 1998, to the Base Book
2114, Multiclass REMIC Certificates. relating to the Series 2114, Multiclass
REMIC Certificates.
==============================================================================================================================
</TABLE>
S-40
<PAGE> 41
<TABLE>
<S> <C> <C>
==============================================================================================================================
Freddie Mac Multiclass o The Underlying Freddie Mac Agreement; o The Base Book; and
REMIC Certificates, Series and
2137, Class R, Due March 15, o Offering Circular Supplement, dated
2029 o the Terms Supplement to the Underlying February 11, 1999, to the Base Book
Freddie Mac Agreement, dated as of relating to the Series 2137, Multiclass
March 30, 1999, relating to the Series REMIC Certificates.
2137, Multiclass REMIC Certificates.
- -------------------------------------------------------------------------------------------------------------------------------
Freddie Mac Multiclass o The Underlying Freddie Mac Agreement; o The Base Book; and
REMIC Certificates, Series and
2149, Class R, Due May 15, o Offering Circular Supplement, dated
2029 o the Terms Supplement to the Underlying March 31, 1999, to the Base Book
Freddie Mac Agreement, dated as of May relating to the Series 2149, Multiclass
28, 1999, relating to the Series 2149, REMIC Certificates.
Multiclass REMIC Certificates.
- -------------------------------------------------------------------------------------------------------------------------------
Freddie Mac Multiclass o The Underlying Freddie Mac Agreement; o The Base Book; and
REMIC Certificates, Series and
2203, Class PG, Due September o Offering Circular Supplement, dated
15, 2022 o the Terms Supplement to the Underlying November 8, 1999, to the Base Book
Freddie Mac Agreement, dated as of relating to the Series 2203, Multiclass
November 30, 1999, relating to the Series REMIC Certificates.
2203, Multiclass REMIC Certificates.
==============================================================================================================================
</TABLE>
S-41
<PAGE> 42
EXHIBIT A
YIELD TABLE
Class S Notes
Assumed Price $519,520
PREPAYMENT SPEEDS
<TABLE>
<CAPTION>
LIBOR 0% PSA 100% PSA 150% PSA 250% PSA 500% PSA
RATES Yield Yield Yield Yield Yield
--------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
7.9000% 1.5380% 1.5012% 1.5031% 1.5111% 2.0976%
and higher
6.2500 7.1754 7.1181 7.1197 7.1262 7.6522
5.2500 10.8772 10.8078 10.8089 10.8137 11.2475
4.2500 14.7544 14.6740 14.6746 14.6777 15.0050
2.2500 22.8839 22.7844 22.7845 22.7853 22.9373
Weighted Avg 25.43 25.97 25.93 25.79 18.60
Life
First Principal 04/01/2000 04/01/2000 04/01/2000 04/01/2000 04/01/2000
Payment
Final Principal 06/01/2028 06/01/2028 05/01/2028 06/01/2028 11/01/2022
Payment
</TABLE>
There is no assurance that prepayment of the mortgage loans underlying the
Agency Securities (the "Mortgage Loans") will conform to any of the constant
percentages of PSA described in the table above. The table above was prepared
based upon certain assumptions about the characteristics of the Agency
Securities, the Mortgage Loans and the Notes. See "Yield, Average Life and
Prepayment Considerations" in the Prospectus Supplement. The Mortgage Loans do
not have the characteristics assumed, and mortgage prepayment rates may differ
from the constant rates shown. These differences may affect the actual payment
behavior and weighted average life of any Class of Notes. Investors are urged to
make their own determinations as to prepayment speeds and levels of LIBOR for
purposes of conducting their own analysis of anticipated yields on any Class of
the Notes, prior to purchasing any Note.
S-42
<PAGE> 43
EXHIBIT B
DECLINING BALANCES TABLES
(Outstanding Principal Amounts on indicated dates as a percentage of the
initial principal amount of such Notes at various constant percentages of PSA)
<TABLE>
<CAPTION>
Class F Notes Class S Notes
Date 0% 100% 150% 250% 500% 0% 100% 150% 250% 500%
---- --- --- --- --- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
January 20, 2000....... 100 100 100 100 100 100 100 100 100 100
February 01, 2001...... 99 100 100 100 100 99 100 100 100 100
February 01, 2002...... 99 99 99 99 99 99 99 99 99 99
February 01, 2003...... 99 99 99 99 99 99 99 99 99 99
February 01, 2004...... 98 99 99 99 99 98 99 99 99 99
February 01, 2005...... 98 99 99 99 99 98 99 99 99 99
February 01, 2006...... 98 98 98 98 98 98 98 98 98 98
February 01, 2007...... 97 98 98 98 98 97 98 98 98 98
February 01, 2008...... 97 98 98 98 98 97 98 98 98 98
February 01, 2009...... 97 97 97 97 97 97 97 97 97 97
February 01, 2010...... 96 97 97 97 97 96 97 97 97 97
February 01, 2011...... 96 97 97 97 97 96 97 97 97 97
February 01, 2012...... 95 96 96 96 96 95 96 96 96 96
February 01, 2013...... 95 96 96 96 96 95 96 96 96 96
February 01, 2014...... 94 95 95 95 95 94 95 95 95 95
February 01, 2015...... 94 95 95 95 93 94 95 95 95 93
February 01, 2016...... 93 94 94 94 87 93 94 94 94 87
February 01, 2017...... 92 94 94 94 81 92 94 94 94 81
February 01, 2018...... 92 93 93 93 61 92 93 93 93 61
February 01, 2019...... 91 92 92 92 46 91 92 92 92 46
February 01, 2020...... 90 92 92 92 36 90 92 92 92 36
February 01, 2021...... 89 91 91 91 22 89 91 91 91 22
February 01, 2022...... 88 90 90 90 8 88 90 90 90 8
February 01, 2023...... 87 89 89 89 0 87 89 89 89 0
February 01, 2024...... 86 88 88 88 0 86 88 88 88 0
February 01, 2025...... 85 87 87 87 0 85 87 87 87 0
February 01, 2026...... 78 80 80 80 0 78 80 80 80 0
February 01, 2027...... 61 63 64 54 0 61 63 64 54 0
February 01, 2028...... 33 30 23 20 0 33 30 23 20 0
February 01, 2029...... 0 0 0 0 0 0 0 0 0 0
December 01, 2029...... 0 0 0 0 0 0 0 0 0 0
Weighted Avg. Life (yrs.) 25.68 25.97 25.95 25.82 18.61 25.68 25.97 25.95 25.82 18.61
</TABLE>
S-43
<PAGE> 44
There is no assurance that prepayment of the mortgage loans underlying the
Agency Securities (the "Mortgage Loans") will conform to any of the constant
percentages of PSA described in the tables set forth above. The tables above
were prepared based upon certain assumptions about the characteristics of the
Agency Securities, the Mortgage Loans and the Notes. See "Yield, Average Life
and Prepayment Considerations" in the Prospectus Supplement. The Mortgage Loans
do not have the characteristics assumed, and mortgage prepayment rates may
differ from the constant rates shown. These differences may affect the actual
payment behavior and weighted average life of any Class of Notes.
<PAGE> 45
ANNEX 1(a)
PROSPECTUS SUPPLEMENT
DATED MARCH 3, 1999
TO
PROSPECTUS DATED SEPTEMBER 18, 1998
RELATING TO
FANNIE MAE
GUARANTEED REMIC PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-19
<PAGE> 46
PROSPECTUS SUPPLEMENT
(TO REMIC PROSPECTUS DATED SEPTEMBER 18, 1998)
$2,450,000,000
LOGO
GUARANTEED REMIC PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-19
THE CERTIFICATES
We, the Federal National
Mortgage Association ("Fannie
Mae"), will issue the classes
of certificates listed in the
chart on this page.
PAYMENTS TO CERTIFICATEHOLDERS
We will make monthly payments
on the certificates. You, the
investor, will receive
- - interest accrued on the
balance of your certificate
(except in the case of an
accrual class), and
- - principal to the extent
available for payment on
your class.
We may pay principal at rates
which vary from time to time.
We may not pay principal to
certain classes for long
periods of time.
THE FANNIE MAE GUARANTY
We will guarantee that
required payments of principal
and interest on the
certificates are distributed
to investors on time.
THE TRUST AND ITS ASSETS
The trust will indirectly own
Fannie Mae MBS.
The mortgage loans underlying
the Fannie Mae MBS are first
lien, single-family,
fixed-rate loans.
CAREFULLY CONSIDER THE RISK
FACTORS STARTING ON PAGE
S-10 OF THIS PROSPECTUS
SUPPLEMENT AND ON PAGE 10 OF
THE REMIC PROSPECTUS. UNLESS
YOU UNDERSTAND AND ARE ABLE
TO TOLERATE THESE RISKS, YOU
SHOULD NOT INVEST IN THE
CERTIFICATES.
You should read the REMIC
prospectus as well as this
prospectus supplement.
The certificates, together
with interest thereon, are
not guaranteed by the United
States and do not constitute
a debt or obligation of the
United States or any agency
or instrumentality thereof
other than Fannie Mae.
The certificates are exempt
from registration under the
Securities Act of 1933 and
are "exempted securities"
under the Securities
Exchange Act of 1934.
MERRILL LYNCH & CO.
March 3, 1999
<TABLE>
<CAPTION>
- ----------------------------------------------------
- ----------------------------------------------------
ORIGINAL CLASS
CLASS GROUP BALANCE PRINCIPAL TYPE
- ----------------------------------------------------
<S> <C> <C> <C>
PB ...... 1 $ 19,683,600 PAC
PC ...... 1 30,326,200 PAC
PD ...... 1 16,954,800 PAC
PE ...... 1 48,068,800 PAC
PF ...... 1 30,810,800 PAC
PG ...... 1 54,835,000 PAC
PH ...... 1 33,895,200 PAC
GB ...... 1 107,559,600 SCH
FA ...... 1 10,849,850 SUP
SA ...... 1 10,849,850(1) NTL
K ...... 1 9,816,550 SUP
DA ...... 1 6,625,000 SUP
DB ...... 1 3,420,000 SUP
DC ...... 1 4,030,000 SUP
FD ...... 1 3,500,000 SUP
SD ...... 1 500,000 SUP
DE ...... 1 19,124,600 SUP
- ----------------------------------------------------
A(4) ..... 2 279,710,000 SEQ
B(4) ..... 2 8,203,000 SEQ
VA(4)..... 2 8,308,000 SEQ/AD
VB(4) .... 2 29,879,000 SEQ/AD
ZC(4)..... 2 23,400,000 SEQ
R ...... 2 500,000 SEQ
- ----------------------------------------------------
KA ...... 3 197,417,500 PAC
TB ...... 3 24,100,000 PAC
JF ...... 3 33,065,961(1) NTL
KL ...... 3 26,552,500 PAC
TC(4) .... 3 44,983,000 PAC
TD(4)..... 3 79,602,500 PAC
TE(4) .... 3 72,029,500 PAC
J ...... 3 260,584,000 TAC
Z ...... 3 4,000,000 SUP
KB ...... 3 32,895,500 PAC
KC ...... 3 57,835,500 PAC
- ----------------------------------------------------
UD ...... 4 43,334,000 PAC
UE ...... 4 50,000,000 PAC
UP ...... 4 29,811,000 PAC
UQ ...... 4 4,307,000 PAC
PN ...... 4 120,000,000 PAC
UC ...... 4 19,016,000 PAC
F(4) ..... 4 72,578,823 SUP
S(4) ..... 4 30,241,177 SUP
ZA ...... 4 30,712,000 SUP
- ----------------------------------------------------
LA ...... 5 24,906,200 PAC
LB ...... 5 277,184,800 PAC
LC ...... 5 3,182,800 PAC
GK ...... 5 75,000,000 SEG(PAC)SEQ
GL ...... 5 43,047,600 SEG(PAC)SEQ
GM ....... 5 7,720,000 SEG(PAC)SEQ
FL ...... 5 56,028,862 SUP
SL(4) .... 5 12,929,738 SUP
RL ...... 0 NPR
(1) Notional balances. These are interest only
classes.
(2) Based on LIBOR.
<CAPTION>
- ---------- -------------------------------------------------------
- ---------- -------------------------------------------------------
INTEREST INTEREST FINAL DISTRIBUTION
CLASS RATE TYPE CUSIP NUMBER DATE
- ----------------------------------------------------
<S> <C> <C> <C> <C>
PB ...... 6.00% FIX 31359V H 3 0 June 2008
PC ...... 6.00 FIX 31359V H 4 8 September 2014
PD ...... 6.00 FIX 31359V H 5 5 February 2017
PE ...... 6.00 FIX 31359V H 6 3 February 2022
PF ...... 6.00 FIX 31359V H 7 1 June 2024
PG ...... 6.00 FIX 31359V H 8 9 October 2027
PH ...... 6.00 FIX 31359V H 9 7 May 2029
GB ...... 6.00 FIX 31359V J 2 0 May 2029
FA ...... (2) FLT 31359V J 4 6 May 2029
SA ...... (2) INV/IO 31359V J 3 8 May 2029
K ...... (3) PO 31359V J 5 3 May 2029
DA ...... 7.00 FIX 31359V J 6 1 January 2028
DB ...... 7.00 FIX 31359V J 7 9 March 2028
DC ...... 7.00 FIX 31359V J 8 7 May 2028
FD ...... (2) FLT 31359V K 2 8 May 2029
SD ...... (2) INV 31359V J 9 5 May 2029
DE ...... 7.00 FIX 31359V K 3 6 May 2029
- ----------
A(4) ..... 6.50 FIX 31359V K 4 4 February 2027
B(4) ..... 6.50 FIX 31359V K 5 1 May 2027
VA(4)..... 6.50 FIX 31359V K 6 9 February 2004
VB(4) .... 6.50 FIX 31359V K 7 7 May 2014
ZC(4)..... 6.50 FIX/Z 31359V K 8 5 May 2029
R ...... 6.50 FIX 31359V K 9 3 May 2029
- ----------
KA ...... 5.75 FIX 31359V L 2 7 September 2007
TB ...... 6.50 FIX 31359V L 3 5 October 2009
JF ...... 6.50 FIX/IO 31359V L 4 3 November 2011
KL ...... 6.00 FIX 31359V L 5 0 October 2009
TC(4) .... 6.50 FIX 31359V L 6 8 November 2011
TD(4)..... 6.50 FIX 31359V L 7 6 April 2013
TE(4) .... 6.50 FIX 31359V L 8 4 May 2014
J ...... 6.50 FIX 31359V L 9 2 May 2014
Z ...... 6.50 FIX/Z 31359VM26 May 2014
KB ...... 5.75 FIX 31359VM34 October 2009
KC ...... 6.00 FIX 31359VM42 November 2011
- ----------
UD ...... 6.00 FIX 31359VM59 April 2012
UE ...... 6.00 FIX 31359VM67 October 2021
UP ...... 6.00 FIX 31359VM75 November 2020
UQ ...... 6.00 FIX 31359VM83 October 2021
PN ...... 6.00 FIX 31359VM91 August 2028
UC ...... 6.00 FIX 31359V N 2 5 May 2029
F(4) ..... (2) FLT 31359V N 4 1 August 2023
S(4) ..... (2) INV 31359V N 3 3 August 2023
ZA ...... 6.00 FIX/Z 31359V N 5 8 May 2029
- ----------
LA ...... 6.50 FIX 31359V N 6 6 September 2008
LB ...... 6.50 FIX 31359V N 7 4 April 2029
LC ...... 6.50 FIX 31359V N 8 2 May 2029
GK ...... 6.50 FIX 31359V N 9 0 February 2029
GL ...... 6.50 FIX 31359V P 2 3 May 2029
GM ....... 6.50 FIX 31359V P 3 1 May 2029
FL ...... (2) FLT 31359V P 5 6 May 2029
SL(4) .... (2) INV 31359V P 4 9 May 2029
RL ...... 0 NPR 31359V P 6 4 May 2029
(1) Notion
classes. (3) Principal only class.
(2) Based (4) Exchangeable classes.
</TABLE>
- -----------------------------------------------------
If
you own certificates of certain classes, you can
exchange them for the corresponding RCR
certificates to
be
issued at the time of the exchange. The VC, C, AC,
AJ, AB, AE, AI, KM, JC, KD, JD, UH, SM, L
and
TG Classes are the RCR classes, as further
described in this prospectus supplement.
- -----------------------------------------------------
The
dealer will offer the certificates from time to
time in negotiated transactions at varying prices.
We
expect
the settlement date to be April 30, 1999.
<PAGE> 47
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
AVAILABLE INFORMATION.................... S- 3
REFERENCE SHEET.......................... S- 4
ADDITIONAL RISK FACTORS.................. S-10
DESCRIPTION OF THE CERTIFICATES.......... S-11
GENERAL................................ S-11
Structure............................ S-11
Fannie Mae Guaranty.................. S-11
Characteristics of Certificates...... S-12
Authorized Denominations............. S-12
Distribution Dates................... S-12
Record Date.......................... S-12
Class Factors........................ S-12
Optional Termination................. S-12
COMBINATION AND RECOMBINATION.......... S-12
General.............................. S-12
Procedures........................... S-13
Additional Considerations............ S-13
THE MBS................................ S-13
FINAL DATA STATEMENT................... S-15
DISTRIBUTIONS OF INTEREST.............. S-15
Categories of Classes................ S-15
General.............................. S-15
Interest Accrual Periods............. S-16
Accrual Classes...................... S-16
Notional Classes..................... S-16
Floating Rate and Inverse Floating
Rate Classes....................... S-16
CALCULATION OF LIBOR................... S-17
DISTRIBUTIONS OF PRINCIPAL............. S-17
Categories of Classes................ S-17
Principal Distribution Amount........ S-18
Group 1 Principal Distribution
Amount............................. S-18
Group 2 Principal Distribution
Amount............................. S-19
ZC Accrual Amount.................. S-19
Group 2 Cash Flow Distribution
Amount.......................... S-19
Group 3 Principal Distribution
Amount............................. S-19
Z Accrual Amount................... S-19
Group 3 Cash Flow Distribution
Amount.......................... S-19
</TABLE>
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Group 4 Principal Distribution
Amount............................. S-20
ZA Accrual Amount.................. S-20
Group 4 Cash Flow Distribution
Amount.......................... S-20
Group 5 Principal Distribution
Amount............................. S-21
STRUCTURING ASSUMPTIONS................ S-21
Pricing Assumptions.................. S-21
Prepayment Assumptions............... S-21
Structuring Ranges and Rate.......... S-22
Initial Effective Ranges............. S-22
YIELD TABLES........................... S-24
General.............................. S-24
The Inverse Floating Rate Classes.... S-24
The K and L Classes.................. S-26
The JF, AJ, AI, JC and JD Classes.... S-26
WEIGHTED AVERAGE LIVES OF THE
CERTIFICATES......................... S-28
DECREMENT TABLES....................... S-28
CHARACTERISTICS OF THE R AND RL
CLASSES.............................. S-37
CERTAIN ADDITIONAL FEDERAL INCOME TAX
CONSEQUENCES........................... S-37
REMIC ELECTIONS AND SPECIAL TAX
ATTRIBUTES........................... S-37
TAXATION OF BENEFICIAL OWNERS OF
REGULAR CERTIFICATES................. S-38
TAXATION OF BENEFICIAL OWNERS OF
RESIDUAL CERTIFICATES................ S-38
TAXATION OF BENEFICIAL OWNERS OF RCR
CERTIFICATES......................... S-38
General.............................. S-38
Strip RCR Classes.................... S-39
Combination RCR Classes.............. S-40
Exchanges............................ S-40
PLAN OF DISTRIBUTION..................... S-40
General.............................. S-40
Increase in Certificates............. S-41
LEGAL MATTERS............................ S-41
SCHEDULE 1............................... A- 1
PRINCIPAL BALANCE SCHEDULES.............. B- 1
</TABLE>
S-2
<PAGE> 48
AVAILABLE INFORMATION
You should purchase the certificates only if you have read and understand
this prospectus supplement and the following documents (the "Disclosure
Documents"):
- our Prospectus for Guaranteed REMIC Pass-Through Certificates dated
September 18, 1998 (the "REMIC Prospectus");
- our Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
October 1, 1998 (the "MBS Prospectus"); and
- our Information Statement dated March 31, 1998 and its supplements (the
"Information Statement").
You can obtain the Disclosure Documents by writing or calling us at:
Fannie Mae
MBS Helpline
3900 Wisconsin Avenue, N.W., Area 2H-3S
Washington, D.C. 20016
(telephone 1-800-237-8627 or 202-752-6547).
Most of the Disclosure Documents, together with the class factors, are available
on our website located at http://www.fanniemae.com.
You also can obtain the Disclosure Documents by writing or calling the dealer
at:
Merrill Lynch, Pierce, Fenner & Smith Incorporated
Prospectus Department
44B Colonial Drive
Piscataway, New Jersey 08854
(telephone 732-885-2760).
S-3
<PAGE> 49
REFERENCE SHEET
THIS REFERENCE SHEET IS NOT A SUMMARY OF THE TRANSACTION AND DOES NOT
CONTAIN COMPLETE INFORMATION ABOUT THE CERTIFICATES. YOU SHOULD PURCHASE THE
CERTIFICATES ONLY AFTER READING THIS PROSPECTUS SUPPLEMENT AND EACH OF THE
ADDITIONAL DISCLOSURE DOCUMENTS LISTED ON PAGE S-3.
ASSETS UNDERLYING EACH GROUP OF CLASSES
<TABLE>
<CAPTION>
GROUP ASSETS
- ----- ------
<C> <S>
1 Group 1 MBS
2 Group 2 MBS
3 Group 3 MBS
4 Group 4 MBS
5 Group 5 MBS
</TABLE>
ASSUMED CHARACTERISTICS OF THE MORTGAGE LOANS UNDERLYING THE GROUP 1, GROUP 2,
GROUP 3, GROUP 4 AND GROUP 5 MBS (AS OF APRIL 1, 1999)
<TABLE>
<CAPTION>
APPROXIMATE
ORIGINAL WEIGHTED AVERAGE APPROXIMATE
APPROXIMATE TERM TO REMAINING TERM CALCULATED APPROXIMATE
PRINCIPAL MATURITY TO MATURITY LOAN AGE WEIGHTED
BALANCE (IN MONTHS) (IN MONTHS) (IN MONTHS) AVERAGE COUPON
----------- ----------- ---------------- ----------- --------------
<S> <C> <C> <C> <C> <C>
Group 1 MBS... $400,000,000 360 348 12 6.750%
Group 2 MBS... 350,000,000 360 343 16 7.188%
Group 3 MBS... 800,000,000 180 173 6 7.000%
Group 4 MBS... 200,000,000 360 351 8 6.650%
200,000,000 360 349 9 6.650%
Group 5 MBS... 500,000,000 360 354 5 7.050%
</TABLE>
The actual remaining terms to maturity, calculated loan ages and interest
rates of most of the mortgage loans will differ from the weighted averages shown
above, perhaps significantly.
CLASS FACTORS
The class factors are numbers that, when multiplied by the initial
principal balance of a certificate, can be used to calculate the current
principal balance of that certificate (after taking into account distributions
in the same month). We publish the class factors on or shortly after the 11th
day of each month.
SETTLEMENT DATE
We expect to issue the certificates on April 30, 1999.
DISTRIBUTION DATES
We will make payments on the certificates on the 25th day of each calendar
month, or on the next business day if the 25th day is not a business day.
BOOK-ENTRY AND PHYSICAL CERTIFICATES
We issue book-entry certificates through the U.S. Federal Reserve Banks,
which will electronically track ownership of the certificates and payments on
them. We will issue physical certificates in registered, certificated form.
S-4
<PAGE> 50
We will issue the classes of certificates in the following forms:
<TABLE>
<CAPTION>
FED BOOK-ENTRY PHYSICAL
-------------- --------
<S> <C>
Group 1, Group 2, Group 3, Group 4 and Group 5 Classes R and RL Classes
</TABLE>
EXCHANGING CERTIFICATES THROUGH COMBINATION AND RECOMBINATION
If you own certain certificates, you will be able to exchange them for a
proportionate interest in the related RCR certificates as shown on Schedule 1.
We will issue the RCR certificates upon such exchange. You can exchange your
certificates by notifying us and paying an exchange fee. We use the principal
and interest of the certificates exchanged to pay principal and interest on the
related RCR certificates. Schedule 1 lists all of the available combinations of
the certificates eligible for exchange and the related RCR certificates.
INTEREST RATES
During each interest accrual period, the fixed rate classes will accrue
interest at the applicable annual interest rates listed on the cover.
During the initial interest accrual period, the floating rate and inverse
floating rate classes will accrue interest at the initial interest rates listed
below. During subsequent interest accrual periods, the floating rate and inverse
floating rate classes will accrue interest based on the formulas indicated
below, but always subject to the specified maximum and minimum interest rates:
<TABLE>
<CAPTION>
INITIAL MAXIMUM MINIMUM FORMULA FOR
INTEREST INTEREST INTEREST CALCULATION OF
CLASS RATE RATE RATE INTEREST RATE(1)
----- -------- -------- -------- ----------------
<S> <C> <C> <C> <C>
FA .................. 5.88750% 8.00000% 0.95% LIBOR + 95 basis points
SA .................. 2.11250% 7.05000% 0.00% 7.05% - LIBOR
FD................... 5.93750% 8.00000% 1.00% LIBOR + 100 basis points
SD................... 14.43750% 49.00000% 0.00% 49% - (7 X LIBOR)
F ................... 5.97500% 8.50000% 0.35% LIBOR + 35 basis points
S ................... 6.06000% 19.55999% 0.00% 19.55999% - (2.39999994 X LIBOR)
FL .................. 5.88750% 8.00000% 0.95% LIBOR + 95 basis points
SL .................. 9.15417% 30.54999% 0.00% 30.54999% - (4.33333313 X LIBOR)
SM................... 2.11250% 7.05000% 0.00% 7.05% - LIBOR
</TABLE>
- ---------------
(1) We will establish LIBOR on the basis of the "BBA Method."
We will apply interest payments from exchanged certificates to the
corresponding RCR certificates, on a pro rata basis, following any exchange.
NOTIONAL CLASSES
A notional class will not receive any principal. Its notional principal
balance is the balance used to calculate accrued interest. The notional
principal balances will equal the percentages of the outstanding balances
specified below immediately before the related distribution date:
<TABLE>
<CAPTION>
CLASS
-----
<S> <C> <C>
SA...................................... 100% of the FA Class
JF...................................... 11.5384615385% of the KA and KB Classes
7.6923076923% of the KC and KL Classes
AJ...................................... 3.8461538462% of the A and B Classes
AI...................................... 3.8461538462% of the A Class
JC...................................... 7.6923076923% of the TC Class
JD...................................... 7.6923076923% of the TD Class
SM...................................... 433.3333204432% of the SL Class
</TABLE>
S-5
<PAGE> 51
DISTRIBUTIONS OF PRINCIPAL
Group 1 Principal Distribution Amount
1. To the PB, PC, PD, PE, PF, PG and PH Classes, in that order, to their
Planned Balances.
2. To the GB Class to its Scheduled Balance.
3. (a) 35.7142363391% of the remaining amount to the K and FA Classes, pro
rata, to zero, and
(b) 64.2857636609% of such remaining amount as follows:
first, to the DA, DB and DC Classes, in that order, to zero; and
second, to the DE, FD and SD Classes, pro rata, to zero.
4. To the GB Class to zero.
5. To the PB, PC, PD, PE, PF, PG and PH Classes, in that order, to zero.
Group 2 Principal Distribution Amount
ZC Accrual Amount
1. To the VA and VB Classes, in that order, to zero.
2. To the ZC Class.
Group 2 Cash Flow Distribution Amount
To the A, B, VA, VB, ZC and R Classes, in that order, to zero.
Group 3 Principal Distribution Amount
Z Accrual Amount
1. To the J Class to zero.
2. To the Z Class.
Group 3 Cash Flow Distribution Amount
1. To the KA Class to its Planned Balance.
2. To the KB, KL and TB Classes, pro rata, to their Planned Balances.
3. To the KC and TC Classes, pro rata, to their Planned Balances.
4. To the TD and TE Classes, in that order, to their Planned Balances.
5. To the Aggregate Group I to its Targeted Balance.
6. To the Aggregate Group I to zero.
7. To the KA Class to zero.
8. To the KB, KL and TB Classes, pro rata, to zero.
9. To the KC and TC Classes, pro rata, to zero.
10. To the TD and TE Classes, in that order, to zero.
S-6
<PAGE> 52
Group 4 Principal Distribution Amount
ZA Accrual Amount
1. To the F and S Classes, pro rata, to zero.
2. To the ZA Class.
Group 4 Cash Flow Distribution Amount
1. To the UD Class to its Planned Balance.
2. (a) 59.4403100407% of the remaining amount to the UE Class to its
Planned Balance, and
(b) 40.5596899593% of such remaining amount to the UP and UQ Classes, in
that order, to their Planned Balances.
3. To the PN and UC Classes, in that order, to their Planned Balances.
4. To the F and S Classes, pro rata, to zero.
5. To the ZA Class to zero.
6. To the UD Class to zero.
7. (a) 59.4403100407% of the remaining amount to the UE Class to zero, and
(b) 40.5596899593% of such remaining amount to the UP and UQ Classes, in
that order, to zero.
8. To PN and UC Classes, in that order, to zero.
Group 5 Principal Distribution Amount
1. To the LA, LB and LC Classes, in that order, to their Planned Balances.
2. To the Aggregate Group II to its Planned Balance.
3. To the FL and SL Classes, pro rata, to zero.
4. To the Aggregate Group II to zero.
5. To the LA, LB and LC Classes, in that order, to zero.
For a description of the Aggregate Groups, see "Description of the
Certificates--Distributions of Principal" in this prospectus supplement.
We will apply principal payments from exchanged certificates to the
corresponding RCR certificates, on a pro rata basis, following any exchange.
S-7
<PAGE> 53
WEIGHTED AVERAGE LIVES (YEARS)*
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
GROUP 1 CLASSES 0% 100% 132% 140% 180% 250% 500%
--------------- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
PB............................ 4.6 2.5 2.5 2.5 2.5 2.5 2.1
PC............................ 9.3 3.5 3.5 3.5 3.5 3.5 2.4
PD............................ 12.6 4.5 4.5 4.5 4.5 4.5 2.7
PE............................ 15.9 6.0 6.0 6.0 6.0 6.0 3.3
PF............................ 19.0 8.0 8.0 8.0 8.0 8.0 4.1
PG............................ 21.6 11.0 11.0 11.0 11.0 11.0 5.6
PH............................ 24.0 18.1 18.1 18.1 18.1 18.1 9.7
GB............................ 25.0 8.8 5.0 5.0 5.0 2.6 1.3
FA, SA and K.................. 29.2 24.0 20.7 18.4 8.9 1.5 0.6
DA............................ 28.5 20.3 13.1 5.3 0.8 0.4 0.2
DB............................ 28.7 21.4 16.8 13.8 1.6 0.8 0.3
DC............................ 28.9 22.3 18.8 16.9 2.3 1.1 0.4
FD, SD and DE................. 29.5 25.8 23.8 23.2 13.4 2.1 0.8
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 2 CLASSES 0% 100% 175% 250% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A, AE and AI.................. 19.1 7.6 5.0 3.7 1.9
B ............................ 27.9 18.6 13.0 9.6 4.8
VA............................ 2.5 2.5 2.5 2.5 2.5
VB............................ 10.4 10.4 10.3 9.2 5.6
ZC ........................... 29.0 23.4 19.0 15.7 8.9
R ............................ 30.0 28.6 28.4 27.8 19.7
VC............................ 8.7 8.7 8.6 7.8 5.0
C ............................ 29.0 23.4 18.6 14.6 7.5
AB, AC and AJ................. 19.3 8.0 5.2 3.8 2.0
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------------
GROUP 3 CLASSES 0% 100% 110% 215% 300% 500%
--------------- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
KA............................ 4.1 2.5 2.5 2.5 2.5 2.2
TB, KL and KB................. 7.5 4.5 4.5 4.5 4.5 3.2
JF............................ 5.4 3.3 3.3 3.3 3.3 2.6
TC, KC, KM and JC............. 9.2 6.0 6.0 6.0 6.0 4.1
TD, KD and JD................. 10.7 8.0 8.0 8.0 8.0 5.5
TE............................ 12.1 11.2 11.2 11.2 11.2 8.5
J ........................... 12.0 8.5 8.0 4.3 1.9 1.1
Z ........................... 15.0 14.3 14.3 0.2 0.1 0.1
TG ........................... 11.3 9.5 9.5 9.5 9.5 6.9
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 4 CLASSES 0% 100% 150% 250% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
UD............................ 6.2 1.9 1.9 1.9 1.8
UE............................ 14.9 4.5 4.5 4.5 2.8
UP............................ 14.4 4.2 4.2 4.2 2.8
UQ............................ 18.2 6.1 6.1 6.1 3.4
PN............................ 22.1 10.2 10.2 10.2 5.4
UC............................ 25.6 20.6 20.6 20.6 11.4
F, S and UH................... 14.5 9.4 4.3 1.6 0.8
ZA............................ 28.0 22.4 19.2 5.0 1.8
</TABLE>
S-8
<PAGE> 54
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
GROUP 5 CLASSES 0% 100% 145% 175% 215% 250% 500%
--------------- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
LA ........................... 4.8 2.5 2.5 2.5 2.5 2.5 2.3
LB ........................... 18.5 8.9 8.9 8.9 8.9 8.9 5.0
LC ........................... 26.8 26.7 26.7 26.7 26.7 26.7 16.8
GK............................ 25.1 9.3 3.5 3.5 3.5 2.6 1.5
GL ........................... 25.4 10.3 5.0 5.0 5.0 3.0 1.6
GM............................ 28.3 20.6 19.5 19.5 19.5 7.0 2.2
FL, SL, SM and L.............. 29.3 24.6 19.5 11.9 3.9 2.0 0.9
</TABLE>
-------------------------
* Determined as specified under "Description of the
Certificates--Weighted Average Lives of the Certificates" herein.
S-9
<PAGE> 55
ADDITIONAL RISK FACTORS
The rate of principal payments on the certificates will be affected by the
rate of principal payments on the underlying mortgage loans. The rate that you
receive principal payments on the certificates will be sensitive to the rate of
principal payments on the mortgage loans underlying the related MBS, including
prepayments. Because borrowers generally may prepay their mortgage loans at any
time without penalty, the rate of principal payments on the mortgage loans is
likely to vary over time. It is highly unlikely that the mortgage loans will
prepay
- at any of the prepayment rates we assumed in this prospectus supplement,
or
- at any constant prepayment rate until maturity.
Yields may be lower than expected due to unexpected rate of principal
payments. The actual yield on your certificates probably will be lower than you
expect:
- if you bought your certificates at a premium and principal payments are
faster than you expected, or
- if you bought your certificates at a discount and principal payments are
slower than you expected.
Furthermore, in the case of interest only certificates and certificates
purchased at a premium, you could lose money on your investment if prepayments
occur at a rapid rate.
YOU MUST MAKE YOUR OWN DECISIONS ABOUT THE VARIOUS APPLICABLE ASSUMPTIONS,
INCLUDING PREPAYMENT ASSUMPTIONS, WHEN DECIDING WHETHER TO PURCHASE THE
CERTIFICATES.
Weighted average lives and yields on the certificates are affected by
actual characteristics of the underlying mortgage loans. We have assumed that
the mortgage loans underlying the MBS have certain characteristics. However, the
actual mortgage loans probably will have different characteristics from those we
assumed. As a result, your yields could be lower than you expect, even if the
mortgage loans prepay at the indicated constant prepayment rates. In addition,
slight differences between the assumed mortgage loan characteristics and the
actual mortgage loans could affect the weighted average lives of the classes of
certificates.
Level of floating rate index affects yields on certain certificates. The
yield on any floating rate or inverse floating rate certificate will be affected
by the level of its interest rate index. If the level of the index differs from
the level you expect, then your actual yield may be lower than you expect.
Delay classes have lower yields and market values. Since certain classes do
not receive interest immediately following each interest accrual period, these
classes have lower yields and lower market values than they would if there were
no such delay.
Reinvestment of certificate payments may not achieve same yields as
certificates. The rate of principal payments of the certificates is uncertain.
You may be unable to reinvest the payments on the certificates at the same
yields provided by the certificates.
Unpredictable timing of last payment affects yields on certificates. The
actual final payment of your class is likely to occur earlier, and could occur
much earlier, than the final distribution date listed on the cover page. If you
assumed the actual final payment will occur on the final distribution date
specified, your yield could be lower than you expect.
Some investors may be unable to buy certain classes. Investors whose
investment activities are subject to legal investment laws and regulations, or
to review by regulatory authorities, may be unable to buy certain certificates.
You should get legal advice to determine whether you may purchase the
certificates.
Uncertain market for the certificates could make them difficult to sell and
cause their values to fluctuate. We cannot be sure that a market for resale of
the certificates will develop. Further, if a market develops, it may not
continue or be sufficiently liquid to allow you to sell your certificates. Even
if you are able to sell your certificates, the sale price may not be comparable
to similar investments that have a developed market. Moreover, you may not be
able to sell small or large amounts of certificates at prices comparable to
those available to other investors. You
S-10
<PAGE> 56
should purchase certificates only if you understand and can tolerate the risk
that the value of your certificates will vary over time and that your
certificates may not be easily sold.
DESCRIPTION OF THE CERTIFICATES
The material under this heading summarizes certain features of the
Certificates. You will find additional information about the Certificates in the
other sections of this Prospectus Supplement, as well as in the additional
Disclosure Documents and the Trust Agreement. If we use a capitalized term in
this Prospectus Supplement without defining it, you will find the definition of
such term in the applicable Disclosure Documents or in the Trust Agreement.
GENERAL
Structure. We will create the Fannie Mae REMIC Trust specified on the
cover (the "Trust") and a separate trust (the "Lower Tier REMIC") pursuant to a
trust agreement dated as of April 1, 1999 (the "Trust Agreement"). We will
execute the Trust Agreement in our corporate capacity and as trustee (the
"Trustee"). We will issue the Guaranteed REMIC Pass-Through Certificates (the
"REMIC Certificates") and the Combinable and Recombinable REMIC Certificates
(the "RCR Certificates" and, together with the REMIC Certificates, the
"Certificates") pursuant to the Trust Agreement. In general, the term "Classes"
includes the Classes of REMIC Certificates and RCR Certificates.
The Trust and the Lower Tier REMIC each will constitute a "real estate
mortgage investment conduit" ("REMIC") under the Internal Revenue Code of 1986,
as amended (the "Code").
- The REMIC Certificates (except the R and RL Classes) will be "regular
interests" in the Trust.
- The R Class will be the "residual interest" in the Trust.
- The interests in the Lower Tier REMIC other than the RL Class (the "Lower
Tier Regular Interests") will be the "regular interests" in the Lower
Tier REMIC.
- The RL Class will be the "residual interest" in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of five groups of Fannie Mae
Guaranteed Mortgage Pass-Through Certificates (the "Group 1 MBS," "Group 2 MBS,"
"Group 3 MBS," "Group 4 MBS" and "Group 5 MBS" and, together, the "MBS").
Each MBS represents a beneficial ownership interest in a pool (each, a
"Pool") of first lien, single-family, fixed-rate residential mortgage loans (the
"Mortgage Loans") having the characteristics described herein.
Fannie Mae Guaranty. We guarantee that we will distribute to
Certificateholders:
- required installments of principal and interest on the Certificates on
time, and
- the principal balance of each Class of Certificates no later than its
Final Distribution Date, whether or not we have received sufficient
payments on the MBS.
In addition, we guarantee that we will distribute to each holder of an MBS:
- scheduled installments of principal and interest on the underlying
Mortgage Loans on time, whether or not the related borrowers pay us, and
- the full principal balance of any foreclosed Mortgage Loan, whether or
not we recover it.
S-11
<PAGE> 57
Our guarantees are not backed by the full faith and credit of the United States.
See "Description of the Certificates--The Fannie Mae Guaranty" in the REMIC
Prospectus and "Description of Certificates--The Fannie Mae Guaranty" in the MBS
Prospectus.
Characteristics of Certificates. We will issue the Certificates (except
the R and RL Classes) in book-entry form on the book-entry system of the U.S.
Federal Reserve Banks. Entities whose names appear on the book-entry records of
a Federal Reserve Bank as having had Certificates deposited in their accounts
are "Holders" or "Certificateholders." A Holder is not necessarily the
beneficial owner of a Certificate. Beneficial owners ordinarily will hold
Certificates through one or more financial intermediaries, such as banks,
brokerage firms and securities clearing organizations. See "Description of the
Certificates--Denominations, Certificate Form" in the REMIC Prospectus.
We will issue the R and RL Certificates in fully registered, certificated
form. The "Holder" or "Certificateholder" of the R or RL Certificate is its
registered owner. The R or RL Certificate can be transferred at the corporate
trust office of the Transfer Agent, or at the office of the Transfer Agent in
New York, New York. State Street Bank and Trust Company in Boston, Massachusetts
("State Street") will be the initial Transfer Agent. We may impose a service
charge for any registration of transfer of the R or RL Certificate and may
require payment to cover any tax or other governmental charge. See also
"Characteristics of the R and RL Classes".
The Holder of the R Class will receive the proceeds of any remaining assets
of the Trust, and the Holder of the RL Class will receive the proceeds of any
remaining assets of the Lower Tier REMIC, in each case only by presenting and
surrendering the related Certificate at the office of the Paying Agent. State
Street will be the initial Paying Agent.
Authorized Denominations. We will issue the Certificates, other than the
RL Certificate, in minimum denominations of $1,000 and whole dollar increments.
We will issue the RL Class as a single Certificate with no principal balance.
Distribution Dates. We will make monthly payments on the Certificates on
the 25th day of each month (or, if the 25th day is not a business day, on the
first business day after the 25th). We refer to each such date as a
"Distribution Date." We will make the first payments to Certificateholders the
month after we issue the Certificates.
Record Date. On each Distribution Date, we will make each monthly payment
on the Certificates to Holders of record on the last day of the preceding month.
Class Factors. On or shortly after the eleventh calendar day of each
month, we will publish a factor (carried to eight decimal places) for each Class
of Certificates. When the factor is multiplied by the original principal balance
(or notional principal balance) of a Certificate of that Class, the product will
equal the current principal balance (or notional principal balance) of that
Certificate after taking into account payments on the Distribution Date in the
same month (as well as any addition to principal in the case of the Accrual
Classes).
Optional Termination. We will not terminate the Lower Tier REMIC or the
Trust by exercising our right to repurchase the Mortgage Loans underlying any
MBS unless
- only one Mortgage Loan remains in the related Pool, or
- the principal balance of the Pool is less than one percent of its
original level.
See "Description of Certificates--Termination" in the MBS Prospectus.
COMBINATION AND RECOMBINATION
General. You are permitted to exchange all or a portion of the A, B, VA,
VB, ZC, TC, TD, F, S, SL and TE Classes of REMIC Certificates for a
proportionate interest in the related Combinable and Recombinable REMIC
Certificates ("RCR Certificates") in the combinations shown on Schedule 1.
S-12
<PAGE> 58
You also may exchange all or a portion of the RCR Certificates for the related
REMIC Certificates in the same manner. This process may occur repeatedly.
Holders of RCR Certificates will be the beneficial owners of a
proportionate interest in the related REMIC Certificates and will receive a
proportionate share of the distributions on the related REMIC Certificates.
The Classes of REMIC Certificates and RCR Certificates that are outstanding
at any given time, and the outstanding principal balances (or notional principal
balances) of these Classes, will depend upon any related distributions of
principal, as well as any exchanges that occur. The principal balances and/or
notional principal balances of the REMIC Certificates and RCR Certificates
involved in any exchange will bear the same relationship as that borne by the
original principal balances and/or original notional principal balances of the
related Classes.
Procedures. If a Certificateholder wishes to exchange Certificates, the
Certificateholder must notify our Structured Transactions Department through one
of our "REMIC Dealer Group" dealers in writing or by telefax no later than two
business days before the proposed exchange date. The exchange date can be any
business day other than the first or last business day of the month subject to
our approval. The notice must include the outstanding principal balance of both
the Certificates to be exchanged and the Certificates to be received, and the
proposed exchange date. After receiving the Holder's notice, we will telephone
the dealer with delivery and wire payment instructions. Notice becomes
irrevocable on the second business day before the proposed exchange date.
In connection with each exchange, the Holder must pay us a fee equal to
1/32 of 1% of the outstanding principal balance (exclusive of any notional
principal balance) of the Certificates to be exchanged. In no event, however,
will our fee be less than $2,000.
We will make the first distribution on a REMIC Certificate or an RCR
Certificate received in an exchange transaction on the Distribution Date in the
following month. We will make such distribution to the Holder of record as of
the close of business on the last day of the month of the exchange.
Additional Considerations. The characteristics of RCR Certificates will
reflect the characteristics of the REMIC Certificates used to form such RCR
Certificates. You should also consider a number of factors that will limit a
Certificateholder's ability to exchange REMIC Certificates for RCR Certificates
or vice versa:
- At the time of the proposed exchange, a Certificateholder must own
Certificates of the related Class or Classes in the proportions necessary
to make the desired exchange.
- A Certificateholder that does not own the Certificates may be unable to
obtain the necessary REMIC Certificates or RCR Certificates.
- The Certificateholder of needed Certificates may refuse to sell them at a
reasonable price (or any price) or may be unable to sell them.
- Certain Certificates may have been purchased and placed into other
financial structures and thus be unavailable.
- Principal distributions will decrease the amounts available for exchange
over time.
- Only the combinations listed on Schedule 1 are permitted.
THE MBS
The following table contains certain information about the MBS. The MBS
included in each specified Group will have the aggregate unpaid principal
balance and Pass-Through Rate shown below and the general characteristics
described in the MBS Prospectus. The MBS will provide that principal and
interest on the related Mortgage Loans will be passed through monthly, beginning
in the month after we issue the MBS. The Mortgage Loans underlying the MBS will
be conventional Level Payment
S-13
<PAGE> 59
Mortgage Loans secured by first mortgages or deeds of trust on one- to
four-family ("single-family") residential properties. These Mortgage Loans will
have original maturities of up to 30 years in the case of the Group 1, Group 2,
Group 4 and Group 5 Classes, and original maturities of up to 15 years in the
case of the Group 3 Classes. See "The Mortgage Pools" and "Yield Considerations"
in the MBS Prospectus. We expect the characteristics of the Group 1 MBS, Group 2
MBS, Group 3 MBS, Group 4 MBS and Group 5 MBS and the related Mortgage Loans as
of April 1, 1999 (the "Issue Date") to be as follows:
<TABLE>
<S> <C>
GROUP 1 MBS
Aggregate Unpaid Principal Balance...................... $400,000,000
MBS Pass-Through Rate................................... 6.0%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.25% to 8.50%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 348 months
Approximate Weighted Average CAGE....................... 12 months
</TABLE>
<TABLE>
<S> <C>
GROUP 2 MBS
Aggregate Unpaid Principal Balance...................... $350,000,000
MBS Pass-Through Rate................................... 6.5%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.75% to 9.00%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 343 months
Approximate Weighted Average CAGE....................... 16 months
</TABLE>
<TABLE>
<S> <C>
GROUP 3 MBS
Aggregate Unpaid Principal Balance...................... $800,000,000
MBS Pass-Through Rate................................... 6.5%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.75% to 9.00%
Range of WAMs........................................... 100 months to 180 months
Approximate Weighted Average WAM........................ 173 months
Approximate Weighted Average CAGE....................... 6 months
</TABLE>
<TABLE>
<S> <C>
GROUP 4 MBS
Aggregate Unpaid Principal Balance...................... $400,000,000
MBS Pass-Through Rate................................... 6.0%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.25% to 8.50%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 350 months
Approximate Weighted Average CAGE....................... 9 months
</TABLE>
<TABLE>
<S> <C>
GROUP 5 MBS
Aggregate Unpaid Principal Balance...................... $500,000,000
MBS Pass-Through Rate................................... 6.5%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.75% to 9.00%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 354 months
Approximate Weighted Average CAGE....................... 5 months
</TABLE>
S-14
<PAGE> 60
FINAL DATA STATEMENT
After issuing the Certificates, we will prepare a Final Data Statement
containing certain information, including the Pool number, the current WAC (or
original WAC, if the current WAC is not available) and the current WAM (or
Adjusted WAM, if the current WAM is not available) of the Mortgage Loans
underlying the MBS. The Final Data Statement will also include the weighted
averages of all the current or original WACs and the weighted averages of all
the current or Adjusted WAMs, based on the current unpaid principal balances of
the Mortgage Loans underlying each of the MBS as of the Issue Date. You may
obtain the Final Data Statement by telephoning us at 1-800-237-8627 or
202-752-6547. The contents of the Final Data Statement and other data specific
to the Certificates are available in electronic form by calling us at
1-800-752-6440 or 202-752-6000.
DISTRIBUTIONS OF INTEREST
Categories of Classes
For the purpose of interest payments, the Classes will be categorized as
follows:
<TABLE>
<CAPTION>
INTEREST TYPE* CLASSES
-------------- -------
<S> <C>
GROUP 1 CLASSES
Fixed Rate PB, PC, PD, PE, PF, PG, PH, GB, DA, DB, DC and DE
Floating Rate FA and FD
Inverse Floating Rate SA and SD
Interest Only SA
Principal Only K
GROUP 2 CLASSES
Fixed Rate A, B, VA, VB, ZC and R
Accrual ZC
RCR** VC, C, AB, AC, AJ, AE and AI
GROUP 3 CLASSES
Fixed Rate KA, TB, JF, KL, TC, TD, TE, J, Z, KB and KC
Accrual Z
Interest Only JF
RCR** KM, JC, KD, JD and TG
GROUP 4 CLASSES
Fixed Rate UD, UE, UP, UQ, PN, UC and ZA
Floating Rate F
Inverse Floating Rate S
Accrual ZA
RCR** UH
GROUP 5 CLASSES
Fixed Rate LA, LB, LC, GK, GL and GM
Floating Rate FL
Inverse Floating Rate SL
RCR** SM and L
NO PAYMENT RESIDUAL RL
</TABLE>
-------------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
** See "Description of the Certificates--Combination and
Recombination" herein and Schedule 1 for a further description of
the RCR Classes.
General. We will pay interest on the interest-bearing Certificates at the
applicable annual interest rates shown on the cover or described in this
prospectus supplement. We calculate interest based on a 360-day year consisting
of twelve 30-day months. We pay interest monthly (except in the
S-15
<PAGE> 61
case of the Accrual Classes) on each Distribution Date, beginning in the month
after the Settlement Date specified in the Reference Sheet.
Interest to be paid (or added to principal, in the case of the Accrual
Classes) on each Certificate on a Distribution Date will consist of one month's
interest on the outstanding balance of that Certificate immediately prior to
such Distribution Date. For a description of the Accrual Classes, see "Accrual
Classes."
Interest payments on exchangeable REMIC Certificates will be applied to the
corresponding RCR Certificates, on a pro rata basis, following any exchange.
Interest Accrual Periods. Interest to be paid on each Distribution Date
will accrue on the interest-bearing Certificates during the applicable one-month
periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
CLASSES INTEREST ACCRUAL PERIODS
------- ------------------------
<S> <C>
All Fixed Rate Classes and the FD, SD, FL, Calendar month preceding the month in
SL and SM Classes (collectively, the "Delay which the Distribution Date occurs
Classes")
The FA, SA, F and S Classes One month period ending on the day
preceding the Distribution Date
</TABLE>
See "Additional Risk Factors"
We will treat the K and L Classes as Delay Classes for the sole purpose of
facilitating trading.
Accrual Classes. The ZC, Z and ZA Classes are Accrual Classes. Interest
will accrue on the Accrual Classes at the applicable annual rates listed on the
cover. However, we will not pay any interest on the Accrual Classes. Instead,
interest accrued on each Accrual Class will be added as principal to its
principal balance on each Distribution Date. We will pay principal on the
Accrual Classes as described under "Distributions of Principal" below.
Notional Classes. The Notional Classes will not have principal balances.
During each Interest Accrual Period, the Notional Classes will bear interest on
their notional principal balances at their applicable interest rates. The
notional principal balances of the Notional Classes will be calculated as
indicated under "Reference Sheet--Notional Classes."
We use the notional principal balance of a Notional Class to determine
interest payments on that Class. Although a Notional Class will not have a
principal balance and will not be entitled to any principal payments, we will
publish a class factor for that Class. References in this prospectus supplement
to the principal balances of the Certificates generally shall refer also to the
notional principal balances of the Notional Classes.
Floating Rate and Inverse Floating Rate Classes. During each Interest
Accrual Period, the Floating Rate and Inverse Floating Rate Classes will bear
interest at rates determined as described under "Reference Sheet--Interest
Rates."
Changes in the specified interest rate index (the "Index") will affect the
yields with respect to the related Classes. These changes may not correspond to
changes in mortgage interest rates. Lower mortgage interest rates could occur
while an increase in the level of the Index occurs. Similarly, higher mortgage
interest rates could occur while a decrease in the level of the Index occurs.
Our establishment of each Index value and our determination of the interest
rate for each applicable Class for the related Interest Accrual Period will be
final and binding in the absence of manifest error. You may obtain each such
interest rate by telephoning us at 1-800-237-8627 or 202-752-6547.
S-16
<PAGE> 62
CALCULATION OF LIBOR
On each Index Determination Date, we will calculate LIBOR for the related
Interest Accrual Period. We will calculate LIBOR on the basis of the "BBA
Method" as described in the REMIC Prospectus under "Description of the
Certificates--Indexes for Floating Rate Classes and Inverse Floating Rate
Classes--LIBOR."
If we are unable to calculate LIBOR on the initial Index Determination
Date, LIBOR for the following Interest Accrual Period will be equal to 5.625% in
the case of the F and S Classes and 4.9375% in the case of all other Floating
Rate and Inverse Floating Rate Classes.
DISTRIBUTIONS OF PRINCIPAL
Categories of Classes
For the purpose of principal payments, the Classes fall into the following
categories:
<TABLE>
<CAPTION>
PRINCIPAL TYPE* CLASSES
--------------- -------
<S> <C>
GROUP 1 CLASSES
PAC PB, PC, PD, PE, PF, PG and PH
Scheduled GB
Support FA, K, DA, DB, DC, FD, SD and DE
Notional SA
GROUP 2 CLASSES
Sequential Pay A, B, VA, VB, ZC and R
Accretion Directed VA and VB
RCR** VC, C, AC, AJ, AB, AE and AI
GROUP 3 CLASSES
PAC KA, TB, KL, TC, TD, TE, KB and KC
TAC J
Support Z
Accretion Directed J
Notional JF
RCR** KM, JC, KD, JD and TG
GROUP 4 CLASSES
PAC UD, UE, UP, UQ, PN and UC
Support F, S and ZA
Accretion Directed F and S
RCR** UH
GROUP 5 CLASSES
PAC LA, LB and LC
Segment (PAC)/Sequential Pay GK, GL and GM
Support FL and SL
RCR** SM and L
NO PAYMENT RESIDUAL RL
</TABLE>
-------------------------------
* See "Description of the Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
** See "Description of the Certificates--Combination and
Recombination" herein and Schedule 1 for a further
description of the RCR Classes.
S-17
<PAGE> 63
Principal Distribution Amount
On the Distribution Date in each month, we will pay principal on the
Certificates in an aggregate amount (the "Principal Distribution Amount") equal
to the sum of
- the principal then paid on the Group 1 MBS (the "Group 1 Principal
Distribution Amount"),
- the principal then paid on the Group 2 MBS (the "Group 2 Cash Flow
Distribution Amount") plus any interest then accrued and added to the
principal balance of the ZC Class (the "ZC Accrual Amount," and together
with the Group 2 Cash Flow Distribution Amount, the "Group 2 Principal
Distribution Amount"),
- the principal then paid on the Group 3 MBS (the "Group 3 Cash Flow
Distribution Amount") plus any interest then accrued and added to the
principal balance of the Z Class (the "Z Accrual Amount", and together
with the Group 3 Cash Flow Distribution Amount, the "Group 3 Principal
Distribution Amount"),
- the principal then paid on the Group 4 MBS (the "Group 4 Cash Flow
Distribution Amount") plus any interest then accrued and added to the
principal balance of the ZA Class (the "ZA Accrual Amount," and together
with the Group 4 Cash Flow Distribution Amount, the "Group 4 Principal
Distribution Amount"), and
- the principal then paid on the Group 5 MBS (the "Group 5 Principal
Distribution Amount").
Group 1 Principal Distribution Amount
On each Distribution Date, we will pay the Group 1 Principal Distribution
Amount as principal of the Group 1 Classes in the following priority:
<TABLE>
<S> <C>
(i) sequentially, to the PB, PC, PD, PE, PF, PG and PH ) PAC
Classes, in that order, until their principal balances are ) CLASSES
reduced to their Planned Balances for such Distribution Date; )
(ii) to the GB Class, until its principal balance is reduced ) SCHEDULED
to its Scheduled Balance for such Distribution Date; ) CLASS
(iii) (a) 35.7142363391% of the remaining amount, )
concurrently, to the K and FA Classes, pro rata (or )
47.5000483877% and 52.4999516123%, respectively), until their )
principal balances are reduced to zero, and )
) SUPPORT
(b) 64.2857636609% of such remaining amount as follows: ) CLASSES
first, sequentially, to the DA, DB and DC Classes, in )
that order, until their principal balances are reduced to )
zero; and )
)
second, concurrently, to the DE, FD and SD Classes, pro )
rata (or 82.7024035010%, 15.1353969366% and 2.1621995624%, )
respectively), until their principal balances are reduced to )
zero;
(iv) to the GB Class, without regard to its Scheduled ) SCHEDULED
Balance and until its principal balance is reduced to zero; and ) CLASS
(v) sequentially, to the PB, PC, PD, PE, PF, PG and PH ) PAC
Classes, in that order, without regard to their Planned Balances ) CLASSES
and until their principal balances are reduced to zero. )
</TABLE>
S-18
<PAGE> 64
<TABLE>
<S> <C>
Group 2 Principal Distribution Amount
ZC Accrual Amount
On each Distribution Date, we will pay the ZC Accrual Amount as principal
of the Classes specified below in the following priority:
(i) sequentially, to the VA and VB Classes, in that order, ) ACCRETION
until their principal balances are reduced to zero; and ) DIRECTED
CLASSES
(ii) thereafter to the ZC Class. ) ACCRUAL
CLASS
Group 2 Cash Flow Distribution Amount
On each Distribution Date, we will pay the Group 2 Cash Flow ) SEQUENTIAL
Distribution Amount, sequentially, as principal of the A, B, VA, VB, ) PAY
ZC and R Classes, in that order, until their principal balances are ) CLASSES
reduced to zero. )
Group 3 Principal Distribution Amount
Z Accrual Amount
On each Distribution Date, we will pay the Z Accrual Amount as principal of
the Classes specified below in the following priority:
(i) to the J Class, until its principal balance is reduced ) ACCRETION
to zero; and DIRECTED
CLASS
(ii) thereafter to the Z Class. ) ACCRUAL
CLASS
Group 3 Cash Flow Distribution Amount
On each Distribution Date, we will pay the Group 3 Cash Flow Distribution
Amount as principal of the Group 3 Classes in the following priority:
(i) to the KA Class, until its principal balance is reduced )
to its Planned Balance for such Distribution Date; )
)
(ii) concurrently, to the KB, KL and TB Classes, pro rata )
(or 39.3731747020%, 31.7811318045% and 28.8456934935%, )
respectively), until their principal balances are reduced to )
their Planned Balances for such Distribution Date; )
) PAC
(iii) concurrently, to the KC and TC Classes, pro rata (or ) CLASSES
56.2500911801% and 43.7499088199%, respectively), until their )
principal balances are reduced to their Planned Balances for such )
Distribution Date; )
)
(iv) sequentially, to the TD and TE Classes, in that order, )
until their principal balances are reduced to their Planned )
Balances for such Distribution Date; )
(v) to the Aggregate Group I (as described below), until the )
Aggregate I Balance (as described below) is reduced to its )
Targeted Balance for such Distribution Date; ) TAC/SUPPORT
) GROUP
(vi) to the Aggregate Group I, without regard to its )
Targeted Balance and until the Aggregate I Balance is reduced to )
zero; )
(vii) to the KA Class, without regard to its Planned Balance )
and until its principal balance is reduced to zero; )
)
(viii) concurrently, to the KB, KL and TB Classes, pro rata, )
without regard to their Planned Balances and until their )
principal balances are reduced to zero; ) PAC
) CLASSES
(ix) concurrently, to the KC and TC Classes, pro rata, )
without regard to their Planned Balances and until their )
principal balances are reduced to zero; and )
)
(x) sequentially, to the TD and TE Classes, in that order, )
without regard to their Planned Balances and until their )
principal balances are reduced to zero. )
</TABLE>
S-19
<PAGE> 65
<TABLE>
<S> <C>
The "Aggregate Group I" consists of the J and Z Classes. We will apply
payments of principal of the Aggregate Group I as follows:
- when paying Aggregate Group I to its Targeted Balance, we will apply
payments of principal, sequentially, to the J and Z Classes, in that
order, until their principal balances are reduced to zero, and
- when paying Aggregate Group I to zero, we will apply payments of
principal, sequentially, to the Z and J Classes, in that order, until
their principal balances are reduced to zero.
The "Aggregate I Balance" for any Distribution Date is equal to
$264,584,000 minus the sum of all amounts previously applied to it as specified
above.
Group 4 Principal Distribution Amount
ZA Accrual Amount
On each Distribution Date, we will pay the ZA Accrual Amount as principal
of the Classes specified below in the following priority:
(i) concurrently, to the F and S Classes, pro rata (or ) ACCRETION
70.5882347792% and 29.4117652208%, respectively), until their ) DIRECTED
principal balances are reduced to zero; and ) CLASSES
(ii) thereafter to the ZA Class. ) ACCRUAL
CLASS
Group 4 Cash Flow Distribution Amount
On each Distribution Date, we will pay the Group 4 Cash Flow Distribution
Amount as principal of the Group 4 Classes in the following priority:
(i) to the UD Class, until its principal balance is reduced )
to its Planned Balance for such Distribution Date; )
)
(ii)(a) 59.4403100407% of the remaining amount to the UE )
Class, until its principal balance is reduced to its Planned )
Balance for such Distribution Date; and )
)
(b) 40.5596899593% of such remaining amount, sequentially, ) PAC
to the UP and UQ Classes, in that order, until their principal ) CLASSES
balances are reduced to their Planned Balances for such )
Distribution Date; )
)
(iii) sequentially, to the PN and UC Classes, in that order, )
until their principal balances are reduced to their Planned )
Balances for such Distribution Date; )
(iv) concurrently, to the F and S Classes, pro rata, until )
their principal balances are reduced to zero; ) SUPPORT
) CLASSES
(v) to the ZA Class, until its principal balance is reduced )
to zero; and )
(vi) to the UD Class, without regard to its Planned Balance )
and until its principal balance is reduced to zero; )
)
(vii)(a) 59.4403100407% of the remaining amount to the UE )
Class, without regard to its Planned Balance and until its )
principal balance is reduced to zero, and )
) PAC
(b) 40.5596899593% of such remaining amount, ) CLASSES
sequentially, to the UP and UQ Classes, in that order, without )
regard to their Planned Balances and until their principal )
balances are reduced to zero; and )
)
(viii) sequentially, to the PN and UC Classes, in that )
order, without regard to their Planned Balances and until their )
principal balances are reduced to zero. )
</TABLE>
S-20
<PAGE> 66
Group 5 Principal Distribution Amount
On each Distribution Date, we will pay the Group 5 Principal Distribution
Amount as principal of the Group 5 Classes in the following priority:
<TABLE>
<S> <C>
(i) sequentially, to the LA, LB and LC Classes, in that )
order, until their principal balances are reduced to their )
Planned Balances for such Distribution Date; ) PAC
) CLASSES
(ii) to the Aggregate Group II (as described below), until ) AND
the Aggregate II Balance (as described below) is reduced to its ) GROUP
Planned Balance for such Distribution Date; )
(iii) concurrently, to the FL and SL Classes, pro rata (or ) SUPPORT
81.2499992749% and 18.7500007251%, respectively), until their ) CLASSES
principal balances are reduced to zero; )
(iv) to the Aggregate Group II, without regard to its )
Planned Balance and until the Aggregate II Balance is reduced to )
zero; and ) PAC
) GROUP
(v) sequentially, to the LA, LB and LC Classes, in that ) AND
order, without regard to their Planned Balances and until their ) CLASSES
principal balances are reduced to zero. )
</TABLE>
The "Aggregate Group II" consists of the GK, GL and GM Classes. We will
apply payments of principal of the Aggregate Group II as follows:
(a) 34.2278933525% of such amount to the GL Class, until its principal
balance is reduced to zero, and
(b) 65.7721066475% of such amount, sequentially, to the GK and GM
Classes, in that order, until their principal balances are reduced to zero.
The "Aggregate II Balance" for any Distribution Date is equal to
$125,767,600 minus the sum of all amounts previously applied to it as specified
above.
Principal payments on exchangeable REMIC Certificates will be applied to
the corresponding RCR Certificates, on a pro rata basis, following any exchange.
STRUCTURING ASSUMPTIONS
Pricing Assumptions. Except where otherwise noted, the information in the
tables in this prospectus supplement has been prepared based on the following
assumptions (collectively, the "Pricing Assumptions"):
- the Mortgage Loans underlying the Group 1, Group 2, Group 3, Group 4 and
Group 5 MBS have the original terms to maturity, remaining terms to
maturity, CAGEs and interest rates specified under "Reference
Sheet--Assumed Characteristics of the Mortgage Loans underlying the Group
1, Group 2, Group 3, Group 4 and Group 5 MBS";
- the Mortgage Loans prepay at the constant percentages of PSA specified in
the related table; and
- the settlement date for the sale of the Certificates is April 30, 1999.
Prepayment Assumptions. Prepayments of mortgage loans commonly are
measured relative to a prepayment standard or model. The model used here is The
Bond Market Association's standard prepayment model ("PSA"). To assume a
specified rate of PSA is to assume a specified rate of prepayment each month of
the then-outstanding principal balance of a pool of new mortgage loans computed
as described under "Description of the Certificates--Prepayment Models" in the
REMIC Prospectus. It is highly unlikely that prepayments will occur at any
constant PSA rate or at any other constant rate.
S-21
<PAGE> 67
Structuring Ranges and Rate. The Principal Balance Schedules are found
beginning on page B-1. The Principal Balance Schedules have been prepared on the
basis of the Pricing Assumptions and the assumption that the related Mortgage
Loans will prepay at a constant PSA rate within the applicable Structuring
Ranges or at the specified rate set forth below.
<TABLE>
<CAPTION>
PRINCIPAL BALANCE
SCHEDULE REFERENCES RELATED GROUPS AND CLASSES STRUCTURING RANGES AND RATE
- ------------------- -------------------------- ---------------------------
<S> <C> <C>
Planned Balances PB, PC, PD, PE, PF, PG, PH, UD, Between 100% and 250%
UE, UP, UQ, PN, UC, LA, LB
and LC
Scheduled Balances GB Between 132% and 180%
Targeted Balances Aggregate Group I 110%
Planned Balances KA, KB, KL, TB, KC, TC, KM, TD, Between 100% and 300%
KD, TE and TG
Planned Balances Aggregate Group II Between 145% and 215%
</TABLE>
WE CANNOT ASSURE YOU THAT THE BALANCE OF ANY GROUP OR CLASS LISTED ABOVE
WILL CONFORM ON ANY DISTRIBUTION DATE TO THE SPECIFIED BALANCE IN THE PRINCIPAL
BALANCE SCHEDULES. AS A RESULT, WE CANNOT ASSURE YOU THAT PAYMENTS OF PRINCIPAL
OF ANY GROUP OR CLASS LISTED ABOVE WILL BEGIN OR END ON THE DISTRIBUTION DATES
SPECIFIED IN THE PRINCIPAL BALANCE SCHEDULES. We will pay any excess of
principal payments over the amount needed to reduce a Group or Class to its
scheduled balance on a Distribution Date. Accordingly, the ability to reduce a
Group or Class to its scheduled balance will not be improved by the averaging of
high and low principal payments from month to month. In addition, even if the
related Mortgage Loans prepay at rates falling within the applicable Structuring
Range, principal distributions may be insufficient to reduce the applicable
Group or Class to its scheduled balance if such prepayments do not occur at a
constant PSA rate. Moreover, because of the diverse remaining terms to maturity
of the related Mortgage Loans, which may include recently originated Mortgage
Loans, the Groups and Classes specified above may not be reduced to their
scheduled balances, even if prepayments occur at a constant rate within the
applicable Structuring Ranges or at the applicable rate specified above.
Initial Effective Ranges. The Effective Range for a Group or Class is the
range of prepayment rates (measured by constant PSA rates) that would reduce
such Group or Class to its scheduled
S-22
<PAGE> 68
balance on each Distribution Date. The Initial Effective Ranges shown in the
table below are based upon the assumed characteristics of the related Mortgage
Loans specified in the Pricing Assumptions.
<TABLE>
<CAPTION>
GROUP AND CLASSES INITIAL EFFECTIVE RANGES
----------------- ------------------------
<S> <C>
PB Between 100% and 363%
PC Between 100% and 299%
PD Between 100% and 279%
PE Between 100% and 252%
PF Between 100% and 250%
PG Between 100% and 250%
PH Between 76% and 250%
GB Between 132% and 180%
KA Between 100% and 329%
TB Between 100% and 303%
KL Between 100% and 303%
TC Between 100% and 300%
KM Between 100% and 300%
TD Between 93% and 300%
KD Between 93% and 300%
TE Between 55% and 300%
TG Between 93% and 300%
KB Between 100% and 303%
KC Between 100% and 300%
UD Between 100% and 397%
UE Between 100% and 259%
UP Between 100% and 266%
UQ Between 100% and 259%
PN Between 100% and 250%
UC Between 63% and 250%
LA Between 100% and 406%
LB Between 100% and 250%
LC Between 0% and 250%
Aggregate Group II Between 145% and 215%
</TABLE>
The actual Effective Ranges at any time will be based upon the actual
characteristics of the related Mortgage Loans at that time, which are likely to
vary (and may vary considerably) from the Pricing Assumptions. The actual
Effective Ranges calculated on the basis of the actual characteristics are
likely to differ from the Initial Effective Ranges. As a result, the applicable
Group and Classes might not be reduced to their scheduled balances even if
prepayments were to occur at constant PSA rates within the Initial Effective
Ranges. This is so particularly if such rates were at the lower or higher end of
such ranges. In addition, even if prepayments occur at rates falling within the
actual Effective Ranges, principal payments may be insufficient to reduce the
applicable Group and Classes to their scheduled balances if such prepayments do
not occur at constant PSA rates. It is highly unlikely that the related Mortgage
Loans will prepay at any constant PSA rate. In general, the actual Effective
Ranges may narrow, widen or shift upward or downward to reflect actual
prepayment experience over time. The stability in principal payment of the PAC
and Scheduled Group and Classes will be supported in part by the related TAC and
Support Group and Classes. When the related TAC and Support Group and Classes
are retired, the PAC and Scheduled Group and Classes, if still outstanding, may
no longer have Effective Ranges and will be more sensitive to prepayments.
S-23
<PAGE> 69
YIELD TABLES
General. The tables below illustrate the sensitivity of the pre-tax
corporate bond equivalent yields to maturity of the applicable Classes to
various constant percentages of PSA and, where specified, to changes in the
Index. We calculated the yields set forth in the tables by
- determining the monthly discount rates that, when applied to the assumed
streams of cash flows to be paid on the applicable Classes, would cause
the discounted present values of such assumed streams of cash flows to
equal the assumed aggregate purchase prices of such Classes, and
- converting such monthly rates to corporate bond equivalent rates.
These calculations do not take into account variations in the interest rates at
which you could reinvest distributions on the Certificates. Accordingly, these
calculations do not illustrate the return on any investment in the Certificates
when such reinvestment rates are taken into account.
We cannot assure you that
- the pre-tax yields on the applicable Certificates will correspond to any
of the pre-tax yields shown here or
- the aggregate purchase prices of the applicable Certificates will be as
assumed.
In addition, it is unlikely that the Index will correspond to the levels
shown here. Furthermore, because some of the Mortgage Loans are likely to have
remaining terms to maturity shorter or longer than those assumed and interest
rates higher or lower than those assumed, the principal payments on the
Certificates are likely to differ from those assumed. This would be the case
even if all Mortgage Loans prepay at the indicated constant percentages of PSA.
Moreover, it is unlikely that
- the Mortgage Loans will prepay at a constant PSA rate until maturity,
- all of such Mortgage Loans will prepay at the same rate or
- the level of the Index will remain constant.
The Inverse Floating Rate Classes. THE YIELDS ON THE INVERSE FLOATING RATE
CLASSES WILL BE SENSITIVE IN VARYING DEGREES TO THE RATE OF PRINCIPAL PAYMENTS,
INCLUDING PREPAYMENTS, OF THE RELATED MORTGAGE LOANS AND TO THE LEVEL OF THE
INDEX. THE RELATED MORTGAGE LOANS GENERALLY CAN BE PREPAID AT ANY TIME WITHOUT
PENALTY. IN ADDITION, THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) OF
THE MORTGAGE LOANS IS LIKELY TO VARY, AND MAY VARY CONSIDERABLY, FROM POOL TO
POOL. AS ILLUSTRATED IN THE APPLICABLE TABLE BELOW, IT IS POSSIBLE THAT
INVESTORS IN THE SA AND SM CLASSES WOULD LOSE MONEY ON THEIR INITIAL INVESTMENTS
UNDER CERTAIN INDEX AND PREPAYMENT SCENARIOS.
Changes in the Index may not correspond to changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur while the
level of the Index increased.
The information shown in the yield tables has been prepared on the basis of
the Pricing Assumptions and the assumptions that
- the interest rates for the Inverse Floating Rate Classes for the initial
Interest Accrual Period are the rates listed in the table under
"Reference Sheet--Interest Rates" and for each following Interest Accrual
Period will be based on the specified level of the Index, and
S-24
<PAGE> 70
- the aggregate purchase prices of such Classes (expressed in each case as
a percentage of original principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE*
----- ----------
<S> <C>
SA ......................................................... 5.000000%
SD ......................................................... 92.500000%
S ......................................................... 95.000000%
SL ......................................................... 90.000000%
SM.......................................................... 3.578125%
</TABLE>
- -------------------------------
* The prices do not include accrued interest. Accrued interest has been added to
such prices in calculating the yields set forth in the tables below.
SENSITIVITY OF THE SA CLASS TO PREPAYMENTS
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
------------------------------------------------------------
LIBOR 50% 100% 132% 140% 180% 250% 500%
----- ------ ------ ------ ------ ------- ------- ----
<S> <C> <C> <C> <C> <C> <C> <C>
2.9375%..................... 94.8% 94.8% 94.8% 91.7% 73.6% 23.2% *
4.9375%..................... 46.1% 46.1% 46.1% 43.6% 28.2% (34.4)% *
6.9375%..................... (3.3)% (4.4)% (5.9)% (6.7)% (11.8)% * *
7.0500%..................... * * * * * * *
</TABLE>
- -------------------------
* The pre-tax yield to maturity would be less than (99.9)%.
SENSITIVITY OF THE SD CLASS TO PREPAYMENTS
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
LIBOR 50% 100% 132% 140% 180% 250% 500%
----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
2.9375%.............................. 32.1% 32.1% 32.1% 32.1% 32.4% 34.5% 39.6%
4.9375%.............................. 16.0% 16.0% 16.0% 16.0% 16.4% 19.0% 24.7%
6.9375%.............................. 0.7% 0.8% 0.8% 0.8% 1.1% 4.3% 10.5%
7.0000%.............................. 0.3% 0.3% 0.3% 0.3% 0.6% 3.8% 10.1%
</TABLE>
SENSITIVITY OF THE S CLASS TO PREPAYMENTS
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
LIBOR 50% 100% 150% 250% 500%
----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
3.625%......... 12.0% 12.1% 12.8% 14.6% 17.6%
5.625%......... 6.8% 6.9% 7.7% 9.7% 12.8%
7.625%......... 1.8% 1.9% 2.6% 4.8% 8.0%
8.150%......... 0.5% 0.6% 1.3% 3.5% 6.8%
</TABLE>
S-25
<PAGE> 71
SENSITIVITY OF THE SL CLASS TO PREPAYMENTS
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
LIBOR 50% 100% 145% 175% 215% 250% 500%
----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
2.9375%........ 20.4% 20.4% 20.4% 21.2% 23.0% 24.7% 31.6%
4.9375%........ 10.4% 10.4% 10.5% 11.1% 13.2% 15.1% 22.2%
6.9375%........ 0.9% 0.9% 1.1% 1.4% 3.5% 5.8% 13.1%
7.0500%........ 0.4% 0.4% 0.5% 0.9% 3.0% 5.3% 12.6%
</TABLE>
SENSITIVITY OF THE SM CLASS TO PREPAYMENTS
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------------------------------
LIBOR 50% 100% 145% 175% 215% 250% 500%
----- ------ ------ ------ ------ ------- ----- -------
<S> <C> <C> <C> <C> <C> <C> <C>
2.9375%........ 133.7% 133.7% 133.7% 123.5% 107.3% 90.2% (12.4)%
4.9375%........ 64.0% 64.0% 63.9% 54.4% 35.2% 12.4% (84.8)%
6.9375%........ (1.1)% (1.9)% (4.2)% (8.3)% (17.1)% * *
7.0500%........ * * * * * * *
</TABLE>
- -------------------------
* The pre-tax yield to maturity would be less than (99.9)%.
The K and L Classes. The Principal Only Classes will not bear interest. As
indicated in the tables below, a low rate of principal payments (including
prepayments) on the related Mortgage Loans will have a negative effect on the
yields to investors in the K and L Classes.
The information shown in the following tables has been prepared on the
basis of the Pricing Assumptions and the assumption that the aggregate purchase
prices of the K and L Classes (expressed in each case as a percentage of
original principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE
----- ------
<S> <C>
K........................................................... 61.75%
L........................................................... 74.50%
</TABLE>
SENSITIVITY OF THE K CLASS TO PREPAYMENTS
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------
CLASS 50% 100% 132% 140% 180% 250% 500%
----- ---- ---- ---- ---- ---- ----- ------
<S> <C> <C> <C> <C> <C> <C> <C>
K................. 1.8% 2.0% 2.4% 2.8% 8.0% 36.5% 107.7%
</TABLE>
SENSITIVITY OF THE L CLASS TO PREPAYMENTS
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------------------
CLASS 50% 100% 145% 175% 215% 250% 500%
----- ---- ---- ----- ---- ---- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
L................. 1.1% 1.2% 1.5% 2.7% 9.3% 15.5% 38.0%
</TABLE>
The JF, AJ, AI, JC and JD Classes. THE YIELDS TO INVESTORS IN THE JF, AJ,
AI, JC AND JD CLASSES WILL BE VERY SENSITIVE TO THE RATE OF PRINCIPAL PAYMENTS
(INCLUDING PREPAYMENTS) OF THE RELATED MORTGAGE LOANS. THE MORTGAGE LOANS
GENERALLY CAN BE PREPAID AT ANY TIME WITHOUT PENALTY. ON THE BASIS OF THE
ASSUMPTIONS DESCRIBED BELOW, THE YIELDS TO MATURITY ON THE JF, AJ, AI, JC AND JD
CLASSES WOULD BE 0% IF PREPAYMENTS OF THE RELATED
S-26
<PAGE> 72
MORTGAGE LOANS WERE TO OCCUR AT CONSTANT RATES OF 532% PSA, 343% PSA 333% PSA,
480% PSA AND 502% PSA, RESPECTIVELY. IF THE ACTUAL PREPAYMENT RATE OF THE
RELATED MORTGAGE LOANS WERE TO EXCEED THE APPLICABLE LEVEL SPECIFIED WITH
RESPECT TO ANY OF THE JF, AJ, AI, JC AND JD CLASSES FOR AS LITTLE AS ONE MONTH
WHILE EQUALING SUCH LEVEL FOR THE REMAINING MONTHS, THE INVESTORS IN SUCH CLASS
WOULD LOSE MONEY ON THEIR INITIAL INVESTMENTS.
The information shown in the yield tables has been prepared on the basis of
the Pricing Assumptions and the assumption that the aggregate purchase prices of
the JF, AJ, AI, JC and JD Classes (expressed in each case as a percentage of the
original principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE*
----- ---------
<S> <C>
JF ......................................................... 16.000000%
AJ ......................................................... 18.062500%
AI ......................................................... 17.781250%
JC ......................................................... 27.359375%
JD.......................................................... 35.500000%
</TABLE>
- -------------------------
* The prices do not include accrued interest. Accrued interest has been added to
such prices in calculating the yields set forth in the tables below.
SENSITIVITY OF THE JF CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
50% 100% 110% 215% 300% 500%
----- ----- ----- ----- ----- ----
<S> <C> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity............ 21.4% 14.9% 14.9% 14.9% 14.9% 2.6%
</TABLE>
SENSITIVITY OF THE AJ CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
50% 100% 175% 250% 500%
----- ----- ----- ----- -------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity................. 31.7% 27.4% 20.0% 11.6% (21.6)%
</TABLE>
SENSITIVITY OF THE AI CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
50% 100% 175% 250% 500%
----- ----- ----- ----- -------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity................. 32.2% 27.6% 19.8% 10.9% (24.2)%
</TABLE>
SENSITIVITY OF THE JC CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
50% 100% 110% 215% 300% 500%
----- ----- ----- ----- ----- ------
<S> <C> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity.......... 15.9% 12.1% 12.1% 12.1% 12.1% (1.5)%
</TABLE>
SENSITIVITY OF THE JD CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
50% 100% 110% 215% 300% 500%
----- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity.............. 11.5% 9.9% 9.9% 9.9% 9.9% 0.1%
</TABLE>
S-27
<PAGE> 73
WEIGHTED AVERAGE LIVES OF THE CERTIFICATES
The weighted average life of a Certificate is determined by
(a) multiplying the amount of the reduction, if any, of the principal
balance of such Certificate from one Distribution Date to the next
Distribution Date by the number of years from the Settlement Date to
the second such Distribution Date,
(b) summing the results, and
(c) dividing the sum by the aggregate amount of the reductions in principal
balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average
life of a Certificate, see "Description of the Certificates--Weighted Average
Life and Final Distribution Dates" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the related Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including
- the timing of changes in such rate of principal payments,
- the priority sequences of distributions of principal of the Group 1,
Group 2, Group 3, Group 4 and Group 5 Classes, and
- in the case of certain Group 1, Group 3, Group 4 and Group 5 Classes, the
distribution of principal of such Classes in accordance with the
Principal Balance Schedules.
The effect of these factors may differ as to various Classes and the
effects on any Class may vary at different times during the life of that Class.
Accordingly, we can give no assurance as to the weighted average life of any
Class. Further, to the extent the prices of the Certificates represent discounts
or premiums to their original principal balances, variability in the weighted
average lives of such Classes of Certificates could result in variability in the
related yields to maturity. For an example of how the weighted average lives of
the Classes may be affected at various constant prepayment rates, see the
Decrement Tables below.
S-28
<PAGE> 74
DECREMENT TABLES
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each date
shown at various constant PSA rates and the corresponding weighted average lives
of such Classes. The tables have been prepared on the basis of the Pricing
Assumptions. However, in the case of the information set forth for each Class
under 0% PSA, we assumed that the underlying Mortgage Loans have the original
and remaining terms to maturity and bear interest at the annual rates specified
in the table below.
<TABLE>
<CAPTION>
MORTGAGE LOANS
RELATING TO ORIGINAL REMAINING
TRUST ASSETS TERMS TERMS TO INTEREST RELATED
SPECIFIED BELOW TO MATURITY MATURITY RATES GROUPS
- --------------- ----------- --------- -------- -------
<S> <C> <C> <C> <C>
Group 1 MBS 360 months 360 months 8.5% Group 1
Group 2 MBS 360 months 360 months 9.0% Group 2
Group 3 MBS 180 months 180 months 9.0% Group 3
Group 4 MBS 360 months 360 months 8.5% Group 4
Group 5 MBS 360 months 360 months 9.0% Group 5
</TABLE>
It is unlikely
- that all of the underlying Mortgage Loans will have the interest rates,
CAGEs or remaining terms to maturity assumed or
- that the underlying Mortgage Loans will prepay at any constant PSA level.
In addition, the diverse remaining terms to maturity of the Mortgage Loans
could produce slower or faster principal distributions than indicated in the
tables at the specified constant PSA rates. This is the case even if the
dispersion of weighted average remaining terms to maturity and the weighted
average CAGEs of the Mortgage Loans are identical to the dispersion specified in
the Pricing Assumptions.
PERCENT OF ORIGINAL PRINCIPAL BALANCES OUTSTANDING
<TABLE>
<CAPTION>
PB CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 59
April 2002.......... 83 0 0 0 0 0 0
April 2003.......... 63 0 0 0 0 0 0
April 2004.......... 42 0 0 0 0 0 0
April 2005.......... 18 0 0 0 0 0 0
April 2006.......... 0 0 0 0 0 0 0
April 2007.......... 0 0 0 0 0 0 0
April 2008.......... 0 0 0 0 0 0 0
April 2009.......... 0 0 0 0 0 0 0
April 2010.......... 0 0 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 4.6 2.5 2.5 2.5 2.5 2.5 2.1
<CAPTION>
PC CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 87 87 87 87 87 0
April 2003.......... 100 7 7 7 7 7 0
April 2004.......... 100 0 0 0 0 0 0
April 2005.......... 100 0 0 0 0 0 0
April 2006.......... 95 0 0 0 0 0 0
April 2007.......... 77 0 0 0 0 0 0
April 2008.......... 58 0 0 0 0 0 0
April 2009.......... 36 0 0 0 0 0 0
April 2010.......... 13 0 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 9.3 3.5 3.5 3.5 3.5 3.5 2.4
<CAPTION>
PD CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100 0
April 2003.......... 100 100 100 100 100 100 0
April 2004.......... 100 0 0 0 0 0 0
April 2005.......... 100 0 0 0 0 0 0
April 2006.......... 100 0 0 0 0 0 0
April 2007.......... 100 0 0 0 0 0 0
April 2008.......... 100 0 0 0 0 0 0
April 2009.......... 100 0 0 0 0 0 0
April 2010.......... 100 0 0 0 0 0 0
April 2011.......... 78 0 0 0 0 0 0
April 2012.......... 29 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 12.6 4.5 4.5 4.5 4.5 4.5 2.7
</TABLE>
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-29
<PAGE> 75
<TABLE>
<CAPTION>
PE CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100 77
April 2003.......... 100 100 100 100 100 100 0
April 2004.......... 100 92 92 92 92 92 0
April 2005.......... 100 48 48 48 48 48 0
April 2006.......... 100 6 6 6 6 6 0
April 2007.......... 100 0 0 0 0 0 0
April 2008.......... 100 0 0 0 0 0 0
April 2009.......... 100 0 0 0 0 0 0
April 2010.......... 100 0 0 0 0 0 0
April 2011.......... 100 0 0 0 0 0 0
April 2012.......... 100 0 0 0 0 0 0
April 2013.......... 91 0 0 0 0 0 0
April 2014.......... 71 0 0 0 0 0 0
April 2015.......... 48 0 0 0 0 0 0
April 2016.......... 24 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 15.9 6.0 6.0 6.0 6.0 6.0 3.3
<CAPTION>
PF CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 100 62
April 2004.......... 100 100 100 100 100 100 0
April 2005.......... 100 100 100 100 100 100 0
April 2006.......... 100 100 100 100 100 100 0
April 2007.......... 100 47 47 47 47 47 0
April 2008.......... 100 0 0 0 0 0 0
April 2009.......... 100 0 0 0 0 0 0
April 2010.......... 100 0 0 0 0 0 0
April 2011.......... 100 0 0 0 0 0 0
April 2012.......... 100 0 0 0 0 0 0
April 2013.......... 100 0 0 0 0 0 0
April 2014.......... 100 0 0 0 0 0 0
April 2015.......... 100 0 0 0 0 0 0
April 2016.......... 100 0 0 0 0 0 0
April 2017.......... 96 0 0 0 0 0 0
April 2018.......... 51 0 0 0 0 0 0
April 2019.......... 2 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 19.0 8.0 8.0 8.0 8.0 8.0 4.1
<CAPTION>
PG CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 100 100
April 2004.......... 100 100 100 100 100 100 74
April 2005.......... 100 100 100 100 100 100 31
April 2006.......... 100 100 100 100 100 100 2
April 2007.......... 100 100 100 100 100 100 0
April 2008.......... 100 95 95 95 95 95 0
April 2009.......... 100 68 68 68 68 68 0
April 2010.......... 100 46 46 46 46 46 0
April 2011.......... 100 27 27 27 27 27 0
April 2012.......... 100 11 11 11 11 11 0
April 2013.......... 100 0 0 0 0 0 0
April 2014.......... 100 0 0 0 0 0 0
April 2015.......... 100 0 0 0 0 0 0
April 2016.......... 100 0 0 0 0 0 0
April 2017.......... 100 0 0 0 0 0 0
April 2018.......... 100 0 0 0 0 0 0
April 2019.......... 100 0 0 0 0 0 0
April 2020.......... 71 0 0 0 0 0 0
April 2021.......... 38 0 0 0 0 0 0
April 2022.......... 3 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 21.6 11.0 11.0 11.0 11.0 11.0 5.6
</TABLE>
<TABLE>
<CAPTION>
PH CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 100 100
April 2004.......... 100 100 100 100 100 100 100
April 2005.......... 100 100 100 100 100 100 100
April 2006.......... 100 100 100 100 100 100 100
April 2007.......... 100 100 100 100 100 100 71
April 2008.......... 100 100 100 100 100 100 49
April 2009.......... 100 100 100 100 100 100 33
April 2010.......... 100 100 100 100 100 100 23
April 2011.......... 100 100 100 100 100 100 15
April 2012.......... 100 100 100 100 100 100 10
April 2013.......... 100 97 97 97 97 97 7
April 2014.......... 100 79 79 79 79 79 5
April 2015.......... 100 64 64 64 64 64 3
April 2016.......... 100 52 52 52 52 52 2
April 2017.......... 100 41 41 41 41 41 1
April 2018.......... 100 33 33 33 33 33 1
April 2019.......... 100 26 26 26 26 26 1
April 2020.......... 100 20 20 20 20 20 *
April 2021.......... 100 16 16 16 16 16 *
April 2022.......... 100 12 12 12 12 12 *
April 2023.......... 42 9 9 9 9 9 *
April 2024.......... 6 6 6 6 6 6 *
April 2025.......... 4 4 4 4 4 4 *
April 2026.......... 2 2 2 2 2 2 *
April 2027.......... 1 1 1 1 1 1 *
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 24.0 18.1 18.1 18.1 18.1 18.1 9.7
<CAPTION>
GB CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 97 82 78 78 78 78 78
April 2001.......... 94 58 47 47 47 47 0
April 2002.......... 94 56 40 40 40 40 0
April 2003.......... 94 56 36 36 36 24 0
April 2004.......... 94 56 32 32 32 13 0
April 2005.......... 94 56 29 29 29 6 0
April 2006.......... 94 56 27 27 27 2 0
April 2007.......... 94 56 26 26 26 * 0
April 2008.......... 94 55 25 25 25 * 0
April 2009.......... 94 53 23 23 23 * 0
April 2010.......... 94 50 20 20 20 * 0
April 2011.......... 94 45 17 17 17 * 0
April 2012.......... 94 40 15 15 15 * 0
April 2013.......... 94 35 12 12 12 * 0
April 2014.......... 94 29 9 9 9 * 0
April 2015.......... 94 22 6 6 6 * 0
April 2016.......... 94 16 4 4 4 * 0
April 2017.......... 94 10 1 1 1 * 0
April 2018.......... 94 3 0 0 0 * 0
April 2019.......... 94 0 0 0 0 * 0
April 2020.......... 94 0 0 0 0 * 0
April 2021.......... 94 0 0 0 0 * 0
April 2022.......... 94 0 0 0 0 * 0
April 2023.......... 94 0 0 0 0 * 0
April 2024.......... 84 0 0 0 0 * 0
April 2025.......... 61 0 0 0 0 * 0
April 2026.......... 36 0 0 0 0 * 0
April 2027.......... 9 0 0 0 0 * 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 25.0 8.8 5.0 5.0 5.0 2.6 1.3
<CAPTION>
FA, SA+ AND K CLASSES
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 98 88 70 6
April 2001.......... 100 100 100 95 72 31 0
April 2002.......... 100 100 100 93 58 1 0
April 2003.......... 100 100 100 91 48 0 0
April 2004.......... 100 100 100 90 40 0 0
April 2005.......... 100 100 100 89 35 0 0
April 2006.......... 100 100 100 88 32 0 0
April 2007.......... 100 100 100 87 30 0 0
April 2008.......... 100 100 100 87 30 0 0
April 2009.......... 100 100 99 86 30 0 0
April 2010.......... 100 100 97 85 30 0 0
April 2011.......... 100 100 95 83 30 0 0
April 2012.......... 100 100 92 80 30 0 0
April 2013.......... 100 100 89 77 30 0 0
April 2014.......... 100 100 85 74 30 0 0
April 2015.......... 100 100 81 71 30 0 0
April 2016.......... 100 100 77 67 30 0 0
April 2017.......... 100 100 72 64 30 0 0
April 2018.......... 100 100 66 58 28 0 0
April 2019.......... 100 94 58 51 24 0 0
April 2020.......... 100 82 50 43 20 0 0
April 2021.......... 100 71 42 37 17 0 0
April 2022.......... 100 59 35 30 13 0 0
April 2023.......... 100 49 28 24 11 0 0
April 2024.......... 100 38 22 19 8 0 0
April 2025.......... 100 28 16 13 6 0 0
April 2026.......... 100 18 10 9 4 0 0
April 2027.......... 100 9 5 4 2 0 0
April 2028.......... 61 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.2 24.0 20.7 18.4 8.9 1.5 0.6
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-30
<PAGE> 76
<TABLE>
<CAPTION>
DA CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 89 32 0 0
April 2001.......... 100 100 100 73 0 0 0
April 2002.......... 100 100 100 60 0 0 0
April 2003.......... 100 100 100 50 0 0 0
April 2004.......... 100 100 100 42 0 0 0
April 2005.......... 100 100 100 36 0 0 0
April 2006.......... 100 100 100 32 0 0 0
April 2007.......... 100 100 100 29 0 0 0
April 2008.......... 100 100 100 28 0 0 0
April 2009.......... 100 100 95 23 0 0 0
April 2010.......... 100 100 85 14 0 0 0
April 2011.......... 100 100 72 2 0 0 0
April 2012.......... 100 100 55 0 0 0 0
April 2013.......... 100 100 36 0 0 0 0
April 2014.......... 100 100 14 0 0 0 0
April 2015.......... 100 100 0 0 0 0 0
April 2016.......... 100 100 0 0 0 0 0
April 2017.......... 100 100 0 0 0 0 0
April 2018.......... 100 100 0 0 0 0 0
April 2019.......... 100 65 0 0 0 0 0
April 2020.......... 100 0 0 0 0 0 0
April 2021.......... 100 0 0 0 0 0 0
April 2022.......... 100 0 0 0 0 0 0
April 2023.......... 100 0 0 0 0 0 0
April 2024.......... 100 0 0 0 0 0 0
April 2025.......... 100 0 0 0 0 0 0
April 2026.......... 100 0 0 0 0 0 0
April 2027.......... 100 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.5 20.3 13.1 5.3 0.8 0.4 0.2
<CAPTION>
DB CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 0 0
April 2001.......... 100 100 100 100 0 0 0
April 2002.......... 100 100 100 100 0 0 0
April 2003.......... 100 100 100 100 0 0 0
April 2004.......... 100 100 100 100 0 0 0
April 2005.......... 100 100 100 100 0 0 0
April 2006.......... 100 100 100 100 0 0 0
April 2007.......... 100 100 100 100 0 0 0
April 2008.......... 100 100 100 100 0 0 0
April 2009.......... 100 100 100 100 0 0 0
April 2010.......... 100 100 100 100 0 0 0
April 2011.......... 100 100 100 100 0 0 0
April 2012.......... 100 100 100 76 0 0 0
April 2013.......... 100 100 100 44 0 0 0
April 2014.......... 100 100 100 10 0 0 0
April 2015.......... 100 100 84 0 0 0 0
April 2016.......... 100 100 39 0 0 0 0
April 2017.......... 100 100 0 0 0 0 0
April 2018.......... 100 100 0 0 0 0 0
April 2019.......... 100 100 0 0 0 0 0
April 2020.......... 100 99 0 0 0 0 0
April 2021.......... 100 0 0 0 0 0 0
April 2022.......... 100 0 0 0 0 0 0
April 2023.......... 100 0 0 0 0 0 0
April 2024.......... 100 0 0 0 0 0 0
April 2025.......... 100 0 0 0 0 0 0
April 2026.......... 100 0 0 0 0 0 0
April 2027.......... 100 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.7 21.4 16.8 13.8 1.6 0.8 0.3
<CAPTION>
DC CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 73 0
April 2001.......... 100 100 100 100 86 0 0
April 2002.......... 100 100 100 100 0 0 0
April 2003.......... 100 100 100 100 0 0 0
April 2004.......... 100 100 100 100 0 0 0
April 2005.......... 100 100 100 100 0 0 0
April 2006.......... 100 100 100 100 0 0 0
April 2007.......... 100 100 100 100 0 0 0
April 2008.......... 100 100 100 100 0 0 0
April 2009.......... 100 100 100 100 0 0 0
April 2010.......... 100 100 100 100 0 0 0
April 2011.......... 100 100 100 100 0 0 0
April 2012.......... 100 100 100 100 0 0 0
April 2013.......... 100 100 100 100 0 0 0
April 2014.......... 100 100 100 100 0 0 0
April 2015.......... 100 100 100 78 0 0 0
April 2016.......... 100 100 100 46 0 0 0
April 2017.......... 100 100 94 14 0 0 0
April 2018.......... 100 100 35 0 0 0 0
April 2019.......... 100 100 0 0 0 0 0
April 2020.......... 100 100 0 0 0 0 0
April 2021.......... 100 78 0 0 0 0 0
April 2022.......... 100 0 0 0 0 0 0
April 2023.......... 100 0 0 0 0 0 0
April 2024.......... 100 0 0 0 0 0 0
April 2025.......... 100 0 0 0 0 0 0
April 2026.......... 100 0 0 0 0 0 0
April 2027.......... 100 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.9 22.3 18.8 16.9 2.3 1.1 0.4
</TABLE>
<TABLE>
<CAPTION>
FD, SD AND DE CLASSES
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 132% 140% 180% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 10
April 2001.......... 100 100 100 100 100 50 0
April 2002.......... 100 100 100 100 93 1 0
April 2003.......... 100 100 100 100 77 0 0
April 2004.......... 100 100 100 100 65 0 0
April 2005.......... 100 100 100 100 57 0 0
April 2006.......... 100 100 100 100 51 0 0
April 2007.......... 100 100 100 100 49 0 0
April 2008.......... 100 100 100 100 48 0 0
April 2009.......... 100 100 100 100 48 0 0
April 2010.......... 100 100 100 100 48 0 0
April 2011.......... 100 100 100 100 48 0 0
April 2012.......... 100 100 100 100 48 0 0
April 2013.......... 100 100 100 100 48 0 0
April 2014.......... 100 100 100 100 48 0 0
April 2015.......... 100 100 100 100 48 0 0
April 2016.......... 100 100 100 100 48 0 0
April 2017.......... 100 100 100 100 48 0 0
April 2018.......... 100 100 100 93 45 0 0
April 2019.......... 100 100 93 81 38 0 0
April 2020.......... 100 100 80 70 32 0 0
April 2021.......... 100 100 68 59 27 0 0
April 2022.......... 100 96 56 48 22 0 0
April 2023.......... 100 78 45 39 17 0 0
April 2024.......... 100 61 35 30 13 0 0
April 2025.......... 100 45 25 21 9 0 0
April 2026.......... 100 29 16 14 6 0 0
April 2027.......... 100 14 8 7 3 0 0
April 2028.......... 98 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.5 25.8 23.8 23.2 13.4 2.1 0.8
<CAPTION>
A, AE AND AI+ CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 99 93 89 85 71
April 2001.......... 98 85 76 67 41
April 2002.......... 97 77 64 52 21
April 2003.......... 96 69 53 40 7
April 2004.......... 95 62 44 29 0
April 2005.......... 94 56 36 20 0
April 2006.......... 92 49 28 13 0
April 2007.......... 90 43 22 6 0
April 2008.......... 89 38 16 1 0
April 2009.......... 87 33 11 0 0
April 2010.......... 85 28 6 0 0
April 2011.......... 82 23 2 0 0
April 2012.......... 80 19 0 0 0
April 2013.......... 77 15 0 0 0
April 2014.......... 74 11 0 0 0
April 2015.......... 71 7 0 0 0
April 2016.......... 67 4 0 0 0
April 2017.......... 63 * 0 0 0
April 2018.......... 59 0 0 0 0
April 2019.......... 54 0 0 0 0
April 2020.......... 49 0 0 0 0
April 2021.......... 44 0 0 0 0
April 2022.......... 37 0 0 0 0
April 2023.......... 31 0 0 0 0
April 2024.......... 23 0 0 0 0
April 2025.......... 15 0 0 0 0
April 2026.......... 7 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 19.1 7.6 5.0 3.7 1.9
<CAPTION>
B CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 100 100 100 100
April 2003.......... 100 100 100 100 100
April 2004.......... 100 100 100 100 0
April 2005.......... 100 100 100 100 0
April 2006.......... 100 100 100 100 0
April 2007.......... 100 100 100 100 0
April 2008.......... 100 100 100 100 0
April 2009.......... 100 100 100 0 0
April 2010.......... 100 100 100 0 0
April 2011.......... 100 100 100 0 0
April 2012.......... 100 100 45 0 0
April 2013.......... 100 100 0 0 0
April 2014.......... 100 100 0 0 0
April 2015.......... 100 100 0 0 0
April 2016.......... 100 100 0 0 0
April 2017.......... 100 100 0 0 0
April 2018.......... 100 6 0 0 0
April 2019.......... 100 0 0 0 0
April 2020.......... 100 0 0 0 0
April 2021.......... 100 0 0 0 0
April 2022.......... 100 0 0 0 0
April 2023.......... 100 0 0 0 0
April 2024.......... 100 0 0 0 0
April 2025.......... 100 0 0 0 0
April 2026.......... 100 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.9 18.6 13.0 9.6 4.8
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-31
<PAGE> 77
<TABLE>
<CAPTION>
VA CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 81 81 81 81 81
April 2001.......... 61 61 61 61 61
April 2002.......... 40 40 40 40 40
April 2003.......... 17 17 17 17 17
April 2004.......... 0 0 0 0 0
April 2005.......... 0 0 0 0 0
April 2006.......... 0 0 0 0 0
April 2007.......... 0 0 0 0 0
April 2008.......... 0 0 0 0 0
April 2009.......... 0 0 0 0 0
April 2010.......... 0 0 0 0 0
April 2011.......... 0 0 0 0 0
April 2012.......... 0 0 0 0 0
April 2013.......... 0 0 0 0 0
April 2014.......... 0 0 0 0 0
April 2015.......... 0 0 0 0 0
April 2016.......... 0 0 0 0 0
April 2017.......... 0 0 0 0 0
April 2018.......... 0 0 0 0 0
April 2019.......... 0 0 0 0 0
April 2020.......... 0 0 0 0 0
April 2021.......... 0 0 0 0 0
April 2022.......... 0 0 0 0 0
April 2023.......... 0 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 2.5 2.5 2.5 2.5 2.5
<CAPTION>
VB CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 100 100 100 100
April 2003.......... 100 100 100 100 100
April 2004.......... 98 98 98 98 94
April 2005.......... 91 91 91 91 23
April 2006.......... 83 83 83 83 0
April 2007.......... 75 75 75 75 0
April 2008.......... 66 66 66 66 0
April 2009.......... 56 56 56 52 0
April 2010.......... 46 46 46 7 0
April 2011.......... 36 36 36 0 0
April 2012.......... 24 24 24 0 0
April 2013.......... 12 12 0 0 0
April 2014.......... 0 0 0 0 0
April 2015.......... 0 0 0 0 0
April 2016.......... 0 0 0 0 0
April 2017.......... 0 0 0 0 0
April 2018.......... 0 0 0 0 0
April 2019.......... 0 0 0 0 0
April 2020.......... 0 0 0 0 0
April 2021.......... 0 0 0 0 0
April 2022.......... 0 0 0 0 0
April 2023.......... 0 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 10.4 10.4 10.3 9.2 5.6
<CAPTION>
ZC CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 107 107 107 107 107
April 2001.......... 114 114 114 114 114
April 2002.......... 121 121 121 121 121
April 2003.......... 130 130 130 130 130
April 2004.......... 138 138 138 138 138
April 2005.......... 148 148 148 148 148
April 2006.......... 157 157 157 157 121
April 2007.......... 168 168 168 168 82
April 2008.......... 179 179 179 179 56
April 2009.......... 191 191 191 191 37
April 2010.......... 204 204 204 204 25
April 2011.......... 218 218 218 175 16
April 2012.......... 232 232 232 144 10
April 2013.......... 248 248 240 117 6
April 2014.......... 263 263 206 95 3
April 2015.......... 263 263 176 77 2
April 2016.......... 263 263 149 62 *
April 2017.......... 263 263 125 49 0
April 2018.......... 263 263 105 38 0
April 2019.......... 263 230 86 30 0
April 2020.......... 263 197 70 23 0
April 2021.......... 263 166 56 17 0
April 2022.......... 263 137 43 12 0
April 2023.......... 263 109 32 8 0
April 2024.......... 263 82 23 5 0
April 2025.......... 263 57 15 2 0
April 2026.......... 263 33 7 * 0
April 2027.......... 261 10 1 0 0
April 2028.......... 135 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.0 23.4 19.0 15.7 8.9
<CAPTION>
R CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 100 100 100 100
April 2003.......... 100 100 100 100 100
April 2004.......... 100 100 100 100 100
April 2005.......... 100 100 100 100 100
April 2006.......... 100 100 100 100 100
April 2007.......... 100 100 100 100 100
April 2008.......... 100 100 100 100 100
April 2009.......... 100 100 100 100 100
April 2010.......... 100 100 100 100 100
April 2011.......... 100 100 100 100 100
April 2012.......... 100 100 100 100 100
April 2013.......... 100 100 100 100 100
April 2014.......... 100 100 100 100 100
April 2015.......... 100 100 100 100 100
April 2016.......... 100 100 100 100 100
April 2017.......... 100 100 100 100 77
April 2018.......... 100 100 100 100 50
April 2019.......... 100 100 100 100 33
April 2020.......... 100 100 100 100 21
April 2021.......... 100 100 100 100 13
April 2022.......... 100 100 100 100 8
April 2023.......... 100 100 100 100 5
April 2024.......... 100 100 100 100 3
April 2025.......... 100 100 100 100 1
April 2026.......... 100 100 100 100 1
April 2027.......... 100 100 100 36 *
April 2028.......... 100 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 30.0 28.6 28.4 27.8 19.7
</TABLE>
<TABLE>
<CAPTION>
KA CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100
April 2001.......... 87 67 67 67 67 67
April 2002.......... 70 30 30 30 30 0
April 2003.......... 53 0 0 0 0 0
April 2004.......... 34 0 0 0 0 0
April 2005.......... 13 0 0 0 0 0
April 2006.......... 0 0 0 0 0 0
April 2007.......... 0 0 0 0 0 0
April 2008.......... 0 0 0 0 0 0
April 2009.......... 0 0 0 0 0 0
April 2010.......... 0 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 4.1 2.5 2.5 2.5 2.5 2.2
<CAPTION>
TB, KL AND KB CLASSES
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 78
April 2003.......... 100 87 87 87 87 0
April 2004.......... 100 8 8 8 8 0
April 2005.......... 100 0 0 0 0 0
April 2006.......... 76 0 0 0 0 0
April 2007.......... 17 0 0 0 0 0
April 2008.......... 0 0 0 0 0 0
April 2009.......... 0 0 0 0 0 0
April 2010.......... 0 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 7.5 4.5 4.5 4.5 4.5 3.2
<CAPTION>
JF+ CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100
April 2001.......... 91 77 77 77 77 77
April 2002.......... 80 52 52 52 52 27
April 2003.......... 68 29 29 29 29 8
April 2004.......... 54 15 15 15 15 0
April 2005.......... 40 6 6 6 6 0
April 2006.......... 27 0 0 0 0 0
April 2007.......... 16 0 0 0 0 0
April 2008.......... 8 0 0 0 0 0
April 2009.......... * 0 0 0 0 0
April 2010.......... 0 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 5.4 3.3 3.3 3.3 3.3 2.6
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-32
<PAGE> 78
<TABLE>
<CAPTION>
TC, KC, KM AND JC+ CLASSES
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 57
April 2004.......... 100 100 100 100 100 0
April 2005.......... 100 46 46 46 46 0
April 2006.......... 100 0 0 0 0 0
April 2007.......... 100 0 0 0 0 0
April 2008.......... 61 0 0 0 0 0
April 2009.......... 3 0 0 0 0 0
April 2010.......... 0 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 9.2 6.0 6.0 6.0 6.0 4.1
<CAPTION>
TD, KD AND JD+ CLASSES
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 100
April 2004.......... 100 100 100 100 100 82
April 2005.......... 100 100 100 100 100 21
April 2006.......... 100 96 96 96 96 0
April 2007.......... 100 46 46 46 46 0
April 2008.......... 100 7 7 7 7 0
April 2009.......... 100 0 0 0 0 0
April 2010.......... 23 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 10.7 8.0 8.0 8.0 8.0 5.5
<CAPTION>
TE CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 100
April 2004.......... 100 100 100 100 100 100
April 2005.......... 100 100 100 100 100 100
April 2006.......... 100 100 100 100 100 78
April 2007.......... 100 100 100 100 100 49
April 2008.......... 100 100 100 100 100 30
April 2009.......... 100 74 74 74 74 18
April 2010.......... 100 48 48 48 48 10
April 2011.......... 29 29 29 29 29 5
April 2012.......... 14 14 14 14 14 2
April 2013.......... 3 3 3 3 3 *
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 12.1 11.2 11.2 11.2 11.2 8.5
</TABLE>
<TABLE>
<CAPTION>
J CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 90 80 79 73 67 52
April 2001.......... 89 78 76 57 41 4
April 2002.......... 89 78 74 44 20 0
April 2003.......... 89 77 73 35 7 0
April 2004.......... 88 77 72 30 1 0
April 2005.......... 88 77 72 28 * 0
April 2006.......... 88 74 68 26 * 0
April 2007.......... 88 67 62 23 * 0
April 2008.......... 88 59 54 19 * 0
April 2009.......... 88 49 45 15 * 0
April 2010.......... 87 38 35 12 * 0
April 2011.......... 87 26 24 8 * 0
April 2012.......... 61 14 12 5 * 0
April 2013.......... 31 1 1 1 * 0
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 12.0 8.5 8.0 4.3 1.9 1.1
<CAPTION>
Z CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 107 107 107 0 0 0
April 2001.......... 114 114 114 0 0 0
April 2002.......... 121 121 121 0 0 0
April 2003.......... 130 130 130 0 0 0
April 2004.......... 138 138 138 0 0 0
April 2005.......... 148 148 148 0 0 0
April 2006.......... 157 157 157 0 0 0
April 2007.......... 168 168 168 0 0 0
April 2008.......... 179 179 179 0 0 0
April 2009.......... 191 191 191 0 0 0
April 2010.......... 204 204 204 0 0 0
April 2011.......... 218 218 218 0 0 0
April 2012.......... 232 232 232 0 0 0
April 2013.......... 248 248 248 0 0 0
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 15.0 14.3 14.3 0.2 0.1 0.1
<CAPTION>
TG CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 110% 215% 300% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 100
April 2004.......... 100 100 100 100 100 91
April 2005.......... 100 100 100 100 100 58
April 2006.......... 100 98 98 98 98 37
April 2007.......... 100 72 72 72 72 23
April 2008.......... 100 51 51 51 51 14
April 2009.......... 100 35 35 35 35 8
April 2010.......... 60 23 23 23 23 5
April 2011.......... 14 14 14 14 14 2
April 2012.......... 7 7 7 7 7 1
April 2013.......... 1 1 1 1 1 *
April 2014.......... 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 11.3 9.5 9.5 9.5 9.5 6.9
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-33
<PAGE> 79
<TABLE>
<CAPTION>
UD CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 92 42 42 42 42
April 2002.......... 84 0 0 0 0
April 2003.......... 75 0 0 0 0
April 2004.......... 65 0 0 0 0
April 2005.......... 55 0 0 0 0
April 2006.......... 43 0 0 0 0
April 2007.......... 30 0 0 0 0
April 2008.......... 17 0 0 0 0
April 2009.......... 2 0 0 0 0
April 2010.......... 0 0 0 0 0
April 2011.......... 0 0 0 0 0
April 2012.......... 0 0 0 0 0
April 2013.......... 0 0 0 0 0
April 2014.......... 0 0 0 0 0
April 2015.......... 0 0 0 0 0
April 2016.......... 0 0 0 0 0
April 2017.......... 0 0 0 0 0
April 2018.......... 0 0 0 0 0
April 2019.......... 0 0 0 0 0
April 2020.......... 0 0 0 0 0
April 2021.......... 0 0 0 0 0
April 2022.......... 0 0 0 0 0
April 2023.......... 0 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 6.2 1.9 1.9 1.9 1.8
<CAPTION>
UE CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 91 91 91 34
April 2003.......... 100 62 62 62 0
April 2004.......... 100 34 34 34 0
April 2005.......... 100 8 8 8 0
April 2006.......... 100 0 0 0 0
April 2007.......... 100 0 0 0 0
April 2008.......... 100 0 0 0 0
April 2009.......... 100 0 0 0 0
April 2010.......... 93 0 0 0 0
April 2011.......... 83 0 0 0 0
April 2012.......... 73 0 0 0 0
April 2013.......... 63 0 0 0 0
April 2014.......... 51 0 0 0 0
April 2015.......... 38 0 0 0 0
April 2016.......... 24 0 0 0 0
April 2017.......... 9 0 0 0 0
April 2018.......... 0 0 0 0 0
April 2019.......... 0 0 0 0 0
April 2020.......... 0 0 0 0 0
April 2021.......... 0 0 0 0 0
April 2022.......... 0 0 0 0 0
April 2023.......... 0 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.9 4.5 4.5 4.5 2.8
<CAPTION>
UP CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 89 89 89 25
April 2003.......... 100 56 56 56 0
April 2004.......... 100 25 25 25 0
April 2005.......... 100 0 0 0 0
April 2006.......... 100 0 0 0 0
April 2007.......... 100 0 0 0 0
April 2008.......... 100 0 0 0 0
April 2009.......... 100 0 0 0 0
April 2010.......... 91 0 0 0 0
April 2011.......... 81 0 0 0 0
April 2012.......... 70 0 0 0 0
April 2013.......... 57 0 0 0 0
April 2014.......... 44 0 0 0 0
April 2015.......... 29 0 0 0 0
April 2016.......... 13 0 0 0 0
April 2017.......... 0 0 0 0 0
April 2018.......... 0 0 0 0 0
April 2019.......... 0 0 0 0 0
April 2020.......... 0 0 0 0 0
April 2021.......... 0 0 0 0 0
April 2022.......... 0 0 0 0 0
April 2023.......... 0 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.4 4.2 4.2 4.2 2.8
<CAPTION>
UQ CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 100 100 100 100
April 2003.......... 100 100 100 100 0
April 2004.......... 100 100 100 100 0
April 2005.......... 100 67 67 67 0
April 2006.......... 100 0 0 0 0
April 2007.......... 100 0 0 0 0
April 2008.......... 100 0 0 0 0
April 2009.......... 100 0 0 0 0
April 2010.......... 100 0 0 0 0
April 2011.......... 100 0 0 0 0
April 2012.......... 100 0 0 0 0
April 2013.......... 100 0 0 0 0
April 2014.......... 100 0 0 0 0
April 2015.......... 100 0 0 0 0
April 2016.......... 100 0 0 0 0
April 2017.......... 71 0 0 0 0
April 2018.......... 0 0 0 0 0
April 2019.......... 0 0 0 0 0
April 2020.......... 0 0 0 0 0
April 2021.......... 0 0 0 0 0
April 2022.......... 0 0 0 0 0
April 2023.......... 0 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.2 6.1 6.1 6.1 3.4
</TABLE>
<TABLE>
<CAPTION>
PN CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 100 100 100 100
April 2003.......... 100 100 100 100 81
April 2004.......... 100 100 100 100 51
April 2005.......... 100 100 100 100 30
April 2006.......... 100 89 89 89 16
April 2007.......... 100 73 73 73 6
April 2008.......... 100 58 58 58 0
April 2009.......... 100 45 45 45 0
April 2010.......... 100 35 35 35 0
April 2011.......... 100 26 26 26 0
April 2012.......... 100 19 19 19 0
April 2013.......... 100 12 12 12 0
April 2014.......... 100 7 7 7 0
April 2015.......... 100 3 3 3 0
April 2016.......... 100 0 0 0 0
April 2017.......... 100 0 0 0 0
April 2018.......... 95 0 0 0 0
April 2019.......... 82 0 0 0 0
April 2020.......... 68 0 0 0 0
April 2021.......... 53 0 0 0 0
April 2022.......... 37 0 0 0 0
April 2023.......... 20 0 0 0 0
April 2024.......... * 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 22.1 10.2 10.2 10.2 5.4
<CAPTION>
UC CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 100 100 100 100
April 2003.......... 100 100 100 100 100
April 2004.......... 100 100 100 100 100
April 2005.......... 100 100 100 100 100
April 2006.......... 100 100 100 100 100
April 2007.......... 100 100 100 100 100
April 2008.......... 100 100 100 100 93
April 2009.......... 100 100 100 100 64
April 2010.......... 100 100 100 100 43
April 2011.......... 100 100 100 100 29
April 2012.......... 100 100 100 100 20
April 2013.......... 100 100 100 100 13
April 2014.......... 100 100 100 100 9
April 2015.......... 100 100 100 100 6
April 2016.......... 100 95 95 95 4
April 2017.......... 100 77 77 77 3
April 2018.......... 100 61 61 61 2
April 2019.......... 100 48 48 48 1
April 2020.......... 100 38 38 38 1
April 2021.......... 100 29 29 29 *
April 2022.......... 100 22 22 22 *
April 2023.......... 100 16 16 16 *
April 2024.......... 100 11 11 11 *
April 2025.......... 8 8 8 8 *
April 2026.......... 5 5 5 5 *
April 2027.......... 2 2 2 2 *
April 2028.......... * * * * *
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.6 20.6 20.6 20.6 11.4
<CAPTION>
F, S AND UH CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 95 82 76 65 36
April 2001.......... 93 80 65 36 0
April 2002.......... 91 78 54 10 0
April 2003.......... 89 76 45 0 0
April 2004.......... 87 74 37 0 0
April 2005.......... 84 71 30 0 0
April 2006.......... 82 68 24 0 0
April 2007.......... 79 66 19 0 0
April 2008.......... 76 62 15 0 0
April 2009.......... 73 57 9 0 0
April 2010.......... 69 51 3 0 0
April 2011.......... 66 43 0 0 0
April 2012.......... 62 34 0 0 0
April 2013.......... 58 24 0 0 0
April 2014.......... 54 14 0 0 0
April 2015.......... 49 3 0 0 0
April 2016.......... 44 0 0 0 0
April 2017.......... 39 0 0 0 0
April 2018.......... 34 0 0 0 0
April 2019.......... 28 0 0 0 0
April 2020.......... 22 0 0 0 0
April 2021.......... 15 0 0 0 0
April 2022.......... 9 0 0 0 0
April 2023.......... 1 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 14.5 9.4 4.3 1.6 0.8
<CAPTION>
ZA CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 106 106 106 106 106
April 2001.......... 113 113 113 113 5
April 2002.......... 120 120 120 120 0
April 2003.......... 127 127 127 94 0
April 2004.......... 135 135 135 52 0
April 2005.......... 143 143 143 24 0
April 2006.......... 152 152 152 8 0
April 2007.......... 161 161 161 1 0
April 2008.......... 171 171 171 * 0
April 2009.......... 182 182 182 * 0
April 2010.......... 193 193 193 * 0
April 2011.......... 205 205 191 * 0
April 2012.......... 218 218 177 * 0
April 2013.......... 231 231 163 * 0
April 2014.......... 245 245 149 * 0
April 2015.......... 261 261 135 * 0
April 2016.......... 277 247 121 * 0
April 2017.......... 294 224 107 * 0
April 2018.......... 312 202 94 * 0
April 2019.......... 331 179 82 * 0
April 2020.......... 351 157 70 * 0
April 2021.......... 373 136 59 * 0
April 2022.......... 396 114 48 * 0
April 2023.......... 421 94 39 * 0
April 2024.......... 425 74 30 * 0
April 2025.......... 402 55 22 * 0
April 2026.......... 314 37 14 * 0
April 2027.......... 219 20 7 * 0
April 2028.......... 115 3 1 * 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.0 22.4 19.2 5.0 1.8
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-34
<PAGE> 80
<TABLE>
<CAPTION>
LA CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 145% 175% 215% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 85 0 0 0 0 0 0
April 2003.......... 67 0 0 0 0 0 0
April 2004.......... 47 0 0 0 0 0 0
April 2005.......... 26 0 0 0 0 0 0
April 2006.......... 2 0 0 0 0 0 0
April 2007.......... 0 0 0 0 0 0 0
April 2008.......... 0 0 0 0 0 0 0
April 2009.......... 0 0 0 0 0 0 0
April 2010.......... 0 0 0 0 0 0 0
April 2011.......... 0 0 0 0 0 0 0
April 2012.......... 0 0 0 0 0 0 0
April 2013.......... 0 0 0 0 0 0 0
April 2014.......... 0 0 0 0 0 0 0
April 2015.......... 0 0 0 0 0 0 0
April 2016.......... 0 0 0 0 0 0 0
April 2017.......... 0 0 0 0 0 0 0
April 2018.......... 0 0 0 0 0 0 0
April 2019.......... 0 0 0 0 0 0 0
April 2020.......... 0 0 0 0 0 0 0
April 2021.......... 0 0 0 0 0 0 0
April 2022.......... 0 0 0 0 0 0 0
April 2023.......... 0 0 0 0 0 0 0
April 2024.......... 0 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 4.8 2.5 2.5 2.5 2.5 2.5 2.3
<CAPTION>
LB CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 145% 175% 215% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 98 98 98 98 98 81
April 2003.......... 100 87 87 87 87 87 56
April 2004.......... 100 77 77 77 77 77 38
April 2005.......... 100 67 67 67 67 67 26
April 2006.......... 100 58 58 58 58 58 17
April 2007.......... 98 49 49 49 49 49 12
April 2008.......... 95 41 41 41 41 41 8
April 2009.......... 93 34 34 34 34 34 5
April 2010.......... 90 28 28 28 28 28 3
April 2011.......... 86 23 23 23 23 23 2
April 2012.......... 83 19 19 19 19 19 1
April 2013.......... 79 15 15 15 15 15 *
April 2014.......... 74 12 12 12 12 12 0
April 2015.......... 70 10 10 10 10 10 0
April 2016.......... 64 8 8 8 8 8 0
April 2017.......... 59 6 6 6 6 6 0
April 2018.......... 53 4 4 4 4 4 0
April 2019.......... 46 3 3 3 3 3 0
April 2020.......... 38 2 2 2 2 2 0
April 2021.......... 30 2 2 2 2 2 0
April 2022.......... 22 1 1 1 1 1 0
April 2023.......... 12 * * * * * 0
April 2024.......... 1 0 0 0 0 0 0
April 2025.......... 0 0 0 0 0 0 0
April 2026.......... 0 0 0 0 0 0 0
April 2027.......... 0 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 18.5 8.9 8.9 8.9 8.9 8.9 5.0
<CAPTION>
LC CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 145% 175% 215% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100 100
April 2003.......... 100 100 100 100 100 100 100
April 2004.......... 100 100 100 100 100 100 100
April 2005.......... 100 100 100 100 100 100 100
April 2006.......... 100 100 100 100 100 100 100
April 2007.......... 100 100 100 100 100 100 100
April 2008.......... 100 100 100 100 100 100 100
April 2009.......... 100 100 100 100 100 100 100
April 2010.......... 100 100 100 100 100 100 100
April 2011.......... 100 100 100 100 100 100 100
April 2012.......... 100 100 100 100 100 100 100
April 2013.......... 100 100 100 100 100 100 100
April 2014.......... 100 100 100 100 100 100 75
April 2015.......... 100 100 100 100 100 100 50
April 2016.......... 100 100 100 100 100 100 34
April 2017.......... 100 100 100 100 100 100 22
April 2018.......... 100 100 100 100 100 100 15
April 2019.......... 100 100 100 100 100 100 10
April 2020.......... 100 100 100 100 100 100 6
April 2021.......... 100 100 100 100 100 100 4
April 2022.......... 100 100 100 100 100 100 2
April 2023.......... 100 100 100 100 100 100 2
April 2024.......... 100 94 94 94 94 94 1
April 2025.......... 64 64 64 64 64 64 1
April 2026.......... 39 39 39 39 39 39 *
April 2027.......... 20 20 20 20 20 20 *
April 2028.......... 4 4 4 4 4 4 *
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 26.8 26.7 26.7 26.7 26.7 26.7 16.8
</TABLE>
<TABLE>
<CAPTION>
GK CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 145% 175% 215% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 97 85 81 81 81 81 81
April 2001.......... 94 61 48 48 48 48 12
April 2002.......... 93 58 36 36 36 36 0
April 2003.......... 93 58 28 28 28 26 0
April 2004.......... 93 58 22 22 22 11 0
April 2005.......... 93 58 17 17 17 * 0
April 2006.......... 93 58 14 14 14 0 0
April 2007.......... 93 58 11 11 11 0 0
April 2008.......... 93 58 10 10 10 0 0
April 2009.......... 93 57 9 9 9 0 0
April 2010.......... 93 54 7 7 7 0 0
April 2011.......... 93 49 6 6 6 0 0
April 2012.......... 93 44 4 4 4 0 0
April 2013.......... 93 37 2 2 2 0 0
April 2014.......... 93 31 1 1 1 0 0
April 2015.......... 93 23 0 0 0 0 0
April 2016.......... 93 16 0 0 0 0 0
April 2017.......... 93 8 0 0 0 0 0
April 2018.......... 93 1 0 0 0 0 0
April 2019.......... 93 0 0 0 0 0 0
April 2020.......... 93 0 0 0 0 0 0
April 2021.......... 93 0 0 0 0 0 0
April 2022.......... 93 0 0 0 0 0 0
April 2023.......... 93 0 0 0 0 0 0
April 2024.......... 93 0 0 0 0 0 0
April 2025.......... 69 0 0 0 0 0 0
April 2026.......... 39 0 0 0 0 0 0
April 2027.......... 6 0 0 0 0 0 0
April 2028.......... 0 0 0 0 0 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 25.1 9.3 3.5 3.5 3.5 2.6 1.5
<CAPTION>
GL CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 145% 175% 215% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 97 87 83 83 83 83 83
April 2001.......... 94 65 53 53 53 53 20
April 2002.......... 94 62 42 42 42 42 0
April 2003.......... 94 62 35 35 35 33 0
April 2004.......... 94 62 30 30 30 19 0
April 2005.......... 94 62 25 25 25 10 0
April 2006.......... 94 62 22 22 22 4 0
April 2007.......... 94 62 20 20 20 1 0
April 2008.......... 94 62 18 18 18 * 0
April 2009.......... 94 61 17 17 17 * 0
April 2010.......... 94 58 16 16 16 * 0
April 2011.......... 94 54 14 14 14 * 0
April 2012.......... 94 49 13 13 13 * 0
April 2013.......... 94 43 11 11 11 * 0
April 2014.......... 94 37 10 10 10 * 0
April 2015.......... 94 31 9 9 9 * 0
April 2016.......... 94 24 7 7 7 * 0
April 2017.......... 94 17 6 6 6 * 0
April 2018.......... 94 10 5 5 5 * 0
April 2019.......... 94 4 4 4 4 * 0
April 2020.......... 94 3 3 3 3 * 0
April 2021.......... 94 2 2 2 2 * 0
April 2022.......... 94 1 1 1 1 * 0
April 2023.......... 94 1 1 1 1 * 0
April 2024.......... 94 0 0 0 0 * 0
April 2025.......... 72 0 0 0 0 * 0
April 2026.......... 45 0 0 0 0 * 0
April 2027.......... 15 0 0 0 0 * 0
April 2028.......... 0 0 0 0 0 * 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 25.4 10.3 5.0 5.0 5.0 3.0 1.6
<CAPTION>
GM CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 145% 175% 215% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 100 100 100 100
April 2001.......... 100 100 100 100 100 100 100
April 2002.......... 100 100 100 100 100 100 0
April 2003.......... 100 100 100 100 100 100 0
April 2004.......... 100 100 100 100 100 100 0
April 2005.......... 100 100 100 100 100 100 0
April 2006.......... 100 100 100 100 100 39 0
April 2007.......... 100 100 100 100 100 7 0
April 2008.......... 100 100 100 100 100 1 0
April 2009.......... 100 100 100 100 100 1 0
April 2010.......... 100 100 100 100 100 1 0
April 2011.......... 100 100 100 100 100 1 0
April 2012.......... 100 100 100 100 100 1 0
April 2013.......... 100 100 100 100 100 1 0
April 2014.......... 100 100 100 100 100 1 0
April 2015.......... 100 100 92 92 92 1 0
April 2016.......... 100 100 78 78 78 1 0
April 2017.......... 100 100 65 65 65 1 0
April 2018.......... 100 100 52 52 52 1 0
April 2019.......... 100 41 41 41 41 1 0
April 2020.......... 100 31 31 31 31 1 0
April 2021.......... 100 22 22 22 22 1 0
April 2022.......... 100 13 13 13 13 1 0
April 2023.......... 100 6 6 6 6 1 0
April 2024.......... 100 0 0 0 0 1 0
April 2025.......... 100 0 0 0 0 1 0
April 2026.......... 100 0 0 0 0 1 0
April 2027.......... 100 0 0 0 0 1 0
April 2028.......... 0 0 0 0 0 1 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 28.3 20.6 19.5 19.5 19.5 7.0 2.2
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-35
<PAGE> 81
<TABLE>
<CAPTION>
FL, SL, SM+ AND L CLASSES
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 145% 175% 215% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
April 2000.......... 100 100 100 95 88 83 41
April 2001.......... 100 100 100 86 67 51 0
April 2002.......... 100 100 100 76 45 19 0
April 2003.......... 100 100 100 69 29 0 0
April 2004.......... 100 100 100 63 18 0 0
April 2005.......... 100 100 100 59 10 0 0
April 2006.......... 100 100 100 57 6 0 0
April 2007.......... 100 100 100 55 4 0 0
April 2008.......... 100 100 100 55 4 0 0
April 2009.......... 100 100 98 53 4 0 0
April 2010.......... 100 100 95 51 4 0 0
April 2011.......... 100 100 91 48 4 0 0
April 2012.......... 100 100 86 45 4 0 0
April 2013.......... 100 100 80 42 4 0 0
April 2014.......... 100 100 75 39 4 0 0
April 2015.......... 100 100 69 36 4 0 0
April 2016.......... 100 100 63 32 4 0 0
April 2017.......... 100 100 57 29 4 0 0
April 2018.......... 100 100 51 26 4 0 0
April 2019.......... 100 99 46 23 4 0 0
April 2020.......... 100 88 40 21 4 0 0
April 2021.......... 100 77 35 18 4 0 0
April 2022.......... 100 67 30 16 4 0 0
April 2023.......... 100 56 25 13 4 0 0
April 2024.......... 100 46 21 11 4 0 0
April 2025.......... 100 35 15 8 3 0 0
April 2026.......... 100 25 11 6 2 0 0
April 2027.......... 100 15 6 3 1 0 0
April 2028.......... 67 5 2 1 * 0 0
April 2029.......... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.3 24.6 19.5 11.9 3.9 2.0 0.9
<CAPTION>
VC CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 96 96 96 96 96
April 2001.......... 92 92 92 92 92
April 2002.......... 87 87 87 87 87
April 2003.......... 82 82 82 82 82
April 2004.......... 77 77 77 77 74
April 2005.......... 71 71 71 71 18
April 2006.......... 65 65 65 65 0
April 2007.......... 58 58 58 58 0
April 2008.......... 51 51 51 51 0
April 2009.......... 44 44 44 41 0
April 2010.......... 36 36 36 5 0
April 2011.......... 28 28 28 0 0
April 2012.......... 19 19 19 0 0
April 2013.......... 9 9 0 0 0
April 2014.......... 0 0 0 0 0
April 2015.......... 0 0 0 0 0
April 2016.......... 0 0 0 0 0
April 2017.......... 0 0 0 0 0
April 2018.......... 0 0 0 0 0
April 2019.......... 0 0 0 0 0
April 2020.......... 0 0 0 0 0
April 2021.......... 0 0 0 0 0
April 2022.......... 0 0 0 0 0
April 2023.......... 0 0 0 0 0
April 2024.......... 0 0 0 0 0
April 2025.......... 0 0 0 0 0
April 2026.......... 0 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 8.7 8.7 8.6 7.8 5.0
</TABLE>
<TABLE>
<CAPTION>
C CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 100 100 100 100 100
April 2001.......... 100 100 100 100 100
April 2002.......... 100 100 100 100 100
April 2003.......... 100 100 100 100 100
April 2004.......... 100 100 100 100 98
April 2005.......... 100 100 100 100 67
April 2006.......... 100 100 100 100 46
April 2007.......... 100 100 100 100 31
April 2008.......... 100 100 100 100 21
April 2009.......... 100 100 100 98 14
April 2010.......... 100 100 100 81 9
April 2011.......... 100 100 100 67 6
April 2012.......... 100 100 100 55 4
April 2013.......... 100 100 91 45 2
April 2014.......... 100 100 78 36 1
April 2015.......... 100 100 67 29 1
April 2016.......... 100 100 57 23 *
April 2017.......... 100 100 48 19 0
April 2018.......... 100 100 40 15 0
April 2019.......... 100 88 33 11 0
April 2020.......... 100 75 27 9 0
April 2021.......... 100 63 21 6 0
April 2022.......... 100 52 16 5 0
April 2023.......... 100 41 12 3 0
April 2024.......... 100 31 9 2 0
April 2025.......... 100 22 6 1 0
April 2026.......... 100 13 3 * 0
April 2027.......... 99 4 * 0 0
April 2028.......... 51 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.0 23.4 18.6 14.6 7.5
<CAPTION>
AB, AC AND AJ+ CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 175% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
April 2000.......... 99 93 89 85 72
April 2001.......... 98 85 76 68 43
April 2002.......... 97 77 65 54 23
April 2003.......... 96 70 55 41 9
April 2004.......... 95 63 46 31 0
April 2005.......... 94 57 38 23 0
April 2006.......... 92 51 30 15 0
April 2007.......... 91 45 24 9 0
April 2008.......... 89 40 18 4 0
April 2009.......... 87 35 13 0 0
April 2010.......... 85 30 9 0 0
April 2011.......... 83 25 5 0 0
April 2012.......... 80 21 1 0 0
April 2013.......... 78 17 0 0 0
April 2014.......... 75 13 0 0 0
April 2015.......... 72 10 0 0 0
April 2016.......... 68 6 0 0 0
April 2017.......... 64 3 0 0 0
April 2018.......... 60 * 0 0 0
April 2019.......... 56 0 0 0 0
April 2020.......... 51 0 0 0 0
April 2021.......... 45 0 0 0 0
April 2022.......... 39 0 0 0 0
April 2023.......... 33 0 0 0 0
April 2024.......... 26 0 0 0 0
April 2025.......... 18 0 0 0 0
April 2026.......... 9 0 0 0 0
April 2027.......... 0 0 0 0 0
April 2028.......... 0 0 0 0 0
April 2029.......... 0 0 0 0 0
Weighted Average
Life (years)**..... 19.3 8.0 5.2 3.8 2.0
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-36
<PAGE> 82
CHARACTERISTICS OF THE R AND RL CLASSES
If any assets of the Trust remain after the principal balances of all
Classes are reduced to zero, we will pay the Holder of the R Class the proceeds
from those assets. The RL Class will not have a principal balance and will not
bear interest. If any assets of the Lower Tier REMIC remain after the principal
balances of the Lower Tier Regular Interests are reduced to zero, we will pay
the proceeds of those assets to the Holder of the RL Class. Fannie Mae does not
expect that any material assets will remain in either case.
The R and RL Classes will be subject to certain transfer restrictions. We
will not permit transfer of record or beneficial ownership of an R or RL
Certificate to a "disqualified organization." In addition, we will not permit
transfer of record or beneficial ownership of an R or RL Certificate to any
person that is not a "U.S. Person" without our written consent. Treasury
Department regulations (the "Regulations") provide that a transfer of a
"noneconomic residual interest" to a U.S. Person will be disregarded for all
federal tax purposes unless no significant purpose of the transfer is to impede
the assessment or collection of tax. The RL Class will, and the R Class may,
constitute a noneconomic residual interest under the Regulations. Any transferee
of an R or RL Certificate must execute and deliver an affidavit and an Internal
Revenue Service Form W-9 on which the transferee provides its taxpayer
identification number. See "Description of Certificates--Special Characteristics
of Residual Certificates" and "Certain Federal Income Tax Consequences--Taxation
of Beneficial Owners of Residual Certificates" in the REMIC Prospectus.
Transferors of an R or RL Certificate should consult with their own tax advisors
for further information regarding such transfers.
The Holder of the R Class will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Class will be considered to be the holder of the "residual interest" in the
REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, we will
be obligated to provide to these Holders (i) information necessary to enable
them to prepare their federal income tax returns and (ii) any reports regarding
the R or RL Class that may be required under the Code.
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The Certificates and payments on the Certificates are not generally exempt
from taxation. Therefore, you should consider the tax consequences of holding a
Certificate before you acquire one. The following tax discussion supplements the
discussion under the caption "Certain Federal Income Tax Consequences" in the
REMIC Prospectus. When read together, the two discussions describe the current
federal income tax treatment of beneficial owners of Certificates. These two tax
discussions do not purport to deal with all federal tax consequences applicable
to all categories of beneficial owners, some of which may be subject to special
rules. In addition, these discussions may not apply to your particular
circumstances for one of the reasons explained in the REMIC Prospectus. You
should consult your own tax advisors regarding the federal income tax
consequences of holding and disposing of Certificates as well as any tax
consequences arising under the laws of any state, local or foreign taxing
jurisdiction.
REMIC ELECTIONS AND SPECIAL TAX ATTRIBUTES
We will elect to treat the Lower Tier REMIC and the Trust as REMICs for
federal income tax purposes. The REMIC Certificates, other than the R and RL
Classes, will be designated as the "regular interests," and the R Class will be
designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests"
and the RL Class will be designated as the "residual interest" in the Lower Tier
REMIC.
Because the Lower Tier REMIC and the Trust will qualify as REMICs, the
REMIC Certificates and any related RCR Certificates generally will be treated as
"regular or residual interests in a
S-37
<PAGE> 83
REMIC" for domestic building and loan associations, "real estate assets" for
real estate investment trusts, and, except for the R and RL Classes, as
"qualified mortgages" for other REMICs. See "Certain Federal Income Tax
Consequences--REMIC Election and Special Tax Attributes" in the REMIC
Prospectus.
TAXATION OF BENEFICIAL OWNERS OF REGULAR CERTIFICATES
The Notional Classes, the Principal Only Class and the Accrual Classes will
be issued with original issue discount ("OID"), and certain other Classes of
REMIC Certificates may be issued with OID. If a Class is issued with OID, a
beneficial owner of a Certificate of that Class generally must recognize some
taxable income in advance of the receipt of the cash attributable to that
income. See "Certain Federal Income Tax Consequences--Taxation of Beneficial
Owners of Regular Certificates--Treatment of Original Issue Discount" in the
REMIC Prospectus. In addition, certain Classes of REMIC Certificates may be
treated as having been issued at a premium. See "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates--Regular
Certificates Purchased at a Premium" in the REMIC Prospectus.
The Prepayment Assumptions that will be used in determining the rate of
accrual of OID will be as follows:
<TABLE>
<CAPTION>
CLASS GROUP PSA PREPAYMENT ASSUMPTION
- ----------- -------------------------
<S> <C>
1 140%
2 175%
3 215%
4 150%
5 175%
</TABLE>
See "Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Regular Certificates--Treatment of Original Issue Discount--Daily Portions of
Original Issue Discount" in the REMIC Prospectus. No representation is made as
to whether the Mortgage Loans underlying the MBS will prepay at any of those
rates or any other rate. See "Description of the Certificates--Weighted Average
Lives of the Certificates" in this prospectus supplement and "Description of
Certificates--Weighted Average Life and Final Distribution Date" in the REMIC
Prospectus.
TAXATION OF BENEFICIAL OWNERS OF RESIDUAL CERTIFICATES
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about March 20, 1999. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates--Treatment of Excess Inclusions" and "--Foreign Investors--Residual
Certificates" in the REMIC Prospectus.
TAXATION OF BENEFICIAL OWNERS OF RCR CERTIFICATES
General. The RCR Classes will be created, sold and administered pursuant
to an arrangement that will be classified as a grantor trust under subpart E,
part I of subchapter J of the Code. The REMIC Certificates that are exchanged
for RCR Certificates (including any exchanges effective on the Settlement Date)
will be the assets of the trust, and the RCR Certificates will represent an
ownership interest in those REMIC Certificates. For a general discussion of the
federal income tax treatment of beneficial owners of REMIC Certificates, see
"Certain Federal Income Tax Consequences" in the REMIC Prospectus.
The RCR Classes will represent the beneficial ownership of the underlying
REMIC Certificates set forth in Schedule 1. The ownership interest represented
by RCR Class Certificates will be one of two types. A Certificate of a Strip RCR
Class (a "Strip RCR Certificate") will represent the right to
S-38
<PAGE> 84
receive a disproportionate part of the principal or interest payments on one or
more underlying REMIC Certificates. A Certificate of a Combination RCR Class (a
"Combination RCR Certificate") will represent beneficial ownership of undivided
interests in two or more underlying REMIC Certificates.
The AC, AJ, AE, AI, KM, JC, KD, JD, SM and L Classes are Strip RCR Classes.
The VC, C, AB, UH and TG Classes are Combination RCR Classes.
Strip RCR Classes. The tax consequences to a beneficial owner of a Strip
RCR Certificate will be determined under section 1286 of the Code, except as
discussed below. Under section 1286, a beneficial owner of a Strip RCR
Certificate will be treated as owning "stripped bonds" to the extent of its
share of principal payments and "stripped coupons" to the extent of its share of
interest payments on the underlying REMIC Certificates. If a Strip RCR
Certificate entitles the holder to payments of principal and interest on an
underlying REMIC Certificate, the IRS could contend that, with respect to each
such underlying REMIC Certificate, the Strip RCR Certificate should be treated
(i) as an interest in the underlying REMIC Certificate to the extent that the
Strip RCR Certificate represents an equal pro rata portion of principal and
interest on the underlying REMIC Certificate, and (ii) with respect to the
remainder, as an installment obligation consisting of "stripped bonds" to the
extent of its share of principal payments or "stripped coupons" to the extent of
its share of interest payments. In addition, the IRS could contend that OID
should be computed separately with respect to each of the interests in the
underlying REMIC Certificates represented by a Strip RCR Certificate. For
purposes of information reporting, however, Fannie Mae intends to treat each
Strip RCR Certificate as a single debt instrument. You should consult your own
tax advisors as to the proper treatment of a Strip RCR Certificate in this
regard.
Under section 1286, the beneficial owner of a Strip RCR Certificate must
treat the Strip RCR Certificate as a debt instrument originally issued on the
date the owner acquires it and as having OID equal to the excess, if any, of its
"stated redemption price at maturity" over the price paid by the owner to
acquire it. The stated redemption price at maturity for a Strip RCR Certificate
is determined in the same manner as described with respect to Regular
Certificates under "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Treatment of Original Issue Discount"
in the REMIC Prospectus.
If a Strip RCR Certificate has OID, the beneficial owner must include the
OID in its ordinary income for federal income tax purposes as the OID accrues,
which may be prior to the receipt of the cash attributable to that income.
Although the matter is not entirely clear, a beneficial owner should accrue OID
using a method similar to that described with respect to the accrual of OID on a
Regular Certificate under "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Regular Certificates--Treatment of Original Issue Discount"
in the REMIC Prospectus. A beneficial owner, however, determines its yield to
maturity based on its purchase price. For a particular beneficial owner, it is
not clear whether the prepayment assumption used for calculating OID would be
one determined at the time the Strip RCR Certificate is acquired or would be the
original Prepayment Assumption for the underlying REMIC Certificates. For
purposes of information reporting, Fannie Mae will use the original yield to
maturity of the Strip RCR Certificate, calculated based on the original
Prepayment Assumption. You should consult your own tax advisors regarding the
proper method for accruing OID on a Strip RCR Certificate.
The rules of section 1286 of the Code also apply if (i) a beneficial owner
of REMIC Certificates exchanges them for Strip RCR Certificates, (ii) the
beneficial owner sells some, but not all, of the Strip RCR Certificates, and
(iii) the combination of retained Strip RCR Certificates cannot be exchanged for
the related REMIC Certificates. As of the date of such a sale, the beneficial
owner must allocate its basis in the REMIC Certificates between the part of the
REMIC Certificates underlying the Strip RCR Certificates sold and the part of
the REMIC Certificates underlying the Strip RCR Certificates retained in
proportion to their relative fair market values. Section 1286 of the Code treats
the beneficial owner as purchasing the Strip RCR Certificates retained for the
amount of the
S-39
<PAGE> 85
basis allocated to the retained Certificates, and the beneficial owner must then
accrue any OID with respect to the retained Certificates as described above.
Section 1286 does not apply, however, if a beneficial owner exchanges REMIC
Certificates for the related RCR Certificates and retains all the RCR
Certificates. See "--Taxation of Beneficial Owners of RCR
Certificates--Exchanges."
Upon the sale of a Strip RCR Certificate, a beneficial owner will realize
gain or loss on the sale in an amount equal to the difference between the amount
realized and its adjusted basis in the Certificate. The owner's adjusted basis
generally is equal to the owner's cost of the Certificate (or portion of the
cost of the REMIC Certificates allocable to the RCR Certificate), increased by
income previously included, and reduced (but not below zero) by distributions
previously received and by any amortized premium. If the beneficial owner holds
the Certificate as a capital asset, any gain or loss realized will be capital
gain or loss, except to the extent provided under "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates--Sales and
Other Dispositions of Regular Certificates" in the REMIC Prospectus.
Although the matter is not free from doubt, if a beneficial owner acquires
in one transaction (other than an exchange described under "--Taxation of
Beneficial Owners of RCR Certificates--Exchanges") a combination of Strip RCR
Certificates that may be exchanged for underlying REMIC Certificates, the owner
should be treated as owning the underlying REMIC Certificates, in which case
section 1286 would not apply. If a beneficial owner acquires such a combination
in separate transactions, the law is unclear as to whether the combination
should be aggregated or each Strip RCR Certificate should be treated as a
separate debt instrument. You should consult your tax advisors regarding the
proper treatment of Strip RCR Certificates in this regard. For the treatment of
Strip RCR Certificates received in exchange for REMIC Certificates, see
"--Taxation of Beneficial Owners of RCR Certificates--Exchanges."
Combination RCR Classes. A beneficial owner of a Combination RCR
Certificate will be treated as the beneficial owner of a proportionate interest
in the REMIC Certificates underlying that Combination RCR Certificate. A
beneficial owner of a Combination RCR Certificate must allocate its cost to
acquire that Certificate among the underlying REMIC Certificates in proportion
to their relative fair market values at the time of acquisition. Such owner
should account for its ownership interest in each underlying REMIC Certificate
as described under "--Taxation of Beneficial Owners of Regular Certificates" in
this prospectus supplement and "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates" in the
REMIC Prospectus. When a beneficial owner sells a Combination RCR Certificate,
the owner must allocate the sale proceeds among the underlying REMIC
Certificates in proportion to their relative fair market values at the time of
sale.
Exchanges. If a beneficial owner exchanges one or more REMIC Certificates
for the related RCR Certificate or Certificates in the manner described under
"Description of the Certificates--Combination and Recombination" in this
prospectus supplement, the exchange will not be taxable. Likewise, if a
beneficial owner exchanges one or more RCR Certificates for the related REMIC
Certificate or Certificates in the manner described in that discussion, the
exchange will not be a taxable exchange. In each of these cases, the beneficial
owner will be treated as continuing to own after the exchange the same
combination of interests in the related REMIC Certificates (or the same interest
in the related REMIC Certificate) that it owned immediately prior to the
exchange.
PLAN OF DISTRIBUTION
General. We are obligated to deliver the Certificates to Merrill Lynch,
Pierce, Fenner & Smith Incorporated (the "Dealer") in exchange for the MBS. The
Dealer proposes to offer the Certificates directly to the public from time to
time in negotiated transactions at varying prices to be determined at the time
of sale. The Dealer may effect these transactions to or through other dealers.
S-40
<PAGE> 86
Increase in Certificates. Before the Settlement Date, we and the Dealer
may agree to offer Group 1, Group 2, Group 3, Group 4 and Group 5 Classes in
addition to those contemplated as of the date of this prospectus supplement. In
this event, we will increase the related MBS in principal balance, but we expect
that all these additional MBS will have the same characteristics as described
under "Description of the Certificates--The MBS." The proportion that the
original principal balance of each Group 1, Group 2, Group 3, Group 4 and Group
5 Class bears to the aggregate original principal balance of all Group 1, Group
2, Group 3, Group 4 or Group 5 Classes, respectively, will remain the same. In
addition, the dollar amounts shown in the Principal Balance Schedules will be
increased to correspond to the increase of the principal balances of the
applicable Classes.
LEGAL MATTERS
Brown & Wood LLP will provide legal representation for Fannie Mae. Milbank,
Tweed, Hadley & McCloy LLP will provide legal representation for the Dealer.
S-41
<PAGE> 87
SCHEDULE 1
AVAILABLE RECOMBINATIONS(1)
<TABLE>
<CAPTION>
REMIC CERTIFICATES RCR CERTIFICATES
- ------------------------------------ ---------------------
ORIGINAL
PRINCIPAL
ORIGINAL OR NOTIONAL
PRINCIPAL RCR PRINCIPAL
CLASSES BALANCE CLASSES BALANCE
------- --------- ------- -----------
<S> <C> <C> <C>
RECOMBINATION 1
VA $ 8,308,000 VC $ 38,187,000
VB 29,879,000
RECOMBINATION 2
VA 8,308,000 C 61,587,000
VB 29,879,000
ZC 23,400,000
RECOMBINATION 3
A 279,710,000 AC 287,913,000
B 8,203,000 AJ 11,073,576
RECOMBINATION 4
A 279,710,000 AB 287,913,000
B 8,203,000
RECOMBINATION 5
A 279,710,000 AE 279,710,000
AI 10,758,076
RECOMBINATION 6
TC 44,983,000 KM 44,983,000
JC 3,460,230
RECOMBINATION 7
TD 79,602,500 KD 79,602,500
JD 6,123,269
RECOMBINATION 8
F 72,578,823 UH 102,820,000
S 30,241,177
RECOMBINATION 9
SL 12,929,738 SM 56,028,863
L 12,929,738
RECOMBINATION 10
TD 79,602,500 TG 151,632,000
TE 72,029,500
<CAPTION>
REMIC CERT RCR CERTIFICATES
- ------------------- -----------------------------------------------------------
FINAL
INTEREST INTEREST PRINCIPAL CUSIP DISTRIBUTION
CLASSES RATE TYPE(2) TYPE(2) NUMBER DATE
------- -------- -------- --------- ------ ------------
<S> <C> <C> <C> <C> <C>
RECOMBINATION 1
VA 6.50% FIX SEQ/AD 31359V P 7 2 May 2014
VB
RECOMBINATION 2
VA 6.50 FIX SEQ 31359V P 8 0 May 2029
VB
ZC
RECOMBINATION 3
A 6.25 FIX SEQ 31359VQ22 May 2027
B 6.50 FIX/IO NTL 31359V 2 A 0 May 2027
RECOMBINATION 4
A 6.50 FIX SEQ 31359V P 9 8 May 2027
B
RECOMBINATION 5
A 6.25 FIX SEQ 31359V 2 B 8 February 2027
6.50 FIX/IO NTL 31359V 2 C 6 February 2027
RECOMBINATION 6
TC 6.00 FIX PAC 31359V2D4 November 2011
6.50 FIX/IO NTL 31359V 2 E 2 November 2011
RECOMBINATION 7
TD 6.00 FIX PAC 31359V 2 F 9 April 2013
6.50 FIX/IO NTL 31359V2G7 April 2013
RECOMBINATION 8
F 6.00 FIX SUP 31359V2H5 August 2023
S
RECOMBINATION 9
SL (3) INV/IO NTL 31359V2K8 May 2029
(4) PO SUP 31359V 2 L 6 May 2029
RECOMBINATION 10
TD 6.50 FIX PAC 31359V 2 J 1 May 2014
TE
</TABLE>
- ---------------
(1) The balances of the REMIC Certificates and RCR Certificates involved in any
exchange will bear the same proportionate relationship as that borne by the
original balances of the related Classes.
(2) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the Certificates--Distributions
of Interest" and "--Distributions of Principal" herein.
(3) For a description of this interest rate, see "Description of the
Certificates--Distributions of Interest" herein.
(4) Principal Only Class.
A-1
<PAGE> 88
PRINCIPAL BALANCE SCHEDULES
PB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2001............ $19,683,600.00
June 2001........... 17,487,543.01
July 2001........... 15,302,606.02
August 2001......... 13,128,731.77
September 2001...... 10,965,863.28
October 2001........ 8,813,943.86
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2001....... $ 6,672,917.14
December 2001....... 4,542,727.00
January 2002........ 2,423,317.64
February 2002....... 314,633.53
March 2002 and
thereafter........ 0.00
</TABLE>
PC CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2002....... $30,326,200.00
March 2002.......... 28,542,819.43
April 2002.......... 26,455,420.38
May 2002............ 24,378,581.72
June 2002........... 22,312,249.06
July 2002........... 20,256,368.27
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2002......... $18,210,885.53
September 2002...... 16,175,747.28
October 2002........ 14,150,900.23
November 2002....... 12,136,291.39
December 2002....... 10,131,868.02
January 2003........ 8,137,577.64
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2003....... $ 6,153,368.08
March 2003.......... 4,179,187.40
April 2003.......... 2,214,983.95
May 2003............ 260,706.32
June 2003 and
thereafter........ 0.00
</TABLE>
PD CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2003............ $16,954,800.00
June 2003........... 15,271,103.41
July 2003........... 13,336,524.33
August 2003......... 11,411,718.48
September 2003...... 9,496,635.53
October 2003........ 7,591,225.38
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2003....... $ 5,695,438.21
December 2003....... 3,809,224.45
January 2004........ 1,932,534.78
February 2004....... 65,320.14
March 2004 and
thereafter........ 0.00
</TABLE>
PE CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2004....... $48,068,800.00
March 2004.......... 46,276,331.71
April 2004.......... 44,427,920.95
May 2004............ 42,588,839.53
June 2004........... 40,759,039.41
July 2004........... 38,938,472.75
August 2004......... 37,127,092.01
September 2004...... 35,324,849.84
October 2004........ 33,531,699.18
November 2004....... 31,747,593.19
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2004....... $29,972,485.26
January 2005........ 28,206,329.03
February 2005....... 26,449,078.40
March 2005.......... 24,700,687.48
April 2005.......... 22,961,110.62
May 2005............ 21,230,302.41
June 2005........... 19,508,217.67
July 2005........... 17,794,811.46
August 2005......... 16,090,039.06
September 2005...... 14,393,855.99
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2005........ $12,706,217.99
November 2005....... 11,027,081.03
December 2005....... 9,356,401.32
January 2006........ 7,694,135.27
February 2006....... 6,040,239.54
March 2006.......... 4,394,670.98
April 2006.......... 2,757,386.71
May 2006............ 1,128,344.02
June 2006 and
thereafter........ 0.00
</TABLE>
B-1
<PAGE> 89
PF CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2006............ $30,810,800.00
June 2006........... 30,318,300.45
July 2006........... 28,705,613.75
August 2006......... 27,101,041.89
September 2006...... 25,504,543.05
October 2006........ 23,916,075.64
November 2006....... 22,335,598.26
December 2006....... 20,763,069.74
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2007........ $19,198,449.12
February 2007....... 17,641,695.65
March 2007.......... 16,092,768.78
April 2007.......... 14,551,628.19
May 2007............ 13,018,233.73
June 2007........... 11,492,545.50
July 2007........... 9,974,523.79
August 2007......... 8,466,680.87
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
September 2007...... $ 6,980,544.41
October 2007........ 5,515,811.16
November 2007....... 4,072,182.05
December 2007....... 2,649,362.12
January 2008........ 1,247,060.47
February 2008 and
thereafter........ 0.00
</TABLE>
PG CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
January 2008........ $54,835,000.00
February 2008....... 54,699,990.18
March 2008.......... 53,337,868.30
April 2008.......... 51,995,415.76
May 2008............ 50,672,357.34
June 2008........... 49,368,421.59
July 2008........... 48,083,340.79
August 2008......... 46,816,850.94
September 2008...... 45,568,691.63
October 2008........ 44,338,606.07
November 2008....... 43,126,340.98
December 2008....... 41,931,646.58
January 2009........ 40,754,276.52
February 2009....... 39,593,987.86
March 2009.......... 38,450,540.98
April 2009.......... 37,323,699.59
May 2009............ 36,213,230.63
June 2009........... 35,118,904.28
July 2009........... 34,040,493.86
August 2009......... 32,977,775.82
September 2009...... 31,930,529.70
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2009........ $30,898,538.09
November 2009....... 29,881,586.55
December 2009....... 28,879,463.61
January 2010........ 27,891,960.74
February 2010....... 26,918,872.24
March 2010.......... 25,959,995.30
April 2010.......... 25,015,129.86
May 2010............ 24,084,078.65
June 2010........... 23,166,647.13
July 2010........... 22,262,643.43
August 2010......... 21,371,878.32
September 2010...... 20,494,165.21
October 2010........ 19,629,320.06
November 2010....... 18,777,161.40
December 2010....... 17,937,510.25
January 2011........ 17,110,190.10
February 2011....... 16,295,026.89
March 2011.......... 15,491,848.97
April 2011.......... 14,700,487.04
May 2011............ 13,920,774.17
June 2011........... 13,152,545.73
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
July 2011........... $12,395,639.35
August 2011......... 11,649,894.92
September 2011...... 10,915,154.55
October 2011........ 10,191,262.53
November 2011....... 9,478,065.30
December 2011....... 8,775,411.44
January 2012........ 8,083,151.62
February 2012....... 7,401,138.56
March 2012.......... 6,729,227.04
April 2012.......... 6,067,273.86
May 2012............ 5,415,137.79
June 2012........... 4,772,679.54
July 2012........... 4,139,761.79
August 2012......... 3,516,249.10
September 2012...... 2,902,007.91
October 2012........ 2,296,906.51
November 2012....... 1,700,815.03
December 2012....... 1,113,605.38
January 2013........ 535,151.27
February 2013 and
thereafter........ 0.00
</TABLE>
PH CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
January 2013........ $33,895,200.00
February 2013....... 33,860,528.15
March 2013.......... 33,299,213.20
April 2013.......... 32,746,285.31
May 2013............ 32,201,625.05
June 2013........... 31,665,114.65
July 2013........... 31,136,637.96
August 2013......... 30,616,080.48
September 2013...... 30,103,329.26
October 2013........ 29,598,272.94
November 2013....... 29,100,801.72
December 2013....... 28,610,807.30
January 2014........ 28,128,182.91
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2014....... $27,652,823.24
March 2014.......... 27,184,624.49
April 2014.......... 26,723,484.24
May 2014............ 26,269,301.56
June 2014........... 25,821,976.88
July 2014........... 25,381,412.04
August 2014......... 24,947,510.23
September 2014...... 24,520,176.01
October 2014........ 24,099,315.25
November 2014....... 23,684,835.14
December 2014....... 23,276,644.18
January 2015........ 22,874,652.10
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2015....... $22,478,769.94
March 2015.......... 22,088,909.96
April 2015.......... 21,704,985.63
May 2015............ 21,326,911.66
June 2015........... 20,954,603.91
July 2015........... 20,587,979.45
August 2015......... 20,226,956.49
September 2015...... 19,871,454.39
October 2015........ 19,521,393.62
November 2015....... 19,176,695.80
December 2015....... 18,837,283.60
January 2016........ 18,503,080.79
</TABLE>
B-2
<PAGE> 90
<TABLE>
<CAPTION>
PH CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
February 2016....... $18,174,012.22
March 2016.......... 17,850,003.77
April 2016.......... 17,530,982.36
May 2016............ 17,216,875.95
June 2016........... 16,907,613.50
July 2016........... 16,603,124.94
August 2016......... 16,303,341.21
September 2016...... 16,008,194.22
October 2016........ 15,717,616.82
November 2016....... 15,431,542.79
December 2016....... 15,149,906.87
January 2017........ 14,872,644.68
February 2017....... 14,599,692.78
March 2017.......... 14,330,988.59
April 2017.......... 14,066,470.41
May 2017............ 13,806,077.43
June 2017........... 13,549,749.67
July 2017........... 13,297,428.00
August 2017......... 13,049,054.12
September 2017...... 12,804,570.56
October 2017........ 12,563,920.63
November 2017....... 12,327,048.46
December 2017....... 12,093,898.97
January 2018........ 11,864,417.84
February 2018....... 11,638,551.52
March 2018.......... 11,416,247.20
April 2018.......... 11,197,452.84
May 2018............ 10,982,117.12
June 2018........... 10,770,189.43
July 2018........... 10,561,619.89
August 2018......... 10,356,359.31
September 2018...... 10,154,359.22
October 2018........ 9,955,571.79
November 2018....... 9,759,949.91
December 2018....... 9,567,447.10
January 2019........ 9,378,017.55
February 2019....... 9,191,616.10
March 2019.......... 9,008,198.23
April 2019.......... 8,827,720.03
May 2019............ 8,650,138.22
June 2019........... 8,475,410.15
July 2019........... 8,303,493.76
August 2019......... 8,134,347.56
September 2019...... 7,967,930.69
October 2019........ 7,804,202.83
November 2019....... 7,643,124.27
December 2019....... 7,484,655.82
January 2020........ 7,328,758.88
February 2020....... 7,175,395.37
March 2020.......... 7,024,527.78
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2020.......... $ 6,876,119.09
May 2020............ 6,730,132.85
June 2020........... 6,586,533.10
July 2020........... 6,445,284.40
August 2020......... 6,306,351.80
September 2020...... 6,169,700.87
October 2020........ 6,035,297.64
November 2020....... 5,903,108.64
December 2020....... 5,773,100.89
January 2021........ 5,645,241.85
February 2021....... 5,519,499.45
March 2021.......... 5,395,842.10
April 2021.......... 5,274,238.63
May 2021............ 5,154,658.32
June 2021........... 5,037,070.91
July 2021........... 4,921,446.54
August 2021......... 4,807,755.80
September 2021...... 4,695,969.69
October 2021........ 4,586,059.61
November 2021....... 4,477,997.39
December 2021....... 4,371,755.26
January 2022........ 4,267,305.83
February 2022....... 4,164,622.12
March 2022.......... 4,063,677.53
April 2022.......... 3,964,445.82
May 2022............ 3,866,901.16
June 2022........... 3,771,018.07
July 2022........... 3,676,771.44
August 2022......... 3,584,136.50
September 2022...... 3,493,088.87
October 2022........ 3,403,604.50
November 2022....... 3,315,659.67
December 2022....... 3,229,231.04
January 2023........ 3,144,295.56
February 2023....... 3,060,830.55
March 2023.......... 2,978,813.62
April 2023.......... 2,898,222.74
May 2023............ 2,819,036.16
June 2023........... 2,741,232.46
July 2023........... 2,664,790.54
August 2023......... 2,589,689.57
September 2023...... 2,515,909.06
October 2023........ 2,443,428.79
November 2023....... 2,372,228.84
December 2023....... 2,302,289.57
January 2024........ 2,233,591.62
February 2024....... 2,166,115.93
March 2024.......... 2,099,843.70
April 2024.......... 2,034,756.39
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2024............ $ 1,970,835.77
June 2024........... 1,908,063.81
July 2024........... 1,846,422.81
August 2024......... 1,785,895.26
September 2024...... 1,726,463.96
October 2024........ 1,668,111.93
November 2024....... 1,610,822.43
December 2024....... 1,554,578.98
January 2025........ 1,499,365.33
February 2025....... 1,445,165.47
March 2025.......... 1,391,963.62
April 2025.......... 1,339,744.23
May 2025............ 1,288,491.98
June 2025........... 1,238,191.76
July 2025........... 1,188,828.70
August 2025......... 1,140,388.12
September 2025...... 1,092,855.57
October 2025........ 1,046,216.82
November 2025....... 1,000,457.83
December 2025....... 955,564.77
January 2026........ 911,524.01
February 2026....... 868,322.13
March 2026.......... 825,945.90
April 2026.......... 784,382.27
May 2026............ 743,618.40
June 2026........... 703,641.62
July 2026........... 664,439.47
August 2026......... 625,999.65
September 2026...... 588,310.04
October 2026........ 551,358.72
November 2026....... 515,133.93
December 2026....... 479,624.07
January 2027........ 444,817.74
February 2027....... 410,703.68
March 2027.......... 377,270.82
April 2027.......... 344,508.22
May 2027............ 312,405.14
June 2027........... 280,950.96
July 2027........... 250,135.26
August 2027......... 219,947.73
September 2027...... 190,378.23
October 2027........ 161,416.79
November 2027....... 133,053.55
December 2027....... 105,278.83
January 2028........ 78,083.06
February 2028....... 51,456.84
March 2028.......... 25,390.90
April 2028 and
thereafter........ 0.00
</TABLE>
B-3
<PAGE> 91
GB CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $107,559,600.00
May 1999............ 106,025,942.26
June 1999........... 104,405,194.94
July 1999........... 102,698,204.36
August 1999......... 100,905,875.75
September 1999...... 99,029,172.52
October 1999........ 97,069,115.48
November 1999....... 95,026,781.90
December 1999....... 92,903,304.63
January 2000........ 90,699,871.06
February 2000....... 88,417,722.05
March 2000.......... 86,058,150.78
April 2000.......... 83,622,501.58
May 2000............ 81,112,168.66
June 2000........... 78,528,594.79
July 2000........... 75,873,269.94
August 2000......... 73,147,729.83
September 2000...... 70,353,554.48
October 2000........ 67,492,366.66
November 2000....... 64,651,259.93
December 2000....... 61,830,096.10
January 2001........ 59,028,737.90
February 2001....... 56,247,049.01
March 2001.......... 53,484,894.06
April 2001.......... 50,742,138.58
May 2001............ 48,018,649.06
June 2001........... 47,510,349.85
July 2001........... 47,009,932.27
August 2001......... 46,517,322.78
September 2001...... 46,032,448.44
October 2001........ 45,555,236.93
November 2001....... 45,085,616.50
December 2001....... 44,623,516.00
January 2002........ 44,168,864.87
February 2002....... 43,721,593.12
March 2002.......... 43,281,631.34
April 2002.......... 42,848,910.68
May 2002............ 42,423,362.88
June 2002........... 42,004,920.22
July 2002........... 41,593,515.55
August 2002......... 41,189,082.25
September 2002...... 40,791,554.30
October 2002........ 40,400,866.16
November 2002....... 40,016,952.89
December 2002....... 39,639,750.05
January 2003........ 39,269,193.74
February 2003....... 38,905,220.59
March 2003.......... 38,547,767.77
April 2003.......... 38,196,772.93
May 2003............ 37,852,174.29
June 2003........... 37,513,910.53
July 2003........... 37,181,920.88
August 2003......... 36,856,145.04
September 2003...... 36,536,523.24
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
October 2003........ $ 36,222,996.19
November 2003....... 35,915,505.09
December 2003....... 35,613,991.64
January 2004........ 35,318,398.02
February 2004....... 35,028,666.88
March 2004.......... 34,744,741.38
April 2004.......... 34,466,565.11
May 2004............ 34,194,082.16
June 2004........... 33,927,237.09
July 2004........... 33,665,974.90
August 2004......... 33,410,241.06
September 2004...... 33,159,981.51
October 2004........ 32,915,142.61
November 2004....... 32,675,671.20
December 2004....... 32,441,514.55
January 2005........ 32,212,620.38
February 2005....... 31,988,936.84
March 2005.......... 31,770,412.51
April 2005.......... 31,556,996.41
May 2005............ 31,348,638.00
June 2005........... 31,145,287.15
July 2005........... 30,946,894.14
August 2005......... 30,753,409.69
September 2005...... 30,564,784.93
October 2005........ 30,380,971.39
November 2005....... 30,201,921.03
December 2005....... 30,027,586.19
January 2006........ 29,857,919.62
February 2006....... 29,692,874.49
March 2006.......... 29,532,404.35
April 2006.......... 29,376,463.12
May 2006............ 29,225,005.15
June 2006........... 29,077,985.15
July 2006........... 28,935,358.23
August 2006......... 28,797,079.87
September 2006...... 28,663,105.92
October 2006........ 28,533,392.63
November 2006....... 28,407,896.59
December 2006....... 28,286,574.79
January 2007........ 28,169,384.56
February 2007....... 28,056,283.62
March 2007.......... 27,947,230.02
April 2007.......... 27,842,182.19
May 2007............ 27,741,098.90
June 2007........... 27,643,939.28
July 2007........... 27,550,662.81
August 2007......... 27,458,677.51
September 2007...... 27,356,376.59
October 2007........ 27,243,984.69
November 2007....... 27,121,722.84
December 2007....... 26,989,808.45
January 2008........ 26,848,455.46
February 2008....... 26,701,381.49
March 2008.......... 26,549,858.27
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
April 2008.......... $ 26,394,014.04
May 2008............ 26,233,974.64
June 2008........... 26,069,863.54
July 2008........... 25,901,801.90
August 2008......... 25,729,908.60
September 2008...... 25,554,300.30
October 2008........ 25,375,091.41
November 2008....... 25,192,394.20
December 2008....... 25,006,318.80
January 2009........ 24,816,973.23
February 2009....... 24,624,463.45
March 2009.......... 24,428,893.39
April 2009.......... 24,230,364.97
May 2009............ 24,028,978.16
June 2009........... 23,824,830.96
July 2009........... 23,618,019.51
August 2009......... 23,408,638.05
September 2009...... 23,196,778.99
October 2009........ 22,982,532.91
November 2009....... 22,765,988.63
December 2009....... 22,547,233.22
January 2010........ 22,326,352.00
February 2010....... 22,103,428.61
March 2010.......... 21,878,545.04
April 2010.......... 21,651,781.61
May 2010............ 21,423,217.05
June 2010........... 21,192,928.49
July 2010........... 20,960,991.51
August 2010......... 20,727,480.16
September 2010...... 20,492,466.97
October 2010........ 20,256,022.99
November 2010....... 20,018,217.82
December 2010....... 19,779,119.62
January 2011........ 19,538,795.15
February 2011....... 19,297,309.77
March 2011.......... 19,054,727.49
April 2011.......... 18,811,110.97
May 2011............ 18,566,521.56
June 2011........... 18,321,019.31
July 2011........... 18,074,663.01
August 2011......... 17,827,510.19
September 2011...... 17,579,617.13
October 2011........ 17,331,038.95
November 2011....... 17,081,829.53
December 2011....... 16,832,041.60
January 2012........ 16,581,726.77
February 2012....... 16,330,935.47
March 2012.......... 16,079,717.07
April 2012.......... 15,828,119.80
May 2012............ 15,576,190.87
June 2012........... 15,323,976.41
July 2012........... 15,071,521.50
August 2012......... 14,818,870.23
September 2012...... 14,566,065.68
</TABLE>
B-4
<PAGE> 92
<TABLE>
<CAPTION>
GB CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- ---------------
<S> <C>
October 2012........ $ 14,313,149.94
November 2012....... 14,060,164.16
December 2012....... 13,807,148.52
January 2013........ 13,554,142.26
February 2013....... 13,301,183.73
March 2013.......... 13,048,310.36
April 2013.......... 12,795,558.71
May 2013............ 12,542,964.47
June 2013........... 12,290,562.46
July 2013........... 12,038,386.69
August 2013......... 11,786,470.32
September 2013...... 11,534,845.72
October 2013........ 11,283,544.46
November 2013....... 11,032,597.33
December 2013....... 10,782,034.34
January 2014........ 10,531,884.78
February 2014....... 10,282,177.17
March 2014.......... 10,032,939.33
April 2014.......... 9,784,198.33
May 2014............ 9,535,980.58
June 2014........... 9,288,311.79
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
July 2014........... $ 9,041,216.98
August 2014......... 8,794,720.52
September 2014...... 8,548,846.14
October 2014........ 8,303,616.90
November 2014....... 8,059,055.27
December 2014....... 7,815,183.08
January 2015........ 7,572,021.56
February 2015....... 7,329,591.35
March 2015.......... 7,087,912.52
April 2015.......... 6,847,004.53
May 2015............ 6,606,886.33
June 2015........... 6,367,576.28
July 2015........... 6,129,092.23
August 2015......... 5,891,451.46
September 2015...... 5,654,670.76
October 2015........ 5,418,766.42
November 2015....... 5,183,754.20
December 2015....... 4,949,649.38
January 2016........ 4,716,466.75
February 2016....... 4,484,220.66
March 2016.......... 4,252,924.95
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
April 2016.......... $ 4,022,593.04
May 2016............ 3,793,237.88
June 2016........... 3,564,871.99
July 2016........... 3,337,507.47
August 2016......... 3,111,156.00
September 2016...... 2,885,828.82
October 2016........ 2,661,536.80
November 2016....... 2,438,290.38
December 2016....... 2,216,099.64
January 2017........ 1,994,974.26
February 2017....... 1,774,923.56
March 2017.......... 1,555,956.47
April 2017.......... 1,338,081.58
May 2017............ 1,121,307.13
June 2017........... 905,641.00
July 2017........... 691,090.73
August 2017......... 477,663.56
September 2017...... 265,366.37
October 2017........ 54,205.72
November 2017 and
thereafter........ 0.00
</TABLE>
KA CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2000............ $197,417,500.00
June 2000........... 192,087,450.63
July 2000........... 186,641,571.16
August 2000......... 181,082,375.85
September 2000...... 175,412,437.93
October 2000........ 169,634,387.59
November 2000....... 163,750,909.97
December 2000....... 157,764,743.11
January 2001........ 151,678,675.78
February 2001....... 145,495,545.32
March 2001.......... 139,218,235.45
April 2001.......... 132,849,673.97
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2001............ $126,511,983.94
June 2001........... 120,205,005.35
July 2001........... 113,928,579.00
August 2001......... 107,682,546.52
September 2001...... 101,466,750.34
October 2001........ 95,281,033.73
November 2001....... 89,125,240.72
December 2001....... 82,999,216.18
January 2002........ 76,902,805.76
February 2002....... 70,835,855.89
March 2002.......... 64,798,213.82
April 2002.......... 58,789,727.57
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2002............ $ 52,810,245.92
June 2002........... 46,859,618.47
July 2002........... 40,937,695.55
August 2002......... 35,044,328.29
September 2002...... 29,179,368.57
October 2002........ 23,342,669.03
November 2002....... 17,534,083.07
December 2002....... 11,753,464.85
January 2003........ 6,000,669.27
February 2003....... 275,551.98
March 2003 and
thereafter........ 0.00
</TABLE>
TB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2003....... $24,100,000.00
March 2003.......... 22,535,977.66
April 2003.......... 20,900,371.80
May 2003............ 19,272,626.30
June 2003........... 17,652,700.36
July 2003........... 16,040,553.40
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2003......... $14,436,145.06
September 2003...... 12,839,435.17
October 2003........ 11,250,383.76
November 2003....... 9,668,951.09
December 2003....... 8,095,097.61
January 2004........ 6,528,783.98
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2004....... $ 4,969,971.04
March 2004.......... 3,418,619.85
April 2004.......... 1,874,691.68
May 2004............ 338,147.98
June 2004 and
thereafter........ 0.00
</TABLE>
B-5
<PAGE> 93
KL CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2003....... $26,552,500.00
March 2003.......... 24,829,317.30
April 2003.......... 23,027,266.48
May 2003............ 21,233,875.92
June 2003........... 19,449,100.67
July 2003........... 17,672,896.02
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2003......... $15,905,217.50
September 2003...... 14,146,020.84
October 2003........ 12,395,262.03
November 2003....... 10,652,897.26
December 2003....... 8,918,882.96
January 2004........ 7,193,175.79
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2004....... $ 5,475,732.61
March 2004.......... 3,766,510.52
April 2004.......... 2,065,466.84
May 2004............ 372,559.10
June 2004 and
thereafter........ 0.00
</TABLE>
TC AND KM CLASSES PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2004............ $44,983,000.00
June 2004........... 43,176,549.71
July 2004........... 40,868,318.45
August 2004......... 38,571,113.55
September 2004...... 36,284,877.74
October 2004........ 34,009,554.04
November 2004....... 31,745,085.78
December 2004....... 29,491,416.56
January 2005........ 27,261,370.06
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2005....... $25,074,881.48
March 2005.......... 22,931,161.94
April 2005.......... 20,829,436.30
May 2005............ 18,768,942.94
June 2005........... 16,748,933.47
July 2005........... 14,768,672.57
August 2005......... 12,827,437.74
September 2005...... 10,924,519.07
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2005........ $ 9,059,219.05
November 2005....... 7,230,852.35
December 2005....... 5,438,745.59
January 2006........ 3,682,237.17
February 2006....... 1,960,677.05
March 2006.......... 273,426.57
April 2006 and
thereafter........ 0.00
</TABLE>
TD AND KD CLASSES PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
March 2006.......... $79,602,500.00
April 2006.......... 76,447,883.63
May 2006............ 72,743,869.67
June 2006........... 69,114,049.92
July 2006........... 65,557,064.13
August 2006......... 62,071,575.88
September 2006...... 58,656,272.19
October 2006........ 55,309,863.12
November 2006....... 52,031,081.34
December 2006....... 48,818,681.80
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2007........ $45,671,441.30
February 2007....... 42,588,158.15
March 2007.......... 39,567,651.77
April 2007.......... 36,608,762.37
May 2007............ 33,710,350.55
June 2007........... 30,871,296.98
July 2007........... 28,090,502.05
August 2007......... 25,366,885.51
September 2007...... 22,699,386.20
October 2007........ 20,086,961.63
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2007....... $17,528,587.75
December 2007....... 15,023,258.56
January 2008........ 12,569,985.87
February 2008....... 10,167,798.93
March 2008.......... 7,815,744.17
April 2008.......... 5,512,884.89
May 2008............ 3,258,300.98
June 2008........... 1,051,088.62
July 2008 and
thereafter........ 0.00
</TABLE>
TE CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
June 2008........... $72,029,500.00
July 2008........... 70,919,860.02
August 2008......... 68,804,743.12
September 2008...... 66,734,381.34
October 2008........ 64,707,933.31
November 2008....... 62,724,572.60
December 2008....... 60,783,487.45
January 2009........ 58,883,880.57
February 2009....... 57,024,968.83
March 2009.......... 55,205,983.05
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2009.......... $53,426,167.73
May 2009............ 51,684,780.87
June 2009........... 49,981,093.68
July 2009........... 48,314,390.37
August 2009......... 46,683,967.94
September 2009...... 45,089,135.94
October 2009........ 43,529,216.28
November 2009....... 42,003,542.97
December 2009....... 40,511,461.96
January 2010........ 39,052,330.90
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2010....... $37,625,518.97
March 2010.......... 36,230,406.63
April 2010.......... 34,866,385.48
May 2010............ 33,532,858.03
June 2010........... 32,229,237.52
July 2010........... 30,954,947.76
August 2010......... 29,709,422.90
September 2010...... 28,492,107.29
October 2010........ 27,302,455.27
</TABLE>
B-6
<PAGE> 94
<TABLE>
<CAPTION>
TE CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
November 2010....... $26,139,931.03
December 2010....... 25,004,008.42
January 2011........ 23,894,170.79
February 2011....... 22,809,910.80
March 2011.......... 21,750,730.32
April 2011.......... 20,716,140.18
May 2011............ 19,705,660.10
June 2011........... 18,718,818.47
July 2011........... 17,755,152.26
August 2011......... 16,814,206.80
September 2011...... 15,895,535.71
October 2011........ 14,998,700.69
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2011....... $14,123,271.41
December 2011....... 13,268,825.39
January 2012........ 12,434,947.81
February 2012....... 11,621,231.42
March 2012.......... 10,827,276.41
April 2012.......... 10,052,690.25
May 2012............ 9,297,087.57
June 2012........... 8,560,090.06
July 2012........... 7,841,326.31
August 2012......... 7,140,431.73
September 2012...... 6,457,048.39
October 2012........ 5,790,824.93
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2012....... $ 5,141,416.44
December 2012....... 4,508,484.34
January 2013........ 3,891,696.27
February 2013....... 3,290,725.99
March 2013.......... 2,705,253.26
April 2013.......... 2,134,963.75
May 2013............ 1,579,548.91
June 2013........... 1,038,705.91
July 2013........... 512,137.49
August 2013 and
thereafter........ 0.00
</TABLE>
TG CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
March 2006.......... $151,632,000.00
April 2006.......... 148,477,383.63
May 2006............ 144,773,369.67
June 2006........... 141,143,549.92
July 2006........... 137,586,564.13
August 2006......... 134,101,075.88
September 2006...... 130,685,772.19
October 2006........ 127,339,363.12
November 2006....... 124,060,581.34
December 2006....... 120,848,181.80
January 2007........ 117,700,941.30
February 2007....... 114,617,658.15
March 2007.......... 111,597,151.77
April 2007.......... 108,638,262.37
May 2007............ 105,739,850.55
June 2007........... 102,900,796.98
July 2007........... 100,120,002.05
August 2007......... 97,396,385.51
September 2007...... 94,728,886.20
October 2007........ 92,116,461.63
November 2007....... 89,558,087.75
December 2007....... 87,052,758.56
January 2008........ 84,599,485.87
February 2008....... 82,197,298.93
March 2008.......... 79,845,244.17
April 2008.......... 77,542,384.89
May 2008............ 75,287,800.98
June 2008........... 73,080,588.62
July 2008........... 70,919,860.02
August 2008......... 68,804,743.12
September 2008...... 66,734,381.34
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2008........ $ 64,707,933.31
November 2008....... 62,724,572.60
December 2008....... 60,783,487.45
January 2009........ 58,883,880.57
February 2009....... 57,024,968.83
March 2009.......... 55,205,983.05
April 2009.......... 53,426,167.73
May 2009............ 51,684,780.87
June 2009........... 49,981,093.68
July 2009........... 48,314,390.37
August 2009......... 46,683,967.94
September 2009...... 45,089,135.94
October 2009........ 43,529,216.28
November 2009....... 42,003,542.97
December 2009....... 40,511,461.96
January 2010........ 39,052,330.90
February 2010....... 37,625,518.97
March 2010.......... 36,230,406.63
April 2010.......... 34,866,385.48
May 2010............ 33,532,858.03
June 2010........... 32,229,237.52
July 2010........... 30,954,947.76
August 2010......... 29,709,422.90
September 2010...... 28,492,107.29
October 2010........ 27,302,455.27
November 2010....... 26,139,931.03
December 2010....... 25,004,008.42
January 2011........ 23,894,170.79
February 2011....... 22,809,910.80
March 2011.......... 21,750,730.32
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2011.......... $ 20,716,140.18
May 2011............ 19,705,660.10
June 2011........... 18,718,818.47
July 2011........... 17,755,152.26
August 2011......... 16,814,206.80
September 2011...... 15,895,535.71
October 2011........ 14,998,700.69
November 2011....... 14,123,271.41
December 2011....... 13,268,825.39
January 2012........ 12,434,947.81
February 2012....... 11,621,231.42
March 2012.......... 10,827,276.41
April 2012.......... 10,052,690.25
May 2012............ 9,297,087.57
June 2012........... 8,560,090.06
July 2012........... 7,841,326.31
August 2012......... 7,140,431.73
September 2012...... 6,457,048.39
October 2012........ 5,790,824.93
November 2012....... 5,141,416.44
December 2012....... 4,508,484.34
January 2013........ 3,891,696.27
February 2013....... 3,290,725.99
March 2013.......... 2,705,253.26
April 2013.......... 2,134,963.75
May 2013............ 1,579,548.91
June 2013........... 1,038,705.91
July 2013........... 512,137.49
August 2013 and
thereafter........ 0.00
</TABLE>
B-7
<PAGE> 95
KB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2003....... $32,895,500.00
March 2003.......... 30,760,674.41
April 2003.......... 28,528,140.27
May 2003............ 26,306,335.20
June 2003........... 24,095,203.51
July 2003........... 21,894,689.81
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2003......... $19,704,739.00
September 2003...... 17,525,296.24
October 2003........ 15,356,307.01
November 2003....... 13,197,717.04
December 2003....... 11,049,472.35
January 2004........ 8,911,519.22
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2004....... $ 6,783,804.24
March 2004.......... 4,666,274.25
April 2004.......... 2,558,876.36
May 2004............ 461,557.96
June 2004 and
thereafter........ 0.00
</TABLE>
KC CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2004............ $57,835,500.00
June 2004........... 55,512,912.45
July 2004........... 52,545,175.55
August 2004......... 49,591,615.45
September 2004...... 46,652,158.51
October 2004........ 43,726,731.49
November 2004....... 40,815,261.51
December 2004....... 37,917,676.06
January 2005........ 35,050,462.80
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2005....... $32,239,252.78
March 2005.......... 29,483,031.73
April 2005.......... 26,780,803.05
May 2005............ 24,131,587.47
June 2005........... 21,534,422.82
July 2005........... 18,988,363.66
August 2005......... 16,492,481.05
September 2005...... 14,045,862.27
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2005........ $11,647,610.51
November 2005....... 9,296,844.61
December 2005....... 6,992,698.81
January 2006........ 4,734,322.47
February 2006....... 2,520,879.83
March 2006.......... 351,549.74
April 2006 and
thereafter........ 0.00
</TABLE>
UD CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
April 2000.......... $43,334,000.00
May 2000............ 41,545,208.55
June 2000........... 39,696,009.37
July 2000........... 37,787,205.55
August 2000......... 35,819,630.17
September 2000...... 33,794,145.66
October 2000........ 31,711,643.23
November 2000....... 29,573,042.19
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2000....... $27,379,289.26
January 2001........ 25,131,357.93
February 2001....... 22,862,398.76
March 2001.......... 20,604,964.42
April 2001.......... 18,358,995.59
May 2001............ 16,124,433.24
June 2001........... 13,901,218.67
July 2001........... 11,689,293.44
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2001......... $ 9,488,599.46
September 2001...... 7,299,078.89
October 2001........ 5,120,674.23
November 2001....... 2,953,328.26
December 2001....... 796,984.03
January 2002 and
thereafter........ 0.00
</TABLE>
UE CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
December 2001....... $50,000,000.00
January 2002........ 49,198,497.90
February 2002....... 47,929,738.34
March 2002.......... 46,667,417.78
April 2002.......... 45,411,503.07
May 2002............ 44,161,961.24
June 2002........... 42,918,759.48
July 2002........... 41,681,865.14
August 2002......... 40,451,245.76
September 2002...... 39,226,869.04
October 2002........ 38,008,702.84
November 2002....... 36,796,715.17
December 2002....... 35,590,874.24
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2003........ $34,391,148.40
February 2003....... 33,197,506.17
March 2003.......... 32,009,916.23
April 2003.......... 30,828,347.41
May 2003............ 29,652,768.73
June 2003........... 28,483,149.33
July 2003........... 27,319,458.54
August 2003......... 26,161,665.85
September 2003...... 25,009,740.87
October 2003........ 23,863,653.40
November 2003....... 22,723,373.39
December 2003....... 21,588,870.93
January 2004........ 20,460,116.28
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2004....... $19,337,079.85
March 2004.......... 18,219,732.20
April 2004.......... 17,108,044.03
May 2004............ 16,001,986.21
June 2004........... 14,901,529.75
July 2004........... 13,806,645.80
August 2004......... 12,717,305.68
September 2004...... 11,633,480.84
October 2004........ 10,555,142.89
November 2004....... 9,482,263.57
December 2004....... 8,414,814.77
January 2005........ 7,352,768.54
</TABLE>
B-8
<PAGE> 96
<TABLE>
<CAPTION>
UE CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
February 2005....... $ 6,296,097.06
March 2005.......... 5,244,772.65
April 2005.......... 4,198,767.77
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2005............ $ 3,158,055.05
June 2005........... 2,122,607.23
July 2005........... 1,092,397.20
August 2005......... 67,397.98
September 2005 and
thereafter........ 0.00
</TABLE>
UP CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
December 2001....... $29,811,000.00
January 2002........ 29,264,087.03
February 2002....... 28,398,336.25
March 2002.......... 27,536,979.19
April 2002.......... 26,679,993.23
May 2002............ 25,827,355.87
June 2002........... 24,979,044.72
July 2002........... 24,135,037.50
August 2002......... 23,295,312.06
September 2002...... 22,459,846.36
October 2002........ 21,628,618.47
November 2002....... 20,801,606.56
December 2002....... 19,978,788.95
January 2003........ 19,160,144.02
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2003....... $18,345,650.31
March 2003.......... 17,535,286.44
April 2003.......... 16,729,031.14
May 2003............ 15,926,863.27
June 2003........... 15,128,761.78
July 2003........... 14,334,705.73
August 2003......... 13,544,674.31
September 2003...... 12,758,646.78
October 2003........ 11,976,602.53
November 2003....... 11,198,521.06
December 2003....... 10,424,381.97
January 2004........ 9,654,164.95
February 2004....... 8,887,849.81
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2004.......... $ 8,125,416.46
April 2004.......... 7,366,844.93
May 2004............ 6,612,115.31
June 2004........... 5,861,207.84
July 2004........... 5,114,102.83
August 2004......... 4,370,780.70
September 2004...... 3,631,221.99
October 2004........ 2,895,407.30
November 2004....... 2,163,317.37
December 2004....... 1,434,933.01
January 2005........ 710,235.14
February 2005 and
thereafter........ 0.00
</TABLE>
UQ CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
January 2005........ $4,307,000.00
February 2005....... 4,296,204.79
March 2005.......... 3,578,823.06
April 2005.......... 2,865,071.18
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2005............ $2,154,930.45
June 2005........... 1,448,382.27
July 2005........... 745,408.15
August 2005......... 45,989.69
September 2005 and
thereafter........ 0.00
</TABLE>
PN CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2005......... $120,000,000.00
September 2005...... 118,397,691.33
October 2005........ 116,690,671.41
November 2005....... 114,992,283.23
December 2005....... 113,302,482.36
January 2006........ 111,621,224.57
February 2006....... 109,948,465.86
March 2006.......... 108,284,162.48
April 2006.......... 106,628,270.87
May 2006............ 104,980,747.74
June 2006........... 103,341,549.97
July 2006........... 101,710,634.71
August 2006......... 100,087,959.29
September 2006...... 98,473,481.29
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2006........ $ 96,867,158.49
November 2006....... 95,268,948.89
December 2006....... 93,678,810.71
January 2007........ 92,096,702.39
February 2007....... 90,522,582.58
March 2007.......... 88,956,410.13
April 2007.......... 87,398,144.11
May 2007............ 85,847,743.82
June 2007........... 84,305,168.73
July 2007........... 82,770,378.55
August 2007......... 81,243,333.19
September 2007...... 79,723,992.76
October 2007........ 78,213,325.79
November 2007....... 76,724,436.79
December 2007....... 75,257,021.17
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2008........ $ 73,810,778.54
February 2008....... 72,385,412.64
March 2008.......... 70,980,631.27
April 2008.......... 69,596,146.27
May 2008............ 68,231,673.44
June 2008........... 66,886,932.50
July 2008........... 65,561,647.01
August 2008......... 64,255,544.36
September 2008...... 62,968,355.68
October 2008........ 61,699,815.80
November 2008....... 60,449,663.22
December 2008....... 59,217,640.02
January 2009........ 58,003,491.85
February 2009....... 56,806,967.85
</TABLE>
B-9
<PAGE> 97
<TABLE>
<CAPTION>
PN CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
March 2009.......... $ 55,627,820.65
April 2009.......... 54,465,806.25
May 2009............ 53,320,684.05
June 2009........... 52,192,216.72
July 2009........... 51,080,170.26
August 2009......... 49,984,313.86
September 2009...... 48,904,419.90
October 2009........ 47,840,263.91
November 2009....... 46,791,624.51
December 2009....... 45,758,283.37
January 2010........ 44,740,025.20
February 2010....... 43,736,637.64
March 2010.......... 42,747,911.30
April 2010.......... 41,773,639.65
May 2010............ 40,813,619.05
June 2010........... 39,867,648.64
July 2010........... 38,935,530.34
August 2010......... 38,017,068.82
September 2010...... 37,112,071.45
October 2010........ 36,220,348.25
November 2010....... 35,341,711.86
December 2010....... 34,475,977.54
January 2011........ 33,622,963.08
February 2011....... 32,782,488.79
March 2011.......... 31,954,377.49
April 2011.......... 31,138,454.42
May 2011............ 30,334,547.25
June 2011........... 29,542,486.04
July 2011........... 28,762,103.21
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2011......... $ 27,993,233.48
September 2011...... 27,235,713.88
October 2011........ 26,489,383.66
November 2011....... 25,754,084.35
December 2011....... 25,029,659.63
January 2012........ 24,315,955.37
February 2012....... 23,612,819.57
March 2012.......... 22,920,102.33
April 2012.......... 22,237,655.84
May 2012............ 21,565,334.34
June 2012........... 20,902,994.07
July 2012........... 20,250,493.29
August 2012......... 19,607,692.22
September 2012...... 18,974,453.00
October 2012........ 18,350,639.72
November 2012....... 17,736,118.32
December 2012....... 17,130,756.61
January 2013........ 16,534,424.27
February 2013....... 15,946,992.74
March 2013.......... 15,368,335.27
April 2013.......... 14,798,326.88
May 2013............ 14,236,844.30
June 2013........... 13,683,766.00
July 2013........... 13,138,972.14
August 2013......... 12,602,344.51
September 2013...... 12,073,766.59
October 2013........ 11,553,123.45
November 2013....... 11,040,301.77
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2013....... $ 10,535,189.82
January 2014........ 10,037,677.39
February 2014....... 9,547,655.83
March 2014.......... 9,065,018.01
April 2014.......... 8,589,658.28
May 2014............ 8,121,472.45
June 2014........... 7,660,357.80
July 2014........... 7,206,213.03
August 2014......... 6,758,938.27
September 2014...... 6,318,435.02
October 2014........ 5,884,606.16
November 2014....... 5,457,355.94
December 2014....... 5,036,589.92
January 2015........ 4,622,215.00
February 2015....... 4,214,139.36
March 2015.......... 3,812,272.49
April 2015.......... 3,416,525.12
May 2015............ 3,026,809.22
June 2015........... 2,643,038.01
July 2015........... 2,265,125.92
August 2015......... 1,892,988.57
September 2015...... 1,526,542.76
October 2015........ 1,165,706.44
November 2015....... 810,398.74
December 2015....... 460,539.90
January 2016........ 116,051.26
February 2016 and
thereafter........ 0.00
</TABLE>
UC CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
January 2016........ $19,016,000.00
February 2016....... 18,792,855.30
March 2016.......... 18,458,875.55
April 2016.......... 18,130,036.64
May 2016............ 17,806,264.22
June 2016........... 17,487,485.02
July 2016........... 17,173,626.77
August 2016......... 16,864,618.22
September 2016...... 16,560,389.12
October 2016........ 16,260,870.21
November 2016....... 15,965,993.19
December 2016....... 15,675,690.74
January 2017........ 15,389,896.45
February 2017....... 15,108,544.87
March 2017.......... 14,831,571.45
April 2017.......... 14,558,912.58
May 2017............ 14,290,505.50
June 2017........... 14,026,288.36
July 2017........... 13,766,200.16
August 2017......... 13,510,180.79
September 2017...... 13,258,170.95
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2017........ $13,010,112.18
November 2017....... 12,765,946.87
December 2017....... 12,525,618.19
January 2018........ 12,289,070.12
February 2018....... 12,056,247.44
March 2018.......... 11,827,095.68
April 2018.......... 11,601,561.17
May 2018............ 11,379,590.98
June 2018........... 11,161,132.92
July 2018........... 10,946,135.55
August 2018......... 10,734,548.15
September 2018...... 10,526,320.71
October 2018........ 10,321,403.93
November 2018....... 10,119,749.20
December 2018....... 9,921,308.62
January 2019........ 9,726,034.94
February 2019....... 9,533,881.58
March 2019.......... 9,344,802.63
April 2019.......... 9,158,752.83
May 2019............ 8,975,687.54
June 2019........... 8,795,562.78
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
July 2019........... $ 8,618,335.18
August 2019......... 8,443,961.96
September 2019...... 8,272,400.99
October 2019........ 8,103,610.71
November 2019....... 7,937,550.14
December 2019....... 7,774,178.90
January 2020........ 7,613,457.19
February 2020....... 7,455,345.74
March 2020.......... 7,299,805.87
April 2020.......... 7,146,799.44
May 2020............ 6,996,288.83
June 2020........... 6,848,236.99
July 2020........... 6,702,607.37
August 2020......... 6,559,363.96
September 2020...... 6,418,471.23
October 2020........ 6,279,894.19
November 2020....... 6,143,598.32
December 2020....... 6,009,549.62
January 2021........ 5,877,714.55
February 2021....... 5,748,060.05
</TABLE>
B-10
<PAGE> 98
<TABLE>
<CAPTION>
UC CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
March 2021.......... $ 5,620,553.54
April 2021.......... 5,495,162.90
May 2021............ 5,371,856.47
June 2021........... 5,250,603.04
July 2021........... 5,131,371.85
August 2021......... 5,014,132.56
September 2021...... 4,898,855.28
October 2021........ 4,785,510.56
November 2021....... 4,674,069.33
December 2021....... 4,564,502.98
January 2022........ 4,456,783.28
February 2022....... 4,350,882.41
March 2022.......... 4,246,772.96
April 2022.......... 4,144,427.89
May 2022............ 4,043,820.57
June 2022........... 3,944,924.73
July 2022........... 3,847,714.50
August 2022......... 3,752,164.37
September 2022...... 3,658,249.18
October 2022........ 3,565,944.16
November 2022....... 3,475,224.87
December 2022....... 3,386,067.24
January 2023........ 3,298,447.53
February 2023....... 3,212,342.35
March 2023.......... 3,127,728.65
April 2023.......... 3,044,583.70
May 2023............ 2,962,885.11
June 2023........... 2,882,610.80
July 2023........... 2,803,739.01
August 2023......... 2,726,248.31
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
September 2023...... $ 2,650,117.55
October 2023........ 2,575,325.91
November 2023....... 2,501,852.86
December 2023....... 2,429,678.17
January 2024........ 2,358,781.89
February 2024....... 2,289,144.37
March 2024.......... 2,220,746.25
April 2024.......... 2,153,568.43
May 2024............ 2,087,592.10
June 2024........... 2,022,798.73
July 2024........... 1,959,170.04
August 2024......... 1,896,688.02
September 2024...... 1,835,334.92
October 2024........ 1,775,093.26
November 2024....... 1,715,945.80
December 2024....... 1,657,875.56
January 2025........ 1,600,865.80
February 2025....... 1,544,900.01
March 2025.......... 1,489,961.95
April 2025.......... 1,436,035.60
May 2025............ 1,383,105.16
June 2025........... 1,331,155.09
July 2025........... 1,280,170.05
August 2025......... 1,230,134.93
September 2025...... 1,181,034.85
October 2025........ 1,132,855.13
November 2025....... 1,085,581.33
December 2025....... 1,039,199.19
January 2026........ 993,694.68
February 2026....... 949,053.97
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2026.......... $ 905,263.43
April 2026.......... 862,309.63
May 2026............ 820,179.33
June 2026........... 778,859.51
July 2026........... 738,337.29
August 2026......... 698,600.04
September 2026...... 659,635.27
October 2026........ 621,430.69
November 2026....... 583,974.19
December 2026....... 547,253.84
January 2027........ 511,257.88
February 2027....... 475,974.72
March 2027.......... 441,392.96
April 2027.......... 407,501.35
May 2027............ 374,288.80
June 2027........... 341,744.40
July 2027........... 309,857.39
August 2027......... 278,617.19
September 2027...... 248,013.34
October 2027........ 218,035.56
November 2027....... 188,673.72
December 2027....... 159,917.83
January 2028........ 131,758.07
February 2028....... 104,184.73
March 2028.......... 77,188.27
April 2028.......... 50,759.29
May 2028............ 24,888.51
June 2028........... 12,077.24
July 2028 and
thereafter........ 0.00
</TABLE>
LA CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2001............ $24,906,200.00
June 2001........... 22,127,728.44
July 2001........... 19,363,230.34
August 2001......... 16,612,633.61
September 2001...... 13,875,866.55
October 2001........ 11,152,857.80
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2001....... $ 8,443,536.37
December 2001....... 5,747,831.66
January 2002........ 3,065,673.41
February 2002....... 396,991.73
March 2002 and
thereafter........ 0.00
</TABLE>
LB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2002....... $277,184,800.00
March 2002.......... 274,926,517.08
April 2002.......... 272,284,580.29
May 2002............ 269,655,912.54
June 2002........... 267,040,445.35
July 2002........... 264,438,110.63
August 2002......... 261,848,840.60
September 2002...... 259,272,567.84
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2002........ $256,709,225.30
November 2002....... 254,158,746.23
December 2002....... 251,621,064.27
January 2003........ 249,096,113.37
February 2003....... 246,583,827.83
March 2003.......... 244,084,142.29
April 2003.......... 241,596,991.72
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2003............ $239,122,311.43
June 2003........... 236,660,037.05
July 2003........... 234,210,104.57
August 2003......... 231,772,450.27
September 2003...... 229,347,010.79
October 2003........ 226,933,723.07
November 2003....... 224,532,524.41
</TABLE>
B-11
<PAGE> 99
<TABLE>
<CAPTION>
LB CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
December 2003....... $222,143,352.38
January 2004........ 219,766,144.93
February 2004....... 217,400,840.28
March 2004.......... 215,047,376.99
April 2004.......... 212,705,693.93
May 2004............ 210,375,730.30
June 2004........... 208,057,425.58
July 2004........... 205,750,719.60
August 2004......... 203,455,552.47
September 2004...... 201,171,864.62
October 2004........ 198,899,596.79
November 2004....... 196,638,690.00
December 2004....... 194,389,085.61
January 2005........ 192,150,725.26
February 2005....... 189,923,550.89
March 2005.......... 187,707,504.74
April 2005.......... 185,502,529.35
May 2005............ 183,308,567.55
June 2005........... 181,125,562.48
July 2005........... 178,953,457.54
August 2005......... 176,792,196.46
September 2005...... 174,641,723.24
October 2005........ 172,501,982.15
November 2005....... 170,372,917.78
December 2005....... 168,254,474.99
January 2006........ 166,146,598.91
February 2006....... 164,049,234.98
March 2006.......... 161,962,328.90
April 2006.......... 159,885,826.64
May 2006............ 157,819,674.48
June 2006........... 155,763,818.95
July 2006........... 153,718,206.87
August 2006......... 151,682,785.32
September 2006...... 149,657,501.66
October 2006........ 147,642,303.52
November 2006....... 145,637,138.79
December 2006....... 143,641,955.65
January 2007........ 141,656,702.52
February 2007....... 139,681,328.11
March 2007.......... 137,715,781.37
April 2007.......... 135,760,011.52
May 2007............ 133,813,968.06
June 2007........... 131,877,600.72
July 2007........... 129,950,859.51
August 2007......... 128,033,694.69
September 2007...... 126,126,056.77
October 2007........ 124,227,896.52
November 2007....... 122,339,164.96
December 2007....... 120,459,813.37
January 2008........ 118,589,793.27
February 2008....... 116,736,840.81
March 2008.......... 114,910,452.53
April 2008.......... 113,110,258.52
May 2008............ 111,335,893.99
June 2008........... 109,586,999.13
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
July 2008........... $107,863,219.06
August 2008......... 106,164,203.77
September 2008...... 104,489,608.06
October 2008........ 102,839,091.47
November 2008....... 101,212,318.19
December 2008....... 99,608,957.03
January 2009........ 98,028,681.36
February 2009....... 96,471,169.00
March 2009.......... 94,936,102.23
April 2009.......... 93,423,167.68
May 2009............ 91,932,056.25
June 2009........... 90,462,463.14
July 2009........... 89,014,087.70
August 2009......... 87,586,633.42
September 2009...... 86,179,807.86
October 2009........ 84,793,322.60
November 2009....... 83,426,893.19
December 2009....... 82,080,239.08
January 2010........ 80,753,083.57
February 2010....... 79,445,153.80
March 2010.......... 78,156,180.61
April 2010.......... 76,885,898.58
May 2010............ 75,634,045.93
June 2010........... 74,400,364.46
July 2010........... 73,184,599.56
August 2010......... 71,986,500.09
September 2010...... 70,805,818.38
October 2010........ 69,642,310.17
November 2010....... 68,495,734.55
December 2010....... 67,365,853.95
January 2011........ 66,252,434.05
February 2011....... 65,155,243.76
March 2011.......... 64,074,055.18
April 2011.......... 63,008,643.54
May 2011............ 61,958,787.17
June 2011........... 60,924,267.46
July 2011........... 59,904,868.80
August 2011......... 58,900,378.57
September 2011...... 57,910,587.05
October 2011........ 56,935,287.46
November 2011....... 55,974,275.81
December 2011....... 55,027,350.98
January 2012........ 54,094,314.59
February 2012....... 53,174,971.00
March 2012.......... 52,269,127.29
April 2012.......... 51,376,593.17
May 2012............ 50,497,181.00
June 2012........... 49,630,705.73
July 2012........... 48,776,984.84
August 2012......... 47,935,838.36
September 2012...... 47,107,088.80
October 2012........ 46,290,561.10
November 2012....... 45,486,082.64
December 2012....... 44,693,483.18
January 2013........ 43,912,594.82
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2013....... $ 43,143,252.01
March 2013.......... 42,385,291.45
April 2013.......... 41,638,552.12
May 2013............ 40,902,875.24
June 2013........... 40,178,104.20
July 2013........... 39,464,084.56
August 2013......... 38,760,664.02
September 2013...... 38,067,692.41
October 2013........ 37,385,021.60
November 2013....... 36,712,505.54
December 2013....... 36,050,000.18
January 2014........ 35,397,363.49
February 2014....... 34,754,455.38
March 2014.......... 34,121,137.72
April 2014.......... 33,497,274.29
May 2014............ 32,882,730.75
June 2014........... 32,277,374.63
July 2014........... 31,681,075.28
August 2014......... 31,093,703.90
September 2014...... 30,515,133.43
October 2014........ 29,945,238.59
November 2014....... 29,383,895.86
December 2014....... 28,830,983.41
January 2015........ 28,286,381.09
February 2015....... 27,749,970.45
March 2015.......... 27,221,634.66
April 2015.......... 26,701,258.53
May 2015............ 26,188,728.45
June 2015........... 25,683,932.40
July 2015........... 25,186,759.92
August 2015......... 24,697,102.08
September 2015...... 24,214,851.45
October 2015........ 23,739,902.13
November 2015....... 23,272,149.66
December 2015....... 22,811,491.04
January 2016........ 22,357,824.70
February 2016....... 21,911,050.51
March 2016.......... 21,471,069.70
April 2016.......... 21,037,784.90
May 2016............ 20,611,100.06
June 2016........... 20,190,920.51
July 2016........... 19,777,152.88
August 2016......... 19,369,705.10
September 2016...... 18,968,486.37
October 2016........ 18,573,407.19
November 2016....... 18,184,379.27
December 2016....... 17,801,315.59
January 2017........ 17,424,130.30
February 2017....... 17,052,738.78
March 2017.......... 16,687,057.59
April 2017.......... 16,327,004.43
May 2017............ 15,972,498.17
June 2017........... 15,623,458.81
July 2017........... 15,279,807.47
August 2017......... 14,941,466.35
</TABLE>
B-12
<PAGE> 100
<TABLE>
<CAPTION>
LB CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
September 2017...... $ 14,608,358.77
October 2017........ 14,280,409.10
November 2017....... 13,957,542.78
December 2017....... 13,639,686.27
January 2018........ 13,326,767.09
February 2018....... 13,018,713.75
March 2018.......... 12,715,455.77
April 2018.......... 12,416,923.66
May 2018............ 12,123,048.90
June 2018........... 11,833,763.92
July 2018........... 11,549,002.11
August 2018......... 11,268,697.79
September 2018...... 10,992,786.19
October 2018........ 10,721,203.47
November 2018....... 10,453,886.66
December 2018....... 10,190,773.69
January 2019........ 9,931,803.36
February 2019....... 9,676,915.31
March 2019.......... 9,426,050.06
April 2019.......... 9,179,148.94
May 2019............ 8,936,154.11
June 2019........... 8,697,008.55
July 2019........... 8,461,656.03
August 2019......... 8,230,041.12
September 2019...... 8,002,109.16
October 2019........ 7,777,806.26
November 2019....... 7,557,079.30
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2019....... $ 7,339,875.91
January 2020........ 7,126,144.43
February 2020....... 6,915,833.94
March 2020.......... 6,708,894.26
April 2020.......... 6,505,275.89
May 2020............ 6,304,930.04
June 2020........... 6,107,808.60
July 2020........... 5,913,864.14
August 2020......... 5,723,049.91
September 2020...... 5,535,319.80
October 2020........ 5,350,628.37
November 2020....... 5,168,930.81
December 2020....... 4,990,182.95
January 2021........ 4,814,341.25
February 2021....... 4,641,362.75
March 2021.......... 4,471,205.15
April 2021.......... 4,303,826.70
May 2021............ 4,139,186.28
June 2021........... 3,977,243.32
July 2021........... 3,817,957.85
August 2021......... 3,661,290.44
September 2021...... 3,507,202.24
October 2021........ 3,355,654.95
November 2021....... 3,206,610.80
December 2021....... 3,060,032.56
January 2022........ 2,915,883.53
February 2022....... 2,774,127.53
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2022.......... $ 2,634,728.89
April 2022.......... 2,497,652.46
May 2022............ 2,362,863.57
June 2022........... 2,230,328.06
July 2022........... 2,100,012.24
August 2022......... 1,971,882.91
September 2022...... 1,845,907.34
October 2022........ 1,722,053.26
November 2022....... 1,600,288.87
December 2022....... 1,480,582.81
January 2023........ 1,362,904.18
February 2023....... 1,247,222.51
March 2023.......... 1,133,507.76
April 2023.......... 1,021,730.34
May 2023............ 911,861.06
June 2023........... 803,871.15
July 2023........... 697,732.27
August 2023......... 593,416.46
September 2023...... 490,896.17
October 2023........ 390,144.25
November 2023....... 291,133.93
December 2023....... 193,838.81
January 2024........ 98,232.90
February 2024....... 4,290.57
March 2024 and
thereafter........ 0.00
</TABLE>
LC CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2024....... $3,182,800.00
March 2024.......... 3,094,786.53
April 2024.......... 3,004,095.88
May 2024............ 2,914,994.09
June 2024........... 2,827,456.94
July 2024........... 2,741,460.58
August 2024......... 2,656,981.52
September 2024...... 2,573,996.58
October 2024........ 2,492,482.92
November 2024....... 2,412,418.04
December 2024....... 2,333,779.74
January 2025........ 2,256,546.16
February 2025....... 2,180,695.75
March 2025.......... 2,106,207.27
April 2025.......... 2,033,059.78
May 2025............ 1,961,232.65
June 2025........... 1,890,705.54
July 2025........... 1,821,458.41
August 2025......... 1,753,471.50
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
September 2025...... $1,686,725.34
October 2025........ 1,621,200.75
November 2025....... 1,556,878.81
December 2025....... 1,493,740.90
January 2026........ 1,431,768.63
February 2026....... 1,370,943.91
March 2026.......... 1,311,248.90
April 2026.......... 1,252,666.01
May 2026............ 1,195,177.93
June 2026........... 1,138,767.57
July 2026........... 1,083,418.11
August 2026......... 1,029,112.96
September 2026...... 975,835.77
October 2026........ 923,570.46
November 2026....... 872,301.13
December 2026....... 822,012.16
January 2027........ 772,688.12
February 2027....... 724,313.84
March 2027.......... 676,874.34
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2027.......... $ 630,354.87
May 2027............ 584,740.90
June 2027........... 540,018.11
July 2027........... 496,172.38
August 2027......... 453,189.81
September 2027...... 411,056.69
October 2027........ 369,759.52
November 2027....... 329,284.99
December 2027....... 289,620.00
January 2028........ 250,751.61
February 2028....... 212,667.11
March 2028.......... 175,353.95
April 2028.......... 138,799.77
May 2028............ 102,992.40
June 2028........... 67,919.82
July 2028........... 33,570.23
August 2028 and
thereafter........ 0.00
</TABLE>
B-13
<PAGE> 101
AGGREGATE GROUP I TARGETED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
Initial Balance..... $264,584,000.00
May 1999............ 260,864,206.72
June 1999........... 256,989,320.22
July 1999........... 252,961,135.85
August 1999......... 248,781,542.79
September 1999...... 244,452,522.71
October 1999........ 239,976,148.29
November 1999....... 235,354,581.63
December 1999....... 230,590,072.63
January 2000........ 225,684,957.22
February 2000....... 220,641,655.51
March 2000.......... 215,462,669.86
April 2000.......... 210,150,582.92
May 2000............ 204,708,055.44
June 2000........... 204,467,873.52
July 2000........... 204,218,628.33
August 2000......... 203,960,687.40
September 2000...... 203,694,428.27
October 2000........ 203,420,237.97
November 2000....... 203,138,512.49
December 2000....... 202,849,656.23
January 2001........ 202,554,081.47
February 2001....... 202,252,207.80
March 2001.......... 201,944,461.50
April 2001.......... 201,631,275.01
May 2001............ 201,324,769.86
June 2001........... 201,024,892.95
July 2001........... 200,731,591.56
August 2001......... 200,444,813.39
September 2001...... 200,164,506.47
October 2001........ 199,890,619.26
November 2001....... 199,623,100.56
December 2001....... 199,361,899.56
January 2002........ 199,106,965.83
February 2002....... 198,858,249.28
March 2002.......... 198,615,700.22
April 2002.......... 198,379,269.31
May 2002............ 198,148,907.55
June 2002........... 197,924,566.33
July 2002........... 197,706,197.39
August 2002......... 197,493,752.82
September 2002...... 197,287,185.05
October 2002........ 197,086,446.88
November 2002....... 196,891,491.45
December 2002....... 196,702,272.23
January 2003........ 196,518,743.04
February 2003....... 196,340,858.07
March 2003.......... 196,168,571.79
April 2003.......... 196,001,839.06
May 2003............ 195,840,615.04
June 2003........... 195,684,855.23
July 2003........... 195,534,515.46
August 2003......... 195,389,551.88
September 2003...... 195,249,920.97
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
October 2003........ $195,115,579.53
November 2003....... 194,986,484.69
December 2003....... 194,862,593.87
January 2004........ 194,743,864.83
February 2004....... 194,630,255.63
March 2004.......... 194,521,724.65
April 2004.......... 194,418,230.58
May 2004............ 194,319,732.40
June 2004........... 194,226,189.40
July 2004........... 194,137,561.20
August 2004......... 194,053,807.68
September 2004...... 193,974,889.04
October 2004........ 193,900,765.77
November 2004....... 193,831,398.66
December 2004....... 193,766,748.78
January 2005........ 193,677,337.97
February 2005....... 193,517,434.06
March 2005.......... 193,288,675.21
April 2005.......... 192,992,669.14
May 2005............ 192,630,993.64
June 2005........... 192,205,197.09
July 2005........... 191,716,798.99
August 2005......... 191,167,290.42
September 2005...... 190,558,134.60
October 2005........ 189,890,767.32
November 2005....... 189,166,597.44
December 2005....... 188,387,007.35
January 2006........ 187,553,353.45
February 2006....... 186,666,966.58
March 2006.......... 185,729,152.48
April 2006.......... 184,741,192.22
May 2006............ 183,704,342.65
June 2006........... 182,619,836.80
July 2006........... 181,488,884.30
August 2006......... 180,312,671.82
September 2006...... 179,092,363.41
October 2006........ 177,829,100.96
November 2006....... 176,524,004.57
December 2006....... 175,178,172.90
January 2007........ 173,792,683.59
February 2007....... 172,368,593.60
March 2007.......... 170,906,939.58
April 2007.......... 169,408,738.25
May 2007............ 167,874,986.70
June 2007........... 166,306,662.80
July 2007........... 164,704,725.48
August 2007......... 163,070,115.11
September 2007...... 161,403,753.77
October 2007........ 159,706,545.66
November 2007....... 157,979,377.32
December 2007....... 156,223,118.01
January 2008........ 154,438,619.98
February 2008....... 152,626,718.80
March 2008.......... 150,788,233.61
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
April 2008.......... $148,923,967.47
May 2008............ 147,034,707.59
June 2008........... 145,121,225.66
July 2008........... 143,184,278.07
August 2008......... 141,224,606.24
September 2008...... 139,242,936.84
October 2008........ 137,239,982.09
November 2008....... 135,216,439.97
December 2008....... 133,172,994.53
January 2009........ 131,110,316.10
February 2009....... 129,029,061.54
March 2009.......... 126,929,874.50
April 2009.......... 124,813,385.61
May 2009............ 122,680,212.79
June 2009........... 120,530,961.40
July 2009........... 118,366,224.49
August 2009......... 116,186,583.06
September 2009...... 113,992,606.22
October 2009........ 111,784,851.43
November 2009....... 109,563,864.72
December 2009....... 107,330,180.85
January 2010........ 105,084,323.57
February 2010....... 102,826,805.80
March 2010.......... 100,558,129.80
April 2010.......... 98,278,787.39
May 2010............ 95,989,260.11
June 2010........... 93,690,019.46
July 2010........... 91,381,527.01
August 2010......... 89,064,234.64
September 2010...... 86,738,584.69
October 2010........ 84,405,010.12
November 2010....... 82,063,934.72
December 2010....... 79,715,773.21
January 2011........ 77,360,931.50
February 2011....... 74,999,806.75
March 2011.......... 72,632,787.61
April 2011.......... 70,260,254.33
May 2011............ 67,882,578.91
June 2011........... 65,500,125.30
July 2011........... 63,113,249.48
August 2011......... 60,722,299.65
September 2011...... 58,327,616.38
October 2011........ 55,929,532.72
November 2011....... 53,528,374.33
December 2011....... 51,124,459.67
January 2012........ 48,718,100.08
February 2012....... 46,309,599.93
March 2012.......... 43,899,256.76
April 2012.......... 41,487,361.38
May 2012............ 39,074,198.03
June 2012........... 36,660,044.46
July 2012........... 34,245,172.07
August 2012......... 31,829,846.07
September 2012...... 29,414,325.49
</TABLE>
B-14
<PAGE> 102
<TABLE>
<CAPTION>
AGGREGATE GROUP I (CONTINUED)
DISTRIBUTION TARGETED
DATE BALANCE
- -------------------- ---------------
<S> <C>
October 2012........ $ 26,998,863.42
November 2012....... 24,583,707.03
December 2012....... 22,169,097.70
January 2013........ 19,755,271.17
February 2013....... 17,342,457.60
March 2013.......... 14,930,881.67
April 2013.......... 12,520,762.74
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
May 2013............ $ 10,112,314.88
June 2013........... 7,705,747.01
July 2013........... 5,301,262.99
August 2013......... 2,898,613.62
September 2013 and
thereafter........ 0.00
</TABLE>
AGGREGATE GROUP II PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance..... $125,767,600.00
May 1999............ 124,614,946.71
June 1999........... 123,339,548.37
July 1999........... 121,941,976.99
August 1999......... 120,422,896.29
September 1999...... 118,783,061.37
October 1999........ 117,023,318.24
November 1999....... 115,144,603.20
December 1999....... 113,147,942.18
January 2000........ 111,034,449.92
February 2000....... 108,805,329.03
March 2000.......... 106,461,868.98
April 2000.......... 104,005,444.90
May 2000............ 101,437,516.38
June 2000........... 98,759,626.09
July 2000........... 95,973,398.25
August 2000......... 93,080,537.14
September 2000...... 90,082,825.34
October 2000........ 86,982,121.98
November 2000....... 83,780,360.86
December 2000....... 80,479,548.46
January 2001........ 77,081,761.86
February 2001....... 73,589,146.61
March 2001.......... 70,003,914.43
April 2001.......... 66,328,340.90
May 2001............ 62,564,763.07
June 2001........... 61,608,845.31
July 2001........... 60,667,920.75
August 2001......... 59,741,841.29
September 2001...... 58,830,460.15
October 2001........ 57,933,631.82
November 2001....... 57,051,212.09
December 2001....... 56,183,057.97
January 2002........ 55,329,027.76
February 2002....... 54,488,980.99
March 2002.......... 53,662,778.41
April 2002.......... 52,850,282.02
May 2002............ 52,051,355.00
June 2002........... 51,265,861.77
July 2002........... 50,493,667.90
August 2002......... 49,734,640.17
September 2002...... 48,988,646.53
October 2002........ 48,255,556.09
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2002....... $ 47,535,239.10
December 2002....... 46,827,566.98
January 2003........ 46,132,412.26
February 2003....... 45,449,648.61
March 2003.......... 44,779,150.80
April 2003.......... 44,120,794.73
May 2003............ 43,474,457.37
June 2003........... 42,840,016.81
July 2003........... 42,217,352.18
August 2003......... 41,606,343.71
September 2003...... 41,006,872.68
October 2003........ 40,418,821.42
November 2003....... 39,842,073.31
December 2003....... 39,276,512.77
January 2004........ 38,722,025.23
February 2004....... 38,178,497.15
March 2004.......... 37,645,815.98
April 2004.......... 37,123,870.21
May 2004............ 36,612,549.29
June 2004........... 36,111,743.66
July 2004........... 35,621,344.73
August 2004......... 35,141,244.91
September 2004...... 34,671,337.53
October 2004........ 34,211,516.90
November 2004....... 33,761,678.25
December 2004....... 33,321,717.76
January 2005........ 32,891,532.56
February 2005....... 32,471,020.65
March 2005.......... 32,060,080.98
April 2005.......... 31,658,613.41
May 2005............ 31,266,518.66
June 2005........... 30,883,698.38
July 2005........... 30,510,055.09
August 2005......... 30,145,492.17
September 2005...... 29,789,913.88
October 2005........ 29,443,225.35
November 2005....... 29,105,332.55
December 2005....... 28,776,142.31
January 2006........ 28,455,562.27
February 2006....... 28,143,500.94
March 2006.......... 27,839,867.63
April 2006.......... 27,544,572.48
May 2006............ 27,257,526.43
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2006........... $ 26,978,641.25
July 2006........... 26,707,829.47
August 2006......... 26,445,004.45
September 2006...... 26,190,080.30
October 2006........ 25,942,971.94
November 2006....... 25,703,595.04
December 2006....... 25,471,866.04
January 2007........ 25,247,702.14
February 2007....... 25,031,021.30
March 2007.......... 24,821,742.21
April 2007.......... 24,619,784.30
May 2007............ 24,425,067.76
June 2007........... 24,237,513.48
July 2007........... 24,057,043.08
August 2007......... 23,883,578.89
September 2007...... 23,719,248.43
October 2007........ 23,570,656.74
November 2007....... 23,437,555.75
December 2007....... 23,319,700.58
January 2008........ 23,216,849.52
February 2008....... 23,120,979.58
March 2008.......... 23,022,310.74
April 2008.......... 22,920,932.68
May 2008............ 22,816,933.25
June 2008........... 22,710,398.53
July 2008........... 22,601,412.82
August 2008......... 22,490,058.71
September 2008...... 22,376,417.10
October 2008........ 22,260,567.21
November 2008....... 22,142,586.63
December 2008....... 22,022,551.34
January 2009........ 21,900,535.74
February 2009....... 21,776,612.68
March 2009.......... 21,650,853.47
April 2009.......... 21,523,327.94
May 2009............ 21,394,104.44
June 2009........... 21,263,249.86
July 2009........... 21,130,829.71
August 2009......... 20,996,908.04
September 2009...... 20,861,547.59
October 2009........ 20,724,809.72
November 2009....... 20,586,754.48
December 2009....... 20,447,440.60
</TABLE>
B-15
<PAGE> 103
<TABLE>
<CAPTION>
AGGREGATE GROUP II (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
January 2010........ $ 20,306,925.56
February 2010....... 20,165,265.56
March 2010.......... 20,022,515.60
April 2010.......... 19,878,729.45
May 2010............ 19,733,959.69
June 2010........... 19,588,257.74
July 2010........... 19,441,673.87
August 2010......... 19,294,257.24
September 2010...... 19,146,055.89
October 2010........ 18,997,116.77
November 2010....... 18,847,485.79
December 2010....... 18,697,207.78
January 2011........ 18,546,326.59
February 2011....... 18,394,885.01
March 2011.......... 18,242,924.87
April 2011.......... 18,090,487.03
May 2011............ 17,937,611.38
June 2011........... 17,784,336.89
July 2011........... 17,630,701.60
August 2011......... 17,476,742.66
September 2011...... 17,322,496.31
October 2011........ 17,167,997.96
November 2011....... 17,013,282.12
December 2011....... 16,858,382.49
January 2012........ 16,703,331.96
February 2012....... 16,548,162.58
March 2012.......... 16,392,905.63
April 2012.......... 16,237,591.62
May 2012............ 16,082,250.28
June 2012........... 15,926,910.60
July 2012........... 15,771,600.83
August 2012......... 15,616,348.52
September 2012...... 15,461,180.49
October 2012........ 15,306,122.87
November 2012....... 15,151,201.13
December 2012....... 14,996,440.06
January 2013........ 14,841,863.78
February 2013....... 14,687,495.80
March 2013.......... 14,533,358.98
April 2013.......... 14,379,475.57
May 2013............ 14,225,867.20
June 2013........... 14,072,554.93
July 2013........... 13,919,559.22
August 2013......... 13,766,899.97
September 2013...... 13,614,596.52
October 2013........ 13,462,667.64
November 2013....... 13,311,131.59
December 2013....... 13,160,006.08
January 2014........ 13,009,308.33
February 2014....... 12,859,055.02
March 2014.......... 12,709,262.35
April 2014.......... 12,559,946.04
May 2014............ 12,411,121.31
June 2014........... 12,262,802.94
July 2014........... 12,115,005.22
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2014......... $ 11,967,742.03
September 2014...... 11,821,026.76
October 2014........ 11,674,872.42
November 2014....... 11,529,291.55
December 2014....... 11,384,296.30
January 2015........ 11,239,898.43
February 2015....... 11,096,109.26
March 2015.......... 10,952,939.75
April 2015.......... 10,810,400.48
May 2015............ 10,668,501.65
June 2015........... 10,527,253.08
July 2015........... 10,386,664.25
August 2015......... 10,246,744.28
September 2015...... 10,107,501.95
October 2015........ 9,968,945.70
November 2015....... 9,831,083.65
December 2015....... 9,693,923.59
January 2016........ 9,557,472.99
February 2016....... 9,421,739.01
March 2016.......... 9,286,728.52
April 2016.......... 9,152,448.09
May 2016............ 9,018,903.99
June 2016........... 8,886,102.23
July 2016........... 8,754,048.50
August 2016......... 8,622,748.27
September 2016...... 8,492,206.70
October 2016........ 8,362,428.73
November 2016....... 8,233,419.02
December 2016....... 8,105,181.98
January 2017........ 7,977,721.79
February 2017....... 7,851,042.40
March 2017.......... 7,725,147.51
April 2017.......... 7,600,040.59
May 2017............ 7,475,724.91
June 2017........... 7,352,203.50
July 2017........... 7,229,479.20
August 2017......... 7,107,554.63
September 2017...... 6,986,432.21
October 2017........ 6,866,114.16
November 2017....... 6,746,602.52
December 2017....... 6,627,899.12
January 2018........ 6,510,005.62
February 2018....... 6,392,923.50
March 2018.......... 6,276,654.07
April 2018.......... 6,161,198.45
May 2018............ 6,046,557.61
June 2018........... 5,932,732.35
July 2018........... 5,819,723.31
August 2018......... 5,707,530.98
September 2018...... 5,596,155.70
October 2018........ 5,485,597.65
November 2018....... 5,375,856.87
December 2018....... 5,266,933.28
January 2019........ 5,158,826.63
February 2019....... 5,051,536.56
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2019.......... $ 4,945,062.57
April 2019.......... 4,839,404.04
May 2019............ 4,734,560.22
June 2019........... 4,630,530.24
July 2019........... 4,527,313.13
August 2019......... 4,424,907.77
September 2019...... 4,323,312.95
October 2019........ 4,222,527.38
November 2019....... 4,122,549.61
December 2019....... 4,023,378.12
January 2020........ 3,925,011.30
February 2020....... 3,827,447.41
March 2020.......... 3,730,684.65
April 2020.......... 3,634,721.11
May 2020............ 3,539,554.78
June 2020........... 3,445,183.60
July 2020........... 3,351,605.40
August 2020......... 3,258,817.92
September 2020...... 3,166,818.85
October 2020........ 3,075,605.78
November 2020....... 2,985,176.24
December 2020....... 2,895,527.68
January 2021........ 2,806,657.49
February 2021....... 2,718,562.97
March 2021.......... 2,631,241.37
April 2021.......... 2,544,689.89
May 2021............ 2,458,905.65
June 2021........... 2,373,885.71
July 2021........... 2,289,627.08
August 2021......... 2,206,126.71
September 2021...... 2,123,381.51
October 2021........ 2,041,388.32
November 2021....... 1,960,143.94
December 2021....... 1,879,645.12
January 2022........ 1,799,888.55
February 2022....... 1,720,870.91
March 2022.......... 1,642,588.80
April 2022.......... 1,565,038.80
May 2022............ 1,488,217.45
June 2022........... 1,412,121.23
July 2022........... 1,336,746.61
August 2022......... 1,262,090.01
September 2022...... 1,188,147.83
October 2022........ 1,114,916.41
November 2022....... 1,042,392.09
December 2022....... 970,571.16
January 2023........ 899,449.90
February 2023....... 829,024.54
March 2023.......... 759,291.30
April 2023.......... 690,246.38
May 2023............ 621,885.93
June 2023........... 554,206.12
July 2023........... 487,203.06
August 2023......... 420,872.86
September 2023...... 355,211.61
</TABLE>
B-16
<PAGE> 104
<TABLE>
<CAPTION>
AGGREGATE GROUP II (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
October 2023........ $ 290,215.38
November 2023....... 225,880.23
December 2023....... 162,202.19
January 2024........ 99,177.29
February 2024....... 36,801.54
March 2024 and
thereafter........ 0.00
</TABLE>
B-17
<PAGE> 105
- ------------------------------------------------------
------------------------------------------------------
- ------------------------------------------------------
------------------------------------------------------
NO ONE IS AUTHORIZED TO GIVE INFORMATION OR TO MAKE REPRESENTATIONS IN
CONNECTION WITH THE CERTIFICATES OTHER THAN THE INFORMATION AND REPRESENTATIONS
CONTAINED IN THIS PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS.
YOU MUST NOT RELY ON ANY UNAUTHORIZED INFORMATION OR REPRESENTATION. THIS
PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS DO NOT CONSTITUTE
AN OFFER OR SOLICITATION WITH REGARD TO THE CERTIFICATES IF IT IS ILLEGAL TO
MAKE SUCH AN OFFER OR SOLICITATION TO YOU UNDER STATE LAW. BY DELIVERING THIS
PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS AT ANY TIME, NO
ONE IMPLIES THAT THE INFORMATION CONTAINED HEREIN OR THEREIN IS CORRECT AFTER
THE DATE HEREOF OR THEREOF.
THE SECURITIES AND EXCHANGE COMMISSION HAS NOT APPROVED OR DISAPPROVED THE
CERTIFICATES OR DETERMINED IF THIS PROSPECTUS SUPPLEMENT IS TRUTHFUL AND
COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Table of Contents..................... S- 2
Available Information................. S- 3
Reference Sheet....................... S- 4
Additional Risk Factors............... S-10
Description of the Certificates....... S-11
Certain Additional Federal Income Tax
Consequences........................ S-37
Plan of Distribution.................. S-40
Legal Matters......................... S-41
Schedule 1............................ A- 1
Principal Balance Schedules........... B- 1
</TABLE>
$2,450,000,000
LOGO
GUARANTEED REMIC
PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-19
------------------------
PROSPECTUS SUPPLEMENT
------------------------
MERRILL LYNCH & CO.
MARCH 3, 1999
- ------------------------------------------------------
------------------------------------------------------
- ------------------------------------------------------
------------------------------------------------------
<PAGE> 106
ANNEX 1(b)
PROSPECTUS SUPPLEMENT
DATED JUNE 22, 1999
TO
PROSPECTUS DATED SEPTEMBER 18, 1998
RELATING TO
FANNIE MAE
GUARANTEED REMIC PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-39
<PAGE> 107
PROSPECTUS SUPPLEMENT
(TO REMIC PROSPECTUS DATED SEPTEMBER 18, 1998)
$630,970,000
LOGO
GUARANTEED REMIC PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-39
THE CERTIFICATES
We, the Federal National
Mortgage Association ("Fannie
Mae"), will issue the classes
of certificates listed in the
chart on this page.
PAYMENTS TO CERTIFICATEHOLDERS
We will make monthly payments
on the certificates. You, the
investor, will receive
- - interest accrued on the
balance of your certificate,
and
- - principal to the extent
available for payment on
your class.
We may pay principal at rates
that vary from time to time.
We may not pay principal to
certain classes for long
periods of time.
THE FANNIE MAE GUARANTY
We will guarantee that
required payments of principal
and interest on the
certificates are distributed
to investors on time.
THE TRUST AND ITS ASSETS
The trust will indirectly own
- - Fannie Mae MBS and
- - an underlying REMIC
certificate backed directly
or indirectly by Fannie Mae
MBS.
The mortgage loans underlying
the Fannie Mae MBS are first
lien, single-family,
fixed-rate loans.
CAREFULLY CONSIDER THE RISK FACTORS STARTING ON PAGE S-8 OF THIS PROSPECTUS
SUPPLEMENT AND ON PAGE 10 OF THE REMIC PROSPECTUS. UNLESS YOU UNDERSTAND AND
ARE ABLE TO TOLERATE THESE RISKS, YOU SHOULD NOT INVEST IN THE CERTIFICATES.
You should read the REMIC prospectus as well as this prospectus supplement.
The certificates, together with interest thereon, are not guaranteed by the
United States and do not constitute a debt or obligation of the United
States or any agency or instrumentality thereof other than Fannie Mae.
The certificates are exempt from registration under the Securities Act of
1933 and are "exempted securities" under the Securities Exchange Act of
1934.
---------------------
MERRILL LYNCH & CO.
---------------------
June 22, 1999
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
CLASS
<S> <C> <C> <C> <C>
PB ......... 1 $ 14,466,400 PAC 6.5%
PC ......... 1 22,306,800 PAC 6.5
PD ......... 1 12,485,200 PAC 6.5
PE ......... 1 35,424,200 PAC 6.5
PF ......... 1 22,653,200 PAC 6.5
PG.......... 1 38,866,800 PAC 6.5
QH.......... 1 24,187,000 PAC 6.0
JH ......... 1 1,860,538(1) NTL 6.5
SG.......... 1 21,074,400 TAC (2)
FG.......... 1 68,491,800 TAC (2)
K .......... 1 5,339,227 SUP (3)
SF ......... 1 441,176 SUP (2)
SE ......... 1 1,323,530 SUP (2)
FE ......... 1 13,235,294 SUP (2)
SK ......... 1 352,941 SUP (2)
SJ ......... 1 1,058,824 SUP (2)
FJ ......... 1 10,588,235 SUP (2)
HB.......... 1 7,704,973 SUP 7.5
TB ......... 2 15,832,000 PAC 6.5
TC ......... 2 24,407,000 PAC 6.5
TI ......... 2 147,823,000 PAC 6.5
R .......... 2 500,000 PAC 6.5
SR(4)....... 2 18,356,236 SCH (2)
FR(4)....... 2 59,657,764 SCH (2)
ST ......... 2 2,978,471 SUP (2)
FT ......... 2 44,677,234 SUP (2)
SV ......... 2 744,624 SUP (2)
SU.......... 2 2,233,871 SUP (2)
L .......... 2 7,789,800 SUP (3)
SM(4)....... 3 1,119,375 SC/PT (2)
FM(4)....... 3 4,850,625 SC/PT (2)
RL.......... 0 NPR 0
<CAPTION>
ORIGINAL FINAL
INTEREST CLASS CUSIP PRINDISTRIBUTIONNTEREST
CLASS GRTYPE BALANCNUMBER TYPE DATE RATE
<S> <C> <C> <C>
PB ......... FIX 31359WM L 2 March 2009
PC ......... FIX 31359WM M 0 June 2015
PD ......... FIX 31359WM N 8 November 2017
PE ......... FIX 31359WM P 3 October 2022
PF ......... FIX 31359WM Q 1 January 2025
PG.......... FIX 31359WM R 9 February 2028
QH.......... FIX 31359WM S 7 August 2029
JH ......... FIX/IO 31359WM T 5 August 2029
SG.......... INV 31359WM U 2 August 2029
FG.......... FLT 31359WM V 0 August 2029
K .......... PO 31359WMW8 August 2029
SF ......... INV 31359WM X 6 August 2029
SE ......... INV 31359WM Y 4 August 2029
FE ......... FLT 31359WM Z 1 August 2029
SK ......... INV 31359WN A 5 August 2029
SJ ......... INV 31359WN B 3 August 2029
FJ ......... FLT 31359WN C 1 August 2029
HB.......... FIX 31359WN D 9 August 2029
TB ......... FIX 31359WN E 7 February 2009
TC ......... FIX 31359WN F 4 May 2015
TI ......... FIX 31359WN G 2 August 2029
R .......... FIX 31359WN H 0 August 2029
SR(4)....... INV 31359WN J 6 August 2029
FR(4)....... FLT 31359WN K 3 August 2029
ST ......... INV 31359WN L 1 August 2029
FT ......... FLT 31359WN M 9 August 2029
SV ......... INV 31359WN N 7 August 2029
SU.......... INV 31359WN P 2 August 2029
L .......... PO 31359WN Q 0 August 2029
SM(4)....... INV 31359WN R 8 May 2029
FM(4)....... FLT 31359WN S 6 May 2029
RL.......... NPR 31359WN T 4 August 2029
</TABLE>
(1) Notional balance. This class is an interest only class.
(2) Based on LIBOR.
(3) Principal only classes.
(4) Exchangeable classes.
- -------------------------------------------------------------------------------
If you own certificates of certain classes, you can exchange them for the
corresponding RCR certificates to be issued at the time of the exchange. The GR
and GM Classes are the RCR classes, as further described in this prospectus
supplement.
- --------------------------------------------------------------------------------
The dealer will offer the certificates from time to time in negotiated
transactions at varying prices. We expect the settlement date to be July 30,
1999.
<PAGE> 108
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
AVAILABLE INFORMATION.................... S- 3
REFERENCE SHEET.......................... S- 4
ADDITIONAL RISK FACTORS.................. S- 8
DESCRIPTION OF THE CERTIFICATES.......... S- 9
GENERAL................................ S- 9
Structure............................ S- 9
Fannie Mae Guaranty.................. S-10
Characteristics of Certificates...... S-10
Authorized Denominations............. S-11
Distribution Dates................... S-11
Record Date.......................... S-11
Class Factors........................ S-11
Optional Termination................. S-11
Voting the Underlying REMIC
Certificate........................ S-11
COMBINATION AND RECOMBINATION.......... S-11
General.............................. S-11
Procedures........................... S-11
Additional Considerations............ S-12
THE TRUST MBS.......................... S-12
THE UNDERLYING REMIC CERTIFICATE....... S-13
FINAL DATA STATEMENT................... S-13
DISTRIBUTIONS OF INTEREST.............. S-14
Categories of Classes................ S-14
General.............................. S-14
Interest Accrual Periods............. S-14
Notional Class....................... S-14
Floating Rate and Inverse Floating
Rate Classes....................... S-15
CALCULATION OF LIBOR................... S-15
DISTRIBUTIONS OF PRINCIPAL............. S-15
Categories of Classes................ S-15
Principal Distribution Amount........ S-16
Group 1 Principal Distribution
Amount............................. S-16
Group 2 Principal Distribution
Amount............................. S-16
</TABLE>
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Group 3 Principal Distribution
Amount............................. S-17
STRUCTURING ASSUMPTIONS................ S-17
Pricing Assumptions.................. S-17
Prepayment Assumptions............... S-17
Structuring Ranges and Rate.......... S-17
Initial Effective Ranges............. S-18
YIELD TABLES........................... S-18
General.............................. S-18
The Inverse Floating Rate Classes.... S-19
The Interest Only Class.............. S-22
The Principal Only Classes........... S-22
WEIGHTED AVERAGE LIVES OF THE
CERTIFICATES......................... S-23
DECREMENT TABLES....................... S-24
CHARACTERISTICS OF THE R AND RL
CLASSES.............................. S-28
CERTAIN ADDITIONAL FEDERAL INCOME TAX
CONSEQUENCES........................... S-28
REMIC ELECTIONS AND SPECIAL TAX
ATTRIBUTES........................... S-28
TAXATION OF BENEFICIAL OWNERS OF
REGULAR CERTIFICATES................. S-29
TAXATION OF BENEFICIAL OWNERS OF
RESIDUAL CERTIFICATES................ S-29
TAXATION OF BENEFICIAL OWNERS OF RCR
CERTIFICATES......................... S-29
General.............................. S-29
Combination RCR Classes.............. S-30
Exchanges............................ S-30
PLAN OF DISTRIBUTION..................... S-30
General.............................. S-30
Increase in Certificates............. S-30
LEGAL MATTERS............................ S-30
EXHIBIT A................................ A- 1
SCHEDULE 1............................... A- 2
PRINCIPAL BALANCE SCHEDULES.............. B- 1
</TABLE>
S-2
<PAGE> 109
AVAILABLE INFORMATION
You should purchase the certificates only if you have read and understood
this prospectus supplement and the following documents (the "Disclosure
Documents"):
- our Prospectus for Guaranteed REMIC Pass-Through Certificates dated
September 18, 1998 (the "REMIC Prospectus");
- our Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
October 1, 1998 (the "MBS Prospectus");
- our Information Statement dated March 31, 1999 and its supplements (the
"Information Statement"); and
- the disclosure document relating to the underlying REMIC certificate (the
"Underlying REMIC Disclosure Document").
You can obtain the Disclosure Documents by writing or calling us at:
Fannie Mae
MBS Helpline
3900 Wisconsin Avenue, N.W., Area 2H-3S
Washington, D.C. 20016
(telephone 1-800-237-8627 or 202-752-6547).
Most of the Disclosure Documents, together with the class factors, are available
on our website located at http://www.fanniemae.com.
You also can obtain the Disclosure Documents, except the Underlying REMIC
Disclosure Document, by writing or calling the dealer at:
Merrill Lynch, Pierce, Fenner & Smith Incorporated
Prospectus Department
44B Colonial Drive
Piscataway, New Jersey 08854
(telephone 732-885-2760).
S-3
<PAGE> 110
REFERENCE SHEET
THIS REFERENCE SHEET IS NOT A SUMMARY OF THE TRANSACTION AND DOES NOT
CONTAIN COMPLETE INFORMATION ABOUT THE CERTIFICATES. YOU SHOULD PURCHASE THE
CERTIFICATES ONLY AFTER READING THIS PROSPECTUS SUPPLEMENT AND EACH OF THE
ADDITIONAL DISCLOSURE DOCUMENTS LISTED ON PAGE S-3.
ASSETS UNDERLYING EACH GROUP OF CLASSES
<TABLE>
<CAPTION>
GROUP ASSETS
- ----- ------
<C> <S>
1 Group 1 MBS
2 Group 2 MBS
3 Class 1999-19-GM REMIC Certificate
</TABLE>
ASSUMED CHARACTERISTICS OF THE MORTGAGE LOANS UNDERLYING THE GROUP 1 AND GROUP 2
MBS (AS OF JULY 1, 1999)
<TABLE>
<CAPTION>
APPROXIMATE
ORIGINAL WEIGHTED AVERAGE
APPROXIMATE TERM TO REMAINING TERM
PRINCIPAL MATURITY TO MATURITY
BALANCE (IN MONTHS) (IN MONTHS)
----------- ----------- ----------------
<S> <C> <C> <C>
Group 1 MBS.............. $300,000,000 360 339
Group 2 MBS.............. $325,000,000 360 344
<CAPTION>
APPROXIMATE APPROXIMATE
CALCULATED WEIGHTED
LOAN AGE AVERAGE
(IN MONTHS) COUPON
----------- -----------
<S> <C> <C>
Group 1 MBS.............. 20 7.180%
Group 2 MBS.............. 14 7.089%
</TABLE>
The actual remaining terms to maturity, calculated loan ages and interest
rates of most of the mortgage loans will differ from the weighted averages shown
above, perhaps significantly.
CHARACTERISTICS OF THE UNDERLYING REMIC CERTIFICATE
Exhibit A describes the underlying REMIC certificate, including certain
information about the related mortgage loans. To learn more about the underlying
REMIC certificate, you should obtain the current class factors and disclosure
document for the underlying REMIC certificate from us as described on page S-3.
CLASS FACTORS
The class factors are numbers that, when multiplied by the initial
principal balance of a certificate, can be used to calculate the current
principal balance of that certificate (after taking into account distributions
in the same month). We publish the class factors on or shortly after the 11th
day of each month.
SETTLEMENT DATE
We expect to issue the certificates on July 30, 1999.
DISTRIBUTION DATES
We will make payments on the certificates on the 25th day of each calendar
month, or on the next business day if the 25th day is not a business day.
BOOK-ENTRY AND PHYSICAL CERTIFICATES
We will issue book-entry certificates through the U.S. Federal Reserve
Banks, which will electronically track ownership of the certificates and
payments on them. We will issue physical certificates in registered,
certificated form.
S-4
<PAGE> 111
We will issue the classes of certificates in the following forms:
<TABLE>
<CAPTION>
FED BOOK-ENTRY PHYSICAL
-------------- --------
<S> <C>
All Classes other than the R and RL Classes R and RL Classes
</TABLE>
EXCHANGING CERTIFICATES THROUGH COMBINATION AND RECOMBINATION
If you own certain certificates, you will be able to exchange them for a
proportionate interest in the related RCR certificates as shown on Schedule 1.
We will issue the RCR certificates upon such exchange. You can exchange your
certificates by notifying us and paying an exchange fee. We use the principal
and interest of the certificates exchanged to pay principal and interest on the
related RCR certificates. Schedule 1 lists all of the available combinations of
the certificates eligible for exchange and the related RCR certificates.
INTEREST RATES
During each interest accrual period, the fixed rate classes will bear
interest at the applicable annual interest rates listed on the cover.
During the initial interest accrual period, the floating rate and inverse
floating rate classes will bear interest at the initial interest rates listed
below. During subsequent interest accrual periods, the floating rate and inverse
floating rate classes will bear interest based on the formulas indicated below,
but always subject to the specified maximum and minimum interest rates:
<TABLE>
<CAPTION>
INITIAL MAXIMUM MINIMUM
INTEREST INTEREST INTEREST
CLASS RATE RATE RATE
----- -------- -------- --------
<S> <C> <C> <C>
SG .................. 9.61187% 26.16250% 0.00%
FG .................. 5.54250% 8.50000% 0.45%
SF .................. 12.00000% 12.00000% 0.00%
SE .................. 20.00000% 69.99997% 0.00%
FE .................. 6.10000% 8.50000% 1.10%
SK .................. 12.00000% 12.00000% 0.00%
SJ .................. 19.07499% 69.99997% 0.00%
FJ .................. 6.19250% 8.50000% 1.10%
SR .................. 9.61187% 26.16249% 0.00%
FR .................. 5.54250% 8.50000% 0.45%
ST .................. 17.30625% 55.49999% 0.00%
FT .................. 6.19250% 8.50000% 1.10%
SV .................. 12.00000% 12.00000% 0.00%
SU .................. 19.07500% 69.99998% 0.00%
SM .................. 7.18250% 29.25000% 0.00%
FM................... 6.34250% 8.00000% 1.25%
<CAPTION>
FORMULA FOR
CALCULATION OF
CLASS INTEREST RATE(1)
----- ----------------
<S> <C>
SG .................. 26.16250% - (3.25 X LIBOR)
FG .................. LIBOR + 45 basis points
SF .................. 221.99991% - (29.99998821 X LIBOR)
SE .................. 69.99997% - (9.99999629 X LIBOR)
FE .................. LIBOR + 110 basis points
SK .................. 221.99983% - (29.99997616 X LIBOR)
SJ .................. 69.99997% - (9.99999600 X LIBOR)
FJ .................. LIBOR + 110 basis points
SR .................. 26.16249% - (3.24999983 X LIBOR)
FR .................. LIBOR + 45 basis points
ST .................. 55.49999% - (7.49999882 X LIBOR)
FT .................. LIBOR + 110 basis points
SV .................. 221.99982% - (29.99997481 X LIBOR)
SU .................. 69.99998% - (9.99999785 X LIBOR)
SM .................. 29.25000% - (4.33333333 X LIBOR)
FM................... LIBOR + 125 basis points
</TABLE>
-----------------------
(1) We will establish LIBOR on the basis of the "BBA Method."
We will apply interest payments from exchanged REMIC certificates to the
corresponding RCR certificates, on a pro rata basis, following any exchange.
NOTIONAL CLASS
The notional class will not receive any principal. Its notional principal
balance is the balance used to calculate accrued interest. The notional
principal balance will equal the percentage of the outstanding balance specified
below immediately before the related distribution date:
<TABLE>
<CAPTION>
CLASS
-----
<S> <C> <C>
JH.................................................. 7.6923076923% of the QH Class
</TABLE>
S-5
<PAGE> 112
DISTRIBUTIONS OF PRINCIPAL
Group 1 Principal Distribution Amount
1. To the PB, PC, PD, PE, PF, PG and QH Classes, in that order, to their
Planned Balances.
2. To the FG and SG Classes, pro rata, to their Targeted Balances.
3. To the K, SF, SE, FE, SK, SJ, FJ and HB Classes, pro rata, to zero.
4. To the FG and SG Classes, pro rata, to zero.
5. To the PB, PC, PD, PE, PF, PG and QH Classes, in that order, to zero.
Group 2 Principal Distribution Amount
1. To the TB, TC, TI and R Classes, in that order, to their Planned
Balances.
2. To the FR and SR Classes, pro rata, to their Scheduled Balances.
3. To the FT, ST, SU, SV and L Classes, pro rata, to zero.
4. To the FR and SR Classes, pro rata, to zero.
5. To the TB, TC, TI and R Classes, in that order, to zero.
Group 3 Principal Distribution Amount
To the FM and SM Classes, pro rata, to zero.
We will apply principal payments from exchanged REMIC certificates to the
corresponding RCR certificates, on a pro rata basis, following any exchange.
S-6
<PAGE> 113
WEIGHTED AVERAGE LIVES (YEARS)*
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------------
GROUP 1 CLASSES 0% 100% 140% 160% 250% 500%
--------------- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
PB ........................... 4.7 2.5 2.5 2.5 2.5 1.8
PC ........................... 9.6 3.5 3.5 3.5 3.5 2.1
PD............................ 12.9 4.5 4.5 4.5 4.5 2.5
PE ........................... 16.2 6.0 6.0 6.0 6.0 3.1
PF ........................... 19.2 8.0 8.0 8.0 8.0 3.9
PG............................ 21.7 11.0 11.0 11.0 11.0 5.5
QH and JH..................... 23.9 18.0 18.0 18.0 18.0 9.6
SG and FG..................... 25.4 8.7 4.0 2.5 2.1 1.0
K, SF, SE, FE, SK, SJ, FJ and
HB.......................... 29.3 23.9 20.7 18.4 1.6 0.4
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
GROUP 2 CLASSES 0% 100% 130% 140% 170% 250% 500%
--------------- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
TB............................ 4.8 2.5 2.5 2.5 2.5 2.5 2.0
TC............................ 9.7 3.5 3.5 3.5 3.5 3.5 2.3
TI ........................... 19.5 9.8 9.8 9.8 9.8 9.8 5.1
R ............................ 27.5 27.5 27.5 27.5 27.5 27.5 19.6
SR, FR and GR................. 24.8 7.3 3.5 3.5 3.5 2.5 1.2
ST, FT, SV, SU and L.......... 29.0 22.8 19.9 17.7 11.7 1.8 0.6
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 3 CLASSES 0% 100% 144% 300% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
SM, FM and GM................. 28.2 20.7 19.3 4.0 2.0
</TABLE>
-------------------------
* Determined as specified under "Description of the
Certificates--Weighted Average Lives of the Certificates" herein.
S-7
<PAGE> 114
ADDITIONAL RISK FACTORS
The rate of principal payments on the certificates will be affected by the
rate of principal payments on the underlying mortgage loans. The rate that you
receive principal payments on the certificates will be sensitive to the rate of
principal payments on the mortgage loans underlying the related MBS, including
prepayments. Because borrowers generally may prepay their mortgage loans at any
time without penalty, the rate of principal payments on the mortgage loans is
likely to vary over time. It is highly unlikely that the mortgage loans will
prepay
- at any of the prepayment rates we assumed in this prospectus supplement,
or
- at any constant prepayment rate until maturity.
Payments on certain classes will also be affected by the payment priority
governing the underlying REMIC certificate. If you invest in any Group 3
Classes, the rate of principal payments on your certificates will also be
affected by the priority sequence governing principal payments on the underlying
REMIC certificate.
As described in the related disclosure document, the underlying REMIC
certificate is subsequent in payment priority to certain other classes issued
from the related underlying REMIC trust. As a result, such other classes may
receive principal before principal is paid on the underlying REMIC certificate,
possibly for long periods.
In addition, the underlying REMIC certificate is part of a group that has a
principal balance schedule and, as a result, may receive principal payments at
rates faster or slower than would otherwise have been the case. In some cases,
that group may receive no principal payments for extended periods. Prepayments
on the related mortgage loans may have occurred at a rate faster or slower than
the rate initially assumed. This prospectus supplement contains no information
as to whether
- such group has adhered to its principal balance schedule,
- any related support classes remain outstanding, or
- such group otherwise has performed as originally anticipated.
You may obtain additional information about the underlying REMIC
certificate by reviewing our current class factors in light of other information
available in the related disclosure document. You may obtain this document from
us as described on page S-3.
Yields may be lower than expected due to unexpected rate of principal
payments. The actual yield on your certificates probably will be lower than you
expect:
- if you bought your certificates at a premium and principal payments are
faster than you expected, or
- if you bought your certificates at a discount and principal payments are
slower than you expected.
Furthermore, in the case of interest only certificates and certificates
purchased at a premium, you could lose money on your investment if prepayments
occur at a rapid rate.
YOU MUST MAKE YOUR OWN DECISIONS ABOUT THE VARIOUS APPLICABLE ASSUMPTIONS,
INCLUDING PREPAYMENT ASSUMPTIONS, WHEN DECIDING WHETHER TO PURCHASE THE
CERTIFICATES.
Weighted average lives and yields on the certificates are affected by
actual characteristics of the underlying mortgage loans. We have assumed that
the mortgage loans underlying the MBS have certain characteristics. However, the
actual mortgage loans probably will have different characteristics from those we
assumed. As a result, your yields could be lower than you expect, even if the
mortgage loans prepay at the indicated constant prepayment rates. In addition,
slight differences between the assumed mortgage loan characteristics and the
actual mortgage loans could affect the weighted average lives of the classes of
certificates.
Level of floating rate index affects yields on certain certificates. The
yield on any floating rate or inverse floating rate certificate will be affected
by the level of its interest rate index. If the level of the index differs from
the level you
S-8
<PAGE> 115
expect, then your actual yield may be lower than you expect.
Delay classes have lower yields and market values. Since certain classes do
not receive interest immediately following each interest accrual period, these
classes have lower yields and lower market values than they would if there were
no such delay.
Reinvestment of certificate payments may not achieve same yields as
certificates. The rate of principal payments of the certificates is uncertain.
You may be unable to reinvest the payments on the certificates at the same
yields provided by the certificates.
Unpredictable timing of last payment affects yields on certificates. The
actual final payment of your class is likely to occur earlier, and could occur
much earlier, than the final distribution date listed on the cover page. If you
assumed the actual final payment will occur on the final distribution date
specified, your yield could be lower than you expect.
Some investors may be unable to buy certain classes. Investors whose
investment activities are subject to legal investment laws and regulations, or
to review by regulatory authorities, may be unable to buy certain certificates.
You should get legal advice to determine whether you may purchase the
certificates.
Uncertain market for the certificates could make them difficult to sell and
cause their values to fluctuate. We cannot be sure that a market for resale of
the certificates will develop. Further, if a market develops, it may not
continue or be sufficiently liquid to allow you to sell your certificates. Even
if you are able to sell your certificates, the sale price may not be comparable
to similar investments that have a developed market. Moreover, you may not be
able to sell small or large amounts of certificates at prices comparable to
those available to other investors. You should purchase certificates only if you
understand and can tolerate the risk that the value of your certificates will
vary over time and that your certificates may not be easily sold.
DESCRIPTION OF THE CERTIFICATES
The material under this heading summarizes certain features of the
Certificates. You will find additional information about the Certificates in the
other sections of this Prospectus Supplement, as well as in the additional
Disclosure Documents and the Trust Agreement. If we use a capitalized term in
this Prospectus Supplement without defining it, you will find the definition of
that term in the applicable Disclosure Document or in the Trust Agreement.
GENERAL
Structure. We will create the Fannie Mae REMIC Trust specified on the
cover (the "Trust") and a separate trust (the "Lower Tier REMIC") pursuant to a
trust agreement dated as of July 1, 1999. We will issue the Guaranteed REMIC
Pass-Through Certificates (the "REMIC Certificates") pursuant to that trust
agreement. We will issue the Combinable and Recombinable REMIC Certificates (the
"RCR Certificates" and, together with the REMIC Certificates, the
"Certificates") pursuant to a separate trust agreement dated as of July 1, 1999
(together with the trust agreement relating to the REMIC Certificates, the
"Trust Agreement"). We will execute the Trust Agreement in our corporate
capacity and as trustee (the "Trustee"). In general, the term "Classes" includes
the Classes of REMIC Certificates and RCR Certificates.
The Trust and the Lower Tier REMIC each will constitute a "real estate
mortgage investment conduit" ("REMIC") under the Internal Revenue Code of 1986,
as amended (the "Code").
- The REMIC Certificates (except the R and RL Classes) will be "regular
interests" in the Trust.
- The R Class will be the "residual interest" in the Trust.
- The interests in the Lower Tier REMIC other than the RL Class (the "Lower
Tier Regular Interests") will be the "regular interests" in the Lower
Tier REMIC.
S-9
<PAGE> 116
- The RL Class will be the "residual interest" in the Lower Tier REMIC.
The assets of the Trust will consist of the Lower Tier Regular Interests.
The assets of the Lower Tier REMIC will consist of
- two groups of Fannie Mae Guaranteed Mortgage Pass-Through Certificates
(the "Group 1 MBS" and "Group 2 MBS" and, together, the "Trust MBS"), and
- a previously issued REMIC certificate (the "Underlying REMIC
Certificate") evidencing a beneficial ownership interest in the related
Fannie Mae REMIC trust (the "Underlying REMIC Trust") as further
described in Exhibit A.
The assets of the Underlying REMIC Trust evidence direct or indirect
beneficial ownership interests in certain Fannie Mae Guaranteed Mortgage
Pass-Through Certificates (together with the Trust MBS, the "MBS").
Each MBS represents a beneficial ownership interest in a pool (each, a
"Pool") of first lien, single-family, fixed-rate residential mortgage loans (the
"Mortgage Loans") having the characteristics described herein.
Fannie Mae Guaranty. We guarantee that we will distribute to
Certificateholders:
- required installments of principal and interest on the Certificates on
time, and
- the principal balance of each Class of Certificates no later than its
Final Distribution Date, whether or not we have received sufficient
payments on the MBS.
In addition, we guarantee that we will distribute to each holder of an MBS:
- scheduled installments of principal and interest on the underlying
Mortgage Loans on time, whether or not the related borrowers pay us, and
- the full principal balance of any foreclosed Mortgage Loan, whether or
not we recover it.
Our guaranty obligations with respect to the Underlying REMIC Certificate are
described in the Underlying REMIC Disclosure Document. Our guarantees are not
backed by the full faith and credit of the United States. See "Description of
Certificates-- The Fannie Mae Guaranty" in the REMIC Prospectus, "Description of
Certificates-- The Fannie Mae Guaranty" in the MBS Prospectus, and "Description
of the Certificates-- General-- Fannie Mae Guaranty" in the Underlying REMIC
Disclosure Document.
Characteristics of Certificates. We will issue the Certificates (except
the R and RL Classes) in book-entry form on the book-entry system of the U.S.
Federal Reserve Banks. Entities whose names appear on the book-entry records of
a Federal Reserve Bank as having had Certificates deposited in their accounts
are "Holders" or "Certificateholders." A Holder is not necessarily the
beneficial owner of a Certificate. Beneficial owners ordinarily will hold
Certificates through one or more financial intermediaries, such as banks,
brokerage firms and securities clearing organizations. See "Description of
Certificates-- Denominations and Form" in the REMIC Prospectus.
We will issue the R and RL Certificates in fully registered, certificated
form. The "Holder" or "Certificateholder" of the R or RL Certificate is its
registered owner. The R or RL Certificate can be transferred or exchanged at the
corporate trust office of the Transfer Agent, or at the office of the Transfer
Agent in New York, New York. State Street Bank and Trust Company in Boston,
Massachusetts ("State Street") will be the initial Transfer Agent. We may impose
a service charge for any registration of transfer or exchange of the R or RL
Certificate and may require payment to cover any tax or other governmental
charge. See also "Characteristics of the R and RL Classes".
The Holder of the R Class will receive the proceeds of any remaining assets
of the Trust, and the Holder of the RL Class will receive the proceeds of any
remaining assets of the Lower Tier REMIC, in
S-10
<PAGE> 117
each case only by presenting and surrendering the related Certificate at the
office of the Paying Agent. State Street will be the initial Paying Agent.
Authorized Denominations. We will issue the Certificates, other than the
RL Certificate, in minimum denominations of $1,000 and whole dollar increments.
We will issue the RL Class as a single Certificate with no principal balance.
Distribution Dates. We will make monthly payments on the Certificates on
the 25th day of each month (or, if the 25th day is not a business day, on the
first business day after the 25th). We refer to each such date as a
"Distribution Date." We will make the first payments to Certificateholders the
month after we issue the Certificates.
Record Date. On each Distribution Date, we will make each monthly payment
on the Certificates to Holders of record on the last day of the preceding month.
Class Factors. On or shortly after the eleventh calendar day of each
month, we will publish a factor (carried to eight decimal places) for each Class
of Certificates. When the factor is multiplied by the original principal balance
(or notional principal balance) of a Certificate of that Class, the product will
equal the current principal balance (or notional principal balance) of that
Certificate after taking into account payments on the Distribution Date in the
same month.
Optional Termination. We will not terminate the Lower Tier REMIC or the
Trust by exercising our right to repurchase the Mortgage Loans underlying any
MBS unless
- only one Mortgage Loan remains in the related Pool, or
- the principal balance of the Pool is less than one percent of its
original level.
See "Description of Certificates--Termination" in the MBS Prospectus.
Voting the Underlying REMIC Certificate. Holders of certificates of the
Underlying REMIC Trust may be asked to vote on issues arising under the
applicable trust agreement. If so, the Trustee will vote the related Underlying
REMIC Certificate as instructed by Holders of Certificate of the Classes backed
by the Underlying REMIC Certificate. The Trustee must receive instructions from
Holders of Certificates having principal balances totaling at least 51% of the
aggregate principal balance of all such Classes outstanding. In the absence of
such instructions, the Trustee will vote in a manner consistent, in its sole
judgment, with the best interests of Certificateholders.
COMBINATION AND RECOMBINATION
General. You are permitted to exchange all or a portion of the FR, SR, FM
and SM Classes of REMIC Certificates for a proportionate interest in the related
Combinable and Recombinable REMIC Certificates ("RCR Certificates") in the
combinations shown on Schedule 1. You also may exchange all or a portion of the
RCR Certificates for the related REMIC Certificates in the same manner. This
process may occur repeatedly.
Holders of RCR Certificates will be the beneficial owners of a
proportionate interest in the related REMIC Certificates and will receive a
proportionate share of the distributions on the related REMIC Certificates.
The Classes of REMIC Certificates and RCR Certificates that are outstanding
at any given time, and the outstanding principal balances (or notional principal
balances) of these Classes, will depend upon any related distributions of
principal, as well as any exchanges that occur. The principal balances and/or
notional principal balances of the REMIC Certificates and RCR Certificates
involved in any exchange will bear the same relationship as that borne by the
original principal balances and/or original notional principal balances of the
related Classes.
Procedures. If a Certificateholder wishes to exchange Certificates, the
Certificateholder must notify our Structured Transactions Department through one
of our "REMIC Dealer Group" dealers in
S-11
<PAGE> 118
writing or by telefax no later than two business days before the proposed
exchange date. The exchange date can be any business day other than the first or
last business day of the month subject to our approval. The notice must include
the outstanding principal balance of both the Certificates to be exchanged and
the Certificates to be received, and the proposed exchange date. After receiving
the Holder's notice, we will telephone the dealer with delivery and wire payment
instructions. Notice becomes irrevocable on the second business day before the
proposed exchange date.
In connection with each exchange, the Holder must pay us a fee equal to
1/32 of 1% of the outstanding principal balance (exclusive of any notional
principal balance) of the Certificates to be exchanged. In no event, however,
will our fee be less than $2,000.
We will make the first distribution on a REMIC Certificate or an RCR
Certificate received in an exchange transaction on the Distribution Date in the
following month. We will make such distribution to the Holder of record as of
the close of business on the last day of the month of the exchange.
Additional Considerations. The characteristics of RCR Certificates will
reflect the characteristics of the REMIC Certificates used to form such RCR
Certificates. You should also consider a number of factors that will limit a
Certificateholder's ability to exchange REMIC Certificates for RCR Certificates
or vice versa:
- At the time of the proposed exchange, a Certificateholder must own
Certificates of the related Class or Classes in the proportions necessary
to make the desired exchange.
- A Certificateholder that does not own the Certificates may be unable to
obtain the necessary REMIC Certificates or RCR Certificates.
- The Certificateholder of needed Certificates may refuse to sell them at a
reasonable price (or any price) or may be unable to sell them.
- Certain Certificates may have been purchased and placed into other
financial structures and thus be unavailable.
- Principal distributions will decrease the amounts available for exchange
over time.
- Only the combinations listed on Schedule 1 are permitted.
THE TRUST MBS
The following table contains certain information about the Trust MBS. The
Trust MBS included in each specified Group will have the aggregate unpaid
principal balance and Pass-Through Rate shown below and the general
characteristics described in the MBS Prospectus. The Trust MBS will provide that
principal and interest on the related Mortgage Loans will be passed through
monthly. The Mortgage Loans underlying the Trust MBS will be conventional Level
Payment Mortgage Loans secured by first mortgages or deeds of trust on one- to
four-family ("single-family") residential properties. These Mortgage Loans will
have original maturities of up to 30 years. See "The Mortgage Pools" and "Yield
Considerations" in the MBS Prospectus. We expect the characteristics of the
Group 1 MBS and Group 2 MBS and the related Mortgage Loans as of July 1, 1999
(the "Issue Date") to be as follows:
<TABLE>
<S> <C>
GROUP 1 MBS
Aggregate Unpaid Principal Balance...................... $300,000,000
MBS Pass-Through Rate................................... 6.50%
</TABLE>
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<TABLE>
<S> <C>
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.75% to 9.00%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 339 months
Approximate Weighted Average CAGE....................... 20 months
GROUP 2 MBS
Aggregate Unpaid Principal Balance...................... $325,000,000
MBS Pass-Through Rate................................... 6.50%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.75% to 9.00%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 344 months
Approximate Weighted Average CAGE....................... 14 months
</TABLE>
THE UNDERLYING REMIC CERTIFICATE
The Underlying REMIC Certificate represents a beneficial ownership interest
in the Underlying REMIC Trust. The assets of this trust evidence direct or
indirect beneficial ownership interests in certain MBS having the general
characteristics set forth in the MBS Prospectus. Each MBS evidences beneficial
ownership interests in a Pool of conventional Level Payment Mortgage Loans
secured by first mortgages or deeds of trust on single-family residential
properties, as described under "The Mortgage Pools" and "Yield Considerations"
in the MBS Prospectus. Distributions on the Underlying REMIC Certificate will be
passed through monthly. The general characteristics of the Underlying REMIC
Certificate are described in the Underlying REMIC Disclosure Document.
See Exhibit A for additional information about the Underlying REMIC
Certificate.
For further information about the Underlying REMIC Certificate, telephone
us at 1-800-237-8627 or 202-752-6547. You also may obtain certain information in
electronic form by calling us at 1-800-752-6440 or 202-752-6000. There may have
been material changes in facts and circumstances since the date we prepared the
Underlying REMIC Disclosure Document. These may include changes in prepayment
speeds, prevailing interest rates and other economic factors. As a result, the
usefulness of the information set forth in that document may be limited.
FINAL DATA STATEMENT
After issuing the Certificates, we will prepare a Final Data Statement
containing certain information, including the principal balance of the
Underlying REMIC Certificate as of the Issue Date and with respect to the Trust
MBS, the Pool number, the current WAC (or original WAC, if the current WAC is
not available) and the current WAM (or Adjusted WAM, if the current WAM is not
available) of the Mortgage Loans underlying the Trust MBS. The Final Data
Statement will also include the weighted averages of all the current or original
WACs and the weighted averages of all the current or Adjusted WAMs, based on the
current unpaid principal balances of the Mortgage Loans underlying each of the
Trust MBS as of the Issue Date. You may obtain the Final Data Statement by
telephoning us at 1-800-237-8627 or 202-752-6547. The contents of the Final Data
Statement and other data specific to the Certificates are available in
electronic form by calling us at 1-800-752-6440 or 202-752-6000.
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<PAGE> 120
DISTRIBUTIONS OF INTEREST
Categories of Classes
For the purpose of interest payments, the Classes will be categorized as
follows:
<TABLE>
<CAPTION>
INTEREST TYPE* CLASSES
-------------- -------
<S> <C>
GROUP 1 CLASSES
Fixed Rate PB, PC, PD, PE, PF, PG, QH, JH and HB
Floating Rate FG, FE and FJ
Inverse Floating Rate SG, SF, SE, SK and SJ
Interest Only JH
Principal Only K
GROUP 2 CLASSES
Fixed Rate TB, TC, TI and R
Floating Rate FR and FT
Inverse Floating Rate SR, ST, SV and SU
Principal Only L
RCR** GR
GROUP 3 CLASSES
Floating Rate FM
Inverse Floating Rate SM
RCR** GM
NO PAYMENT RESIDUAL RL
</TABLE>
-------------------------
* See "Description of Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
** See "Description of the Certificates--Combination and
Recombination" herein and Schedule 1 for a further description of
the RCR Classes.
General. We will pay interest on the interest-bearing Certificates at the
applicable annual interest rates shown on the cover or described in this
prospectus supplement. We calculate interest based on a 360-day year consisting
of twelve 30-day months. We pay interest monthly on each Distribution Date,
beginning in the month after the Settlement Date specified in the Reference
Sheet.
Interest to be paid on each Certificate on a Distribution Date will consist
of one month's interest on the outstanding balance of that Certificate
immediately prior to such Distribution Date.
Interest payments on exchangeable REMIC Certificates will be applied to the
corresponding RCR Certificates, on a pro rata basis, following any exchange.
Interest Accrual Periods. Interest to be paid on each Distribution Date
will accrue on the interest-bearing Certificates during the applicable one-month
periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
CLASSES INTEREST ACCRUAL PERIODS
------- ------------------------
<S> <C>
All interest-bearing Classes other than the Calendar month preceding the month in
FG, SG, FR and SR Classes (collectively, which the Distribution Date occurs
the "Delay Classes")
The FG, SG, FR and SR Classes One-month period beginning on the
25th day of the month preceding the
month in which the Distribution
Date occurs
</TABLE>
See "Additional Risk Factors" in this Prospectus Supplement.
We will treat the K and L Classes as Delay Classes for the sole purpose of
facilitating trading.
Notional Class. The Notional Class will not have a principal balance.
During each Interest Accrual Period, the Notional Class will bear interest on
its notional principal balance at its applicable
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<PAGE> 121
interest rate. The notional principal balance of the Notional Class will be
calculated as indicated under "Reference Sheet--Notional Class."
We use the notional principal balance of a Notional Class to determine
interest payments on that Class. Although a Notional Class will not have a
principal balance and will not be entitled to any principal payments, we will
publish a class factor for that Class. References in this prospectus supplement
to the principal balances of the Certificates generally shall refer also to the
notional principal balance of the Notional Class.
Floating Rate and Inverse Floating Rate Classes. During each Interest
Accrual Period, the Floating Rate and Inverse Floating Rate Classes will bear
interest at rates determined as described under "Reference Sheet--Interest
Rates."
Changes in the specified interest rate index (the "Index") will affect the
yields with respect to the related Classes. These changes may not correspond to
changes in mortgage interest rates. Lower mortgage interest rates could occur
while an increase in the level of the Index occurs. Similarly, higher mortgage
interest rates could occur while a decrease in the level of the Index occurs.
Our establishment of each Index value and our determination of the interest
rate for each applicable Class for the related Interest Accrual Period will be
final and binding in the absence of manifest error. You may obtain each such
interest rate by telephoning us at 1-800-237-8627 or 202-752-6547.
CALCULATION OF LIBOR
On each Index Determination Date, we will calculate LIBOR for the related
Interest Accrual Period. We will calculate LIBOR on the basis of the "BBA
Method," as described in the REMIC Prospectus under "Description of
Certificates--Indexes for Floating Rate Classes and Inverse Floating Rate
Classes--LIBOR."
If we are unable to calculate LIBOR on the initial Index Determination
Date, LIBOR for the following Interest Accrual Period will be equal to 5.0% in
the case of the FE and SE Classes and 5.0925% in the case of all other Floating
Rate and Inverse Floating Rate Classes.
DISTRIBUTIONS OF PRINCIPAL
Categories of Classes
For the purpose of principal payments, the Classes fall into the following
categories:
<TABLE>
<CAPTION>
PRINCIPAL TYPE* CLASSES
--------------- -------
<S> <C>
GROUP 1 CLASSES
PAC PB, PC, PD, PE, PF, PG and QH
TAC FG and SG
Support K, SF, SE, FE, SK, SJ, FJ and HB
Notional JH
GROUP 2 CLASSES
PAC TB, TC, TI and R
Scheduled FR and SR
Support FT, ST, SV, SU and L
RCR** GR
GROUP 3 CLASSES
Structured Collateral/Pass-Through FM and SM
RCR** GM
NO PAYMENT RESIDUAL RL
</TABLE>
-------------------------
* See "Description of Certificates--Class Definitions and
Abbreviations" in the REMIC Prospectus.
** See "Description of the Certificates--Combination and
Recombination" herein and Schedule 1 for a further description of
the RCR Classes.
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<PAGE> 122
Principal Distribution Amount
On the Distribution Date in each month, we will pay principal on the
Certificates in an aggregate amount (the "Principal Distribution Amount") equal
to the sum of
- the principal then paid on the Group 1 MBS (the "Group 1 Principal
Distribution Amount"),
- the principal then paid on the Group 2 MBS (the "Group 2 Principal
Distribution Amount"), and
- the principal then paid on the Underlying REMIC Certificate (the "Group 3
Principal Distribution Amount").
The portion of the class of Underlying REMIC Certificate held by the Lower
Tier REMIC will be set forth in Exhibit A.
Group 1 Principal Distribution Amount
On each Distribution Date, we will pay the Group 1 Principal Distribution
Amount as principal of the Group 1 Classes in the following order of priority:
<TABLE>
<S> <C>
(i) sequentially, to the PB, PC, PD, PE, PF, PG and QH ) PAC
Classes, in that order, until their principal balances are ) CLASSES
reduced to their Planned Balances for such Distribution Date; )
(ii) concurrently, to the FG and SG Classes, pro rata (or )
76.4705882353% and 23.5294117647%, respectively), until their ) TAC
principal balances are reduced to their Targeted Balances for ) CLASSES
such Distribution Date; )
(iii) concurrently, to the K, SF, SE, FE, SK, SJ, FJ and HB )
Classes, pro rata (or 13.3333341657%, 1.1017225965%, ) SUPPORT
3.3051727841%, 33.0517128573%, 0.8813785767%, 2.6441382273%, ) CLASSES
26.4413697864% and 19.2411710060%, respectively), until their )
principal balances are reduced to zero; )
(iv) concurrently, to the FG and SG Classes, pro rata, ) TAC
without regard to their Targeted Balances and until their ) CLASSES
principal balances are reduced to zero; and )
(v) sequentially, to the PB, PC, PD, PE, PF, PG and QH )
Classes, in that order, without regard to their Planned Balances ) PAC
and until their principal balances are reduced to zero. ) CLASSES
Group 2 Principal Distribution Amount
On each Distribution Date, we will pay the Group 2 Principal Distribution
Amount as principal of the Group 2 Classes in the following priority:
(i) sequentially, to the TB, TC, TI and R Classes, in that ) PAC
order, until their principal balances are reduced to their ) CLASSES
Planned Balances for such Distribution Date; )
(ii) concurrently, to the FR and SR Classes, pro rata (or )
76.4705873305% and 23.5294126695%, respectively), until their ) SCHEDULE
principal balances are reduced to their Scheduled Balances for ) CLASSES
such Distribution Date; )
(iii) concurrently, to the FT, ST, SU, SV and L Classes, pro )
rata (or 76.4706867041%, 5.0980264960%, 3.8235502533%, ) SUPPORT
1.2745173216%, and 13.3332192250%, respectively), until their ) CLASSES
principal balances are reduced to zero; )
(iv) concurrently, to the FR and SR Classes, pro rata, ) SCHEDULE
without regard to their Scheduled Balances and until their ) CLASSES
principal balances are reduced to zero; and )
(v) sequentially, to the TB, TC, TI and R Classes, in that ) PAC
order, without regard to their Planned Balances and until their ) CLASSES
principal balances are reduced to zero. )
</TABLE>
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<PAGE> 123
Group 3 Principal Distribution Amount
<TABLE>
<S> <C>
On each Distribution Date, we will pay the Group 3 Principal ) STRUCTURED
Distribution Amount, concurrently, as principal of the FM and SM ) COLLATERAL/
Classes, pro rata (or 81.25% and 18.75%, respectively), until their ) PASS-THROUGH
principal balances are reduced to zero. ) CLASSES
</TABLE>
Principal payments on exchangeable REMIC Certificates will be applied to
the corresponding RCR Certificates, on a pro rata basis, following any exchange.
STRUCTURING ASSUMPTIONS
Pricing Assumptions. Except where otherwise noted, the information in the
tables in this prospectus supplement has been prepared based on the actual
characteristics of each Pool of Mortgage Loans underlying the Underlying REMIC
Certificate, the priority sequence affecting the principal payments on the
Underlying REMIC Certificate and the following assumptions (such characteristics
and assumptions, collectively, the "Pricing Assumptions"):
- the Mortgage Loans underlying the Group 1 and Group 2 MBS have the
original terms to maturity, remaining terms to maturity, CAGEs and
interest rates specified under "Reference Sheet--Assumed Characteristics
of the Mortgage Loans underlying the Group 1 and Group 2 MBS";
- the Mortgage Loans prepay at the constant percentages of PSA specified in
the related table; and
- the settlement date for the sale of the Certificates is July 30, 1999.
Prepayment Assumptions. Prepayments of mortgage loans commonly are
measured relative to a prepayment standard or model. The model used here is The
Bond Market Association's standard prepayment model ("PSA"). To assume a
specified rate of PSA is to assume a specified rate of prepayment each month of
the then-outstanding principal balance of a pool of new mortgage loans computed
as described under "Description of Certificates--Prepayment Models" in the REMIC
Prospectus. It is highly unlikely that prepayments will occur at any constant
PSA rate or at any other constant rate.
Structuring Ranges and Rate. The Principal Balance Schedules are found
beginning on page B-1. The Principal Balance Schedules have been prepared on the
basis of the Pricing Assumptions and the assumption that the related Mortgage
Loans will prepay at a constant PSA rate within the applicable Structuring
Ranges or at the applicable rate set forth below.
<TABLE>
<CAPTION>
PRINCIPAL BALANCE
SCHEDULE REFERENCES RELATED CLASSES STRUCTURING RANGES AND RATE
- ------------------- --------------- ---------------------------
<S> <C> <C>
Planned Balances PB, PC, PD, PE, PF, PG, QH, TB, Between 100% and 250%
TC, TI and R
Targeted Balances FG and SG 160%
Scheduled Balances FR, SR and GR Between 130% and 170%
</TABLE>
WE CANNOT ASSURE YOU THAT THE BALANCE OF ANY CLASS LISTED ABOVE WILL
CONFORM ON ANY DISTRIBUTION DATE TO THE SPECIFIED BALANCE IN THE PRINCIPAL
BALANCE SCHEDULES. AS A RESULT, WE CANNOT ASSURE YOU THAT PAYMENTS OF PRINCIPAL
OF ANY CLASS LISTED ABOVE WILL BEGIN OR END ON THE DISTRIBUTION DATES SPECIFIED
IN THE PRINCIPAL BALANCE SCHEDULES. We will distribute any excess of principal
payments over the amount needed to reduce a Class to its scheduled balance on a
Distribution Date. Accordingly, the ability to reduce a Class to its scheduled
balance will not be improved by the averaging of high and low principal payments
from month to month. In addition, even if the related Mortgage Loans prepay at
rates falling within the applicable Structuring Range, principal distributions
may be insufficient to reduce such Class to its scheduled balance if such
prepayments do not occur at a constant PSA rate. Moreover, because of the
diverse remaining terms to maturity of the related Mortgage Loans, which may
include recently originated Mortgage Loans,
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<PAGE> 124
the Classes specified above may not be reduced to their scheduled balances, even
if prepayments occur at a constant rate within the applicable Structuring Ranges
or at the applicable rate specified above.
Initial Effective Ranges. The Effective Range for a Class is the range of
prepayment rates (measured by constant PSA rates) that would reduce such Class
to its scheduled balance on each Distribution Date. The Initial Effective Ranges
shown in the table below are based upon the assumed characteristics of the
related Mortgage Loans specified in the Pricing Assumptions.
<TABLE>
<CAPTION>
CLASSES INITIAL EFFECTIVE RANGES
- ------- ------------------------
<S> <C>
PB Between 100% and 341%
PC Between 100% and 289%
PD Between 100% and 273%
PE Between 100% and 251%
PF Between 100% and 250%
PG Between 99% and 250%
QH Between 72% and 250%
TB Between 100% and 357%
TC Between 100% and 296%
TI Between 100% and 250%
R Between 0% and 250%
SR Between 130% and 170%
FR Between 130% and 170%
GR Between 130% and 170%
</TABLE>
The actual Effective Ranges at any time will be based upon the actual
characteristics of the related Mortgage Loans at that time, which are likely to
vary (and may vary considerably) from the Pricing Assumptions. The actual
Effective Ranges calculated on the basis of the actual characteristics are
likely to differ from the Initial Effective Ranges. As a result, the applicable
Classes might not be reduced to their scheduled balances even if prepayments
were to occur at a constant PSA rate within the Initial Effective Ranges. This
is so particularly if such rate were at the lower or higher end of such ranges.
In addition, even if prepayments occur at rates falling within the actual
Effective Ranges, principal distributions may be insufficient to reduce the
applicable Classes to their scheduled balances if such prepayments do not occur
at a constant PSA rate. It is highly unlikely that the related Mortgage Loans
will prepay at any constant PSA rate. In general, the actual Effective Ranges
may narrow, widen or shift upward or downward to reflect actual prepayment
experience over time. The stability in principal payment of the PAC and
Scheduled Classes will be supported in part by the related TAC and Support
Classes. When such related TAC and Support Classes are retired, the PAC and
Scheduled Classes, if still outstanding, may no longer have Effective Ranges and
will be more sensitive to prepayments.
YIELD TABLES
General. The tables below illustrate the sensitivity of the pre-tax
corporate bond equivalent yields to maturity of the applicable Classes to
various constant percentages of PSA and, where specified, to changes in the
Index. We calculated the yields set forth in the tables by
- determining the monthly discount rates that, when applied to the assumed
streams of cash flows to be paid on the applicable Classes, would cause
the discounted present values of such assumed streams of cash flows to
equal the assumed aggregate purchase prices of such Classes, and
- converting such monthly rates to corporate bond equivalent rates.
These calculations do not take into account variations in the interest rates at
which you could reinvest distributions on the Certificates. Accordingly, these
calculations do not illustrate the return on any investment in the Certificates
when such reinvestment rates are taken into account.
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<PAGE> 125
We cannot assure you that
- the pre-tax yields on the applicable Certificates will correspond to any
of the pre-tax yields shown here or
- the aggregate purchase prices of the applicable Certificates will be as
assumed.
In addition, it is unlikely that the Index will correspond to the levels
shown here. Furthermore, because some of the Mortgage Loans are likely to have
remaining terms to maturity shorter or longer than those assumed and interest
rates higher or lower than those assumed, the principal payments on the
Certificates are likely to differ from those assumed. This would be the case
even if all Mortgage Loans prepay at the indicated constant percentages of PSA.
Moreover, it is unlikely that
- the Mortgage Loans will prepay at a constant PSA rate until maturity,
- all of such Mortgage Loans will prepay at the same rate or
- the level of the Index will remain constant.
The Inverse Floating Rate Classes. THE YIELDS ON THE INVERSE FLOATING RATE
CLASSES WILL BE SENSITIVE IN VARYING DEGREES TO THE RATE OF PRINCIPAL PAYMENTS,
INCLUDING PREPAYMENTS, OF THE RELATED MORTGAGE LOANS AND TO THE LEVEL OF THE
INDEX. THE MORTGAGE LOANS GENERALLY CAN BE PREPAID AT ANY TIME WITHOUT PENALTY.
IN ADDITION, THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) OF THE
MORTGAGE LOANS IS LIKELY TO VARY, AND MAY VARY CONSIDERABLY, FROM POOL TO POOL.
Changes in the Index may not correspond to changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur while the
level of the Index increased.
The information shown in the yield tables has been prepared on the basis of
the Pricing Assumptions and the assumptions that
- the interest rates for the Inverse Floating Rate Classes for the initial
Interest Accrual Period are the rates listed in the table under
"Reference Sheet--Interest Rates" and for each following Interest Accrual
Period will be based on the specified level of the Index, and
- the aggregate purchase prices of such Classes (expressed in each case as
a percentage of original principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE*
----- ------
<S> <C>
SG ......................................................... 92.1875%
SF ......................................................... 99.5000%
SE ......................................................... 99.5000%
SK ......................................................... 92.7500%
SJ ......................................................... 90.0000%
SR ......................................................... 93.7500%
ST ......................................................... 93.2500%
SV ......................................................... 95.0000%
SU ......................................................... 94.0000%
SM.......................................................... 64.0000%
</TABLE>
-----------------------
* The prices do not include accrued interest. Accrued interest
has been added to such prices in calculating the yields set
forth in the tables below.
S-19
<PAGE> 126
SENSITIVITY OF THE SG CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------------
LIBOR 50% 100% 140% 160% 250% 500%
----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
3.0925%.............................. 18.5% 19.2% 20.5% 21.6% 21.8% 25.7%
5.0925%.............................. 11.1% 11.7% 13.1% 14.3% 14.7% 18.8%
7.0925%.............................. 3.9% 4.4% 5.8% 7.1% 7.6% 12.0%
8.0500%.............................. 0.6% 1.1% 2.4% 3.8% 4.3% 8.8%
</TABLE>
SENSITIVITY OF THE SF CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------------
LIBOR 50% 100% 140% 160% 250% 500%
----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
7.0000% and below.................... 12.3% 12.3% 12.3% 12.3% 12.1% 11.5%
7.0925%.............................. 9.4% 9.4% 9.4% 9.4% 9.3% 9.1%
7.4000%.............................. 0.0% 0.0% 0.0% 0.0% 0.3% 1.3%
</TABLE>
SENSITIVITY OF THE SE CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------------
LIBOR 50% 100% 140% 160% 250% 500%
----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
3.00%................................ 42.5% 42.5% 42.5% 42.5% 41.1% 36.7%
5.00%................................ 20.7% 20.7% 20.7% 20.7% 20.2% 18.5%
7.00% and above...................... 0.0% 0.0% 0.0% 0.0% 0.3% 1.3%
</TABLE>
SENSITIVITY OF THE SK CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------------
LIBOR 50% 100% 140% 160% 250% 500%
----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
7.0000% and below.................... 13.2% 13.2% 13.3% 13.3% 17.4% 30.8%
7.0925%.............................. 10.1% 10.2% 10.2% 10.2% 14.4% 28.1%
7.4000%.............................. 0.3% 0.3% 0.4% 0.4% 4.8% 19.3%
</TABLE>
SENSITIVITY OF THE SJ CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------------
LIBOR 50% 100% 140% 160% 250% 500%
----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
3.0925%.............................. 46.1% 46.1% 46.1% 46.1% 51.0% 68.5%
5.0925%.............................. 21.8% 21.8% 21.9% 21.9% 27.7% 47.0%
7.0000% and above.................... 0.4% 0.4% 0.5% 0.6% 6.8% 27.7%
</TABLE>
S-20
<PAGE> 127
SENSITIVITY OF THE SR CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
LIBOR 50% 100% 130% 140% 170% 250% 500%
----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
3.0925%..................... 18.2% 18.8% 19.8% 19.8% 19.8% 20.3% 22.6%
5.0925%..................... 10.9% 11.5% 12.6% 12.6% 12.6% 13.2% 15.7%
7.0925%..................... 3.8% 4.3% 5.5% 5.5% 5.5% 6.3% 9.0%
8.0500%..................... 0.5% 1.0% 2.2% 2.2% 2.2% 3.0% 5.9%
</TABLE>
SENSITIVITY OF THE ST CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
LIBOR 50% 100% 130% 140% 170% 250% 500%
----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
3.0925%..................... 36.3% 36.3% 36.3% 36.5% 36.9% 38.9% 44.3%
5.0925%..................... 19.1% 19.1% 19.1% 19.2% 19.6% 22.2% 28.6%
7.0925%..................... 2.7% 2.7% 2.8% 2.8% 3.1% 6.3% 13.5%
7.4000%..................... 0.3% 0.3% 0.4% 0.4% 0.6% 4.0% 11.3%
</TABLE>
SENSITIVITY OF THE SV CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
LIBOR 50% 100% 130% 140% 170% 250% 500%
----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
7.0000% and below........... 12.9% 12.9% 12.9% 13.0% 13.2% 15.2% 19.8%
7.0925%..................... 9.9% 9.9% 9.9% 10.0% 10.2% 12.3% 17.1%
7.4000%..................... 0.2% 0.2% 0.3% 0.3% 0.5% 2.9% 8.2%
</TABLE>
SENSITIVITY OF THE SU CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
LIBOR 50% 100% 130% 140% 170% 250% 500%
----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
3.0925%..................... 44.0% 44.0% 44.0% 44.1% 44.4% 45.9% 49.9%
5.0925%..................... 20.9% 20.9% 20.9% 21.0% 21.4% 23.5% 28.9%
7.0000% and above........... 0.2% 0.3% 0.3% 0.4% 0.5% 3.5% 9.9%
</TABLE>
SENSITIVITY OF THE SM CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
LIBOR 50% 100% 144% 300% 500%
----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
3.0925%..................... 25.7% 25.7% 25.8% 33.3% 45.4%
5.0925%..................... 11.8% 12.1% 12.2% 21.0% 33.1%
6.7500%..................... 1.8% 2.2% 2.3% 11.4% 23.3%
</TABLE>
S-21
<PAGE> 128
The Interest Only Class. THE YIELD TO INVESTORS IN THE JH CLASS WILL BE
VERY SENSITIVE TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) OF THE
RELATED MORTGAGE LOANS. THE MORTGAGE LOANS GENERALLY CAN BE PREPAID AT ANY TIME
WITHOUT PENALTY. ON THE BASIS OF THE ASSUMPTIONS DESCRIBED BELOW, THE YIELD TO
MATURITY ON THE JH CLASS WOULD BE 0% IF PREPAYMENTS OF THE RELATED MORTGAGE
LOANS WERE TO OCCUR AT A CONSTANT RATE OF 532% PSA. IF THE ACTUAL PREPAYMENT
RATE OF THE RELATED MORTGAGE LOANS WERE TO EXCEED THE LEVEL SPECIFIED FOR AS
LITTLE AS ONE MONTH WHILE EQUALING SUCH LEVEL FOR THE REMAINING MONTHS, THE
INVESTORS IN THE JH CLASS WOULD LOSE MONEY ON THEIR INITIAL INVESTMENTS.
The information shown in the yield table has been prepared on the basis of
the Pricing Assumptions and the assumption that the aggregate purchase price of
the JH Class (expressed as a percentage of the original principal balance) is as
follows:
<TABLE>
<CAPTION>
CLASS PRICE*
----- ------
<S> <C>
JH.......................................................... 57.5%
</TABLE>
-------------------------------
* The price does not include accrued interest. Accrued interest
has been added to such price in calculating the yields set
forth in the table below.
SENSITIVITY OF THE JH CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------
50% 100% 140% 160% 250% 500%
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity........... 9.2% 9.0% 9.0% 9.0% 9.0% 1.4%
</TABLE>
The Principal Only Classes. The K and L Classes will not bear interest. As
indicated in the tables below, a low rate of principal payments (including
prepayments) on the related Mortgage Loans will have a negative effect on the
yields to investors in the K and L Classes.
The information shown in the following tables has been prepared on the
basis of the Pricing Assumptions and the assumption that the aggregate purchase
prices of the K and L Classes (expressed in each case as a percentage of
original principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE
----- --------
<S> <C>
K........................................................... 54.0%
L .......................................................... 54.0%
</TABLE>
SENSITIVITY OF THE K CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
------------------------------------------
CLASS 50% 100% 140% 160% 250% 500%
----- ---- ---- ---- ---- ----- ------
<S> <C> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity........... 2.4% 2.6% 3.0% 3.4% 48.9% 254.1%
</TABLE>
SENSITIVITY OF THE L CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------------------
CLASS 50% 100% 130% 140% 170% 250% 500%
----- ---- ---- ---- ---- ---- ----- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity........... 2.4% 2.7% 3.2% 3.7% 6.9% 41.9% 137.0%
</TABLE>
S-22
<PAGE> 129
WEIGHTED AVERAGE LIVES OF THE CERTIFICATES
The weighted average life of a Certificate is determined by
(a) multiplying the amount of the reduction, if any, of the principal
balance of such Certificate from one Distribution Date to the next
Distribution Date by the number of years from the Settlement Date to
the second such Distribution Date,
(b) summing the results, and
(c) dividing the sum by the aggregate amount of the reductions in principal
balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average
life of a Certificate, see "Description of Certificates--Weighted Average Life
and Final Distribution Date" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the related Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including
- the timing of changes in such rate of principal payments,
- the priority sequences of distributions of principal of the Group 1 and
Group 2 Classes,
- in the case of the Group 3 Classes, the priority sequence affecting
distributions on the Underlying REMIC Certificate, and
- in the case of certain Group 1 and Group 2 Classes, the payment of
principal of such Classes in accordance with the Principal Balance
Schedules.
See "Distributions of Principal" herein and "Description of the
Certificates--Distributions of Principal" in the Underlying REMIC Disclosure
Document.
The effect of these factors may differ as to various Classes and the
effects on any Class may vary at different times during the life of that Class.
Accordingly, we can give no assurance as to the weighted average life of any
Class. Further, to the extent the prices of the Certificates represent discounts
or premiums to their original principal balances, variability in the weighted
average lives of such Classes of Certificates could result in variability in the
related yields to maturity. For an example of how the weighted average lives of
the Classes may be affected at various constant prepayment rates, see the
Decrement Tables below.
S-23
<PAGE> 130
DECREMENT TABLES
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each date
shown at various constant PSA rates and the corresponding weighted average lives
of such Classes. The tables have been prepared on the basis of the Pricing
Assumptions. However, in the case of the information set forth for each Class
under 0% PSA, we assumed that the underlying Mortgage Loans have the original
and remaining terms to maturity and bear interest at the annual rates specified
in the table below.
<TABLE>
<CAPTION>
ORIGINAL REMAINING
MORTGAGE LOANS RELATING TO TERMS TERMS TO INTEREST
TRUST ASSETS SPECIFIED BELOW TO MATURITY MATURITY RATES
---------------------------- ----------- --------- --------
<S> <C> <C> <C>
Group 1 MBS 360 months 360 months 9.0%
Group 2 MBS 360 months 360 months 9.0%
Group 3 Underlying REMIC Certificate 360 months 357 months 9.0%
</TABLE>
It is unlikely
- that all of the underlying Mortgage Loans will have the interest rates,
CAGEs or remaining terms to maturity assumed or
- that the underlying Mortgage Loans will prepay at any constant PSA level.
In addition, the diverse remaining terms to maturity of the Mortgage Loans
could produce slower or faster principal distributions than indicated in the
tables at the specified constant PSA rates. This is the case even if the
dispersion of weighted average remaining terms to maturity and the weighted
average CAGEs of the Mortgage Loans are identical to the dispersion specified in
the Pricing Assumptions.
S-24
<PAGE> 131
PERCENT OF ORIGINAL PRINCIPAL BALANCES OUTSTANDING
<TABLE>
<CAPTION>
PB CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 0
July 2002........... 84 0 0 0 0 0
July 2003........... 66 0 0 0 0 0
July 2004........... 46 0 0 0 0 0
July 2005........... 23 0 0 0 0 0
July 2006........... 0 0 0 0 0 0
July 2007........... 0 0 0 0 0 0
July 2008........... 0 0 0 0 0 0
July 2009........... 0 0 0 0 0 0
July 2010........... 0 0 0 0 0 0
July 2011........... 0 0 0 0 0 0
July 2012........... 0 0 0 0 0 0
July 2013........... 0 0 0 0 0 0
July 2014........... 0 0 0 0 0 0
July 2015........... 0 0 0 0 0 0
July 2016........... 0 0 0 0 0 0
July 2017........... 0 0 0 0 0 0
July 2018........... 0 0 0 0 0 0
July 2019........... 0 0 0 0 0 0
July 2020........... 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 4.7 2.5 2.5 2.5 2.5 1.8
<CAPTION>
PC CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 78
July 2002........... 100 87 87 87 87 0
July 2003........... 100 7 7 7 7 0
July 2004........... 100 0 0 0 0 0
July 2005........... 100 0 0 0 0 0
July 2006........... 99 0 0 0 0 0
July 2007........... 82 0 0 0 0 0
July 2008........... 63 0 0 0 0 0
July 2009........... 43 0 0 0 0 0
July 2010........... 20 0 0 0 0 0
July 2011........... 0 0 0 0 0 0
July 2012........... 0 0 0 0 0 0
July 2013........... 0 0 0 0 0 0
July 2014........... 0 0 0 0 0 0
July 2015........... 0 0 0 0 0 0
July 2016........... 0 0 0 0 0 0
July 2017........... 0 0 0 0 0 0
July 2018........... 0 0 0 0 0 0
July 2019........... 0 0 0 0 0 0
July 2020........... 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 9.6 3.5 3.5 3.5 3.5 2.1
<CAPTION>
PD CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100
July 2002........... 100 100 100 100 100 0
July 2003........... 100 100 100 100 100 0
July 2004........... 100 0 0 0 0 0
July 2005........... 100 0 0 0 0 0
July 2006........... 100 0 0 0 0 0
July 2007........... 100 0 0 0 0 0
July 2008........... 100 0 0 0 0 0
July 2009........... 100 0 0 0 0 0
July 2010........... 100 0 0 0 0 0
July 2011........... 92 0 0 0 0 0
July 2012........... 44 0 0 0 0 0
July 2013........... 0 0 0 0 0 0
July 2014........... 0 0 0 0 0 0
July 2015........... 0 0 0 0 0 0
July 2016........... 0 0 0 0 0 0
July 2017........... 0 0 0 0 0 0
July 2018........... 0 0 0 0 0 0
July 2019........... 0 0 0 0 0 0
July 2020........... 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 12.9 4.5 4.5 4.5 4.5 2.5
</TABLE>
<TABLE>
<CAPTION>
PE CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100
July 2002........... 100 100 100 100 100 53
July 2003........... 100 100 100 100 100 0
July 2004........... 100 92 92 92 92 0
July 2005........... 100 48 48 48 48 0
July 2006........... 100 6 6 6 6 0
July 2007........... 100 0 0 0 0 0
July 2008........... 100 0 0 0 0 0
July 2009........... 100 0 0 0 0 0
July 2010........... 100 0 0 0 0 0
July 2011........... 100 0 0 0 0 0
July 2012........... 100 0 0 0 0 0
July 2013........... 97 0 0 0 0 0
July 2014........... 77 0 0 0 0 0
July 2015........... 54 0 0 0 0 0
July 2016........... 30 0 0 0 0 0
July 2017........... 4 0 0 0 0 0
July 2018........... 0 0 0 0 0 0
July 2019........... 0 0 0 0 0 0
July 2020........... 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 16.2 6.0 6.0 6.0 6.0 3.1
<CAPTION>
PF CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100
July 2002........... 100 100 100 100 100 100
July 2003........... 100 100 100 100 100 39
July 2004........... 100 100 100 100 100 0
July 2005........... 100 100 100 100 100 0
July 2006........... 100 100 100 100 100 0
July 2007........... 100 47 47 47 47 0
July 2008........... 100 0 0 0 0 0
July 2009........... 100 0 0 0 0 0
July 2010........... 100 0 0 0 0 0
July 2011........... 100 0 0 0 0 0
July 2012........... 100 0 0 0 0 0
July 2013........... 100 0 0 0 0 0
July 2014........... 100 0 0 0 0 0
July 2015........... 100 0 0 0 0 0
July 2016........... 100 0 0 0 0 0
July 2017........... 100 0 0 0 0 0
July 2018........... 60 0 0 0 0 0
July 2019........... 10 0 0 0 0 0
July 2020........... 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 19.2 8.0 8.0 8.0 8.0 3.9
<CAPTION>
PG CLASS
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100
July 2002........... 100 100 100 100 100 100
July 2003........... 100 100 100 100 100 100
July 2004........... 100 100 100 100 100 65
July 2005........... 100 100 100 100 100 26
July 2006........... 100 100 100 100 100 0
July 2007........... 100 100 100 100 100 0
July 2008........... 100 95 95 95 95 0
July 2009........... 100 68 68 68 68 0
July 2010........... 100 46 46 46 46 0
July 2011........... 100 27 27 27 27 0
July 2012........... 100 11 11 11 11 0
July 2013........... 100 0 0 0 0 0
July 2014........... 100 0 0 0 0 0
July 2015........... 100 0 0 0 0 0
July 2016........... 100 0 0 0 0 0
July 2017........... 100 0 0 0 0 0
July 2018........... 100 0 0 0 0 0
July 2019........... 100 0 0 0 0 0
July 2020........... 74 0 0 0 0 0
July 2021........... 40 0 0 0 0 0
July 2022........... 2 0 0 0 0 0
July 2023........... 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 21.7 11.0 11.0 11.0 11.0 5.5
</TABLE>
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-25
<PAGE> 132
<TABLE>
<CAPTION>
QH AND JH+ CLASSES
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100
July 2002........... 100 100 100 100 100 100
July 2003........... 100 100 100 100 100 100
July 2004........... 100 100 100 100 100 100
July 2005........... 100 100 100 100 100 100
July 2006........... 100 100 100 100 100 97
July 2007........... 100 100 100 100 100 66
July 2008........... 100 100 100 100 100 45
July 2009........... 100 100 100 100 100 31
July 2010........... 100 100 100 100 100 21
July 2011........... 100 100 100 100 100 14
July 2012........... 100 100 100 100 100 10
July 2013........... 100 96 96 96 96 7
July 2014........... 100 78 78 78 78 4
July 2015........... 100 63 63 63 63 3
July 2016........... 100 51 51 51 51 2
July 2017........... 100 41 41 41 41 1
July 2018........... 100 32 32 32 32 1
July 2019........... 100 25 25 25 25 1
July 2020........... 100 19 19 19 19 *
July 2021........... 100 15 15 15 15 *
July 2022........... 100 11 11 11 11 *
July 2023........... 36 8 8 8 8 *
July 2024........... 5 5 5 5 5 *
July 2025........... 3 3 3 3 3 *
July 2026........... 2 2 2 2 2 *
July 2027........... * * * * * *
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 23.9 18.0 18.0 18.0 18.0 9.6
<CAPTION>
SG AND FG CLASSES
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 98 79 72 68 68 54
July 2001........... 95 56 43 36 36 0
July 2002........... 95 55 35 26 26 0
July 2003........... 95 55 31 19 19 0
July 2004........... 95 55 27 14 10 0
July 2005........... 95 55 24 11 4 0
July 2006........... 95 55 22 8 1 0
July 2007........... 95 55 21 7 * 0
July 2008........... 95 54 20 5 * 0
July 2009........... 95 51 17 3 * 0
July 2010........... 95 48 14 0 * 0
July 2011........... 95 44 10 0 * 0
July 2012........... 95 39 7 0 * 0
July 2013........... 95 34 2 0 * 0
July 2014........... 95 28 0 0 * 0
July 2015........... 95 23 0 0 * 0
July 2016........... 95 17 0 0 * 0
July 2017........... 95 11 0 0 * 0
July 2018........... 95 5 0 0 * 0
July 2019........... 95 0 0 0 * 0
July 2020........... 95 0 0 0 * 0
July 2021........... 95 0 0 0 * 0
July 2022........... 95 0 0 0 * 0
July 2023........... 95 0 0 0 * 0
July 2024........... 84 0 0 0 * 0
July 2025........... 63 0 0 0 * 0
July 2026........... 40 0 0 0 * 0
July 2027........... 14 0 0 0 * 0
July 2028........... 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 25.4 8.7 4.0 2.5 2.1 1.0
<CAPTION>
K, SF, SE, FE, SK, SJ, FJ
AND HB CLASSES
---------------------------------------------
PSA PREPAYMENT
ASSUMPTION
---------------------------------------------
DATE 0% 100% 140% 160% 250% 500%
---- -- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100
July 2000........... 100 100 100 100 65 0
July 2001........... 100 100 100 100 34 0
July 2002........... 100 100 100 100 13 0
July 2003........... 100 100 100 100 0 0
July 2004........... 100 100 100 100 0 0
July 2005........... 100 100 100 100 0 0
July 2006........... 100 100 100 100 0 0
July 2007........... 100 100 100 100 0 0
July 2008........... 100 100 100 100 0 0
July 2009........... 100 100 100 100 0 0
July 2010........... 100 100 100 100 0 0
July 2011........... 100 100 100 93 0 0
July 2012........... 100 100 100 86 0 0
July 2013........... 100 100 100 78 0 0
July 2014........... 100 100 96 71 0 0
July 2015........... 100 100 87 63 0 0
July 2016........... 100 100 78 56 0 0
July 2017........... 100 100 69 49 0 0
July 2018........... 100 100 60 43 0 0
July 2019........... 100 97 52 37 0 0
July 2020........... 100 84 44 31 0 0
July 2021........... 100 72 37 25 0 0
July 2022........... 100 59 30 20 0 0
July 2023........... 100 47 23 16 0 0
July 2024........... 100 35 17 11 0 0
July 2025........... 100 24 11 8 0 0
July 2026........... 100 13 6 4 0 0
July 2027........... 100 3 1 1 0 0
July 2028........... 69 0 0 0 0 0
July 2029........... 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.3 23.9 20.7 18.4 1.6 0.4
</TABLE>
<TABLE>
<CAPTION>
TB CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 130% 140% 170% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100 32
July 2002........... 85 0 0 0 0 0 0
July 2003........... 66 0 0 0 0 0 0
July 2004........... 46 0 0 0 0 0 0
July 2005........... 24 0 0 0 0 0 0
July 2006........... * 0 0 0 0 0 0
July 2007........... 0 0 0 0 0 0 0
July 2008........... 0 0 0 0 0 0 0
July 2009........... 0 0 0 0 0 0 0
July 2010........... 0 0 0 0 0 0 0
July 2011........... 0 0 0 0 0 0 0
July 2012........... 0 0 0 0 0 0 0
July 2013........... 0 0 0 0 0 0 0
July 2014........... 0 0 0 0 0 0 0
July 2015........... 0 0 0 0 0 0 0
July 2016........... 0 0 0 0 0 0 0
July 2017........... 0 0 0 0 0 0 0
July 2018........... 0 0 0 0 0 0 0
July 2019........... 0 0 0 0 0 0 0
July 2020........... 0 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 4.8 2.5 2.5 2.5 2.5 2.5 2.0
<CAPTION>
TC CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 130% 140% 170% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100 100
July 2002........... 100 87 87 87 87 87 0
July 2003........... 100 7 7 7 7 7 0
July 2004........... 100 0 0 0 0 0 0
July 2005........... 100 0 0 0 0 0 0
July 2006........... 100 0 0 0 0 0 0
July 2007........... 83 0 0 0 0 0 0
July 2008........... 64 0 0 0 0 0 0
July 2009........... 44 0 0 0 0 0 0
July 2010........... 22 0 0 0 0 0 0
July 2011........... 0 0 0 0 0 0 0
July 2012........... 0 0 0 0 0 0 0
July 2013........... 0 0 0 0 0 0 0
July 2014........... 0 0 0 0 0 0 0
July 2015........... 0 0 0 0 0 0 0
July 2016........... 0 0 0 0 0 0 0
July 2017........... 0 0 0 0 0 0 0
July 2018........... 0 0 0 0 0 0 0
July 2019........... 0 0 0 0 0 0 0
July 2020........... 0 0 0 0 0 0 0
July 2021........... 0 0 0 0 0 0 0
July 2022........... 0 0 0 0 0 0 0
July 2023........... 0 0 0 0 0 0 0
July 2024........... 0 0 0 0 0 0 0
July 2025........... 0 0 0 0 0 0 0
July 2026........... 0 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 9.7 3.5 3.5 3.5 3.5 3.5 2.3
<CAPTION>
TI CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 130% 140% 170% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100 100
July 2002........... 100 100 100 100 100 100 83
July 2003........... 100 100 100 100 100 100 57
July 2004........... 100 89 89 89 89 89 39
July 2005........... 100 77 77 77 77 77 27
July 2006........... 100 66 66 66 66 66 18
July 2007........... 100 56 56 56 56 56 12
July 2008........... 100 46 46 46 46 46 8
July 2009........... 100 38 38 38 38 38 6
July 2010........... 100 32 32 32 32 32 4
July 2011........... 100 26 26 26 26 26 2
July 2012........... 95 21 21 21 21 21 2
July 2013........... 90 17 17 17 17 17 1
July 2014........... 85 14 14 14 14 14 1
July 2015........... 79 11 11 11 11 11 *
July 2016........... 73 9 9 9 9 9 *
July 2017........... 66 7 7 7 7 7 0
July 2018........... 59 6 6 6 6 6 0
July 2019........... 50 4 4 4 4 4 0
July 2020........... 41 3 3 3 3 3 0
July 2021........... 31 2 2 2 2 2 0
July 2022........... 21 2 2 2 2 2 0
July 2023........... 9 1 1 1 1 1 0
July 2024........... 1 1 1 1 1 1 0
July 2025........... * * * * * * 0
July 2026........... 0 0 0 0 0 0 0
July 2027........... 0 0 0 0 0 0 0
July 2028........... 0 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 19.5 9.8 9.8 9.8 9.8 9.8 5.1
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-26
<PAGE> 133
<TABLE>
<CAPTION>
R CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 130% 140% 170% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
July 2000........... 100 100 100 100 100 100 100
July 2001........... 100 100 100 100 100 100 100
July 2002........... 100 100 100 100 100 100 100
July 2003........... 100 100 100 100 100 100 100
July 2004........... 100 100 100 100 100 100 100
July 2005........... 100 100 100 100 100 100 100
July 2006........... 100 100 100 100 100 100 100
July 2007........... 100 100 100 100 100 100 100
July 2008........... 100 100 100 100 100 100 100
July 2009........... 100 100 100 100 100 100 100
July 2010........... 100 100 100 100 100 100 100
July 2011........... 100 100 100 100 100 100 100
July 2012........... 100 100 100 100 100 100 100
July 2013........... 100 100 100 100 100 100 100
July 2014........... 100 100 100 100 100 100 100
July 2015........... 100 100 100 100 100 100 100
July 2016........... 100 100 100 100 100 100 100
July 2017........... 100 100 100 100 100 100 74
July 2018........... 100 100 100 100 100 100 48
July 2019........... 100 100 100 100 100 100 31
July 2020........... 100 100 100 100 100 100 20
July 2021........... 100 100 100 100 100 100 13
July 2022........... 100 100 100 100 100 100 8
July 2023........... 100 100 100 100 100 100 5
July 2024........... 100 100 100 100 100 100 3
July 2025........... 100 100 100 100 100 100 1
July 2026........... 86 86 86 86 86 86 1
July 2027........... 15 15 15 15 15 15 *
July 2028........... 0 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 27.5 27.5 27.5 27.5 27.5 27.5 19.6
<CAPTION>
SR, FR AND GR CLASSES
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 130% 140% 170% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
July 2000........... 97 78 73 73 73 73 73
July 2001........... 94 51 39 39 39 39 0
July 2002........... 94 48 31 31 31 31 0
July 2003........... 94 48 27 27 27 26 0
July 2004........... 94 48 23 23 23 14 0
July 2005........... 94 48 20 20 20 6 0
July 2006........... 94 48 18 18 18 2 0
July 2007........... 94 48 17 17 17 * 0
July 2008........... 94 48 15 15 15 * 0
July 2009........... 94 45 13 13 13 * 0
July 2010........... 94 42 10 10 10 * 0
July 2011........... 94 37 6 6 6 * 0
July 2012........... 94 31 3 3 3 * 0
July 2013........... 94 25 0 0 0 * 0
July 2014........... 94 18 0 0 0 * 0
July 2015........... 94 11 0 0 0 * 0
July 2016........... 94 3 0 0 0 * 0
July 2017........... 94 0 0 0 0 * 0
July 2018........... 94 0 0 0 0 * 0
July 2019........... 94 0 0 0 0 * 0
July 2020........... 94 0 0 0 0 * 0
July 2021........... 94 0 0 0 0 * 0
July 2022........... 94 0 0 0 0 * 0
July 2023........... 94 0 0 0 0 * 0
July 2024........... 85 0 0 0 0 * 0
July 2025........... 59 0 0 0 0 * 0
July 2026........... 30 0 0 0 0 * 0
July 2027........... 0 0 0 0 0 * 0
July 2028........... 0 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 24.8 7.3 3.5 3.5 3.5 2.5 1.2
</TABLE>
<TABLE>
<CAPTION>
ST, FT, SV, SU AND L CLASSES
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 130% 140% 170% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
July 2000........... 100 100 100 98 91 73 16
July 2001........... 100 100 100 95 80 41 0
July 2002........... 100 100 100 93 71 17 0
July 2003........... 100 100 100 91 64 0 0
July 2004........... 100 100 100 89 59 0 0
July 2005........... 100 100 100 88 55 0 0
July 2006........... 100 100 100 88 53 0 0
July 2007........... 100 100 100 87 52 0 0
July 2008........... 100 100 100 87 51 0 0
July 2009........... 100 100 100 86 51 0 0
July 2010........... 100 100 99 86 51 0 0
July 2011........... 100 100 97 84 51 0 0
July 2012........... 100 100 95 83 51 0 0
July 2013........... 100 100 92 80 50 0 0
July 2014........... 100 100 84 73 46 0 0
July 2015........... 100 100 77 66 41 0 0
July 2016........... 100 100 69 60 36 0 0
July 2017........... 100 95 62 53 32 0 0
July 2018........... 100 85 55 47 28 0 0
July 2019........... 100 75 48 40 24 0 0
July 2020........... 100 66 41 35 20 0 0
July 2021........... 100 56 35 29 16 0 0
July 2022........... 100 47 28 24 13 0 0
July 2023........... 100 38 23 19 10 0 0
July 2024........... 100 29 17 14 8 0 0
July 2025........... 100 21 12 10 5 0 0
July 2026........... 100 13 7 6 3 0 0
July 2027........... 98 5 3 2 1 0 0
July 2028........... 51 0 0 0 0 0 0
July 2029........... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 29.0 22.8 19.9 17.7 11.7 1.8 0.6
<CAPTION>
SM, FM AND GM CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 144% 300% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
July 2000........... 100 100 100 100 100
July 2001........... 100 100 100 100 49
July 2002........... 100 100 100 100 0
July 2003........... 100 100 100 49 0
July 2004........... 100 100 100 0 0
July 2005........... 100 100 100 0 0
July 2006........... 100 100 100 0 0
July 2007........... 100 100 100 0 0
July 2008........... 100 100 100 0 0
July 2009........... 100 100 100 0 0
July 2010........... 100 100 100 0 0
July 2011........... 100 100 100 0 0
July 2012........... 100 100 100 0 0
July 2013........... 100 100 100 0 0
July 2014........... 100 100 100 0 0
July 2015........... 100 100 88 0 0
July 2016........... 100 100 75 0 0
July 2017........... 100 100 62 0 0
July 2018........... 100 100 50 0 0
July 2019........... 100 48 39 0 0
July 2020........... 100 29 29 0 0
July 2021........... 100 20 20 0 0
July 2022........... 100 11 11 0 0
July 2023........... 100 4 4 0 0
July 2024........... 100 0 0 0 0
July 2025........... 100 0 0 0 0
July 2026........... 100 0 0 0 0
July 2027........... 100 0 0 0 0
July 2028........... 0 0 0 0 0
July 2029........... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.2 20.7 19.3 4.0 2.0
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-27
<PAGE> 134
CHARACTERISTICS OF THE R AND RL CLASSES
In addition to payments of principal and interest, the Holders of the R
Class will be entitled to receive the proceeds of any assets of the Trust that
remain after the principal balances of all Classes are reduced to zero. The RL
Class will not have a principal balance and will not bear interest. If any
assets of the Lower Tier REMIC remain after the principal balances of the Lower
Tier Regular Interests are reduced to zero, we will pay the proceeds of those
assets to the Holder of the RL Class. Fannie Mae does not expect that any
material assets will remain in either case.
The R and RL Classes will be subject to certain transfer restrictions. We
will not permit transfer of record or beneficial ownership of an R or RL
Certificate to a "disqualified organization." In addition, we will not permit
transfer of record or beneficial ownership of an R or RL Certificate to any
person that is not a "U.S. Person" without our written consent. Treasury
Department regulations (the "Regulations") provide that a transfer of a
"noneconomic residual interest" to a U.S. Person will be disregarded for all
federal tax purposes unless no significant purpose of the transfer is to impede
the assessment or collection of tax. The RL Class will, and the R Class may,
constitute a noneconomic residual interest under the Regulations. Any transferee
of an R or RL Certificate must execute and deliver an affidavit and an Internal
Revenue Service Form W-9 on which the transferee provides its taxpayer
identification number. See "Description of Certificates--Special Characteristics
of Residual Certificates" and "Certain Federal Income Tax Consequences--Taxation
of Beneficial Owners of Residual Certificates" in the REMIC Prospectus.
Transferors of an R or RL Certificate should consult with their own tax advisors
for further information regarding such transfers.
The Holder of the R Class will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Class will be considered to be the holder of the "residual interest" in the
REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, we will
be obligated to provide to these Holders (i) information necessary to enable
them to prepare their federal income tax returns and (ii) any reports regarding
the R or RL Class that may be required under the Code.
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The Certificates and payments on the Certificates are not generally exempt
from taxation. Therefore, you should consider the tax consequences of holding a
Certificate before you acquire one. The following tax discussion supplements the
discussion under the caption "Certain Federal Income Tax Consequences" in the
REMIC Prospectus. When read together, the two discussions describe the current
federal income tax treatment of beneficial owners of Certificates. These two tax
discussions do not purport to deal with all federal tax consequences applicable
to all categories of beneficial owners, some of which may be subject to special
rules. In addition, these discussions may not apply to your particular
circumstances for one of the reasons explained in the REMIC Prospectus. You
should consult your own tax advisors regarding the federal income tax
consequences of holding and disposing of Certificates as well as any tax
consequences arising under the laws of any state, local or foreign taxing
jurisdiction.
REMIC ELECTIONS AND SPECIAL TAX ATTRIBUTES
We will elect to treat the Lower Tier REMIC and the Trust as REMICs for
federal income tax purposes. The REMIC Certificates, other than the R and RL
Classes, will be designated as the "regular interests," and the R Class will be
designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests"
and the RL Class will be designated as the "residual interest" in the Lower Tier
REMIC.
Because the Lower Tier REMIC and the Trust will qualify as REMICs, the
REMIC Certificates and any related RCR Certificates generally will be treated as
"regular or residual interests in a
S-28
<PAGE> 135
REMIC" for domestic building and loan associations, "real estate assets" for
real estate investment trusts, and, except for the R and RL Classes, as
"qualified mortgages" for other REMICs. See "Certain Federal Income Tax
Consequences--REMIC Election and Special Tax Attributes" in the REMIC
Prospectus.
TAXATION OF BENEFICIAL OWNERS OF REGULAR CERTIFICATES
The Notional Class, the Principal Only Classes and the SM and the QH
Classes will be issued with original issue discount ("OID"), and certain other
Classes of REMIC Certificates may be issued with OID. If a Class is issued with
OID, a beneficial owner of a Certificate of that Class generally must recognize
some taxable income in advance of the receipt of the cash attributable to that
income. See "Certain Federal Income Tax Consequences--Taxation of Beneficial
Owners of Regular Certificates--Treatment of Original Issue Discount" in the
REMIC Prospectus. In addition, certain Classes of REMIC Certificates may be
treated as having been issued at a premium. See "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates--Regular
Certificates Purchased at a Premium" in the REMIC Prospectus.
The Prepayment Assumptions that will be used in determining the rate of
accrual of OID will be as follows:
<TABLE>
<CAPTION>
CERTIFICATE GROUP PSA PREPAYMENT ASSUMPTION
- ----------------- -------------------------
<S> <C>
1 140%
2 140%
3 144%
</TABLE>
See "Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Regular Certificates--Treatment of Original Issue Discount--Daily Portions of
Original Issue Discount" in the REMIC Prospectus. No representation is made as
to whether the Mortgage Loans underlying the MBS will prepay at any of those
rates or any other rate. See "Description of the Certificates--Weighted Average
Lives of the Certificates" in this prospectus supplement and "Description of
Certificates--Weighted Average Life and Final Distribution Date" in the REMIC
Prospectus.
TAXATION OF BENEFICIAL OWNERS OF RESIDUAL CERTIFICATES
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 7.15% (which is 120% of the "federal
long-term rate"). See "Certain Federal Income Tax Consequences--Taxation of
Beneficial Owners of Residual Certificates--Treatment of Excess Inclusions" and
"--Foreign Investors--Residual Certificates" in the REMIC Prospectus.
TAXATION OF BENEFICIAL OWNERS OF RCR CERTIFICATES
General. The RCR Classes will be created, sold and administered pursuant
to an arrangement that will be classified as a grantor trust under subpart E,
part I of subchapter J of the Code. The REMIC Certificates that are exchanged
for RCR Certificates (including any exchanges effective on the Settlement Date)
will be the assets of the trust, and the RCR Certificates will represent an
ownership interest in those REMIC Certificates. For a general discussion of the
federal income tax treatment of beneficial owners of REMIC Certificates, see
"Certain Federal Income Tax Consequences" in the REMIC Prospectus.
The RCR Classes (each, a "Combination RCR Class") will represent the
beneficial ownership of the underlying REMIC Certificates set forth in Schedule
1. Each Certificate of a Combination RCR Class (a "Combination RCR Certificate")
will represent beneficial ownership of undivided interests in two or more
underlying REMIC Certificates.
S-29
<PAGE> 136
Combination RCR Classes. A beneficial owner of a Combination RCR
Certificate will be treated as the beneficial owner of a proportionate interest
in the REMIC Certificates underlying that Combination RCR Certificate. A
beneficial owner of a Combination RCR Certificate must allocate its cost to
acquire that Certificate among the underlying REMIC Certificates in proportion
to their relative fair market values at the time of acquisition. Such owner
should account for its ownership interest in each underlying REMIC Certificate
as described under "--Taxation of Beneficial Owners of Regular Certificates" in
this prospectus supplement and "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates" in the
REMIC Prospectus. When a beneficial owner sells a Combination RCR Certificate,
the owner must allocate the sale proceeds among the underlying REMIC
Certificates in proportion to their relative fair market values at the time of
sale.
Exchanges. If a beneficial owner exchanges one or more REMIC Certificates
for the related RCR Certificate or Certificates in the manner described under
"Description of the Certificates--Combination and Recombination" in this
prospectus supplement, the exchange will not be taxable. Likewise, if a
beneficial owner exchanges one or more RCR Certificates for the related REMIC
Certificate or Certificates in the manner described in that discussion, the
exchange will not be a taxable exchange. In each of these cases, the beneficial
owner will be treated as continuing to own after the exchange the same
combination of interests in the related REMIC Certificates (or the same interest
in the related REMIC Certificate) that it owned immediately prior to the
exchange.
PLAN OF DISTRIBUTION
General. We are obligated to deliver the Certificates to Merrill Lynch,
Pierce, Fenner & Smith Incorporated (the "Dealer") in exchange for the Group 1
and Group 2 MBS and the Underlying REMIC Certificate. The Dealer proposes to
offer the Certificates directly to the public from time to time in negotiated
transactions at varying prices to be determined at the time of sale. The Dealer
may effect these transactions to or through other dealers.
Increase in Certificates. Before the Settlement Date, we and the Dealer
may agree to offer Group 1 or Group 2 Classes in addition to those contemplated
as of the date of this prospectus supplement. In this event, we will increase
the related MBS in principal balance, but we expect that all these additional
MBS will have the same characteristics as described under "Description of the
Certificates--The Trust MBS." The proportion that the original principal balance
of each Group 1 or Group 2 Class bears to the aggregate original principal
balance of all Group 1 or Group 2 Classes, respectively, will remain the same.
LEGAL MATTERS
Brown & Wood LLP will provide legal representation for Fannie Mae. Milbank,
Tweed, Hadley & McCloy LLP will provide legal representation for the Dealer.
S-30
<PAGE> 137
EXHIBIT A
UNDERLYING REMIC CERTIFICATE
<TABLE>
<CAPTION>
UNDERLYING DATE
REMIC OF CUSIP INTEREST INTEREST
TRUST CLASS ISSUE NUMBER RATE TYPE(1)
---------- ----- ----- ------ -------- --------
<S> <C> <C> <C> <C> <C>
1999-19 GM April 1999 31359VP31 6.50% FIX
<CAPTION>
PRINCIPAL
ORIGINAL JULY BALANCE IN
UNDERLYING FINAL PRINCIPAL 1999 LOWER TIER
REMIC DISTRIBUTION PRINCIPAL BALANCE CLASS REMIC AS OF
TRUST DATE TYPE(1) OF CLASS FACTOR ISSUE DATE
---------- ------------ --------- --------- ------ -----------
<S> <C> <C> <C> <C> <C>
1999-19 May 2029 SEG(PAC)/SEQ $7,720,000 1.00000000 $5,970,000
<CAPTION>
APPROXIMATE APPROXIMATE
APPROXIMATE WEIGHTED WEIGHTED
UNDERLYING WEIGHTED AVERAGE AVERAGE UNDERLYING
REMIC AVERAGE WAM CAGE SECURITY CLASS
TRUST WAC (IN MONTHS) (IN MONTHS) TYPE GROUP
---------- ----------- ----------- ----------- ---------- -----
<S> <C> <C> <C> <C> <C>
1999-19 7.05% 351 8 MBS 3
</TABLE>
- ---------------
(1) See "Description of Certificates--Class Definitions and Abbreviations" in
the REMIC Prospectus.
A-1
<PAGE> 138
SCHEDULE 1
AVAILABLE RECOMBINATIONS(1)
<TABLE>
<CAPTION>
REMIC CERTIFICATES RCR CERTIFICATES
- ------------------------------------------ -------
ORIGINAL
PRINCIPAL RCR
CLASS BALANCE CLASSES
----- --------- -------
<S> <C> <C>
RECOMBINATION 1
SR $18,356,236 GR
FR 59,657,764
RECOMBINATION 2
SM 1,119,375 GM
FM 4,850,625
<CAPTION>
REMIC CERTIFI RCR CERTIFICATES
- ------------------------- ----------------------------------
ORIGINAL
PRINCIPAL INTEREST INTEREST
CLASS BALANCE RATE TYPE(2)
----- --------- -------- --------
<S> <C> <C> <C>
RECOMBINATION 1
SR $78,014,000 6.5% FIX
FR
RECOMBINATION 2
SM 5,970,000 6.5 FIX
FM
<CAPTION>
REMIC CERTIFI RCR CERTIFICATES
- ------------------------- --------------------------------------
FINAL
PRINCIPAL CUSIP DISTRIBUTION
CLASS TYPE(2) NUMBER DATE
----- --------- ------ ------------
<S> <C> <C> <C>
RECOMBINATION 1
SR SCH 31359WNU1 August 2029
FR
RECOMBINATION 2
SM SC/PT 31359WN V 9 May 2029
FM
</TABLE>
- ---------------
(1) The balances of the REMIC Certificates and RCR Certificates involved in any
exchange will bear the same proportionate relationship as that borne by the
original balances of the related Classes.
(2) See "Description of Certificates--Class Definitions and Abbreviations" in
the REMIC Prospectus and "Description of the Certificates--Distributions of
Interest" and "--Distributions of Principal" herein.
A-2
<PAGE> 139
PRINCIPAL BALANCE SCHEDULES
PB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2001......... $14,466,400.00
September 2001...... 12,852,671.86
October 2001........ 11,247,016.33
November 2001....... 9,649,391.71
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2001....... $ 8,059,756.50
January 2002........ 6,478,069.44
February 2002....... 4,904,289.47
March 2002.......... 3,338,375.73
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2002.......... $ 1,780,287.59
May 2002............ 229,984.60
June 2002 and
thereafter........ 0.00
</TABLE>
PC CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2002............ $22,306,800.00
June 2002........... 20,994,226.56
July 2002........... 19,459,373.44
August 2002......... 17,932,185.42
September 2002...... 16,412,622.91
October 2002........ 14,900,646.50
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2002....... $13,396,216.99
December 2002....... 11,899,295.38
January 2003........ 10,409,842.87
February 2003....... 8,927,820.86
March 2003.......... 7,453,190.95
April 2003.......... 5,985,914.93
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2003............ $ 4,525,954.80
June 2003........... 3,073,272.75
July 2003........... 1,627,831.16
August 2003......... 189,592.60
September 2003 and
thereafter........ 0.00
</TABLE>
PD CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2003......... $12,485,200.00
September 2003...... 11,243,719.85
October 2003........ 9,819,775.85
November 2003....... 8,402,923.77
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2003....... $ 6,993,126.93
January 2004........ 5,590,348.87
February 2004....... 4,194,553.30
March 2004.......... 2,805,704.13
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2004.......... $ 1,423,765.43
May 2004............ 48,701.48
June 2004 and
thereafter........ 0.00
</TABLE>
PE CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2004............ $35,424,200.00
June 2004........... 34,104,676.74
July 2004........... 32,743,255.84
August 2004......... 31,388,603.60
September 2004...... 30,040,685.02
October 2004........ 28,699,465.28
November 2004....... 27,364,909.74
December 2004....... 26,036,983.94
January 2005........ 24,715,653.59
February 2005....... 23,400,884.58
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2005.......... $22,092,642.98
April 2005.......... 20,790,895.02
May 2005............ 19,495,607.12
June 2005........... 18,206,745.87
July 2005........... 16,924,278.01
August 2005......... 15,648,170.49
September 2005...... 14,378,390.39
October 2005........ 13,114,904.99
November 2005....... 11,857,681.72
December 2005....... 10,606,688.18
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2006........ $ 9,361,892.15
February 2006....... 8,123,261.55
March 2006.......... 6,890,764.49
April 2006.......... 5,664,369.23
May 2006............ 4,444,044.20
June 2006........... 3,229,757.98
July 2006........... 2,021,479.33
August 2006......... 819,177.15
September 2006 and
thereafter........ 0.00
</TABLE>
B-1
<PAGE> 140
PF CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2006......... $22,653,200.00
September 2006...... 22,276,020.53
October 2006........ 21,085,578.68
November 2006....... 19,901,020.99
December 2006....... 18,722,317.01
January 2007........ 17,549,436.44
February 2007....... 16,382,349.14
March 2007.......... 15,221,025.12
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2007.......... $14,065,434.54
May 2007............ 12,915,547.72
June 2007........... 11,771,335.14
July 2007........... 10,632,767.42
August 2007......... 9,508,175.57
September 2007...... 8,399,718.44
October 2007........ 7,307,171.39
November 2007....... 6,230,312.84
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2007....... $ 5,168,924.29
January 2008........ 4,122,790.18
February 2008....... 3,091,697.96
March 2008.......... 2,075,437.95
April 2008.......... 1,073,803.38
May 2008............ 86,590.30
June 2008 and
thereafter........ 0.00
</TABLE>
PG CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2008............ $38,866,800.00
June 2008........... 37,980,397.55
July 2008........... 37,021,426.74
August 2008......... 36,076,282.21
September 2008...... 35,144,770.98
October 2008........ 34,226,702.71
November 2008....... 33,321,889.68
December 2008....... 32,430,146.74
January 2009........ 31,551,291.30
February 2009....... 30,685,143.25
March 2009.......... 29,831,524.98
April 2009.......... 28,990,261.32
May 2009............ 28,161,179.47
June 2009........... 27,344,109.05
July 2009........... 26,538,881.99
August 2009......... 25,745,332.54
September 2009...... 24,963,297.24
October 2009........ 24,192,614.85
November 2009....... 23,433,126.38
December 2009....... 22,684,674.99
January 2010........ 21,947,106.03
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2010....... $21,220,266.96
March 2010.......... 20,504,007.34
April 2010.......... 19,798,178.80
May 2010............ 19,102,635.02
June 2010........... 18,417,231.67
July 2010........... 17,741,826.44
August 2010......... 17,076,278.95
September 2010...... 16,420,450.78
October 2010........ 15,774,205.38
November 2010....... 15,137,408.11
December 2010....... 14,509,926.18
January 2011........ 13,891,628.62
February 2011....... 13,282,386.27
March 2011.......... 12,682,071.75
April 2011.......... 12,090,559.44
May 2011............ 11,507,725.44
June 2011........... 10,933,447.56
July 2011........... 10,367,605.31
August 2011......... 9,810,079.85
September 2011...... 9,260,753.97
October 2011........ 8,719,512.09
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2011....... $ 8,186,240.23
December 2011....... 7,660,825.97
January 2012........ 7,143,158.45
February 2012....... 6,633,128.33
March 2012.......... 6,130,627.78
April 2012.......... 5,635,550.48
May 2012............ 5,147,791.55
June 2012........... 4,667,247.58
July 2012........... 4,193,816.57
August 2012......... 3,727,397.95
September 2012...... 3,267,892.53
October 2012........ 2,815,202.48
November 2012....... 2,369,231.35
December 2012....... 1,929,883.99
January 2013........ 1,497,066.58
February 2013....... 1,070,686.62
March 2013.......... 650,652.85
April 2013.......... 236,875.30
May 2013 and
thereafter........ 0.00
</TABLE>
QH CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
April 2013.......... $24,187,000.00
May 2013............ 24,016,265.24
June 2013........... 23,614,735.17
July 2013........... 23,219,198.78
August 2013......... 22,829,570.98
September 2013...... 22,445,767.85
October 2013........ 22,067,706.64
November 2013....... 21,695,305.73
December 2013....... 21,328,484.64
January 2014........ 20,967,164.02
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2014....... $20,611,265.58
March 2014.......... 20,260,712.16
April 2014.......... 19,915,427.64
May 2014............ 19,575,336.97
June 2014........... 19,240,366.14
July 2014........... 18,910,442.16
August 2014......... 18,585,493.07
September 2014...... 18,265,447.87
October 2014........ 17,950,236.60
November 2014....... 17,639,790.22
December 2014....... 17,334,040.69
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2015........ $17,032,920.88
February 2015....... 16,736,364.63
March 2015.......... 16,444,306.66
April 2015.......... 16,156,682.63
May 2015............ 15,873,429.07
June 2015........... 15,594,483.41
July 2015........... 15,319,783.95
August 2015......... 15,049,269.84
September 2015...... 14,782,881.07
October 2015........ 14,520,558.48
</TABLE>
B-2
<PAGE> 141
<TABLE>
<CAPTION>
QH CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
November 2015....... $14,262,243.72
December 2015....... 14,007,879.28
January 2016........ 13,757,408.41
February 2016....... 13,510,775.18
March 2016.......... 13,267,924.44
April 2016.......... 13,028,801.78
May 2016............ 12,793,353.59
June 2016........... 12,561,526.96
July 2016........... 12,333,269.77
August 2016......... 12,108,530.58
September 2016...... 11,887,258.69
October 2016........ 11,669,404.12
November 2016....... 11,454,917.56
December 2016....... 11,243,750.40
January 2017........ 11,035,854.72
February 2017....... 10,831,183.26
March 2017.......... 10,629,689.40
April 2017.......... 10,431,327.22
May 2017............ 10,236,051.39
June 2017........... 10,043,817.24
July 2017........... 9,854,580.74
August 2017......... 9,668,298.44
September 2017...... 9,484,927.52
October 2017........ 9,304,425.76
November 2017....... 9,126,751.52
December 2017....... 8,951,863.75
January 2018........ 8,779,721.97
February 2018....... 8,610,286.29
March 2018.......... 8,443,517.33
April 2018.......... 8,279,376.32
May 2018............ 8,117,824.99
June 2018........... 7,958,825.63
July 2018........... 7,802,341.05
August 2018......... 7,648,334.58
September 2018...... 7,496,770.06
October 2018........ 7,347,611.87
November 2018....... 7,200,824.84
December 2018....... 7,056,374.34
January 2019........ 6,914,226.20
February 2019....... 6,774,346.73
March 2019.......... 6,636,702.73
April 2019.......... 6,501,261.45
May 2019............ 6,367,990.61
June 2019........... 6,236,858.39
July 2019........... 6,107,833.40
August 2019......... 5,980,884.72
September 2019...... 5,855,981.82
October 2019........ 5,733,094.65
November 2019....... 5,612,193.56
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2019....... $ 5,493,249.31
January 2020........ 5,376,233.08
February 2020....... 5,261,116.47
March 2020.......... 5,147,871.47
April 2020.......... 5,036,470.45
May 2020............ 4,926,886.20
June 2020........... 4,819,091.86
July 2020........... 4,713,060.99
August 2020......... 4,608,767.48
September 2020...... 4,506,185.63
October 2020........ 4,405,290.08
November 2020....... 4,306,055.82
December 2020....... 4,208,458.23
January 2021........ 4,112,472.99
February 2021....... 4,018,076.17
March 2021.......... 3,925,244.15
April 2021.......... 3,833,953.65
May 2021............ 3,744,181.73
June 2021........... 3,655,905.77
July 2021........... 3,569,103.47
August 2021......... 3,483,752.84
September 2021...... 3,399,832.21
October 2021........ 3,317,320.21
November 2021....... 3,236,195.80
December 2021....... 3,156,438.20
January 2022........ 3,078,026.94
February 2022....... 3,000,941.86
March 2022.......... 2,925,163.07
April 2022.......... 2,850,670.95
May 2022............ 2,777,446.19
June 2022........... 2,705,469.72
July 2022........... 2,634,722.78
August 2022......... 2,565,186.86
September 2022...... 2,496,843.69
October 2022........ 2,429,675.30
November 2022....... 2,363,663.95
December 2022....... 2,298,792.16
January 2023........ 2,235,042.72
February 2023....... 2,172,398.62
March 2023.......... 2,110,843.14
April 2023.......... 2,050,359.78
May 2023............ 1,990,932.26
June 2023........... 1,932,544.56
July 2023........... 1,875,180.87
August 2023......... 1,818,825.63
September 2023...... 1,763,463.46
October 2023........ 1,709,079.25
November 2023....... 1,655,658.08
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2023....... $ 1,603,185.25
January 2024........ 1,551,646.25
February 2024....... 1,501,026.82
March 2024.......... 1,451,312.87
April 2024.......... 1,402,490.52
May 2024............ 1,354,546.11
June 2024........... 1,307,466.15
July 2024........... 1,261,237.35
August 2024......... 1,215,846.62
September 2024...... 1,171,281.06
October 2024........ 1,127,527.95
November 2024....... 1,084,574.74
December 2024....... 1,042,409.09
January 2025........ 1,001,018.81
February 2025....... 960,391.90
March 2025.......... 920,516.55
April 2025.......... 881,381.07
May 2025............ 842,974.00
June 2025........... 805,284.00
July 2025........... 768,299.92
August 2025......... 732,010.76
September 2025...... 696,405.68
October 2025........ 661,474.00
November 2025....... 627,205.19
December 2025....... 593,588.88
January 2026........ 560,614.85
February 2026....... 528,273.01
March 2026.......... 496,553.46
April 2026.......... 465,446.39
May 2026............ 434,942.16
June 2026........... 405,031.29
July 2026........... 375,704.39
August 2026......... 346,952.25
September 2026...... 318,765.78
October 2026........ 291,136.01
November 2026....... 264,054.11
December 2026....... 237,511.39
January 2027........ 211,499.27
February 2027....... 186,009.30
March 2027.......... 161,033.16
April 2027.......... 136,562.65
May 2027............ 112,589.69
June 2027........... 89,106.30
July 2027........... 66,104.65
August 2027......... 43,577.00
September 2027...... 21,515.73
October 2027 and
thereafter........ 0.00
</TABLE>
B-3
<PAGE> 142
SG CLASS TARGETED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
Initial Balance..... $21,074,400.00
August 1999......... 20,602,328.44
September 1999...... 20,113,032.94
October 1999........ 19,606,847.41
November 1999....... 19,084,119.21
December 1999....... 18,545,208.84
January 2000........ 17,990,489.46
February 2000....... 17,420,346.49
March 2000.......... 16,835,177.18
April 2000.......... 16,235,390.12
May 2000............ 15,621,404.78
June 2000........... 15,012,716.33
July 2000........... 14,409,280.04
August 2000......... 13,811,051.53
September 2000...... 13,217,986.82
October 2000........ 12,630,042.29
November 2000....... 12,047,174.67
December 2000....... 11,469,341.08
January 2001........ 10,896,498.98
February 2001....... 10,328,606.20
March 2001.......... 9,765,620.91
April 2001.......... 9,207,501.64
May 2001............ 8,654,207.27
June 2001........... 8,105,697.03
July 2001........... 7,561,930.47
August 2001......... 7,022,867.51
September 2001...... 6,868,169.12
October 2001........ 6,716,195.70
November 2001....... 6,566,917.98
December 2001....... 6,420,306.94
January 2002........ 6,276,333.86
February 2002....... 6,134,970.28
March 2002.......... 5,996,188.02
April 2002.......... 5,859,959.17
May 2002............ 5,726,256.06
June 2002........... 5,595,051.32
July 2002........... 5,466,317.81
August 2002......... 5,340,028.67
September 2002...... 5,216,157.29
October 2002........ 5,094,677.30
November 2002....... 4,975,562.60
December 2002....... 4,858,787.33
January 2003........ 4,744,325.88
February 2003....... 4,632,152.89
March 2003.......... 4,522,243.23
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
April 2003.......... $ 4,414,572.03
May 2003............ 4,309,114.63
June 2003........... 4,205,846.63
July 2003........... 4,104,743.85
August 2003......... 4,005,782.36
September 2003...... 3,908,938.44
October 2003........ 3,814,188.60
November 2003....... 3,721,509.60
December 2003....... 3,630,878.39
January 2004........ 3,542,272.16
February 2004....... 3,455,668.32
March 2004.......... 3,371,044.49
April 2004.......... 3,288,378.52
May 2004............ 3,207,648.45
June 2004........... 3,128,832.55
July 2004........... 3,051,909.30
August 2004......... 2,976,857.38
September 2004...... 2,903,655.68
October 2004........ 2,832,283.30
November 2004....... 2,762,719.53
December 2004....... 2,694,943.86
January 2005........ 2,628,936.00
February 2005....... 2,564,675.84
March 2005.......... 2,502,143.46
April 2005.......... 2,441,319.15
May 2005............ 2,382,183.38
June 2005........... 2,324,716.81
July 2005........... 2,268,900.29
August 2005......... 2,214,714.86
September 2005...... 2,162,141.75
October 2005........ 2,111,162.35
November 2005....... 2,061,758.27
December 2005....... 2,013,911.25
January 2006........ 1,967,603.25
February 2006....... 1,922,816.39
March 2006.......... 1,879,532.97
April 2006.......... 1,837,735.45
May 2006............ 1,797,406.48
June 2006........... 1,758,528.87
July 2006........... 1,721,085.60
August 2006......... 1,685,059.82
September 2006...... 1,650,434.83
October 2006........ 1,617,194.12
November 2006....... 1,585,321.33
December 2006....... 1,554,800.26
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
January 2007........ $ 1,525,614.87
February 2007....... 1,497,749.27
March 2007.......... 1,471,187.75
April 2007.......... 1,445,914.73
May 2007............ 1,421,914.80
June 2007........... 1,399,172.70
July 2007........... 1,377,673.31
August 2007......... 1,355,434.55
September 2007...... 1,331,926.82
October 2007........ 1,307,181.48
November 2007....... 1,281,229.39
December 2007....... 1,254,100.84
January 2008........ 1,225,825.62
February 2008....... 1,196,432.98
March 2008.......... 1,165,951.67
April 2008.......... 1,134,409.93
May 2008............ 1,101,835.51
June 2008........... 1,068,255.67
July 2008........... 1,033,697.19
August 2008......... 998,186.37
September 2008...... 961,749.06
October 2008........ 924,410.63
November 2008....... 886,196.01
December 2008....... 847,129.70
January 2009........ 807,235.74
February 2009....... 766,537.74
March 2009.......... 725,058.89
April 2009.......... 682,821.98
May 2009............ 639,849.37
June 2009........... 596,163.01
July 2009........... 551,784.47
August 2009......... 506,734.91
September 2009...... 461,035.12
October 2009........ 414,705.50
November 2009....... 367,766.08
December 2009....... 320,236.52
January 2010........ 272,136.12
February 2010....... 223,483.81
March 2010.......... 174,298.20
April 2010.......... 124,597.53
May 2010............ 74,399.69
June 2010........... 23,722.27
July 2010 and
thereafter........ 0.00
</TABLE>
FG CLASS TARGETED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
Initial Balance..... $68,491,800.00
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
August 1999......... $66,957,567.42
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
September 1999...... $65,367,357.06
</TABLE>
B-4
<TABLE>
<CAPTION>
FG CLASS (CONTINUED)
DISTRIBUTION TARGETED
DATE BALANCE
- -------------------- --------------
<S> <C>
</TABLE>
B-5
<PAGE> 143
<TABLE>
<CAPTION>
FG CLASS (CONTINUED)
DISTRIBUTION TARGETED
DATE BALANCE
- -------------------- --------------
<S> <C>
October 1999........ $63,722,254.07
November 1999....... 62,023,387.44
December 1999....... 60,271,928.73
January 2000........ 58,469,090.74
February 2000....... 56,616,126.10
March 2000.......... 54,714,325.84
April 2000.......... 52,765,017.90
May 2000............ 50,769,565.54
June 2000........... 48,791,328.08
July 2000........... 46,830,160.12
August 2000......... 44,885,917.48
September 2000...... 42,958,457.17
October 2000........ 41,047,637.44
November 2000....... 39,153,317.69
December 2000....... 37,275,358.52
January 2001........ 35,413,621.70
February 2001....... 33,567,970.15
March 2001.......... 31,738,267.96
April 2001.......... 29,924,380.34
May 2001............ 28,126,173.64
June 2001........... 26,343,515.35
July 2001........... 24,576,274.04
August 2001......... 22,824,319.41
September 2001...... 22,321,549.64
October 2001........ 21,827,636.03
November 2001....... 21,342,483.42
December 2001....... 20,865,997.55
January 2002........ 20,398,085.04
February 2002....... 19,938,653.41
March 2002.......... 19,487,611.08
April 2002.......... 19,044,867.29
May 2002............ 18,610,332.20
June 2002........... 18,183,916.79
July 2002........... 17,765,532.89
August 2002......... 17,355,093.19
September 2002...... 16,952,511.19
October 2002........ 16,557,701.22
November 2002....... 16,170,578.45
December 2002....... 15,791,058.82
January 2003........ 15,419,059.12
February 2003....... 15,054,496.90
March 2003.......... 14,697,290.51
April 2003.......... 14,347,359.09
May 2003............ 14,004,622.54
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
June 2003........... $13,669,001.53
July 2003........... 13,340,417.51
August 2003......... 13,018,792.66
September 2003...... 12,704,049.92
October 2003........ 12,396,112.96
November 2003....... 12,094,906.19
December 2003....... 11,800,354.76
January 2004........ 11,512,384.52
February 2004....... 11,230,922.04
March 2004.......... 10,955,894.60
April 2004.......... 10,687,230.18
May 2004............ 10,424,857.45
June 2004........... 10,168,705.78
July 2004........... 9,918,705.22
August 2004......... 9,674,786.48
September 2004...... 9,436,880.97
October 2004........ 9,204,920.72
November 2004....... 8,978,838.46
December 2004....... 8,758,567.55
January 2005........ 8,544,042.01
February 2005....... 8,335,196.48
March 2005.......... 8,131,966.25
April 2005.......... 7,934,287.24
May 2005............ 7,742,095.97
June 2005........... 7,555,329.62
July 2005........... 7,373,925.94
August 2005......... 7,197,823.30
September 2005...... 7,026,960.68
October 2005........ 6,861,277.65
November 2005....... 6,700,714.37
December 2005....... 6,545,211.57
January 2006........ 6,394,710.57
February 2006....... 6,249,153.28
March 2006.......... 6,108,482.16
April 2006.......... 5,972,640.23
May 2006............ 5,841,571.07
June 2006........... 5,715,218.84
July 2006........... 5,593,528.21
August 2006......... 5,476,444.40
September 2006...... 5,363,913.20
October 2006........ 5,255,880.91
November 2006....... 5,152,294.34
December 2006....... 5,053,100.85
January 2007........ 4,958,248.33
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION TARGETED
DATE BALANCE
------------ --------
<S> <C>
February 2007....... $ 4,867,685.14
March 2007.......... 4,781,360.19
April 2007.......... 4,699,222.88
May 2007............ 4,621,223.11
June 2007........... 4,547,311.27
July 2007........... 4,477,438.25
August 2007......... 4,405,162.29
September 2007...... 4,328,762.15
October 2007........ 4,248,339.81
November 2007....... 4,163,995.51
December 2007....... 4,075,827.73
January 2008........ 3,983,933.26
February 2008....... 3,888,407.18
March 2008.......... 3,789,342.91
April 2008.......... 3,686,832.26
May 2008............ 3,580,965.40
June 2008........... 3,471,830.92
July 2008........... 3,359,515.86
August 2008......... 3,244,105.70
September 2008...... 3,125,684.43
October 2008........ 3,004,334.54
November 2008....... 2,880,137.05
December 2008....... 2,753,171.53
January 2009........ 2,623,516.14
February 2009....... 2,491,247.64
March 2009.......... 2,356,441.40
April 2009.......... 2,219,171.44
May 2009............ 2,079,510.44
June 2009........... 1,937,529.78
July 2009........... 1,793,299.51
August 2009......... 1,646,888.45
September 2009...... 1,498,364.13
October 2009........ 1,347,792.87
November 2009....... 1,195,239.75
December 2009....... 1,040,768.68
January 2010........ 884,442.38
February 2010....... 726,322.40
March 2010.......... 566,469.16
April 2010.......... 404,941.97
May 2010............ 241,799.00
June 2010........... 77,097.37
July 2010 and
thereafter........ 0.00
</TABLE>
TB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2001......... $15,832,000.00
September 2001...... 14,065,868.77
October 2001........ 12,308,599.30
November 2001....... 10,560,145.84
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2001....... $ 8,820,462.88
January 2002........ 7,089,505.17
February 2002....... 5,367,227.65
March 2002.......... 3,653,585.54
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2002.......... $ 1,948,534.24
May 2002............ 252,029.42
June 2002 and
thereafter........ 0.00
</TABLE>
B-6
<PAGE> 144
TC CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
May 2002............ $24,407,000.00
June 2002........... 22,971,026.96
July 2002........... 21,291,482.96
August 2002......... 19,620,353.77
September 2002...... 17,957,595.93
October 2002........ 16,303,166.23
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2002....... $14,657,021.68
December 2002....... 13,019,119.50
January 2003........ 11,389,417.14
February 2003....... 9,767,872.25
March 2003.......... 8,154,442.73
April 2003.......... 6,549,086.67
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2003............ $ 4,951,762.37
June 2003........... 3,362,428.38
July 2003........... 1,781,043.43
August 2003......... 207,566.47
September 2003 and
thereafter........ 0.00
</TABLE>
TI CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2003......... $147,823,000.00
September 2003...... 146,464,956.67
October 2003........ 144,907,173.40
November 2003....... 143,357,176.25
December 2003....... 141,814,925.00
January 2004........ 140,280,379.65
February 2004....... 138,753,500.40
March 2004.......... 137,234,247.66
April 2004.......... 135,722,582.05
May 2004............ 134,218,464.37
June 2004........... 132,721,855.64
July 2004........... 131,232,717.07
August 2004......... 129,751,010.09
September 2004...... 128,276,696.29
October 2004........ 126,809,737.49
November 2004....... 125,350,095.71
December 2004....... 123,897,733.13
January 2005........ 122,452,612.15
February 2005....... 121,014,695.37
March 2005.......... 119,583,945.56
April 2005.......... 118,160,325.70
May 2005............ 116,743,798.95
June 2005........... 115,334,328.66
July 2005........... 113,931,878.38
August 2005......... 112,536,411.82
September 2005...... 111,147,892.91
October 2005........ 109,766,285.75
November 2005....... 108,391,554.61
December 2005....... 107,023,663.98
January 2006........ 105,662,578.49
February 2006....... 104,308,262.98
March 2006.......... 102,960,682.47
April 2006.......... 101,619,802.14
May 2006............ 100,285,587.37
June 2006........... 98,958,003.71
July 2006........... 97,637,016.88
August 2006......... 96,322,592.79
September 2006...... 95,014,697.51
October 2006........ 93,713,297.30
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2006....... $ 92,418,358.58
December 2006....... 91,129,847.96
January 2007........ 89,847,732.20
February 2007....... 88,571,978.24
March 2007.......... 87,302,553.20
April 2007.......... 86,039,424.34
May 2007............ 84,782,559.13
June 2007........... 83,531,925.18
July 2007........... 82,287,490.26
August 2007......... 81,049,222.33
September 2007...... 79,817,089.50
October 2007........ 78,591,240.14
November 2007....... 77,382,977.56
December 2007....... 76,192,056.82
January 2008........ 75,018,236.33
February 2008....... 73,861,277.84
March 2008.......... 72,720,946.34
April 2008.......... 71,597,010.06
May 2008............ 70,489,240.41
June 2008........... 69,397,411.92
July 2008........... 68,321,302.24
August 2008......... 67,260,692.04
September 2008...... 66,215,365.03
October 2008........ 65,185,107.87
November 2008....... 64,169,710.15
December 2008....... 63,168,964.37
January 2009........ 62,182,665.85
February 2009....... 61,210,612.73
March 2009.......... 60,252,605.95
April 2009.......... 59,308,449.14
May 2009............ 58,377,948.66
June 2009........... 57,460,913.51
July 2009........... 56,557,155.34
August 2009......... 55,666,488.37
September 2009...... 54,788,729.37
October 2009........ 53,923,697.64
November 2009....... 53,071,214.96
December 2009....... 52,231,105.58
January 2010........ 51,403,196.12
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2010....... $ 50,587,315.64
March 2010.......... 49,783,295.52
April 2010.......... 48,990,969.46
May 2010............ 48,210,173.46
June 2010........... 47,440,745.77
July 2010........... 46,682,526.87
August 2010......... 45,935,359.44
September 2010...... 45,199,088.31
October 2010........ 44,473,560.46
November 2010....... 43,758,624.99
December 2010....... 43,054,133.04
January 2011........ 42,359,937.85
February 2011....... 41,675,894.64
March 2011.......... 41,001,860.65
April 2011.......... 40,337,695.08
May 2011............ 39,683,259.07
June 2011........... 39,038,415.67
July 2011........... 38,403,029.83
August 2011......... 37,776,968.36
September 2011...... 37,160,099.89
October 2011........ 36,552,294.90
November 2011....... 35,953,425.61
December 2011....... 35,363,366.03
January 2012........ 34,781,991.92
February 2012....... 34,209,180.73
March 2012.......... 33,644,811.62
April 2012.......... 33,088,765.40
May 2012............ 32,540,924.55
June 2012........... 32,001,173.15
July 2012........... 31,469,396.90
August 2012......... 30,945,483.07
September 2012...... 30,429,320.49
October 2012........ 29,920,799.52
November 2012....... 29,419,812.05
December 2012....... 28,926,251.46
January 2013........ 28,440,012.59
February 2013....... 27,960,991.75
March 2013.......... 27,489,086.69
</TABLE>
B-7
<PAGE> 145
<TABLE>
<CAPTION>
TI CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
April 2013.......... $ 27,024,196.56
May 2013............ 26,566,221.91
June 2013........... 26,115,064.67
July 2013........... 25,670,628.12
August 2013......... 25,232,816.89
September 2013...... 24,801,536.92
October 2013........ 24,376,695.47
November 2013....... 23,958,201.06
December 2013....... 23,545,963.50
January 2014........ 23,139,893.84
February 2014....... 22,739,904.36
March 2014.......... 22,345,908.55
April 2014.......... 21,957,821.13
May 2014............ 21,575,557.98
June 2014........... 21,199,036.13
July 2014........... 20,828,173.80
August 2014......... 20,462,890.32
September 2014...... 20,103,106.15
October 2014........ 19,748,742.83
November 2014....... 19,399,723.03
December 2014....... 19,055,970.47
January 2015........ 18,717,409.93
February 2015....... 18,383,967.23
March 2015.......... 18,055,569.23
April 2015.......... 17,732,143.82
May 2015............ 17,413,619.87
June 2015........... 17,099,927.24
July 2015........... 16,790,996.77
August 2015......... 16,486,760.28
September 2015...... 16,187,150.52
October 2015........ 15,892,101.17
November 2015....... 15,601,546.84
December 2015....... 15,315,423.07
January 2016........ 15,033,666.26
February 2016....... 14,756,213.73
March 2016.......... 14,483,003.66
April 2016.......... 14,213,975.08
May 2016............ 13,949,067.90
June 2016........... 13,688,222.82
July 2016........... 13,431,381.42
August 2016......... 13,178,486.07
September 2016...... 12,929,479.93
October 2016........ 12,684,306.97
November 2016....... 12,442,911.95
December 2016....... 12,205,240.38
January 2017........ 11,971,238.55
February 2017....... 11,740,853.49
March 2017.......... 11,514,032.97
April 2017.......... 11,290,725.49
May 2017............ 11,070,880.27
June 2017........... 10,854,447.25
July 2017........... 10,641,377.05
August 2017......... 10,431,621.01
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
September 2017...... $ 10,225,131.11
October 2017........ 10,021,860.05
November 2017....... 9,821,761.14
December 2017....... 9,624,788.39
January 2018........ 9,430,896.43
February 2018....... 9,240,040.54
March 2018.......... 9,052,176.59
April 2018.......... 8,867,261.13
May 2018............ 8,685,251.26
June 2018........... 8,506,104.71
July 2018........... 8,329,779.81
August 2018......... 8,156,235.46
September 2018...... 7,985,431.13
October 2018........ 7,817,326.88
November 2018....... 7,651,883.33
December 2018....... 7,489,061.62
January 2019........ 7,328,823.48
February 2019....... 7,171,131.14
March 2019.......... 7,015,947.40
April 2019.......... 6,863,235.54
May 2019............ 6,712,959.40
June 2019........... 6,565,083.28
July 2019........... 6,419,572.03
August 2019......... 6,276,390.97
September 2019...... 6,135,505.91
October 2019........ 5,996,883.15
November 2019....... 5,860,489.44
December 2019....... 5,726,292.04
January 2020........ 5,594,258.63
February 2020....... 5,464,357.38
March 2020.......... 5,336,556.89
April 2020.......... 5,210,826.21
May 2020............ 5,087,134.81
June 2020........... 4,965,452.61
July 2020........... 4,845,749.96
August 2020......... 4,727,997.61
September 2020...... 4,612,166.74
October 2020........ 4,498,228.92
November 2020....... 4,386,156.13
December 2020....... 4,275,920.76
January 2021........ 4,167,495.56
February 2021....... 4,060,853.71
March 2021.......... 3,955,968.72
April 2021.......... 3,852,814.51
May 2021............ 3,751,365.36
June 2021........... 3,651,595.92
July 2021........... 3,553,481.17
August 2021......... 3,456,996.49
September 2021...... 3,362,117.59
October 2021........ 3,268,820.50
November 2021....... 3,177,081.63
December 2021....... 3,086,877.69
January 2022........ 2,998,185.76
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2022....... $ 2,910,983.22
March 2022.......... 2,825,247.76
April 2022.......... 2,740,957.42
May 2022............ 2,658,090.52
June 2022........... 2,576,625.72
July 2022........... 2,496,541.96
August 2022......... 2,417,818.49
September 2022...... 2,340,434.85
October 2022........ 2,264,370.88
November 2022....... 2,189,606.71
December 2022....... 2,116,122.73
January 2023........ 2,043,899.63
February 2023....... 1,972,918.39
March 2023.......... 1,903,160.22
April 2023.......... 1,834,606.64
May 2023............ 1,767,239.40
June 2023........... 1,701,040.54
July 2023........... 1,635,992.35
August 2023......... 1,572,077.35
September 2023...... 1,509,278.34
October 2023........ 1,447,578.34
November 2023....... 1,386,960.65
December 2023....... 1,327,408.78
January 2024........ 1,268,906.47
February 2024....... 1,211,437.73
March 2024.......... 1,154,986.75
April 2024.......... 1,099,537.99
May 2024............ 1,045,076.12
June 2024........... 991,586.02
July 2024........... 939,052.79
August 2024......... 887,461.76
September 2024...... 836,798.45
October 2024........ 787,048.60
November 2024....... 738,198.16
December 2024....... 690,233.28
January 2025........ 643,140.29
February 2025....... 596,905.75
March 2025.......... 551,516.38
April 2025.......... 506,959.12
May 2025............ 463,221.09
June 2025........... 420,289.59
July 2025........... 378,152.11
August 2025......... 336,796.31
September 2025...... 296,210.04
October 2025........ 256,381.33
November 2025....... 217,298.36
December 2025....... 178,949.52
January 2026........ 141,323.33
February 2026....... 104,408.50
March 2026.......... 68,193.89
April 2026.......... 32,668.53
May 2026 and
thereafter........ 0.00
</TABLE>
B-8
<PAGE> 146
R CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
April 2026.......... $500,000.00
May 2026............ 497,821.61
June 2026........... 463,642.48
July 2026........... 430,120.62
August 2026......... 397,245.70
September 2026...... 365,007.53
October 2026........ 333,396.04
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2026....... $302,401.34
December 2026....... 272,013.67
January 2027........ 242,223.42
February 2027....... 213,021.10
March 2027.......... 184,397.40
April 2027.......... 156,343.10
May 2027............ 128,849.14
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2027........... $101,906.59
July 2027........... 75,506.64
August 2027......... 49,640.63
September 2027...... 24,300.00
October 2027 and
thereafter........ 0.00
</TABLE>
SR CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $18,356,236.00
August 1999......... 18,034,776.57
September 1999...... 17,697,087.23
October 1999........ 17,343,346.36
November 1999....... 16,973,743.07
December 1999....... 16,588,477.11
January 2000........ 16,187,758.63
February 2000....... 15,771,808.01
March 2000.......... 15,340,855.72
April 2000.......... 14,895,142.04
May 2000............ 14,434,916.87
June 2000........... 13,960,439.52
July 2000........... 13,471,978.45
August 2000......... 12,969,810.99
September 2000...... 12,454,223.15
October 2000........ 11,925,509.28
November 2000....... 11,383,971.84
December 2000....... 10,846,147.52
January 2001........ 10,312,011.23
February 2001....... 9,781,538.03
March 2001.......... 9,254,703.18
April 2001.......... 8,731,482.06
May 2001............ 8,211,850.27
June 2001........... 7,695,783.54
July 2001........... 7,183,257.76
August 2001......... 6,674,249.01
September 2001...... 6,584,293.82
October 2001........ 6,495,723.14
November 2001....... 6,408,524.29
December 2001....... 6,322,684.68
January 2002........ 6,238,191.81
February 2002....... 6,155,033.32
March 2002.......... 6,073,196.90
April 2002.......... 5,992,670.37
May 2002............ 5,913,441.66
June 2002........... 5,835,498.76
July 2002........... 5,758,829.79
August 2002......... 5,683,422.96
September 2002...... 5,609,266.57
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
October 2002........ $ 5,536,349.01
November 2002....... 5,464,658.78
December 2002....... 5,394,184.46
January 2003........ 5,324,914.74
February 2003....... 5,256,838.39
March 2003.......... 5,189,944.26
April 2003.......... 5,124,221.32
May 2003............ 5,059,658.61
June 2003........... 4,996,245.26
July 2003........... 4,933,970.50
August 2003......... 4,872,823.64
September 2003...... 4,812,794.08
October 2003........ 4,753,871.31
November 2003....... 4,696,044.89
December 2003....... 4,639,304.49
January 2004........ 4,583,639.86
February 2004....... 4,529,040.81
March 2004.......... 4,475,497.27
April 2004.......... 4,422,999.22
May 2004............ 4,371,536.74
June 2004........... 4,321,099.99
July 2004........... 4,271,679.22
August 2004......... 4,223,264.73
September 2004...... 4,175,846.94
October 2004........ 4,129,416.32
November 2004....... 4,083,963.43
December 2004....... 4,039,478.90
January 2005........ 3,995,953.46
February 2005....... 3,953,377.88
March 2005.......... 3,911,743.05
April 2005.......... 3,871,039.89
May 2005............ 3,831,259.43
June 2005........... 3,792,392.76
July 2005........... 3,754,431.05
August 2005......... 3,717,365.54
September 2005...... 3,681,187.53
October 2005........ 3,645,888.42
November 2005....... 3,611,459.66
December 2005....... 3,577,892.77
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
January 2006........ $ 3,545,179.37
February 2006....... 3,513,311.10
March 2006.......... 3,482,279.72
April 2006.......... 3,452,077.03
May 2006............ 3,422,694.90
June 2006........... 3,394,125.28
July 2006........... 3,366,360.18
August 2006......... 3,339,391.68
September 2006...... 3,313,211.91
October 2006........ 3,287,813.10
November 2006....... 3,263,187.51
December 2006....... 3,239,327.48
January 2007........ 3,216,225.42
February 2007....... 3,193,873.80
March 2007.......... 3,172,265.14
April 2007.......... 3,151,392.05
May 2007............ 3,131,247.18
June 2007........... 3,111,823.24
July 2007........... 3,093,113.02
August 2007......... 3,075,109.36
September 2007...... 3,057,805.15
October 2007........ 3,041,150.99
November 2007....... 3,022,472.86
December 2007....... 3,001,814.10
January 2008........ 2,979,217.33
February 2008....... 2,954,724.49
March 2008.......... 2,928,376.87
April 2008.......... 2,900,215.06
May 2008............ 2,870,279.04
June 2008........... 2,838,608.09
July 2008........... 2,805,810.93
August 2008......... 2,772,075.39
September 2008...... 2,737,427.71
October 2008........ 2,701,893.66
November 2008....... 2,665,498.54
December 2008....... 2,628,267.17
January 2009........ 2,590,223.93
February 2009....... 2,551,392.75
March 2009.......... 2,511,797.12
</TABLE>
B-9
<PAGE> 147
<TABLE>
<CAPTION>
SR CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- --------------
<S> <C>
April 2009.......... $ 2,471,460.10
May 2009............ 2,430,404.31
June 2009........... 2,388,651.97
July 2009........... 2,346,224.87
August 2009......... 2,303,144.40
September 2009...... 2,259,431.54
October 2009........ 2,215,106.89
November 2009....... 2,170,190.67
December 2009....... 2,124,702.68
January 2010........ 2,078,662.40
February 2010....... 2,032,088.89
March 2010.......... 1,985,000.87
April 2010.......... 1,937,416.71
May 2010............ 1,889,354.42
June 2010........... 1,840,831.65
July 2010........... 1,791,865.73
August 2010......... 1,742,473.65
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
September 2010...... $ 1,692,672.06
October 2010........ 1,642,477.31
November 2010....... 1,591,905.40
December 2010....... 1,540,972.03
January 2011........ 1,489,692.60
February 2011....... 1,438,082.19
March 2011.......... 1,386,155.60
April 2011.......... 1,333,927.33
May 2011............ 1,281,411.57
June 2011........... 1,228,622.25
July 2011........... 1,175,573.01
August 2011......... 1,122,277.23
September 2011...... 1,068,747.99
October 2011........ 1,014,998.14
November 2011....... 961,040.24
December 2011....... 906,886.59
January 2012........ 852,549.27
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
February 2012....... $ 798,040.08
March 2012.......... 743,370.59
April 2012.......... 688,552.11
May 2012............ 633,595.75
June 2012........... 578,512.34
July 2012........... 523,312.52
August 2012......... 468,006.69
September 2012...... 412,605.03
October 2012........ 357,117.49
November 2012....... 301,553.84
December 2012....... 245,923.59
January 2013........ 190,236.09
February 2013....... 134,500.46
March 2013.......... 78,725.62
April 2013.......... 22,920.31
May 2013 and
thereafter........ 0.00
</TABLE>
FR CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $59,657,764.00
August 1999......... 58,613,020.91
September 1999...... 57,515,530.61
October 1999........ 56,365,872.83
November 1999....... 55,164,662.22
December 1999....... 53,912,547.90
January 2000........ 52,610,212.89
February 2000....... 51,258,373.47
March 2000.......... 49,857,778.59
April 2000.......... 48,409,209.19
May 2000............ 46,913,477.48
June 2000........... 45,371,426.17
July 2000........... 43,783,927.75
August 2000......... 42,151,883.60
September 2000...... 40,476,223.20
October 2000........ 38,757,903.22
November 2000....... 36,997,906.63
December 2000....... 35,249,977.68
January 2001........ 33,514,034.81
February 2001....... 31,789,997.01
March 2001.......... 30,077,783.81
April 2001.......... 28,377,315.28
May 2001............ 26,688,512.04
June 2001........... 25,011,295.24
July 2001........... 23,345,586.55
August 2001......... 21,691,308.20
September 2001...... 21,398,953.82
October 2001........ 21,111,099.14
November 2001....... 20,827,702.89
December 2001....... 20,548,724.16
January 2002........ 20,274,122.37
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
February 2002....... $20,003,857.27
March 2002.......... 19,737,888.92
April 2002.......... 19,476,177.73
May 2002............ 19,218,684.42
June 2002........... 18,965,370.02
July 2002........... 18,716,195.88
August 2002......... 18,471,123.69
September 2002...... 18,230,115.42
October 2002........ 17,993,133.37
November 2002....... 17,760,140.14
December 2002....... 17,531,098.63
January 2003........ 17,305,972.04
February 2003....... 17,084,723.90
March 2003.......... 16,867,318.00
April 2003.......... 16,653,718.45
May 2003............ 16,443,889.65
June 2003........... 16,237,796.28
July 2003........... 16,035,403.32
August 2003......... 15,836,676.03
September 2003...... 15,641,579.97
October 2003........ 15,450,080.96
November 2003....... 15,262,145.13
December 2003....... 15,077,738.85
January 2004........ 14,896,828.79
February 2004....... 14,719,381.90
March 2004.......... 14,545,365.38
April 2004.......... 14,374,746.73
May 2004............ 14,207,493.68
June 2004........... 14,043,574.27
July 2004........... 13,882,956.75
August 2004......... 13,725,609.69
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
September 2004...... $13,571,501.87
October 2004........ 13,420,602.36
November 2004....... 13,272,880.47
December 2004....... 13,128,305.77
January 2005........ 12,986,848.08
February 2005....... 12,848,477.47
March 2005.......... 12,713,164.26
April 2005.......... 12,580,879.01
May 2005............ 12,451,592.52
June 2005........... 12,325,275.86
July 2005........... 12,201,900.30
August 2005......... 12,081,437.39
September 2005...... 11,963,858.87
October 2005........ 11,849,136.76
November 2005....... 11,737,243.29
December 2005....... 11,628,150.93
January 2006........ 11,521,832.36
February 2006....... 11,418,260.51
March 2006.......... 11,317,408.53
April 2006.......... 11,219,249.78
May 2006............ 11,123,757.88
June 2006........... 11,030,906.62
July 2006........... 10,940,670.05
August 2006......... 10,853,022.41
September 2006...... 10,767,938.18
October 2006........ 10,685,392.03
November 2006....... 10,605,358.86
December 2006....... 10,527,813.78
January 2007........ 10,452,732.09
February 2007....... 10,380,089.33
March 2007.......... 10,309,861.20
</TABLE>
B-10
<PAGE> 148
<TABLE>
<CAPTION>
FR CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- --------------
<S> <C>
April 2007.......... $10,242,023.65
May 2007............ 10,176,552.82
June 2007........... 10,113,425.02
July 2007........... 10,052,616.81
August 2007......... 9,994,104.91
September 2007...... 9,937,866.24
October 2007........ 9,883,740.22
November 2007....... 9,823,036.31
December 2007....... 9,755,895.33
January 2008........ 9,682,455.82
February 2008....... 9,602,854.11
March 2008.......... 9,517,224.34
April 2008.......... 9,425,698.48
May 2008............ 9,328,406.40
June 2008........... 9,225,475.84
July 2008........... 9,118,885.06
August 2008......... 9,009,244.56
September 2008...... 8,896,639.62
October 2008........ 8,781,153.97
November 2008....... 8,662,869.81
December 2008....... 8,541,867.86
January 2009........ 8,418,227.34
February 2009....... 8,292,026.02
March 2009.......... 8,163,340.23
April 2009.......... 8,032,244.92
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
May 2009............ $ 7,898,813.62
June 2009........... 7,763,118.52
July 2009........... 7,625,230.44
August 2009......... 7,485,218.91
September 2009...... 7,343,152.13
October 2009........ 7,199,097.04
November 2009....... 7,053,119.31
December 2009....... 6,905,283.37
January 2010........ 6,755,652.45
February 2010....... 6,604,288.55
March 2010.......... 6,451,252.50
April 2010.......... 6,296,603.99
May 2010............ 6,140,401.54
June 2010........... 5,982,702.55
July 2010........... 5,823,563.33
August 2010......... 5,663,039.08
September 2010...... 5,501,183.93
October 2010........ 5,338,050.98
November 2010....... 5,173,692.28
December 2010....... 5,008,158.84
January 2011........ 4,841,500.70
February 2011....... 4,673,766.89
March 2011.......... 4,505,005.48
April 2011.......... 4,335,263.59
May 2011............ 4,164,587.38
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
June 2011........... $ 3,993,022.10
July 2011........... 3,820,612.09
August 2011......... 3,647,400.81
September 2011...... 3,473,430.81
October 2011........ 3,298,743.79
November 2011....... 3,123,380.61
December 2011....... 2,947,381.28
January 2012........ 2,770,785.00
February 2012....... 2,593,630.14
March 2012.......... 2,415,954.29
April 2012.......... 2,237,794.25
May 2012............ 2,059,186.07
June 2012........... 1,880,165.01
July 2012........... 1,700,765.61
August 2012......... 1,521,021.67
September 2012...... 1,340,966.28
October 2012........ 1,160,631.80
November 2012....... 980,049.92
December 2012....... 799,251.63
January 2013........ 618,267.26
February 2013....... 437,126.46
March 2013.......... 255,858.25
April 2013.......... 74,491.00
May 2013 and
thereafter........ 0.00
</TABLE>
GR CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $78,014,000.00
August 1999......... 76,647,797.48
September 1999...... 75,212,617.84
October 1999........ 73,709,219.19
November 1999....... 72,138,405.29
December 1999....... 70,501,025.01
January 2000........ 68,797,971.52
February 2000....... 67,030,181.48
March 2000.......... 65,198,634.31
April 2000.......... 63,304,351.23
May 2000............ 61,348,394.35
June 2000........... 59,331,865.69
July 2000........... 57,255,906.20
August 2000......... 55,121,694.59
September 2000...... 52,930,446.35
October 2000........ 50,683,412.50
November 2000....... 48,381,878.47
December 2000....... 46,096,125.20
January 2001........ 43,826,046.04
February 2001....... 41,571,535.04
March 2001.......... 39,332,486.99
April 2001.......... 37,108,797.34
May 2001............ 34,900,362.31
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
June 2001........... $32,707,078.78
July 2001........... 30,528,844.31
August 2001......... 28,365,557.21
September 2001...... 27,983,247.64
October 2001........ 27,606,822.28
November 2001....... 27,236,227.18
December 2001....... 26,871,408.84
January 2002........ 26,512,314.18
February 2002....... 26,158,890.59
March 2002.......... 25,811,085.82
April 2002.......... 25,468,848.10
May 2002............ 25,132,126.08
June 2002........... 24,800,868.78
July 2002........... 24,475,025.67
August 2002......... 24,154,546.65
September 2002...... 23,839,381.99
October 2002........ 23,529,482.38
November 2002....... 23,224,798.92
December 2002....... 22,925,283.09
January 2003........ 22,630,886.78
February 2003....... 22,341,562.29
March 2003.......... 22,057,262.26
April 2003.......... 21,777,939.77
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
May 2003............ $21,503,548.26
June 2003........... 21,234,041.54
July 2003........... 20,969,373.82
August 2003......... 20,709,499.67
September 2003...... 20,454,374.05
October 2003........ 20,203,952.27
November 2003....... 19,958,190.02
December 2003....... 19,717,043.34
January 2004........ 19,480,468.65
February 2004....... 19,248,422.71
March 2004.......... 19,020,862.65
April 2004.......... 18,797,745.95
May 2004............ 18,579,030.42
June 2004........... 18,364,674.26
July 2004........... 18,154,635.97
August 2004......... 17,948,874.42
September 2004...... 17,747,348.81
October 2004........ 17,550,018.68
November 2004....... 17,356,843.90
December 2004....... 17,167,784.67
January 2005........ 16,982,801.54
February 2005....... 16,801,855.35
March 2005.......... 16,624,907.31
</TABLE>
B-11
<PAGE> 149
<TABLE>
<CAPTION>
GR CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- --------------
<S> <C>
April 2005.......... $16,451,918.90
May 2005............ 16,282,851.95
June 2005........... 16,117,668.62
July 2005........... 15,956,331.35
August 2005......... 15,798,802.93
September 2005...... 15,645,046.40
October 2005........ 15,495,025.18
November 2005....... 15,348,702.95
December 2005....... 15,206,043.70
January 2006........ 15,067,011.73
February 2006....... 14,931,571.61
March 2006.......... 14,799,688.25
April 2006.......... 14,671,326.81
May 2006............ 14,546,452.78
June 2006........... 14,425,031.90
July 2006........... 14,307,030.23
August 2006......... 14,192,414.09
September 2006...... 14,081,150.09
October 2006........ 13,973,205.13
November 2006....... 13,868,546.37
December 2006....... 13,767,141.26
January 2007........ 13,668,957.51
February 2007....... 13,573,963.13
March 2007.......... 13,482,126.34
April 2007.......... 13,393,415.70
May 2007............ 13,307,800.00
June 2007........... 13,225,248.26
July 2007........... 13,145,729.83
August 2007......... 13,069,214.27
September 2007...... 12,995,671.39
October 2007........ 12,924,891.21
November 2007....... 12,845,509.17
December 2007....... 12,757,709.43
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
January 2008........ $12,661,673.15
February 2008....... 12,557,578.60
March 2008.......... 12,445,601.21
April 2008.......... 12,325,913.54
May 2008............ 12,198,685.44
June 2008........... 12,064,083.93
July 2008........... 11,924,695.99
August 2008......... 11,781,319.95
September 2008...... 11,634,067.33
October 2008........ 11,483,047.63
November 2008....... 11,328,368.35
December 2008....... 11,170,135.03
January 2009........ 11,008,451.27
February 2009....... 10,843,418.77
March 2009.......... 10,675,137.35
April 2009.......... 10,503,705.02
May 2009............ 10,329,217.93
June 2009........... 10,151,770.49
July 2009........... 9,971,455.31
August 2009......... 9,788,363.31
September 2009...... 9,602,583.67
October 2009........ 9,414,203.93
November 2009....... 9,223,309.98
December 2009....... 9,029,986.05
January 2010........ 8,834,314.85
February 2010....... 8,636,377.44
March 2010.......... 8,436,253.37
April 2010.......... 8,234,020.70
May 2010............ 8,029,755.96
June 2010........... 7,823,534.20
July 2010........... 7,615,429.06
August 2010......... 7,405,512.73
September 2010...... 7,193,855.99
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
October 2010........ $ 6,980,528.29
November 2010....... 6,765,597.68
December 2010....... 6,549,130.87
January 2011........ 6,331,193.30
February 2011....... 6,111,849.08
March 2011.......... 5,891,161.08
April 2011.......... 5,669,190.92
May 2011............ 5,445,998.95
June 2011........... 5,221,644.35
July 2011........... 4,996,185.10
August 2011......... 4,769,678.04
September 2011...... 4,542,178.80
October 2011........ 4,313,741.93
November 2011....... 4,084,420.85
December 2011....... 3,854,267.87
January 2012........ 3,623,334.27
February 2012....... 3,391,670.22
March 2012.......... 3,159,324.88
April 2012.......... 2,926,346.36
May 2012............ 2,692,781.82
June 2012........... 2,458,677.35
July 2012........... 2,224,078.13
August 2012......... 1,989,028.36
September 2012...... 1,753,571.31
October 2012........ 1,517,749.29
November 2012....... 1,281,603.76
December 2012....... 1,045,175.22
January 2013........ 808,503.35
February 2013....... 571,626.92
March 2013.......... 334,583.87
April 2013.......... 97,411.31
May 2013 and
thereafter........ 0.00
</TABLE>
B-12
<PAGE> 150
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NO ONE IS AUTHORIZED TO GIVE INFORMATION OR TO MAKE REPRESENTATIONS IN
CONNECTION WITH THE CERTIFICATES OTHER THAN THE INFORMATION AND REPRESENTATIONS
CONTAINED IN THIS PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS.
YOU MUST NOT RELY ON ANY UNAUTHORIZED INFORMATION OR REPRESENTATION. THIS
PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS DO NOT CONSTITUTE
AN OFFER OR SOLICITATION WITH REGARD TO THE CERTIFICATES IF IT IS ILLEGAL TO
MAKE SUCH AN OFFER OR SOLICITATION TO YOU UNDER STATE LAW. BY DELIVERING THIS
PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS AT ANY TIME, NO
ONE IMPLIES THAT THE INFORMATION CONTAINED HEREIN OR THEREIN IS CORRECT AFTER
THE DATE HEREOF OR THEREOF.
THE SECURITIES AND EXCHANGE COMMISSION HAS NOT APPROVED OR DISAPPROVED THE
CERTIFICATES OR DETERMINED IF THIS PROSPECTUS SUPPLEMENT IS TRUTHFUL AND
COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Table of Contents.................... S- 2
Available Information................ S- 3
Reference Sheet...................... S- 4
Additional Risk Factors.............. S- 8
Description of the Certificates...... S- 9
Certain Additional Federal Income Tax
Consequences....................... S-28
Plan of Distribution................. S-30
Legal Matters........................ S-30
Exhibit A............................ A- 1
Schedule 1........................... A- 2
Principal Balance Schedules.......... B- 1
</TABLE>
$630,970,000
LOGO
GUARANTEED REMIC
PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-39
------------------------
PROSPECTUS SUPPLEMENT
------------------------
MERRILL LYNCH & CO.
JUNE 22, 1999
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<PAGE> 151
ANNEX 1(c)
PROSPECTUS SUPPLEMENT
DATED APRIL 11, 1999
TO
PROSPECTUS DATED SEPTEMBER 18, 1998
RELATING TO
FANNIE MAE
GUARANTEED REMIC PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-51
<PAGE> 152
PROSPECTUS SUPPLEMENT
(TO REMIC PROSPECTUS DATED SEPTEMBER 18, 1998)
$1,646,250,000
LOGO
GUARANTEED REMIC PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-51
THE CERTIFICATES
We, the Federal National
Mortgage Association ("Fannie
Mae"), will issue the classes
of certificates listed in the
chart on this page.
PAYMENTS TO CERTIFICATEHOLDERS
We will make monthly payments
on the certificates. You, the
investor, will receive
- - interest accrued on the
balance of your certificate,
and
- - principal to the extent
available for payment on
your class.
We may pay principal at rates
that vary from time to time.
We may not pay principal to
certain classes for long
periods of time.
THE FANNIE MAE GUARANTY
We will guarantee that
required payments of principal
and interest on the
certificates are distributed
to investors on time.
THE TRUST AND ITS ASSETS
The trust will indirectly own
- - Fannie Mae MBS,
- - Ginnie Mae certificates and
- - seven separate non-interest
bearing cash deposits of
$999.99 each.
The mortgage loans underlying
the Fannie Mae MBS and the
Ginnie Mae certificates are
first lien, single-family,
fixed-rate loans.
In addition, the mortgage
loans underlying the Ginnie
Mae certificates are either
insured or guaranteed by the
Federal Housing
Administration, the Department
of Veterans Affairs or the
Rural Housing Service.
CAREFULLY CONSIDER THE RISK
FACTORS STARTING ON PAGE
S-12 OF THIS PROSPECTUS
SUPPLEMENT AND ON PAGE 10 OF
THE REMIC PROSPECTUS. UNLESS
YOU UNDERSTAND AND ARE ABLE
TO TOLERATE THESE RISKS, YOU
SHOULD NOT INVEST IN THE
CERTIFICATES.
You should read the REMIC
prospectus as well as this
prospectus supplement.
Prospective investors in the
UU, VV, YY, TT, WW, LL and
HH Classes and all other
classes should consider
carefully whether such an
investment is appropriate
for their investment
objectives.
The certificates, together
with interest thereon, are
not guaranteed by the United
States and do not constitute
a debt or obligation of the
United States or any agency
or instrumentality thereof
other than Fannie Mae.
The certificates are exempt
from registration under the
Securities Act of 1933 and
are "exempted securities"
under the Securities
Exchange Act of 1934.
<TABLE>
<CAPTION>
- --------------------------------------------------------------
CLASS
<S> <C> <C> <C> <C>
LA ......... 1 $ 83,055,000 PAC 6.50%
LB ......... 1 55,938,000 PAC 6.50
LC ......... 1 86,420,000 PAC 6.50
LD ......... 1 48,257,000 PAC 6.50
LJ ......... 1 10,343,000 PAC 6.50
LI ......... 1 113,964,000 PAC 6.50
QE ......... 1 15,000,000 PAC 6.00
JE ......... 1 1,153,846(1) NTL 6.50
LE ......... 1 86,330,000 PAC 6.50
LF ......... 1 25,976,000 PAC 6.50
LG ......... 1 180,433,000 PAC 6.50
LH ......... 1 12,000,000 PAC 6.50
LK ......... 1 24,438,192 PAC 6.50
LM ......... 1 8,026,808 PAC 6.50
GL ......... 1 9,000,000 SCH 6.50
SD ......... 1 42,436,389 SCH (2)
FD ......... 1 110,334,611 SCH (2)
UU(3)....... 1 1,000,000(4) SUP/RTL 7.50
UA ......... 1 3,264,000 SUP 7.50
UB ......... 1 1,630,000 SUP 7.50
UC ......... 1 1,800,000 SUP 7.50
UD ......... 1 1,040,000 SUP 7.50
UE ......... 1 9,666,000 SUP 7.50
UG ......... 1 4,500,000 SUP (5)
VV(3)....... 1 29,600,000(4) SUP/RTL 7.50
UF ......... 1 500,000 SUP (6)
YT ......... 1 2,984,000 SUP 7.50
YU ......... 1 2,746,000 SUP 7.50
YY(3)....... 1 9,000,000(4) SUP/RTL 7.50
YV ......... 1 1,446,246 SUP 7.50
YW ......... 1 1,000,000 SUP (7)
HT ......... 1 2,088,000 SUP 7.50
HU ......... 1 1,912,000 SUP 7.50
TT(3)....... 1 6,500,000(4) SUP/RTL 7.50
HV ......... 1 1,500,000 SUP 7.50
SV ......... 1 300,000 SUP (2)
FV ......... 1 1,500,000 SUP (2)
KB ......... 1 1,800,000 SUP 7.50
KC ......... 1 1,800,000 SUP 7.50
KD ......... 1 4,000,000 SUP 7.50
KE ......... 1 5,407,000 SUP 7.50
SC(9)....... 1 4,507,334 SUP (2)
FC(9)....... 1 22,536,666 SUP (2)
HX ......... 1 3,000,000 SUP 7.50
TU ......... 1 2,500,000 SUP 7.00
WW(3)....... 1 5,000,000(4) SUP/RTL 7.75
TW ......... 1 2,500,000 SUP (8)
SU ......... 1 288,461 SUP (2)
ST ......... 1 711,539 SUP (2)
FT ......... 1 5,000,000 SUP (2)
TY ......... 1 1,284,000 SUP (6)
SB(9)....... 1 2,957,523 SUP (2)
FB(9)....... 1 14,787,611 SUP (2)
LL(3)....... 1 15,000,000(4) SUP/RTL 7.50
HY ......... 1 9,251,888 SUP 7.50
SP(9)....... 1 1,388,889 SUP (2)
SQ(9)....... 1 1,944,445 SUP (2)
FQ ......... 1 16,666,665 SUP (2)
L .......... 1 13,799,866 SUP (10)
M .......... 1 17,939,867 SUP (10)
PO ......... 2 21,428,572 PT (10)
PB ......... 2 24,610,700 PAC 6.00
PD ......... 2 6,799,600 PAC 6.00
PE ......... 2 14,057,300 PAC 6.00
PF ......... 2 11,108,400 PAC 6.00
PG ......... 2 16,264,000 PAC 6.00
PH ......... 2 10,670,100 PAC 6.00
R .......... 2 500,000 PAC 6.00
PI ......... 2 14,001,684(1) NTL 6.00
GA ......... 2 13,075,000 SCH 7.00
GB ......... 2 1,726,600 SCH 7.00
HB ......... 2 4,254,000 SUP 8.00
HD ......... 2 5,931,000 SUP 8.00
HE ......... 2 5,854,763 SUP 8.00
HH(3)....... 2 10,000,000(4) SUP/RTL 8.00
H .......... 2 3,719,965 SUP (10)
A .......... 3 95,937,000 SEQ 7.50
C .......... 3 9,063,000 SEQ 7.50
N .......... 4 13,421,053 PT (10)
S .......... 4 71,578,947(1) NTL (2)
F .......... 4 71,578,947 PT (2)
DA ......... 5 34,444,445 SEQ 7.25
DB ......... 5 10,000,000 SEQ 7.25
SN ......... 5 5,555,555(1) NTL (2)
FN ......... 5 5,555,555 PT (2)
BA ......... 6 41,622,000 SEQ 7.50
BC ......... 6 8,378,000 SEQ 7.50
SJ ......... 7 50,000,000(1) NTL (2)
FJ ......... 7 50,000,000 PT (2)
J ......... 7 6,250,000 PT (10)
RL ......... 0 NPR 0
<CAPTION>
ORIGINAL FINAL
INTEREST CLASCUSIP PRINCDISTRIBUTIONTEREST
CLASS GRTYPE BALANUMBER TYPE DATE RATE
<S> <C> <C> <C>
LA ......... FIX 31359W S 9 3 July 2010
LB ......... FIX 31359W T 2 7 March 2014
LC ......... FIX 31359W T 3 5 March 2018
LD ......... FIX 31359W T 4 3 December 2019
LJ ......... FIX 31359W T 5 0 March 2021
LI ......... FIX 31359W T 6 8 October 2029
QE ......... FIX 31359W T 7 6 October 2023
JE ......... FIX/IO 31359W T 8 4 October 2023
LE ......... FIX 31359W T 9 2 October 2023
LF ......... FIX 31359W U 2 5 July 2024
LG ......... FIX 31359W U 3 3 December 2028
LH ......... FIX 31359W U 4 1 October 2029
LK ......... FIX 31359W U 5 8 August 2029
LM ......... FIX 31359W U 6 6 October 2029
GL ......... FIX 31359W U 7 4 October 2029
SD ......... INV 31359W U 8 2 October 2029
FD ......... FLT 31359W U 9 0 October 2029
UU(3)....... FIX 31359W V 2 4 October 2029
UA ......... FIX 31359W V 3 2 August 2027
UB ......... FIX 31359W V 4 0 September 2027
UC ......... FIX 31359W V 5 7 October 2027
UD ......... FIX 31359W V 6 5 October 2027
UE ......... FIX 31359W V 7 3 October 2029
UG ......... DRB 31359W V 8 1 October 2029
VV(3)....... FIX 31359W V 9 9 October 2029
UF ......... DRB 31359WW23 October 2029
YT ......... FIX 31359WW31 November 2027
YU ......... FIX 31359WW49 April 2028
YY(3)....... FIX 31359WW56 October 2029
YV ......... FIX 31359WW64 October 2029
YW ......... DRB 31359WW72 October 2029
HT ......... FIX 31359WW80 November 2027
HU ......... FIX 31359WW98 April 2028
TT(3)....... FIX 31359W X 2 2 October 2029
HV ......... FIX 31359W X 3 0 October 2029
SV ......... INV 31359W X 4 8 July 2027
FV ......... FLT 31359W X 5 5 July 2027
KB ......... FIX 31359W X 6 3 September 2027
KC ......... FIX 31359W X 7 1 November 2027
KD ......... FIX 31359W X 8 9 February 2028
KE ......... FIX 31359W X 9 7 July 2028
SC(9)....... INV 31359W Y 2 1 July 2028
FC(9)....... FLT 31359W Y 3 9 July 2028
HX ......... FIX 31359W Y 4 7 July 2028
TU ......... FIX 31359W Y 5 4 October 2029
WW(3)....... FIX 31359W Y 6 2 October 2029
TW ......... DRB 31359W Y 7 0 October 2029
SU ......... INV 31359W Y 8 8 October 2029
ST ......... INV 31359W Y 9 6 October 2029
FT ......... FLT 31359W Z 2 0 October 2029
TY ......... DRB 31359W Z 3 8 October 2029
SB(9)....... INV 31359W Z 4 6 October 2029
FB(9)....... FLT 31359W Z 5 3 October 2029
LL(3)....... FIX 31359W Z 6 1 October 2029
HY ......... FIX 31359W Z 7 9 October 2029
SP(9)....... INV 31359W Z 8 7 October 2029
SQ(9)....... INV 31359W Z 9 5 October 2029
FQ ......... FLT 31359W 2 A 8 October 2029
L .......... PO 31359W 2 B 6 October 2029
M .......... PO 31359W 2 C 4 October 2029
PO ......... PO 31359W 2 D 2 October 2029
PB ......... FIX 31359W 2 E 0 July 2017
PD ......... FIX 31359W 2 F 7 October 2019
PE ......... FIX 31359W 2 G 5 May 2023
PF ......... FIX 31359W 2 H 3 August 2025
PG ......... FIX 31359W 2 J 9 April 2028
PH ......... FIX 31359W 2 K 6 October 2029
R .......... FIX 31359W 2 L 4 October 2029
PI ......... FIX/IO 31359W2M2 October 2029
GA ......... FIX 31359W 2 N 0 August 2029
GB ......... FIX 31359W 2 P 5 October 2029
HB ......... FIX 31359W 2 Q 3 July 2027
HD ......... FIX 31359W 2 R 1 March 2028
HE ......... FIX 31359W 2 S 9 October 2029
HH(3)....... FIX 31359W 2 T 7 October 2029
H .......... PO 31359W 2 U 4 October 2029
A .......... FIX 31359W 2 V 2 December 2028
C .......... FIX 31359W2W0 October 2029
N .......... PO 31359W 2 X 8 September 2029
S .......... INV/IO 31359W 2 Y 6 September 2029
F .......... FLT 31359W 2 Z 3 September 2029
DA ......... FIX 31359W 3 A 7 November 2026
DB ......... FIX 31359W 3 B 5 September 2029
SN ......... INV/IO 31359W 3 C 3 September 2029
FN ......... FLT 31359W 3 D 1 September 2029
BA ......... FIX 31359W 3 E 9 February 2028
BC ......... FIX 31359W 3 F 6 October 2029
SJ ......... INV/IO 31359W 3 G 4 October 2029
FJ ......... FLT 31359W 3 H 2 October 2029
J ......... PO 31359W 3 J 8 October 2029
RL ......... NPR 31359W 3 K 5 October 2029
</TABLE>
<TABLE>
<S> <C>
(1) Notional balance. These classes are (7) The YW Class will bear interest during the first
interest only classes. twenty-four interest accrual periods at the annual rate of
(2) Based on LIBOR. 8.0% and will bear interest thereafter at the annual
(3) The UU, VV, YY, TT, WW, LL and HH rate of 7.5%.
Classes are retail classes. (8) The TW Class will bear interest during the first
(4) The retail certificates are offered thirty-six interest accrual periods at the annual rate of
in $1,000 increments. 8.00% and will bear interest thereafter at the annual
(5) The UG Class will bear interest rate of 7.50%.
during the first twelve interest (9) Exchangeable classes.
accrual periods at the annual rate (10) Principal only classes.
of 8.5% and will bear interest
thereafter at the annual rate of
7.5%.
(6) The UF and TY Classes will each
bear interest during the first
twenty-four interest accrual periods
at the annual rate of 8.5% and will
bear interest thereafter at the annual
rate of 7.5%.
</TABLE>
------------------
If you own certificates of certain classes, you can exchange them for the
corresponding RCR certificates to be issued at the time of the exchange. The SY,
HM and HN Classes are the RCR classes, as further described in this prospectus
supplement.
------------------
The dealer will offer the certificates from time to time in negotiated
transactions at varying prices. We expect the settlement date to be September
30, 1999.
---------------------
MERRILL LYNCH & CO.
---------------------
August 11, 1999
<PAGE> 153
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
AVAILABLE INFORMATION.......................... S- 3
REFERENCE SHEET................................ S- 4
ADDITIONAL RISK FACTORS........................ S-12
DESCRIPTION OF THE CERTIFICATES................ S-13
GENERAL...................................... S-13
Structure.................................. S-13
Fannie Mae Guaranty........................ S-14
Characteristics of Certificates............ S-14
Authorized Denominations................... S-15
Distribution Dates......................... S-15
Record Date................................ S-15
Class Factors.............................. S-15
Optional Termination....................... S-15
CHARACTERISTICS OF THE RETAIL CERTIFICATES... S-16
General.................................... S-16
Method of Payment.......................... S-16
Retail Interest Payments................... S-16
Retail Principal Payments.................. S-17
General.................................. S-17
Rounding of Retail Principal Payments.... S-17
Retail Principal Payment Requests........ S-17
Withdrawing a Retail Principal Payment
Request................................ S-17
Excess Retail Principal Payment by Random
Lot.................................... S-18
Beneficial Owners........................ S-18
Tax Information.......................... S-19
Certain Principal Payment Considerations... S-19
Weighted Average Lives of the Retail
Certificates............................. S-20
Investment Determination................... S-28
COMBINATION AND RECOMBINATION................ S-29
General.................................... S-29
Procedures................................. S-29
Additional Considerations.................. S-29
BOOK-ENTRY PROCEDURES........................ S-29
General.................................... S-29
Method of Payment.......................... S-30
THE MBS...................................... S-30
THE GINNIE MAE CERTIFICATES.................. S-31
FINAL DATA STATEMENT......................... S-32
DISTRIBUTIONS OF INTEREST.................... S-32
Categories of Classes...................... S-32
General.................................... S-33
Interest Accrual Periods................... S-34
Notional Classes........................... S-34
Descending Rate Classes.................... S-34
</TABLE>
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Floating Rate and Inverse Floating Rate
Classes.................................. S-34
CALCULATION OF LIBOR......................... S-35
DISTRIBUTIONS OF PRINCIPAL................... S-35
Categories of Classes...................... S-35
Principal Distribution Amount.............. S-36
Certain Calculations Relating to the Group
4 and Group 5 Ginnie Mae Certificates.... S-36
Group 1 Principal Distribution Amount...... S-37
Group 2 Principal Distribution Amount...... S-39
Group 3 Principal Distribution Amount...... S-40
Group 4 Principal Distribution Amount...... S-40
Group 5 Principal Distribution Amount...... S-40
Group 6 Principal Distribution Amount...... S-40
Group 7 Principal Distribution Amount...... S-40
STRUCTURING ASSUMPTIONS...................... S-40
Pricing Assumptions........................ S-40
Prepayment Assumptions..................... S-41
Structuring Ranges......................... S-41
Initial Effective Ranges................... S-42
YIELD TABLES................................. S-43
General.................................... S-43
The Inverse Floating Rate Classes.......... S-43
The Principal Only Classes................. S-46
The JE and PI Classes...................... S-48
WEIGHTED AVERAGE LIVES OF THE CERTIFICATES... S-48
DECREMENT TABLES............................. S-49
CHARACTERISTICS OF THE R AND RL CLASSES...... S-58
CERTAIN ADDITIONAL FEDERAL INCOME TAX
CONSEQUENCES................................. S-58
REMIC ELECTIONS AND SPECIAL TAX ATTRIBUTES... S-58
TAXATION OF BENEFICIAL OWNERS OF REGULAR
CERTIFICATES............................... S-59
TAXATION OF BENEFICIAL OWNERS OF RESIDUAL
CERTIFICATES............................... S-59
TAXATION OF BENEFICIAL OWNERS OF RCR
CERTIFICATES............................... S-59
General.................................... S-59
Combination RCR Classes.................... S-60
Exchanges.................................. S-60
PLAN OF DISTRIBUTION........................... S-60
General.................................... S-60
Increase in Certificates................... S-60
LEGAL MATTERS.................................. S-60
SCHEDULE 1..................................... A- 1
PRINCIPAL BALANCE SCHEDULES.................... B- 1
</TABLE>
S-2
<PAGE> 154
AVAILABLE INFORMATION
You should purchase the certificates only if you have read and understood
this prospectus supplement and the following documents (the "Disclosure
Documents"):
- our Prospectus for Guaranteed REMIC Pass-Through Certificates dated
September 18, 1998 (the "REMIC Prospectus");
- our Prospectus for Guaranteed Mortgage Pass-Through Certificates dated
October 1, 1998 (the "MBS Prospectus"); and
- our Information Statement dated March 31, 1999 and its supplements (the
"Information Statement").
You can obtain the Disclosure Documents by writing or calling us at:
Fannie Mae
MBS Helpline
3900 Wisconsin Avenue, N.W., Area 2H-3S
Washington, D.C. 20016
(telephone 1-800-237-8627 or 202-752-6547).
Most of the Disclosure Documents, together with the class factors, are available
on our website located at http://www.fanniemae.com.
You also can obtain the Disclosure Documents by writing or calling the dealer
at:
Merrill Lynch, Pierce, Fenner & Smith Incorporated
Prospectus Department
44B Colonial Drive
Piscataway, New Jersey 08854
(telephone 732-885-2760).
S-3
<PAGE> 155
REFERENCE SHEET
THIS REFERENCE SHEET IS NOT A SUMMARY OF THE TRANSACTION AND DOES NOT
CONTAIN COMPLETE INFORMATION ABOUT THE CERTIFICATES. YOU SHOULD PURCHASE THE
CERTIFICATES ONLY AFTER READING THIS PROSPECTUS SUPPLEMENT AND EACH OF THE
ADDITIONAL DISCLOSURE DOCUMENTS LISTED ON PAGE S-3.
THE RETAIL CERTIFICATES (THE UU, VV, YY, TT, WW, LL AND HH CLASSES)
Description
The retail certificates represent indirect interests in the mortgage loans
underlying the related MBS. The retail certificates are guaranteed by us but are
not guaranteed by, and are not debts or obligations of, the United States.
Timing of Principal Payments
It is possible that no principal will be available for payment to holders
of the classes of retail certificates for a substantial period. Thereafter, the
amounts of principal available for payment to such holders is likely to
fluctuate, and may vary widely from period to period. See "Description of the
Certificates--Distributions of Principal--Principal Distribution Amount"
beginning on page S-36.
Investment Objective
We have structured the retail certificates to provide monthly payments to
individual investors for the long-term portion of their investment portfolios.
You should determine, after consulting with your investment advisor, whether or
not the retail certificates satisfy your individual investment objectives.
Liquidity
If you sell a retail certificate before its maturity, you may receive sales
proceeds that, after taking into account transaction costs, are less than the
amount originally invested. Merrill Lynch, Pierce, Fenner & Smith Incorporated
intends to make a market for the purchase and sale of the retail certificates
after their initial issuance, but is not obligated to do so. We cannot be sure
that a market for resale of the retail certificates will develop or, if it
develops, that it will continue.
Federal Income Taxes
Interest on the retail certificates will be taxed in the year it is earned,
which may not be the year it is paid. Annually, relevant federal income tax
information for the preceding calendar year will be mailed to investors who
owned retail certificates during that year, as required by the Internal Revenue
Service. You should be aware, however, that this information need not be
furnished before March 15 of any calendar year following a calendar year in
which income accrues on a retail certificate.
Maturity
UNLIKE MANY OTHER FIXED INCOME SECURITIES, THE RETAIL CERTIFICATES DO NOT
HAVE FIXED PRINCIPAL REDEMPTION SCHEDULES OR FIXED PRINCIPAL DISTRIBUTION DATES.
The timing of principal payments may vary considerably based upon a number of
factors, including changes in prevailing interest rates. If prevailing interest
rates decrease, principal payments on the retail certificates may accelerate due
to increased mortgage loan prepayments, and any reinvestment of those payments
might be at such lower prevailing interest rates. Conversely, if prevailing
interest rates increase, principal payments on the retail certificates may slow
down due to decreased mortgage loan prepayments, and you might not be able to
reinvest your principal at such higher prevailing interest rates. In such case,
the market value of your retail certificates is likely to have declined.
S-4
<PAGE> 156
ASSETS UNDERLYING EACH GROUP OF CLASSES
<TABLE>
<CAPTION>
GROUP ASSETS
- ----- ------
<C> <S>
1 Group 1 MBS
2 Group 2 MBS
3 Group 3 MBS
4 Group 4 Ginnie Mae Certificates
5 Group 5 Ginnie Mae Certificates
6 Group 6 MBS
7 Group 7 MBS
</TABLE>
ASSUMED CHARACTERISTICS OF THE MORTGAGE LOANS UNDERLYING THE MBS AND THE GINNIE
MAE CERTIFICATES (AS OF SEPTEMBER 1, 1999)
<TABLE>
<CAPTION>
APPROXIMATE
WEIGHTED AVERAGE
ORIGINAL REMAINING TERM
APPROXIMATE TERM TO TO MATURITY
PRINCIPAL MATURITY OR WARM
BALANCE (IN MONTHS) (IN MONTHS)
----------- ----------- ----------------
<S> <C> <C> <C>
Group 1 MBS $1,150,000,000 360 345
Group 2 MBS $ 150,000,000 360 344
Group 3 MBS $ 105,000,000 360 264
Group 4 Ginnie Mae Certificates $ 85,000,000 360 281
Group 5 Ginnie Mae Certificates $ 50,000,000 360 285
Group 6 MBS $ 50,000,000 360 321
Group 7 MBS $ 56,250,000 360 321
<CAPTION>
APPROXIMATE
CALCULATED APPROXIMATE
LOAN AGE WEIGHTED
OR WALA AVERAGE
(IN MONTHS) COUPON
----------- -----------
<S> <C> <C>
Group 1 MBS 14 7.05%
Group 2 MBS 14 6.91%
Group 3 MBS 80 8.05%
Group 4 Ginnie Mae Certificates 69 8.50%
Group 5 Ginnie Mae Certificates 75 8.00%
Group 6 MBS 34 8.12%
Group 7 MBS 36 8.60%
</TABLE>
The actual remaining terms to maturity, calculated loan ages and, except in
the case of the Group 4 and Group 5 Ginnie Mae Certificates, interest rates of
most of the mortgage loans will differ from the weighted averages shown above,
perhaps significantly.
CLASS FACTORS
The class factors are numbers that, when multiplied by the initial
principal balance of a class, can be used to calculate the current principal
balance of that class (after taking into account principal payments in the same
month). We publish the class factors on or shortly after the 11th day of each
month.
SETTLEMENT DATE
We expect to issue the certificates on September 30, 1999.
DISTRIBUTION DATES
We will make payments on the Group 1, Group 2, Group 3, Group 6 and Group 7
Classes on the 25th of each calendar month, or on the next business day if the
25th is not a business day. We will make payments on the Group 4 and Group 5
Classes on the 17th day of each calendar month, or on the next business day if
the 17th is not a business day.
RETAIL CLASS UNITS
The UU, VV, YY, TT, WW, LL and HH Classes consist of retail certificates.
We will issue each class of retail certificates in units having $1,000
denominations. Since these units cannot be divided
S-5
<PAGE> 157
into smaller denominations, you can purchase one or more retail class units in
whole but not in part. On each distribution date, principal on the retail
certificates may be paid to owners of retail class units, but only in increments
of $1,000. Accordingly, certain retail class units will be paid in full on a
particular distribution date, while the remaining retail class units will
receive no principal payments on that date. The investors in retail class units
who receive principal payments on a particular distribution date will first be
selected from those investors who request them. If on any distribution date the
amount of principal payable on any class of retail certificates exceeds the
total amount of principal requested by retail investors in that class, then
remaining retail investors in that class will be selected randomly to receive
principal payments on that date in the amount of the excess.
BOOK-ENTRY AND PHYSICAL CERTIFICATES
We will issue the book-entry certificates through the U.S. Federal Reserve
Banks and DTC, as applicable, which will electronically track ownership of the
certificates and payments on them. We will issue physical certificates in
registered, certificated form.
We will issue the classes of certificates in the following forms:
<TABLE>
<CAPTION>
FED BOOK-ENTRY DTC BOOK-ENTRY PHYSICAL
-------------- -------------- --------
<S> <C> <C>
Group 1, 2, 3, 6 and 7 Classes The Group 4 and Group 5 R and RL Classes
(other than the UU, VV, YY, Classes and the UU, VV,
TT, WW, LL and HH Classes) YY, TT, WW, LL and HH
and the related RCR Classes Classes
</TABLE>
EXCHANGING CERTIFICATES THROUGH COMBINATION AND RECOMBINATION
If you own certain certificates, you will be able to exchange them for a
proportionate interest in the related RCR certificates as shown on Schedule 1.
We will issue the RCR certificates upon such exchange. You can exchange your
certificates by notifying us and paying an exchange fee. We use the principal
and interest of the certificates exchanged to pay principal and interest on the
related RCR certificates. Schedule 1 lists all of the available combinations of
the certificates eligible for exchange and the related RCR certificates.
INTEREST PAYMENTS
We will make the first interest payments on the retail classes in October
1999 in the following approximate amounts with respect to each retail class
unit:
<TABLE>
<S> <C>
UU Class............................................
VV Class............................................
YY Class............................................
TT Class............................................
WW Class............................................
LL Class............................................
HH Class............................................
UU Class............................................ $
6.25
VV Class............................................
6.25
YY Class............................................
6.25
TT Class............................................
6.25
WW Class............................................
6.45
LL Class............................................
6.25
HH Class............................................
6.66
</TABLE>
We will continue to pay interest in those approximate amounts on each
monthly distribution date on each retail class unit until it is retired.
During each interest accrual period, the fixed rate classes will bear
interest at the applicable annual interest rates listed on the cover or
described in this prospectus supplement.
S-6
<PAGE> 158
During the initial twelve interest accrual periods, the UG Class will bear
interest at the annual rate of 8.50%. During each subsequent interest accrual
period, the UG Class will bear interest at the annual rate of 7.50%.
During the initial twenty-four interest accrual periods, the UF and TY
Classes will each bear interest at the annual rate of 8.50%. During each
subsequent interest accrual period, the UF and TY Classes will each bear
interest at the annual rate of 7.50%
During the initial twenty-four interest accrual periods, the YW Class will
bear interest at the annual rate of 8.00%. During each subsequent interest
accrual period, the YW Class will bear interest at the annual rate of 7.50%
During the initial thirty-six interest accrual periods, the TW Class will
bear interest at the annual rate of 8.00%. During each subsequent interest
accrual period, the TW Class will bear interest at the annual rate of 7.50%.
During the initial interest accrual period, the floating rate and inverse
floating rate classes will bear interest at the initial interest rates listed
below. During subsequent interest accrual periods, the floating rate and inverse
floating rate classes will bear interest based on the formulas indicated below,
but always subject to the specified maximum and minimum interest rates:
<TABLE>
<CAPTION>
INITIAL MAXIMUM MINIMUM
INTEREST INTEREST INTEREST
CLASS RATE RATE RATE
----- -------- -------- --------
<S> <C> <C> <C>
SD................... 8.38174% 22.09999% 0.0%
FD................... 5.77625% 9.00000% 0.5%
SV .................. 13.61875% 40.00000% 0.0%
FV .................. 6.27625% 9.00000% 1.0%
SC .................. 13.61875% 40.00000% 0.0%
FC .................. 6.27625% 9.00000% 1.0%
SU................... 13.00000% 13.00000% 0.0%
ST .................. 13.86957% 50.94591% 0.0%
FT................... 6.27625% 9.00000% 1.0%
SB .................. 13.61875% 40.00000% 0.0%
FB .................. 6.27625% 9.00000% 1.0%
SP .................. 12.00000% 12.00000% 0.0%
SQ .................. 14.77498% 59.99997% 0.0%
FQ................... 6.27625% 9.00000% 1.0%
S ................... 3.72375% 9.00000% 0.0%
F ................... 5.77625% 9.50000% 0.5%
SN................... 3.72375% 9.00000% 0.0%
FN................... 5.77625% 9.50000% 0.5%
SJ .................. 3.12375% 8.40000% 0.0%
FJ .................. 5.87625% 9.00000% 0.6%
SY .................. 13.61875% 40.00000% 0.0%
<CAPTION>
FORMULA FOR
CALCULATION OF
CLASS INTEREST RATE(1)
----- ----------------
<S> <C>
SD................... 22.09999% - (2.59999999 X LIBOR)
FD................... LIBOR + 50 basis points
SV .................. 40% - (5 X LIBOR)
FV .................. LIBOR + 100 basis points
SC .................. 40% - (5 X LIBOR)
FC .................. LIBOR + 100 basis points
SU................... 138.66666% - (17.33333333 X LIBOR)
ST .................. 50.94591% - (7.02702306 X LIBOR)
FT................... LIBOR + 100 basis points
SB .................. 40% - (5 X LIBOR)
FB .................. LIBOR + 100 basis points
SP .................. 95.99996% - (11.9999946 X LIBOR)
SQ .................. 59.99997% - (8.57142559 X LIBOR)
FQ................... LIBOR + 100 basis points
S ................... 9% - LIBOR
F ................... LIBOR + 50 basis points
SN................... 9% - LIBOR
FN................... LIBOR + 50 basis points
SJ .................. 8.4% - LIBOR
FJ .................. LIBOR + 60 basis points
SY .................. 40% - (5 X LIBOR)
</TABLE>
-----------------------
(1) We will establish LIBOR on the basis of the "BBA Method".
We will apply interest payments from exchanged REMIC certificates to the
corresponding RCR certificates, on a pro rata basis, following any exchange.
S-7
<PAGE> 159
NOTIONAL CLASSES
A notional class will not receive any principal. Its notional principal
balance is the balance used to calculate accrued interest. The notional
principal balances will equal the percentage of the outstanding balance
specified below immediately before the related distribution date:
<TABLE>
<CAPTION>
CLASS
-----
<S> <C>
JE................... 7.6923076923% of QE Class
PI .................. 16.6666671852% of PB, PD, PE, PF, PG, PH and R Classes
S ................... 100% of F Class
SN................... 100% of FN Class
SJ .................. 100% of the FJ Class
</TABLE>
DISTRIBUTIONS OF PRINCIPAL
Group 1 Principal Distribution Amount
1. To the LA, LB, LC and LD Classes, in that order, to their Planned
Balances.
2. (a) 26.0869109003% of the remaining amount to the LJ and LI Classes, in
that order, to their Planned Balances, and
(b) 73.9130890997% of such remaining amount as follows:
first, to the QE and LE Classes, pro rata, to their Planned
Balances;
second, to the LF and LG Classes, in that order, to their Planned
Balances; and
third, (x) 26.9875182728% of the remaining amount to the LH Class
to its Planned Balance, and
(y) 73.0124817272% of such remaining amount to the LK and LM
Classes, in that order, to their Planned Balances.
3. To the GL, FD and SD Classes, pro rata, to their Scheduled Balances.
4. (a) 22.1550830085% of the remaining amount to the L, M, UU, FQ, SQ and
SP Classes, pro rata, to zero,
(b) 21.8443339158% of such remaining amount as follows:
first, to the UA, UB, UC and UD Classes, in that order, to zero;
and
second, to the UE, UG, VV and UF Classes, pro rata, to zero,
(c) 7.2154548662% of such remaining amount as follows:
first, to the YT and YU Classes, in that order, to zero; and
second, to the YY, YV and YW Classes, pro rata, to zero,
(d) 5.0410001344% of such remaining amount as follows:
first, to the HT and HU Classes, in that order, to zero; and
second, to the TT and HV Classes, pro rata, to zero, and
(e) 43.7441280751% of such remaining amount as follows:
first, (x) 66.9862433391% to the FC, SC, and HX Classes, pro rata,
to zero, and
(y) 33.0137566609% in the following order:
(1) to the FV and SV Classes, pro rata, to zero; and
S-8
<PAGE> 160
(2) to the KB, KC, KD and KE Classes, in that order, to
zero; and
second, to the TY, FB, SB, LL, HY, TU, WW, TW, FT, ST and SU
Classes, pro rata, to zero.
5. To the GL, FD and SD Classes, pro rata, to zero.
6. To the LA, LB, LC and LD Classes, in that order, to zero.
7. (a) 26.0869109003% of the remaining amount to the LJ and LI Classes, in
that order, to zero, and
(b) 73.9130890997% of such remaining amount as follows:
first, to the QE and LE Classes, pro rata, to zero;
second, to the LF and LG Classes, in that order, to zero; and
third, (x) 26.9875182728% of the remaining amount to the LH Class
to zero, and
(y) 73.0124817272% of such remaining amount to the LK and LM
Classes, in that order, to zero.
Group 2 Principal Distribution Amount
(a) 14.2857146667% of that amount to the PO Class to zero, and
(b) 85.7142853333% of that amount as follows:
first, to the PB, PD, PE, PF, PG, PH and R Classes, in that order,
to their Planned Balances;
second, to the GA and GB Classes, in that order, to their Scheduled
Balances;
third, (x) 12.4999966398% of the remaining amount to the H Class to
zero, and
(y) 87.5000033602% of such remaining amount as follows:
(1) to the HB and HD Classes, in that order, to zero;
and
(2) to the HE and HH Classes, pro rata, to zero.
fourth, to the GA and GB Classes, in that order, to zero.
fifth, to the PB, PD, PE, PF, PG, PH and R Classes, in that order,
to zero.
Group 3 Principal Distribution Amount
To the A and C Classes, in that order, to zero.
Group 4 Principal Distribution Amount
To the N and F Classes, pro rata, to zero.
Group 5 Principal Distribution Amount
(a) 11.11111% of such amount to the FN Class, to zero, and
(b) 88.88889% of such amount to the DA and DB Classes, in that order, to
zero.
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<PAGE> 161
Group 6 Principal Distribution Amount
To the BA and BC Classes, in that order, to zero.
Group 7 Principal Distribution Amount
To the J and FJ Classes, pro rata, to zero.
We will apply principal payments from exchanged REMIC certificates to the
corresponding RCR certificates, on a pro rata basis, following any exchange.
WEIGHTED AVERAGE LIVES (YEARS)*
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 1 CLASSES 0% 100% 145% 250% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
LA ........................... 5.0 1.6 1.6 1.6 1.5
LB ........................... 9.8 2.5 2.5 2.5 2.0
LC ........................... 13.2 3.5 3.5 3.5 2.3
LD ........................... 15.7 4.5 4.5 4.5 2.6
LJ ........................... 17.0 5.2 5.2 5.2 2.9
LI ........................... 22.2 10.9 10.9 10.9 5.7
QE, JE and LE................. 18.3 6.0 6.0 6.0 3.2
LF ........................... 20.4 7.5 7.5 7.5 3.8
LG ........................... 23.0 11.0 11.0 11.0 5.6
LH ........................... 25.4 20.0 20.0 20.0 10.9
LK ........................... 25.3 18.5 18.5 18.5 9.7
LM............................ 26.0 24.4 24.4 24.4 14.5
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
0% 100% 125% 145% 165% 250% 500%
-- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
GL, SD and FD................. 25.4 8.4 3.5 3.5 3.5 2.7 1.1
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
0% 100% 145% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
UU**, SP, SQ, FQ, L, M and
SY............................ 28.9 22.1 15.5 2.1 0.7
UA............................ 27.7 16.3 0.8 0.2 0.1
UB............................ 27.8 16.9 1.8 0.4 0.2
UC............................ 27.9 17.3 2.6 0.5 0.2
UD............................ 28.0 17.6 3.3 0.6 0.2
UE, UG, VV** and UF........... 29.1 23.0 17.9 2.3 0.8
YT and HT..................... 27.9 17.0 2.1 0.4 0.2
YU............................ 28.3 18.9 10.4 1.1 0.4
YY**, YV, YW, TT** and HV..... 29.3 24.1 20.3 2.7 0.9
HU............................ 28.3 18.9 10.4 1.1 0.4
SV and FV..................... 27.7 16.3 0.7 0.2 0.1
KB............................ 27.8 16.9 1.8 0.4 0.2
KC............................ 28.0 17.5 3.1 0.6 0.2
KD............................ 28.2 18.5 8.1 0.9 0.4
KE............................ 28.5 20.1 14.0 1.4 0.6
SC, FC, HX and HN............. 28.2 18.5 8.0 0.9 0.4
TU, WW**, TW, SU, ST, FT, TY,
SB, FB, LL**, HM and HY..... 29.4 24.8 21.3 2.9 1.0
</TABLE>
S-10
<PAGE> 162
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 2 CLASSES 0% 100% 130% 250% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
PB ........................... 8.8 2.5 2.5 2.5 1.9
PD ........................... 15.3 4.5 4.5 4.5 2.6
PE ........................... 18.0 6.0 6.0 6.0 3.2
PF ........................... 20.6 8.0 8.0 8.0 4.1
PG ........................... 22.9 11.0 11.0 11.0 5.6
PH............................ 24.9 17.5 17.5 17.5 9.2
R ............................ 26.9 26.9 26.9 26.9 17.4
PI ........................... 17.3 7.7 7.7 7.7 4.2
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------------
0% 100% 115% 130% 155% 250% 500%
-- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
GA............................ 24.4 5.9 2.5 2.5 2.5 2.0 1.0
GB............................ 27.1 13.9 11.0 11.0 11.0 6.8 1.7
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
0% 100% 130% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
PO ........................... 20.8 10.7 9.3 5.8 3.1
HB ........................... 27.4 15.5 3.3 0.4 0.2
HD............................ 28.0 18.1 13.7 1.2 0.5
H ............................ 28.7 21.2 16.7 2.1 0.8
HE and HH**................... 29.2 23.9 21.5 3.0 1.0
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 3 CLASSES 0% 100% 177% 350% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 20.8 7.8 5.5 3.0 2.1
C ............................ 29.6 20.4 18.3 12.5 9.0
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 4 CLASSES 0% 100% 180% 350% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
N, S and F.................... 20.8 9.4 6.8 3.9 2.7
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 5 CLASSES 0% 100% 158% 350% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
DA............................ 18.1 6.6 4.7 2.3 1.5
DB............................ 28.6 19.2 16.5 9.5 6.6
SN and FN..................... 20.5 9.4 7.4 3.9 2.7
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 6 CLASSES 0% 100% 184% 350% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
BA............................ 20.0 7.8 4.9 2.6 1.8
BC............................ 29.2 22.6 17.9 10.9 7.5
</TABLE>
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
GROUP 7 CLASSES 0% 100% 199% 350% 500%
--------------- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
SJ, FJ and J.................. 21.8 10.4 6.7 4.0 2.7
</TABLE>
-------------------------
* Determined as specified under "Description of the
Certificates--Weighted Average Lives of the Certificates" in this
prospectus supplement. Prepayments will not occur at any assumed
rate shown or any other constant rate, and the actual weighted
average lives of the certificates are likely to differ from those
shown, perhaps significantly.
** The weighted average lives shown in the table apply to the entire
retail classes as a whole and are not likely to reflect the
experience of any particular investor in the classes of retail
certificates. Because investors will receive principal
distributions subject to the distribution priorities and
allocations as described under "Description of the
Certificates--Characteristics of the Retail Certificates--Retail
Principal Payments" in this prospectus supplement, the weighted
average lives of retail class units will vary among individual
investors. See "Description of the Certificates--Characteristics of
the Retail Certificates--Certain Principal Payment Considerations"
in this prospectus supplement.
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<PAGE> 163
ADDITIONAL RISK FACTORS
The rate of principal payments on the certificates will be affected by the
rate of principal payments on the underlying mortgage loans. The rate at which
you receive principal payments on the certificates will be sensitive to the rate
of principal payments on the mortgage loans underlying the related MBS or Ginnie
Mae certificates, including prepayments. Because borrowers generally may prepay
their mortgage loans at any time without penalty, the rate of principal payments
on the mortgage loans is likely to vary over time. It is highly unlikely that
the mortgage loans will prepay
- at any of the prepayment rates we assumed in this prospectus supplement,
or
- at any constant prepayment rate until maturity.
Yields may be lower than expected due to unexpected rate of principal
payments. The actual yield on your certificates probably will be lower than you
expect:
- if you buy your certificates at a premium and principal payments are
faster than you expect, or
- if you buy your certificates at a discount and principal payments are
slower than you expect.
Furthermore, in the case of interest only certificates and certificates
purchased at a premium, you could lose money on your investment if prepayments
occur at a rapid rate.
YOU MUST MAKE YOUR OWN DECISIONS ABOUT THE VARIOUS APPLICABLE ASSUMPTIONS,
INCLUDING PREPAYMENT ASSUMPTIONS, WHEN DECIDING WHETHER TO PURCHASE THE
CERTIFICATES.
Weighted average lives and yields on the certificates are affected by
actual characteristics of the underlying mortgage loans. We have assumed that
the mortgage loans underlying the MBS and the Ginnie Mae certificates have
certain characteristics. However, the actual mortgage loans probably will have
different characteristics from those we assumed. As a result, your yields could
be lower than you expect, even if the mortgage loans prepay at the indicated
constant prepayment rates. In addition, slight differences between the assumed
mortgage loan characteristics and the actual mortgage loans could affect the
weighted average lives of the classes of certificates.
Level of floating rate index affects yields on certain certificates. The
yield on any floating rate or inverse floating rate certificate will be affected
by the level of its interest rate index. If the level of the index differs from
the level you expect, then your actual yield may be lower than you expect.
Delay classes have lower yields and market values. Since certain classes do
not receive interest immediately following each interest accrual period, these
classes have lower yields and lower market values than they would if there were
no such delay.
Reinvestment of certificate payments may not achieve same yields as
certificates. The rate of principal payments of the certificates is uncertain.
You may be unable to reinvest the payments on the certificates at the same
yields provided by the certificates.
Unpredictable timing of last payment affects yields on certificates. The
actual final payment of your class is likely to occur earlier, and could occur
much earlier, than the final distribution date listed on the cover page of this
prospectus supplement. If you assume that the actual final payment will occur on
the final distribution date specified, your yield could be lower than you
expect.
Some investors may be unable to buy certain classes. Investors whose
investment activities are subject to legal investment laws and regulations, or
to review by regulatory authorities, may be unable to buy certain certificates.
You should obtain legal advice to determine whether you may purchase the
certificates.
Uncertain market for the certificates could make them difficult to sell and
cause their values to fluctuate. We cannot be sure that a market for resale of
the certificates will develop. Further, if a market develops, it may not
continue or be sufficiently liquid to allow you to sell your certificates. Even
if you are able to sell your certificates, the sale price may not be comparable
to similar investments that have a developed mar-
S-12
<PAGE> 164
ket. Moreover, you may not be able to sell small or large amounts of
certificates at prices comparable to those available to other investors. You
should purchase certificates only if you understand and can tolerate the risk
that the value of your certificates will vary over time and that your
certificates may not be easily sold.
ADDITIONAL RISK FACTORS AFFECTING THE RETAIL CERTIFICATES
We cannot predict the timing of honoring requests for principal payments on
the retail certificates. Owners of retail certificates may request payments of
principal, but several factors affect the timing of honoring these requests.
- Principal payments on the classes of retail certificates will be affected
by the timing of principal distributions on the Group 1 MBS and Group 2
MBS, as applicable.
- Principal payments on the classes of retail certificates will also be
affected by the payment priorities governing the Group 1 and Group 2
Classes, as applicable, including the classes of retail certificates. In
particular, the classes of retail certificates are entitled to receive
principal payments on any distribution date only after scheduled payments
have been made on specified classes and only after certain other classes
have been retired. As a result, the classes of retail certificates may
receive no principal payments for a substantial period and thereafter may
receive principal payments that vary widely from period to period.
- Other owners of retail certificates might be entitled to earlier
principal payments because they submitted earlier requests.
- Requests submitted on behalf of deceased owners of retail certificates
are honored in substantially greater amounts than requests submitted by
living owners.
We cannot provide any assurance about whether or when any request for
principal payment will be honored.
Retail certificates may not be appropriate for all investors. If you
require a principal payment on a specific date or a predictable stream of
principal payments, the retail certificates would not be an appropriate
investment for you.
DESCRIPTION OF THE CERTIFICATES
The material under this heading summarizes certain features of the
Certificates. You will find additional information about the Certificates in the
other sections of this prospectus supplement, as well as in the additional
Disclosure Documents and the Trust Agreement. If we use a capitalized term in
this prospectus supplement without defining it, you will find the definition of
that term in the applicable Disclosure Document or in the Trust Agreement.
GENERAL
Structure. We will create the Fannie Mae REMIC Trust specified on the
cover (the "Trust") and a separate trust (the "Lower Tier REMIC") pursuant to a
trust agreement dated as of September 1, 1999. We will issue the Guaranteed
REMIC Pass-Through Certificates (the "REMIC Certificates"), which include the
UU, VV, YY, TT, WW, LL and HH Classes (the "Retail Classes" or "Retail
Certificates"), pursuant to that trust agreement. We will issue the Combinable
and Recombinable REMIC Certificates (the "RCR Certificates" and, together with
the REMIC Certificates, the "Certificates") pursuant to a separate trust
agreement dated as of September 1, 1999 (together with the trust agreement
relating to the REMIC Certificates, the "Trust Agreement"). We will execute the
Trust Agreement in our corporate capacity and as trustee (the "Trustee"). In
general, the term "Classes" includes the Classes of REMIC Certificates and RCR
Certificates.
The Trust and the Lower Tier REMIC each will constitute a "real estate
mortgage investment conduit" ("REMIC") under the Internal Revenue Code of 1986,
as amended (the "Code").
- The REMIC Certificates (except the R and RL Classes) will be "regular
interests" in the Trust.
S-13
<PAGE> 165
- The R Class will be the "residual interest" in the Trust.
- The interests in the Lower Tier REMIC other than the RL Class (the "Lower
Tier Regular Interests") will be the "regular interests" in the Lower
Tier REMIC.
- The RL Class will be the "residual interest" in the Lower Tier REMIC.
The assets of the Trust will consist of
- the Lower Tier Regular Interests, and
- seven separate non-interest bearing cash deposits of $999.99 each
relating to the Retail Class (the "Retail Cash Deposit").
The assets of the Lower Tier REMIC will consist of
- five groups of Fannie Mae Guaranteed Mortgage Pass-Through Certificates
(the "Group 1 MBS", "Group 2 MBS", "Group 3 MBS", "Group 6 MBS" and
"Group 7 MBS" and, together, the "MBS"), and
- two groups of "fully modified pass-through" mortgage-backed securities
guaranteed as to timely payment of principal and interest by Ginnie Mae
(the "Group 4 Ginnie Mae Certificates" and "Group 5 Ginnie Mae
Certificates" and, together, the "Ginnie Mae Certificates"), and
Each MBS represents a beneficial ownership interest in a pool of first
lien, single-family, fixed-rate residential mortgage loans having the
characteristics described herein.
Each Ginnie Mae Certificate is based on and backed by a pool of mortgage
loans (together with the pools and mortgage loans underlying the MBS, the
"Pools" and "Mortgage Loans") which are either insured or guaranteed by the
Federal Housing Administration ("FHA"), the Department of Veterans Affairs
("VA") or the Rural Housing Service ("FmHA").
Fannie Mae Guaranty. We guarantee that we will distribute to
Certificateholders:
- required installments of principal and interest on the Certificates on
time, and
- the principal balance of each Class of Certificates no later than its
Final Distribution Date, whether or not we have received sufficient
payments on the MBS or the Ginnie Mae Certificates.
In addition, we guarantee that we will distribute to each holder of an MBS:
- scheduled installments of principal and interest on the underlying
Mortgage Loans on time, whether or not the related borrowers pay us, and
- the full principal balance of any underlying Mortgage Loan that is
foreclosed, whether or not we recover it.
Characteristics of Certificates. We will issue the Certificates of the
Group 1, Group 2, Group 3, Group 6 and Group 7 Classes (other than the Retail
Classes) and the related RCR Classes in book-entry form on the book-entry system
of the U.S. Federal Reserve Banks. Entities whose names appear on the book-entry
records of a Federal Reserve Bank as having had Certificates deposited in their
accounts are "Holders" or "Certificateholders."
The Retail Classes and the Group 4 and Group 5 Classes will be represented
by one or more certificates (the "DTC Certificates") to be registered at all
times in the name of the nominee of The Depository Trust Company ("DTC"), a New
York-chartered limited purpose trust company, or any successor or depository
selected or approved by us. We refer to the nominee of DTC as the "Holder" or
"Certificateholder" of the DTC Certificates. DTC will maintain the DTC
Certificates through its book-entry facilities.
A Holder is not necessarily the beneficial owner of a Certificate.
Beneficial owners ordinarily will hold Certificates through one or more
financial intermediaries, such as banks, brokerage firms and securities clearing
organizations. See "Description of Certificates--Denominations and Form" in the
REMIC Prospectus.
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<PAGE> 166
We will issue the R and RL Certificates in fully registered, certificated
form. The "Holder" or "Certificateholder" of the R or RL Certificate is its
registered owner. The R or RL Certificate can be transferred or exchanged at the
corporate trust office of the Transfer Agent, or at the office of the Transfer
Agent in New York, New York. State Street Bank and Trust Company in Boston,
Massachusetts ("State Street") will be the initial Transfer Agent. We may impose
a service charge for any registration of transfer or exchange of the R or RL
Certificate and may require payment to cover any tax or other governmental
charge. See also "--Characteristics of the R and RL Classes" below.
The Holder of the R Class will receive the proceeds of any remaining assets
of the Trust, and the Holder of the RL Class will receive the proceeds of any
remaining assets of the Lower Tier REMIC, in each case only by presenting and
surrendering the related Certificate at the office of the Paying Agent. State
Street will be the initial Paying Agent.
Authorized Denominations. We will issue the Certificates, other than the
Retail Classes and the RL Certificate, in minimum denominations of $1,000 and
whole dollar increments. We will issue each Class of Retail Certificates in an
integral number of units (the "Retail Class Units"), each of which will be
issued in a denomination of $1,000. We will issue the RL Class as a single
Certificate with no principal balance.
Distribution Dates. We will make monthly payments on the Group 1, Group 2,
Group 3, Group 6 and Group 7 Classes on the 25th day of each month (or, if the
25th day is not a business day, on the first business day after the 25th). We
will make monthly payments on the Group 4 and Group 5 Classes on the 17th day of
each month (or, if the 17th is not a business day, on the first business day
after the 17th). We refer to each such date as a "Distribution Date." We will
make the first payments to Certificateholders the month after we issue the
Certificates.
Record Date. On each Distribution Date, we will make each monthly payment
on the Certificates to Holders of record on the last day of the preceding month.
Class Factors. On or shortly after the eleventh calendar day of each
month, we will publish a factor (carried to eight decimal places) for each Class
of Certificates.
- When the applicable class factor is multiplied by the original principal
balance (or notional principal balance) of a Certificate of any Class
other than the Retail Classes, the product will equal the current
principal balance (or notional principal balance) of that Certificate
after taking into account payments on the Distribution Date in the same
month.
- When the applicable class factor is multiplied by the original aggregate
principal balance of a Class of Retail Certificates, the product will
equal the current aggregate principal balance of the Retail Certificates
of that class after taking into account payments on the Distribution Date
in the same month. As a result, the factor for each Class of Retail
Certificates will reflect the reduction in aggregate principal balance of
that Class taken as a whole, and will not reflect the reduction in
principal balance of the Retail Certificates owned by any particular
investor. For purposes of determining the factor for each Class of Retail
Certificates, we will disregard any rounding of the principal payment on
that Class.
Optional Termination. We will not terminate the Lower Tier REMIC or the
Trust by exercising our right to repurchase the Mortgage Loans underlying any
MBS unless
- only one Mortgage Loan remains in the related Pool, or
- the principal balance of the Pool is less than one percent of its
original level.
See "Description of Certificates--Termination" in the MBS Prospectus.
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<PAGE> 167
CHARACTERISTICS OF THE RETAIL CERTIFICATES
General
The UU, VV, YY, TT, WW, LL and HH Classes will consist of Retail
Certificates. Each Class of Retail Certificates will be represented by one
certificate to be registered at all times in the name of the nominee of DTC, or
any successor or depository selected or approved by us (the "Depository"). We
refer to the nominee of the Depository as the "Holder" or "Certificateholder" of
the Classes of Retail Certificates. The Depository will maintain the Classes of
Retail Certificates in even $1,000 increments through its book-entry facilities.
For purposes of calculating principal payments, each Retail Class Unit will have
the initial principal balance shown below:
<TABLE>
<CAPTION>
INITIAL PRINCIPAL NUMBER OF
CLASS BALANCE PER UNIT RETAIL CLASS UNITS
----- ----------------- ------------------
<S> <C> <C>
UU ............................... $1,000 1,000
VV ............................... 1,000 29,600
YY ............................... 1,000 9,000
TT ............................... 1,000 6,500
WW................................ 1,000 5,000
LL ............................... 1,000 15,000
HH ............................... 1,000 10,000
</TABLE>
Under its normal procedures, the Depository will record the amount of
Retail Certificates held by each firm which participates in the book-entry
system of the Depository (each, a "Depository Participant"), whether held for
its own account or on behalf of another person. Initially, State Street will act
as paying agent for the Retail Certificates. State Street will also perform
certain administrative functions in connection with the Retail Certificates.
A "beneficial owner" or an "investor" is anyone who acquires a beneficial
ownership interest in the Retail Certificates. As an investor, you will not
receive a physical certificate. Instead, your interest will be recorded on the
records of the brokerage firm, bank, thrift institution or other financial
intermediary (a "financial intermediary") that maintains an account for you. In
turn, the record ownership of the financial intermediary that holds your Retail
Class Units will be recorded by the Depository. If the intermediary is not a
Depository Participant, the record ownership of the intermediary will be
recorded by a Depository Participant acting on its behalf. Therefore, you must
rely on these various arrangements to record your ownership of the Retail
Certificates and to relay the distributions to your account. You may transfer
your beneficial ownership interest in the Retail Certificates only under the
procedures of your financial intermediary and of Depository Participants. In
general, ownership of Retail Certificates will be subject to the prevailing
rules, regulations and procedures governing the Depository and Depository
Participants.
Method of Payment
State Street will direct payments on the Classes of Retail Certificates to
the Depository in immediately available funds. In turn, the Depository will
credit the payments to the accounts of the appropriate Depository Participants,
in accordance with the Depository's procedures. These procedures currently
provide for payments made in same-day funds to be settled through the New York
Clearing House. Depository Participants and financial intermediaries will direct
the payments to the investors in Retail Certificates that they represent.
Retail Interest Payments
We will pay interest on the Classes of Retail Certificates on each
Distribution Date in an amount equal to one month's interest at the annual
interest rates of 7.5% in the case of the UU, VV, YY, TT and LL Classes, 7.75%
in the case of the WW Class, and 8.0% in the case of the HH Class, accrued on
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<PAGE> 168
their outstanding principal balances immediately before that Distribution Date.
See "--Distributions of Interest" below.
Retail Principal Payments
General. We will pay principal on each Class of Retail Certificates on any
Distribution Date (each, a "Retail Principal Payment") in increments of $1,000,
based on the priorities and limitations described in this prospectus supplement.
Either State Street or the Depository will determine the portion of the Retail
Principal Payment to be paid to particular Retail Class Units held for the
account of Depository Participants. Financial intermediaries and Depository
Participants will in turn determine the portion of the Retail Principal Payment
to be paid to particular Retail Class Units held for the account of each
investor that they represent.
Rounding of Retail Principal Payments. On each Distribution Date when
principal is to be paid on a Class of Retail Certificates (as described below
under "--Distributions of Principal"), the payment amount will be rounded to the
nearest $1,000 increment. When we first make a Retail Principal Payment to a
Class of Retail Certificates, we will round that payment upward to the nearest
$1,000 by withdrawing from the related Retail Cash Deposit the necessary amount.
After the initial Retail Principal Payment, we will apply the amount available
as principal of that Retail Class, first, to replenish the related Retail Cash
Deposit and, second, as a Retail Principal Payment (rounded to the nearest
$1,000).
We will repeat this procedure on each Distribution Date until the principal
balance of each Retail Class is reduced to zero. On any Distribution Date, a
Retail Principal Payment may be slightly more or less than it would be in the
absence of rounding, but any such difference will never exceed $999.99. The
total amount of all Retail Principal Payments made through any Distribution Date
will never be less than it would have been in the absence of rounding.
Retail Principal Payment Requests. As an investor, you may request that
principal of your Retail Class Unit or Units be paid to you in increments of
$1,000 on the earliest possible Distribution Date (each, a "Retail Principal
Payment Request"). You must submit a Retail Principal Payment Request to the
financial intermediary that maintains the account reflecting your interest in
the applicable Retail Class. If the financial intermediary is not a Depository
Participant, it must notify the related Depository Participant of the request.
The Depository Participant must then make the request to the Depository in
writing, on a form that the Depository requires.
The Depository will establish procedures for determining the order in which
it receives requests. When the Depository receives a request, it will date and
time stamp the request and forward it to State Street. State Street will not be
liable for any delay in delivery to it of Retail Principal Payment Requests or
for the withdrawal of requests.
State Street will maintain a list of Depository Participants representing
investors that have submitted Retail Principal Payment Requests. The list will
include the order of receipt and the amounts of such requests. State Street will
notify the Depository and the applicable Depository Participants as to which
requests to honor on each Distribution Date. The Depository will honor Retail
Principal Payment Requests according to the procedures, and subject to the
priorities and limitations, described below. Either State Street or the
Depository will establish the procedures for determining such priorities and
limitations. The decisions of State Street and the Depository concerning such
matters will be final and binding on all affected persons.
Withdrawing a Retail Principal Payment Request. To withdraw a Retail
Principal Payment Request, you must notify the financial intermediary that
maintains the account reflecting your interest in the applicable Retail Class.
If the financial intermediary is not a Depository Participant, it must notify
the related Depository Participant, which will forward the withdrawal to State
Street, on a form that the Depository requires. A Retail Principal Payment
Request will be considered withdrawn
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upon the transfer of beneficial ownership of the related Retail Certificate, but
only if State Street receives notification of the withdrawal on the proper form.
The Depository can honor a Retail Principal Payment Request on any
Distribution Date only if it receives the request and forwards it to State
Street by the last day of the month before the month in which that Distribution
Date occurs (the "Record Date"). The Depository can honor the withdrawal of a
request on any Distribution Date only if the Depository Participant receives the
withdrawal and forwards it to State Street by the Record Date. Priority will be
given to investors on whose behalf Retail Principal Payment Requests have been
duly received and not withdrawn. The Depository will honor requests in the
following order of priority:
(i) the Depository will honor requests on behalf of Deceased Owners
(as defined below) in the order it receives them, until it has honored each
such request in an initial amount up to $100,000 of original principal
balance per Deceased Owner; and
(ii) the Depository will honor requests on behalf of Living Owners (as
defined below) in the order it receives them, until it has honored each
such request in an initial amount up to $10,000 of original principal
balance per Living Owner.
After that, the Depository will honor requests on behalf of
- Deceased Owners, as provided in clause (i), up to an additional $100,000
of original principal balance; and
- Living Owners as provided in clause (ii), up to an additional $10,000 of
original principal balance.
The Depository will repeat this sequence of priorities until it has honored all
Retail Principal Payment Requests.
If a Retail Principal Payment Request is submitted on behalf of a Living
Owner who becomes a Deceased Owner, that request takes on the priority of a
newly-submitted request on behalf of a Deceased Owner. The Depository must
receive appropriate evidence of death and any required tax waivers and forward
these items to State Street on or before the related Record Date.
On any Distribution Date, if the Retail Principal Payment Requests for a
Class of Retail Certificates exceed the aggregate amount of principal available
for payment on that Class, those requests will automatically be honored on later
Distribution Dates, without the investor making any additional Retail Principal
Payment Requests, all in accordance with State Street's procedures.
Excess Retail Principal Payment by Random Lot. On any Distribution Date,
if a Retail Principal Payment for a Class of Retail Certificates exceeds the
amount evidenced by the related Retail Principal Payment Requests received by
State Street for that Class, the Retail Certificates of that Class in respect of
which principal payments are to be made (in increments of $1,000) will be
determined under the random lot procedures of the Depository and the established
procedures of the Depository Participants and financial intermediaries.
Accordingly, a Depository Participant or financial intermediary may choose to
allot the excess portion of the Retail Principal Payment to the accounts of some
investors (which could include that Depository Participant or financial
intermediary) without allotting such distributions to the accounts of other
investors.
Beneficial Owners. A "Deceased Owner" is a beneficial owner of Retail
Certificates who was living when that interest was acquired and whose authorized
representative provides the Depository with evidence of death satisfactory to
State Street and any tax waivers requested by State Street. A "Living Owner" is
any beneficial owner of Retail Certificates other than a Deceased Owner.
- Retail Certificates beneficially owned by tenants by the entirety, joint
tenants or tenants in common ("Tenants") are considered beneficially
owned by a single owner. The death of an individual Tenant will be
considered the death of the beneficial owner. In the event of such a
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<PAGE> 170
death, the Retail Certificates beneficially owned by the Tenants will be
eligible for the priority in principal payment described above.
- Retail Certificates beneficially owned by a trust will be considered
beneficially owned by each beneficiary of the trust. However, a trust's
beneficiaries as a group will not be considered to own more than the
principal amount of Retail Certificates owned by the related trust.
- The death of a beneficiary of a trust will be considered the death of a
beneficial owner of a share of the related Retail Certificates which
corresponds to that beneficiary's interest in the trust.
- The death of a Tenant in a tenancy which is the beneficiary of a trust
will be considered the death of the beneficiary of the trust.
- The death of a person who had been entitled to substantially all of the
beneficial ownership interests in any Retail Certificates will be
considered the death of the beneficial owner of those Retail
Certificates, regardless of the owner identified in the relevant records,
if that beneficial interest can be established to State Street's
satisfaction. Beneficial interests are considered to exist in the case 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 spouses.
Beneficial interest will include the power to sell, transfer or otherwise
dispose of Retail Certificates and the right to receive the related proceeds, as
well as interest and principal payments on the Retail Certificates.
Tax Information. As required by federal law, we will provide to Depository
Participants and financial intermediaries information that will allow beneficial
owners of the Retail Certificates to calculate properly the taxable income
attributable to the Retail Certificates. Financial intermediaries, in turn, will
be obligated to supply such information to individuals and other beneficial
owners who are not "exempt recipients." Beneficial owners should be aware,
however, that such information need not be furnished before March 15 of any
calendar year following a calendar year in which income accrues on a Retail
Certificate. The Retail Certificates may be issued with "original issue
discount" or at a premium for federal income tax purposes. YOU SHOULD BE AWARE
THAT THE BENEFICIAL OWNERS OF RETAIL CERTIFICATES MUST INCLUDE IN GROSS INCOME
ORIGINAL ISSUE DISCOUNT, IF ANY, AS IT ACCRUES UNDER A METHOD THAT GENERALLY
RESULTS IN RECOGNITION OF SOME TAXABLE INCOME IN ADVANCE OF RECEIPT OF THE CASH
ATTRIBUTABLE TO SUCH INCOME. You also should be aware that beneficial owners of
Retail Certificates should treat any premium, any original issue discount and
any market discount with respect to such Certificates in the same manner as
beneficial owners of other "regular interests" in a REMIC. See "Certain Federal
Income Tax Consequences--Taxation of Beneficial Owners of Regular Certificates"
in the REMIC Prospectus. Because the Retail Certificates will not receive
payments of principal on a pro rata basis, however, a payment in full of a
Retail Certificate may be treated as a prepayment for purposes of the premium,
original issue discount and market discount rules. Additional tax consequences
affecting beneficial owners of the Retail Certificates are discussed under
"Certain Additional Federal Income Tax Consequences--Taxation of Beneficial
Owners of Regular Certificates" in this prospectus supplement and "Certain
Federal Income Tax Consequences--Taxation of Beneficial Owners of Regular
Certificates" in the REMIC Prospectus.
Certain Principal Payment Considerations
The Retail Classes may receive no principal at all for a significant
period. Thereafter, the rate of principal payments may vary widely so that the
Retail Classes may receive little or no principal on any particular Distribution
Date. Accordingly, WE CANNOT ASSURE YOU THAT A RETAIL PRINCIPAL PAYMENT REQUEST
WILL BE HONORED, EITHER IN WHOLE OR IN PART, WITHIN ANY PARTICULAR PERIOD AFTER
IT IS SUBMITTED. In addition, the timing for honoring a Retail Principal Payment
Request will also be
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<PAGE> 171
affected by the aggregate principal balance of the related Class of Retail
Certificates beneficially owned by persons having priority to right of payment,
either:
- due to their status as Deceased Owners, or
- because they submitted their Retail Principal Payment Requests earlier.
By contrast, the amount of principal available for payment to a Retail Class on
any Distribution Date may exceed the amount necessary to satisfy the Retail
Principal Payment Requests relating to that Class. In that event, you may
receive principal payments under the random lot procedures referred to in this
prospectus supplement even if you did not request a payment.
If prevailing interest rates are higher than the interest rate on a Class
of Retail Certificates, more investors are likely to submit Retail Principal
Payment Requests. Under those circumstances, however, there may be a slower rate
of prepayments on the related Mortgage Loans. That slower rate would reduce the
funds available for the Retail Principal Payments for that Class. By contrast,
Retail Principal Payments may be greater when prevailing interest rates decline
relative to the interest rates on the related Mortgage Loans. In that event,
investors are less likely to submit Retail Principal Payment Requests, but
mortgagors are more likely to prepay the Mortgage Loans. If your Retail
Certificates are selected for payment under those conditions, you may be unable
to reinvest the amounts you receive at effective interest rates equal to the
interest rate on your Retail Certificates.
The rate of Retail Principal Payments for a Class depends on the rate of
principal payments (including prepayments) on the related Mortgage Loans.
Accordingly, we cannot predict:
- the rate at which the payments on any Class of Retail Certificates will
continue after they begin, or
- the date on which the principal balance of any Retail Class will be paid
in full.
In addition, it is possible that you might not receive Retail Principal
Payments until the applicable Final Distribution Date for each Retail Class.
The actual yield on your Retail Certificates probably will be lower than
you expect:
- if you buy your Retail Certificates at a premium and principal payments
are faster than you expect, or
- if you buy your Retail Certificates at a discount and principal payments
are slower than you expect.
See "Risk Factors--Yield Considerations" in the REMIC Prospectus and "Additional
Risk Factors" in this prospectus supplement. Also see "--Weighted Average Lives
of the Retail Certificates" and "--Distributions of Principal" below.
Weighted Average Lives of the Retail Certificates
To illustrate the effect of prepayments on principal payments to each
Retail Class, the following tables show the approximate aggregate principal
payments to each Retail Class during the periods specified. The following tables
show the amounts that would be available for principal payments at various
constant percentages of PSA (as defined below under "--Structuring
Assumptions--Prepayment Assumptions" ) based on the principal allocations
described under "--Distributions of Principal." The amounts shown have been
calculated on the basis of the Pricing Assumptions (as defined in this
prospectus supplement) and on the assumption that principal payments on the
Retail Certificates are not rounded to integral multiples of $1,000 and are made
on the Distribution Date of each month in which those payments are required to
be made. The amounts in the tables:
- are hypothetical numbers only,
- apply to each Retail Class taken as a whole, and
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- are presented solely to show the relationship between prepayments and
principal payments on each Retail Class in order to assist investors in
analyzing that relationship.
BECAUSE OF THE PAYMENT ALLOCATIONS DESCRIBED ABOVE AND BECAUSE INVESTORS IN
THE RETAIL CERTIFICATES WILL RECEIVE PRINCIPAL PAYMENTS IN INCREMENTS OF $1,000,
WE CANNOT ASSURE YOU THAT YOU WILL RECEIVE A PRINCIPAL PAYMENT ON ANY PARTICULAR
DISTRIBUTION DATE. YOU ARE URGED TO CONSULT YOUR OWN FINANCIAL ADVISORS AS TO
THE SIGNIFICANCE OF PREPAYMENTS IN TERMS OF YOUR FINANCIAL AND INVESTMENT
OBJECTIVES.
AGGREGATE RETAIL PRINCIPAL PAYMENTS ON THE UU CLASS
(FOR ILLUSTRATIVE PURPOSES ONLY)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
------------------------------------------
DISTRIBUTION DATE 0% 100% 145% 250% 500%
----------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
September 2000.................................... $ 0 $ 0 $ 39 $ 245 $ 738
September 2001.................................... 0 0 49 292 262
September 2002.................................... 0 0 40 220 0
September 2003.................................... 0 0 32 157 0
September 2004.................................... 0 0 25 85 0
September 2005.................................... 0 0 18 0 0
September 2006.................................... 0 0 13 0 0
September 2007.................................... 0 0 8 0 0
September 2008.................................... 0 0 4 0 0
September 2009.................................... 0 0 3 0 0
September 2010.................................... 0 0 5 0 0
September 2011.................................... 0 0 10 0 0
September 2012.................................... 0 0 52 0 0
September 2013.................................... 0 0 55 0 0
September 2014.................................... 0 0 56 0 0
September 2015.................................... 0 7 56 0 0
September 2016.................................... 0 84 55 0 0
September 2017.................................... 0 85 54 0 0
September 2018.................................... 0 85 52 0 0
September 2019.................................... 0 84 50 0 0
September 2020.................................... 0 83 47 0 0
September 2021.................................... 0 81 45 0 0
September 2022.................................... 0 79 42 0 0
September 2023.................................... 0 77 39 0 0
September 2024.................................... 0 75 36 0 0
September 2025.................................... 0 72 34 0 0
September 2026.................................... 0 70 31 0 0
September 2027.................................... 151 67 29 0 0
September 2028.................................... 405 50 22 0 0
September 2029.................................... 444 0 0 0 0
Total*.......................................... $1,000 $1,000 $1,000 $1,000 $1,000
</TABLE>
- ---------------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
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<PAGE> 173
AGGREGATE RETAIL PRINCIPAL PAYMENTS ON THE VV CLASS
(FOR ILLUSTRATIVE PURPOSES ONLY)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------
DISTRIBUTION DATE 0% 100% 145% 250% 500%
----------------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
September 2000............................... $ 0 $ 0 $ 0 $ 3,363 $20,486
September 2001............................... 0 0 0 10,137 9,114
September 2002............................... 0 0 0 7,665 0
September 2003............................... 0 0 412 5,463 0
September 2004............................... 0 0 853 2,972 0
September 2005............................... 0 0 630 0 0
September 2006............................... 0 0 437 0 0
September 2007............................... 0 0 270 0 0
September 2008............................... 0 0 127 0 0
September 2009............................... 0 0 90 0 0
September 2010............................... 0 0 180 0 0
September 2011............................... 0 0 344 0 0
September 2012............................... 0 0 1,825 0 0
September 2013............................... 0 0 1,912 0 0
September 2014............................... 0 0 1,952 0 0
September 2015............................... 0 0 1,953 0 0
September 2016............................... 0 0 1,926 0 0
September 2017............................... 0 941 1,875 0 0
September 2018............................... 0 2,959 1,809 0 0
September 2019............................... 0 2,935 1,730 0 0
September 2020............................... 0 2,891 1,643 0 0
September 2021............................... 0 2,832 1,551 0 0
September 2022............................... 0 2,762 1,456 0 0
September 2023............................... 0 2,683 1,360 0 0
September 2024............................... 0 2,598 1,265 0 0
September 2025............................... 0 2,510 1,172 0 0
September 2026............................... 0 2,419 1,082 0 0
September 2027............................... 66 2,327 995 0 0
September 2028............................... 14,078 1,744 750 0 0
September 2029............................... 15,456 0 0 0 0
Total*..................................... $29,600 $29,600 $29,600 $29,600 $29,600
</TABLE>
- ---------------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
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<PAGE> 174
AGGREGATE RETAIL PRINCIPAL PAYMENTS ON THE YY CLASS
(FOR ILLUSTRATIVE PURPOSES ONLY)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
------------------------------------------
DISTRIBUTION DATE 0% 100% 145% 250% 500%
----------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
September 2000.................................... $ 0 $ 0 $ 0 $ 0 $5,460
September 2001.................................... 0 0 0 2,747 3,540
September 2002.................................... 0 0 0 2,977 0
September 2003.................................... 0 0 0 2,122 0
September 2004.................................... 0 0 0 1,154 0
September 2005.................................... 0 0 0 0 0
September 2006.................................... 0 0 0 0 0
September 2007.................................... 0 0 0 0 0
September 2008.................................... 0 0 0 0 0
September 2009.................................... 0 0 0 0 0
September 2010.................................... 0 0 0 0 0
September 2011.................................... 0 0 0 0 0
September 2012.................................... 0 0 0 0 0
September 2013.................................... 0 0 254 0 0
September 2014.................................... 0 0 758 0 0
September 2015.................................... 0 0 759 0 0
September 2016.................................... 0 0 748 0 0
September 2017.................................... 0 0 728 0 0
September 2018.................................... 0 0 702 0 0
September 2019.................................... 0 158 672 0 0
September 2020.................................... 0 1,123 638 0 0
September 2021.................................... 0 1,100 602 0 0
September 2022.................................... 0 1,073 565 0 0
September 2023.................................... 0 1,042 528 0 0
September 2024.................................... 0 1,009 491 0 0
September 2025.................................... 0 975 455 0 0
September 2026.................................... 0 939 420 0 0
September 2027.................................... 0 904 386 0 0
September 2028.................................... 2,997 677 291 0 0
September 2029.................................... 6,003 0 0 0 0
Total*.......................................... $9,000 $9,000 $9,000 $9,000 $9,000
</TABLE>
- ---------------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
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<PAGE> 175
AGGREGATE RETAIL PRINCIPAL PAYMENTS ON THE TT CLASS
(FOR ILLUSTRATIVE PURPOSES ONLY)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
------------------------------------------
DISTRIBUTION DATE 0% 100% 145% 250% 500%
----------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
September 2000.................................... $ 0 $ 0 $ 0 $ 0 $3,944
September 2001.................................... 0 0 0 1,985 2,556
September 2002.................................... 0 0 0 2,149 0
September 2003.................................... 0 0 0 1,532 0
September 2004.................................... 0 0 0 833 0
September 2005.................................... 0 0 0 0 0
September 2006.................................... 0 0 0 0 0
September 2007.................................... 0 0 0 0 0
September 2008.................................... 0 0 0 0 0
September 2009.................................... 0 0 0 0 0
September 2010.................................... 0 0 0 0 0
September 2011.................................... 0 0 0 0 0
September 2012.................................... 0 0 0 0 0
September 2013.................................... 0 0 186 0 0
September 2014.................................... 0 0 547 0 0
September 2015.................................... 0 0 548 0 0
September 2016.................................... 0 0 540 0 0
September 2017.................................... 0 0 526 0 0
September 2018.................................... 0 0 507 0 0
September 2019.................................... 0 117 485 0 0
September 2020.................................... 0 811 461 0 0
September 2021.................................... 0 794 435 0 0
September 2022.................................... 0 774 408 0 0
September 2023.................................... 0 752 381 0 0
September 2024.................................... 0 729 355 0 0
September 2025.................................... 0 704 329 0 0
September 2026.................................... 0 678 303 0 0
September 2027.................................... 0 652 279 0 0
September 2028.................................... 2,166 489 210 0 0
September 2029.................................... 4,334 0 0 0 0
Total*.......................................... $6,500 $6,500 $6,500 $6,500 $6,500
</TABLE>
- ---------------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
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<PAGE> 176
AGGREGATE RETAIL PRINCIPAL PAYMENTS ON THE WW CLASS
(FOR ILLUSTRATIVE PURPOSES ONLY)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
------------------------------------------
DISTRIBUTION DATE 0% 100% 145% 250% 500%
----------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
September 2000.................................... $ 0 $ 0 $ 0 $ 0 $2,698
September 2001.................................... 0 0 0 933 2,302
September 2002.................................... 0 0 0 1,936 0
September 2003.................................... 0 0 0 1,380 0
September 2004.................................... 0 0 0 751 0
September 2005.................................... 0 0 0 0 0
September 2006.................................... 0 0 0 0 0
September 2007.................................... 0 0 0 0 0
September 2008.................................... 0 0 0 0 0
September 2009.................................... 0 0 0 0 0
September 2010.................................... 0 0 0 0 0
September 2011.................................... 0 0 0 0 0
September 2012.................................... 0 0 0 0 0
September 2013.................................... 0 0 0 0 0
September 2014.................................... 0 0 0 0 0
September 2015.................................... 0 0 298 0 0
September 2016.................................... 0 0 486 0 0
September 2017.................................... 0 0 474 0 0
September 2018.................................... 0 0 457 0 0
September 2019.................................... 0 0 437 0 0
September 2020.................................... 0 0 415 0 0
September 2021.................................... 0 695 392 0 0
September 2022.................................... 0 698 368 0 0
September 2023.................................... 0 678 344 0 0
September 2024.................................... 0 656 320 0 0
September 2025.................................... 0 634 296 0 0
September 2026.................................... 0 611 273 0 0
September 2027.................................... 0 588 251 0 0
September 2028.................................... 1,096 441 190 0 0
September 2029.................................... 3,904 0 0 0 0
Total*.......................................... $5,000 $5,000 $5,000 $5,000 $5,000
</TABLE>
- ---------------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
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<PAGE> 177
AGGREGATE RETAIL PRINCIPAL PAYMENTS ON THE LL CLASS
(FOR ILLUSTRATIVE PURPOSES ONLY)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------
DISTRIBUTION DATE 0% 100% 145% 250% 500%
----------------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
September 2000............................... $ 0 $ 0 $ 0 $ 0 $ 8,094
September 2001............................... 0 0 0 2,800 6,906
September 2002............................... 0 0 0 5,808 0
September 2003............................... 0 0 0 4,140 0
September 2004............................... 0 0 0 2,252 0
September 2005............................... 0 0 0 0 0
September 2006............................... 0 0 0 0 0
September 2007............................... 0 0 0 0 0
September 2008............................... 0 0 0 0 0
September 2009............................... 0 0 0 0 0
September 2010............................... 0 0 0 0 0
September 2011............................... 0 0 0 0 0
September 2012............................... 0 0 0 0 0
September 2013............................... 0 0 0 0 0
September 2014............................... 0 0 0 0 0
September 2015............................... 0 0 895 0 0
September 2016............................... 0 0 1,459 0 0
September 2017............................... 0 0 1,421 0 0
September 2018............................... 0 0 1,370 0 0
September 2019............................... 0 0 1,311 0 0
September 2020............................... 0 0 1,245 0 0
September 2021............................... 0 2,086 1,175 0 0
September 2022............................... 0 2,093 1,103 0 0
September 2023............................... 0 2,033 1,031 0 0
September 2024............................... 0 1,969 959 0 0
September 2025............................... 0 1,902 888 0 0
September 2026............................... 0 1,833 820 0 0
September 2027............................... 0 1,763 754 0 0
September 2028............................... 3,288 1,322 569 0 0
September 2029............................... 11,712 0 0 0 0
Total*..................................... $15,000 $15,000 $15,000 $15,000 $15,000
</TABLE>
- ---------------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
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<PAGE> 178
AGGREGATE RETAIL PRINCIPAL PAYMENTS ON THE HH CLASS
(FOR ILLUSTRATIVE PURPOSES ONLY)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------------------
DISTRIBUTION DATE 0% 100% 130% 250% 500%
----------------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
September 2000....................................... $ 0 $ 0 $ 0 $ 0 $ 4,698
September 2001....................................... 0 0 0 2,110 5,302
September 2002....................................... 0 0 0 3,538 0
September 2003....................................... 0 0 0 2,548 0
September 2004....................................... 0 0 0 1,740 0
September 2005....................................... 0 0 0 64 0
September 2006....................................... 0 0 0 0 0
September 2007....................................... 0 0 0 0 0
September 2008....................................... 0 0 0 0 0
September 2009....................................... 0 0 0 0 0
September 2010....................................... 0 0 0 0 0
September 2011....................................... 0 0 0 0 0
September 2012....................................... 0 0 0 0 0
September 2013....................................... 0 0 0 0 0
September 2014....................................... 0 0 0 0 0
September 2015....................................... 0 0 322 0 0
September 2016....................................... 0 0 954 0 0
September 2017....................................... 0 0 939 0 0
September 2018....................................... 0 0 915 0 0
September 2019....................................... 0 545 884 0 0
September 2020....................................... 0 1,218 849 0 0
September 2021....................................... 0 1,192 810 0 0
September 2022....................................... 0 1,162 769 0 0
September 2023....................................... 0 1,127 726 0 0
September 2024....................................... 0 1,090 684 0 0
September 2025....................................... 0 1,052 641 0 0
September 2026....................................... 0 1,013 599 0 0
September 2027....................................... 0 973 558 0 0
September 2028....................................... 3,745 627 350 0 0
September 2029....................................... 6,255 0 0 0 0
Total*............................................. $10,000 $10,000 $10,000 $10,000 $10,000
</TABLE>
- ---------------
* Total principal payments may not equal the sums of the respective columns due
to rounding.
The tables above were prepared on the basis of assumptions, which are
likely to differ from actual experience. We cannot assure you that:
- the related Mortgage Loans will have the assumed characteristics,
- the related Mortgage Loans will prepay at any of the constant rates shown
in the tables or at any other particular rate, or
- the amounts available for principal payments on the Classes of Retail
Certificates will correspond to any of the amounts shown in this
prospectus supplement.
The rates of Retail Principal Payments for any Class of Retail Certificates
will depend, in part, on the actual amortization and prepayments of the related
Mortgage Loans, which will likely include Mortgage Loans that have remaining
terms to maturity shorter or longer than those assumed and interest rates higher
or lower than those assumed. As a result, the amounts available for principal
payments on the Retail Classes are likely to differ from those shown in the
tables above even if all the related Mortgage Loans prepay at the indicated
constant percentages of PSA. In particular, the
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<PAGE> 179
diverse remaining terms to maturity of the Mortgage Loans could produce lower
yields than those produced by Mortgage Loans having the assumed characteristics.
In addition, it is extremely unlikely that the Mortgage Loans will prepay at a
constant level of PSA until maturity or that all of such Mortgage Loans will
prepay at the same rate. The timing of changes in the prepayment rates may
significantly affect the amount of principal payments and yield to maturity,
even if the average prepayment rate is consistent with an investor's
expectation. In general, the earlier the distribution of principal of the
Mortgage Loans, the greater the effect on an investor's yield to maturity. As a
result, the effect on your yield of principal prepayments at a rate slower (or
faster) than the rate you expect during the period immediately following the
issuance of the Retail Certificates will not be offset completely by a
subsequent like increase (or decrease) in the prepayment rate. You are urged to
consult your own financial advisors as to the appropriate prepayment assumption
to be used in deciding whether to purchase any Retail Certificates.
Principal payments on the Retail Certificates will also be affected by the
payment priorities governing the Group 1 and Group 2 Classes, as applicable,
including the Retail Classes. In particular, the Retail Certificates are
entitled to receive principal payments on any Distribution Date only after
scheduled payments have been made on specified Classes and, in the case of
certain Retail Certificates, only after certain other Classes have been retired.
As a result, the Retail Certificates may receive no principal payments for a
substantial period and thereafter may receive principal payments that vary
widely from period to period.
The weighted average lives of the Retail Classes shown in the tables under
"--Decrement Tables" below relate to each Class taken as a whole. As a result of
the payment priorities and allocations described above, the weighted average
lives of the Retail Certificates beneficially owned by individual investors may
vary significantly from the weighted average life of the related Retail Class as
a whole. Although we guarantee payments of principal and interest on the Retail
Certificates as described in this prospectus supplement, we can give no
assurance as to:
- any particular principal payment scenario,
- any particular weighted average life for a Class of Retail Certificates,
or
- the date or dates on which any particular investor will receive payments
of principal.
In addition, the procedures of the financial intermediaries or the Depository
may change. You should understand that you are assuming all risks and benefits
associated with the rate of principal payments on your Retail Certificates,
whether such rate is rapid or slow, and variations in that rate from time to
time. You should also consider that the effective yields to Holders of the
Retail Certificates will be lower than the yields otherwise produced because
principal and interest payable on a Distribution Date will not be paid until on
or after the 25th day following the end of the related Interest Accrual Period
and will not bear interest during that delay.
Investment Determination
The Retail Certificates may not be an appropriate investment for you if you
require a particular payment of principal on a specified date or an otherwise
predictable stream of principal payments. We cannot assure you that any investor
in the Retail Certificates will receive a principal payment (in integral
multiples of $1,000) on any particular Distribution Date. In addition, although
the Dealer intends to make a secondary market in the Retail Certificates, it is
not obligated to do so. Any market making by the Dealer may be discontinued at
any time. We cannot assure you that such a secondary market will develop, that
any secondary market will continue, or that information on any secondary market
will be as readily available as information regarding certain other types of
investments. The price of the Retail Certificates in any secondary market will
be affected by various factors. Furthermore, the volatility of the price may
differ from the volatility associated with other types of investments. Finally,
we cannot assure you that the price at which you may be able to sell a Retail
Certificate will be the same as or higher than the price at which you purchased
that Retail Certificate.
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<PAGE> 180
COMBINATION AND RECOMBINATION
General. You are permitted to exchange all or a portion of the FC, SC, FB,
SB, SP and SQ Classes of REMIC Certificates for a proportionate interest in the
related RCR Certificates in the combinations shown on Schedule 1. You also may
exchange all or a portion of the RCR Certificates for the related REMIC
Certificates in the same manner. This process may occur repeatedly.
Holders of RCR Certificates will be the beneficial owners of a
proportionate interest in the related REMIC Certificates and will receive a
proportionate share of the distributions on the related REMIC Certificates.
The Classes of REMIC Certificates and RCR Certificates that are outstanding
at any given time, and the outstanding principal balances of these Classes, will
depend upon any related distributions of principal, as well as any exchanges
that occur. The principal balances of the REMIC Certificates and RCR
Certificates involved in any exchange will bear the same relationship as that
borne by the original principal balances of the related Classes.
Procedures. If a Certificateholder wishes to exchange Certificates, the
Certificateholder must notify our Structured Transactions Department through one
of our "REMIC Dealer Group" dealers in writing or by telefax no later than two
business days before the proposed exchange date. Subject to our approval, the
exchange date can be any business day other than the first or last business day
of the month. The notice must include the outstanding principal balance of both
the Certificates to be exchanged and the Certificates to be received, and the
proposed exchange date. After receiving the Holder's notice, we will telephone
the dealer with delivery and wire payment instructions. Notice becomes
irrevocable on the second business day before the proposed exchange date.
In connection with each exchange, the Holder must pay us a fee equal to
1/32 of 1% of the outstanding principal balance of the Certificates to be
exchanged. In no event, however, will our fee be less than $2,000.
We will make the first distribution on a REMIC Certificate or an RCR
Certificate received in an exchange transaction on the Distribution Date in the
following month. We will make that distribution to the Holder of record as of
the close of business on the last day of the month of the exchange.
Additional Considerations. The characteristics of RCR Certificates will
reflect the characteristics of the REMIC Certificates used to form those RCR
Certificates. You should also consider the following factors, which will limit a
Certificateholder's ability to exchange REMIC Certificates for RCR Certificates
or vice versa.
- At the time of the proposed exchange, a Certificateholder must own
Certificates of the related Class or Classes in the proportions necessary
to make the desired exchange.
- A Certificateholder that does not own the Certificates may be unable to
obtain the necessary REMIC Certificates or RCR Certificates.
- The Certificateholder of needed Certificates may refuse to sell them at a
reasonable price (or any price) or may be unable to sell them.
- Certain Certificates may have been purchased and placed into other
financial structures and thus be unavailable.
- Principal distributions will decrease the amounts available for exchange
over time.
- Only the combinations listed on Schedule 1 are permitted.
BOOK-ENTRY PROCEDURES
General. The Fed Book-Entry Certificates will be issued and maintained
only on the book-entry system of the Federal Reserve Banks. The Fed Book-Entry
Certificates may be held of record only by entities eligible to maintain
book-entry accounts with the Federal Reserve Banks. Beneficial owners
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<PAGE> 181
ordinarily will hold Fed Book-Entry Certificates through one or more financial
intermediaries, such as banks, brokerage firms and securities clearing
organizations. A Holder that is not the beneficial owner of a Fed Book-Entry
Certificate, and each other financial intermediary in the chain to the
beneficial owner, will have to establish and maintain accounts for their
respective customers. A beneficial owner's rights with respect to us and the
Federal Reserve Banks may be exercised only through the Holder of such
Certificate. Neither we nor the Federal Reserve Banks will have any direct
obligation to a beneficial owner of a Fed Book-Entry Certificate that is not the
Holder of such Certificate. The Federal Reserve Banks will act only upon the
instructions of the Holder in recording transfers of a Fed Book-Entry
Certificate. See "Description of Certificates--Denominations and Form" in the
REMIC Prospectus.
The DTC Certificates will be registered at all times in the name of the
nominee of DTC. Under its normal procedures, DTC will record the amount of DTC
Certificates held by each firm which participates in the book-entry system of
DTC (each, a "DTC Participant"), whether held for its own account or on behalf
of another person.
A "beneficial owner" or an "investor" is anyone who acquires a beneficial
ownership interest in the DTC Certificates. As an investor, you will not receive
a physical certificate. Instead, your interest will be recorded on the records
of the brokerage firm, bank, thrift institution or other financial intermediary
(a "financial intermediary") that maintains an account for you. In turn, the
record ownership of the financial intermediary that holds your DTC Certificates
will be recorded by DTC. If the intermediary is not a DTC Participant, the
record ownership of the intermediary will be recorded by a DTC Participant
acting on its behalf. Therefore, you must rely on these various arrangements to
record your ownership of the DTC Certificates and to relay the payments to your
account. You may transfer your beneficial ownership interest in the DTC
Certificates only under the procedures of your financial intermediary and of DTC
Participants. In general, ownership of DTC Certificates will be subject to the
prevailing rules, regulations and procedures governing the DTC and DTC
Participants.
Method of Payment. Our fiscal agent for the Fed Book-Entry Certificates is
the Federal Reserve Bank of New York. On each applicable Distribution Date, the
Federal Reserve Banks will make payments on those Certificates on our behalf by
crediting Holders' accounts at the Federal Reserve Banks.
State Street will direct payments on the DTC Certificates to DTC in
immediately available funds. In turn, DTC will credit the payments to the
accounts of the appropriate DTC Participants, in accordance with the DTC's
procedures. These procedures currently provide for payments made in same-day
funds to be settled through the New York Clearing House. DTC Participants and
financial intermediaries will direct the payments to the investors in DTC
Certificates that they represent.
THE MBS
The following table contains certain information about the MBS. The MBS
included in each specified Group will have the aggregate unpaid principal
balance and Pass-Through Rate shown below and the general characteristics
described in the MBS Prospectus. The MBS provides that principal and interest on
the related Mortgage Loans are passed through monthly. The Mortgage Loans
underlying the MBS are conventional Level Payment Mortgage Loans secured by
first mortgages or deeds of trust on one- to four-family ("single-family")
residential properties. These Mortgage Loans have original maturities of up to
30 years. See "The Mortgage Pools" and "Yield Considerations" in the MBS
Prospectus. We expect the characteristics of the Group 1 MBS, Group 2 MBS, Group
3 MBS, Group 6 MBS and Group 7 MBS and the related Mortgage Loans as of
September 1, 1999 (the "Issue Date") to be as follows:
<TABLE>
<S> <C>
GROUP 1 MBS
Aggregate Unpaid Principal Balance...................... $1,150,000,000
MBS Pass-Through Rate................................... 6.50%
</TABLE>
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<PAGE> 182
<TABLE>
<S> <C>
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.75% to 9.00%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 345 months
Approximate Weighted Average CAGE....................... 14 months
GROUP 2 MBS
Aggregate Unpaid Principal Balance...................... $150,000,000
MBS Pass-Through Rate................................... 6.00%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 6.25% to 8.50%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 344 months
Approximate Weighted Average CAGE....................... 14 months
GROUP 3 MBS
Aggregate Unpaid Principal Balance...................... $105,000,000
MBS Pass-Through Rate................................... 7.50%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 7.75% to 10.00%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 264 months
Approximate Weighted Average CAGE....................... 80 months
GROUP 6 MBS
Aggregate Unpaid Principal Balance...................... $50,000,000
MBS Pass-Through Rate................................... 7.50%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 7.75% to 10.00%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 321 months
Approximate Weighted Average CAGE....................... 34 months
GROUP 7 MBS
Aggregate Unpaid Principal Balance...................... $56,250,000
MBS Pass-Through Rate................................... 8.00%
RELATED MORTGAGE LOANS
Range of WACs (per annum percentages)................... 8.25% to 10.50%
Range of WAMs........................................... 241 months to 360 months
Approximate Weighted Average WAM........................ 321 months
Approximate Weighted Average CAGE....................... 36 months
</TABLE>
THE GINNIE MAE CERTIFICATES
The Ginnie Mae Certificates in each specified Group will have the aggregate
unpaid principal balance and Pass-Through Rate shown below and the general
characteristics described in the REMIC Prospectus. All of the Ginnie Mae
Certificates are Ginnie Mae I Certificates. See "Ginnie Mae and the Ginnie Mae
Programs" in the REMIC Prospectus. We expect the characteristics of the Group 4
Ginnie Mae Certificates and Group 5 Ginnie Mae Certificates and the related
Mortgage Loans as of the Issue Date to be as follows:
<TABLE>
<S> <C>
GROUP 4 GINNIE MAE CERTIFICATES
Aggregate Unpaid Principal Balance...................... $85,000,000
Ginnie Mae Pass-Through Rate............................ 8.00%
</TABLE>
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<PAGE> 183
<TABLE>
<S> <C>
RELATED MORTGAGE LOANS
WAC..................................................... 8.50%
Range of WARMs.......................................... 241 months to 360 months
Approximate Weighted Average WARM....................... 281 months
Approximate Weighted Average WALA....................... 69 months
GROUP 5 GINNIE MAE CERTIFICATES
Aggregate Unpaid Principal Balance...................... $50,000,000
Ginnie Mae Pass-Through Rate............................ 7.50%
RELATED MORTGAGE LOANS
WAC..................................................... 8.00%
Range of WARMs.......................................... 241 months to 360 months
Approximate Weighted Average WARM....................... 285 months
Approximate Weighted Average WALA....................... 75 months
</TABLE>
FINAL DATA STATEMENT
After issuing the Certificates, we will prepare a Final Data Statement
containing certain information and(a) with respect to the MBS, the Pool number,
the current WAC (or original WAC, if the current WAC is not available) and the
current WAM (or Adjusted WAM, if the current WAM is not available) of the
Mortgage Loans underlying the MBS, and (b) with respect to each Ginnie Mae
Certificate, the Pool number, the original unpaid principal balance, the unpaid
principal balance as of the Issue Date, and the remaining term to maturity of
the latest maturity Mortgage Loan underlying that Ginnie Mae Certificate as of
the Issue Date. The Final Data Statement will also include the weighted averages
of all the current or original WACs and the weighted averages of all the current
or Adjusted WAMs, based on the current unpaid principal balances of the Mortgage
Loans underlying each of the MBS as of the Issue Date. You may obtain the Final
Data Statement by telephoning us at 1-800-237-8627 or 202-752-6547. The contents
of the Final Data Statement and other data specific to the Certificates are
available in electronic form by calling us at 1-800-752-6440 or 202-752-6000.
DISTRIBUTIONS OF INTEREST
Categories of Classes
For the purpose of interest payments, the Classes will be categorized as
follows:
<TABLE>
<CAPTION>
INTEREST TYPE* CLASSES
-------------- -------
<S> <C>
GROUP 1 CLASSES
Fixed Rate LA, LB, LC, LD, LJ, LI, QE,
JE, LE, LF, LG, LH, LK, LM,
GL, UU, UA, UB, UC, UD, UE,
VV, YT, YU, YY, YV, HT, HU,
TT, HV, KB, KC, KD, KE, HX,
TU, WW, LL and HY
Floating Rate FD, FV, FC, FT, FB and FQ
Inverse Floating Rate SD, SV, SC, SU, ST, SB, SP
and SQ
Descending Rate UG, UF, YW, TW and TY
Interest Only JE
Principal Only L and M
RCR** SY, HM and HN
</TABLE>
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<PAGE> 184
<TABLE>
<CAPTION>
INTEREST TYPE* CLASSES
-------------- -------
<S> <C>
GROUP 2 CLASSES
Principal Only PO and H
Fixed Rate PB, PD, PE, PF, PG, PH, R,
PI, GA, GB, HB, HD, HE and
HH
Interest Only PI
GROUP 3 CLASSES
Fixed Rate A and C
GROUP 4 CLASSES
Principal Only N
Interest Only S
Inverse Floating Rate S
Floating Rate F
GROUP 5 CLASSES
Fixed Rate DA and DB
Interest Only SN
Inverse Floating Rate SN
Floating Rate FN
GROUP 6 CLASSES
Fixed Rate BA and BC
GROUP 7 CLASSES
Interest Only SJ
Inverse Floating Rate SJ
Floating Rate FJ
Principal Only J
NO PAYMENT RESIDUAL RL
</TABLE>
- -------------------------------------
* See "Description of Certificates--Class Definitions and Abbreviations" in the
REMIC Prospectus.
** See "--Combination and Recombination" above and Schedule 1 for a further
description of the RCR Classes.
General. We will pay interest on the interest-bearing Certificates at the
applicable annual interest rates specified on the cover or described in this
prospectus supplement. We calculate interest based on a 360-day year consisting
of twelve 30-day months. We pay interest monthly on each Distribution Date,
beginning in the month after the Settlement Date specified in the Reference
Sheet.
Interest to be paid on each interest-bearing Certificate on a Distribution
Date will consist of one month's interest on the outstanding balance of that
Certificate immediately prior to such Distribution Date.
Interest payments on exchangeable REMIC Certificates will be applied to the
corresponding RCR Certificates, on a pro rata basis, following any exchange.
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<PAGE> 185
Interest Accrual Periods. Interest to be paid on each Distribution Date
will accrue on the interest-bearing Certificates during the applicable one-month
periods set forth below (each, an "Interest Accrual Period").
<TABLE>
<CAPTION>
CLASSES INTEREST ACCRUAL PERIODS
------- ------------------------
<S> <C>
The SD, FD, SU, ST, FT, SJ and FJ Classes One-month period beginning on the
25th day of the month preceding the
month in which the Distribution
Date occurs
The S, F, SN and FN Classes One-month period beginning on the
17th day of the month preceding the
month in which the Distribution
Date occurs
All remaining interest-bearing Classes Calendar month preceding the month in
(collectively, the "Delay Classes") which the Distribution Date occurs
</TABLE>
See "Additional Risk Factors" in this prospectus supplement.
We will treat the L, M, PO, H, N and J Classes as Delay Classes for the
sole purpose of facilitating trading.
Notional Classes. The Notional Classes will not have principal balances.
During each Interest Accrual Period, the Notional Classes will bear interest on
their notional principal balances at their applicable interest rates. The
notional principal balances of the Notional Classes will be calculated as
specified under "Reference Sheet--Notional Classes."
We use the notional principal balance of a Notional Class to determine
interest payments on that Class. Although a Notional Class will not have a
principal balance and will not be entitled to any principal payments, we will
publish a class factor for that Class. References in this prospectus supplement
to the principal balances of the Certificates generally shall refer also to the
notional principal balance of the Notional Classes.
Descending Rate Classes. The UG, UF, YW, TW and TY Classes will bear
interest at the annual interest rates specified under "Reference Sheet--Interest
Payments" in this prospectus supplement.
- We will apply an initial cash deposit of $45,000 as necessary to pay
interest on the UG Class through the 12th Distribution Date.
- We will apply an initial cash deposit of $10,000 as necessary to pay
interest on the UF Class through the 24th Distribution Date.
- We will apply an initial cash deposit of $10,000 as necessary to pay
interest on the YW Class through the 24th Distribution Date.
- We will apply an initial cash deposit of $37,500 as necessary to pay
interest on the TW Class through the 36th Distribution Date.
- We will apply an initial cash deposit of $25,680 as necessary to pay
interest on the TY Class through the 24th Distribution Date.
As of any Distribution Date, to the extent that the remaining portion of any
cash deposit exceeds the amount necessary to pay interest on the related Class
on subsequent Distribution Dates, the excess will be paid to the Holder of the
RL Class.
Floating Rate and Inverse Floating Rate Classes. During each Interest
Accrual Period, the Floating Rate and Inverse Floating Rate Classes will bear
interest at rates determined as described under "Reference Sheet--Interest
Payments."
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<PAGE> 186
Changes in the specified interest rate index (the "Index") will affect the
yields with respect to the related Classes. These changes may not correspond to
changes in mortgage interest rates. Lower mortgage interest rates could occur
while an increase in the level of the Index occurs. Similarly, higher mortgage
interest rates could occur while a decrease in the level of the Index occurs.
Our establishment of each Index value and our determination of the interest
rate for each applicable Class for the related Interest Accrual Period will be
final and binding in the absence of manifest error. You may obtain each interest
rate by telephoning us at 1-800-237-8627 or 202-752-6547.
CALCULATION OF LIBOR
On each Index Determination Date, we will calculate LIBOR for the related
Interest Accrual Period. We will calculate LIBOR on the basis of the "BBA
Method," as described in the REMIC Prospectus under "Description of
Certificates--Indexes for Floating Rate Classes and Inverse Floating Rate
Classes--LIBOR."
If we are unable to calculate LIBOR on the initial Index Determination
Date, LIBOR for the following Interest Accrual Period will be equal to 5.27625%.
DISTRIBUTIONS OF PRINCIPAL
Categories of Classes
For the purpose of principal payments, the Classes fall into the following
categories:
<TABLE>
<CAPTION>
PRINCIPAL TYPE* CLASSES
--------------- -------
<S> <C>
GROUP 1 CLASSES
PAC LA, LB, LC, LD, LJ, LI, QE, LE, LF, LG, LH, LK and LM
Scheduled GL, FD and SD
Support UU, UA, UB, UC, UD, UE, UG, VV, UF, YT, YU, YY, YV,
YW, HT, HU, TT, HV, SV, FV, KB, KC, KD, KE, FC, SC,
HX, TU, WW, TW, SU, FT, ST, TY, FB, SB, LL, HY, SP,
FQ, SQ, L and M
Notional JE
Retail UU, VV, YY, TT, WW and LL
RCR** SY, HM and HN
GROUP 2 CLASSES
Pass-Through PO
PAC PB, PD, PE, PF, PG, PH and R
Scheduled GA and GB
Support HB, HD, HE, HH and H
Retail HH
Notional PI
GROUP 3 CLASSES
Sequential Pay A and C
GROUP 4 CLASSES
Pass-Through N and F
Notional S
GROUP 5 CLASSES
Pass-Through FN
Sequential Pay DA and DB
Notional SN
</TABLE>
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<PAGE> 187
<TABLE>
<CAPTION>
PRINCIPAL TYPE* CLASSES
--------------- -------
<S> <C>
GROUP 6 CLASSES
Sequential Pay BA and BC
GROUP 7 CLASSES
Pass-Through J and FJ
Notional SJ
NO PAYMENT RESIDUAL RL
</TABLE>
- -------------------------
* See "Description of Certificates--Class Definitions and Abbreviations" in the
REMIC Prospectus.
** See "--Combination and Recombination" above and Schedule 1 for a further
description of the RCR Classes.
Principal Distribution Amount
On the Distribution Date in each month, we will pay principal on the
Certificates in an aggregate amount (the "Principal Distribution Amount") equal
to the sum of
- the principal then paid on the Group 1 MBS (the "Group 1 Principal
Distribution Amount"),
- the principal then paid on the Group 2 MBS (the "Group 2 Principal
Distribution Amount"),
- the principal then paid on the Group 3 MBS (the "Group 3 Principal
Distribution Amount"),
- the principal payable on the Group 4 Ginnie Mae Certificates, calculated
as described below (the "Group 4 Principal Distribution Amount"),
- the principal payable on the Group 5 Ginnie Mae Certificates, calculated
as described below (the "Group 5 Principal Distribution Amount"),
- the principal then paid on the Group 6 MBS (the "Group 6 Principal
Distribution Amount"), and
- the principal then paid on the Group 7 MBS (the "Group 7 Principal
Distribution Amount").
Certain Calculations Relating to the Group 4 and Group 5 Ginnie Mae
Certificates
On or about the fifth business day of each month, we will aggregate the
amount of principal reported to be payable on the Group 4 and Group 5 Ginnie Mae
Certificates that month based on published Ginnie Mae factors applicable to the
Group 4 and Group 5 Ginnie Mae Certificates.
For any Ginnie Mae Certificate for which a factor is not then available, we
will calculate the amount of scheduled principal payments distributable in
respect of that Certificate during that month based on the assumed amortization
schedules of the related Mortgage Loans. The amortization schedules will be
prepared on the assumptions that:
- each Mortgage Loan underlying a Ginnie Mae Certificate amortizes on a
level installment basis, had an original term to maturity of 360 months,
and a remaining term to maturity equal to the remaining term to maturity
of the latest maturing Mortgage Loan underlying that Ginnie Mae
Certificate at its origination, adjusted to the Issue Date; and
- each Mortgage Loan underlying a Group 4 Ginnie Mae Certificate bears an
annual interest rate of 8.5% and each Mortgage Loan underlying a Group 5
Ginnie Mae Certificates bear an annual interest rate of 8.0%.
All such amounts (whether reported in Ginnie Mae factors or calculated by
us) will be reflected in the class factors for the Distribution Date in that
month. We will pay those amounts to Holders of Certificates of the Group 4
Classes and Group 5 Classes, as applicable, on that Distribution Date, whether
or not we receive them. The class factors will also reflect (and we will also
pay) the excess of
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<PAGE> 188
(a) the distributions or principal of the Group 4 Ginnie Mae
Certificates or Group 5 Ginnie Mae Certificates, as applicable,
that we receive during the month prior to the month of that
Distribution Date,
over
(b) the amount of principal that we calculated and paid previously in
accordance with the related Ginnie Mae factors and the assumed
distribution schedules specified above.
Group 1 Principal Distribution Amount
On each Distribution Date, we will pay the Group 1 Principal Distribution
Amount as principal of the Group 1 Classes in the following priority:
<TABLE>
<S> <C>
(i) sequentially, to the LA, LB, LC and LD Classes, in that )
order, until their principal balances are reduced to their )
Planned Balances for such Distribution Date; )
)
(ii)(a) 26.0869109003% of the remaining amount, )
sequentially, to the LJ and LI Classes, in that order, until )
their principal balances are reduced to their Planned Balances )
for such Distribution Date, and )
)
(b) 73.9130890997% of such remaining amount as follows )
)
first, concurrently, to the QE and LE Classes, pro ) PAC
rata (or 14.8031185236% and 85.1968814764%, respectively), ) CLASSES
until their principal balances are reduced to their Planned )
Balances for such Distribution Date; )
)
second, sequentially, to the LF and LG Classes, in )
that order, until their principal balances are reduced to )
their Planned Balances for such Distribution Date; and )
)
third, (x) 26.9875182728% of the remaining amount to )
the LH Class, until its principal balance is reduced to its )
Planned Balance for such Distribution Date, and )
)
(y) 73.0124817272% of such remaining amount, )
sequentially, to the LK and LM Classes, in that order, )
until their principal balances are reduced to their Planned )
Balances for such Distribution Date; )
(iii) concurrently, to the GL, FD and SD Classes, pro rata )
(or 5.5634198960%, 68.2041966731% and 26.2323834309%, ) SCHEDULED
respectively), until their principal balances are reduced to ) CLASSES
their Scheduled Balances for such Distribution Date; )
</TABLE>
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<PAGE> 189
<TABLE>
<S> <C>
(iv) (a) 22.1550830085% of the remaining amount, )
concurrently, to the L, M, UU, FQ, SQ and SP Classes, pro rata )
(or 26.1659767251%, 34.0158478621%, 1.8961036814%, )
31.6017248628%, 3.6868693227% and 2.6334775459%, respectively), )
until their principal balances are reduced to zero, )
)
(b) 21.8443339158% of such remaining amount as follows: )
)
first, sequentially, to the UA, UB, UC and UD Classes, )
in that order, until their principal balances are reduced )
to zero; and )
)
second, concurrently, to the UE, UG, VV and UF )
Classes, pro rata (or 21.8361722315%, 10.1658157502%, )
66.8684769349% and 1.1295350834%, respectively), until )
their principal balances are reduced to zero, )
)
(c) 7.2154548662% of such remaining amount as follows: )
)
first, sequentially, to the YT and YU Classes, in that )
order, until their principal balances are reduced to zero; )
and )
)
second, concurrently, to the YY, YV and YW Classes, ) SUPPORT
pro rata (or 78.6283992149%, 12.6351119834% and ) CLASSES
8.7364888017%, respectively), until their principal )
balances are reduced to zero, )
)
(d) 5.0410001344% of such remaining amount as follows: )
)
first, sequentially, to the HT and HU Classes, in that )
order, until their principal balances are reduced to zero; )
and )
)
second, concurrently, to the TT and HV Classes, pro )
rata (or 81.2500000000% and 18.7500000000%, respectively), )
until their principal balances are reduced to zero, )
)
(e) 43.7441280751% of such remaining amount as follows: )
)
first, (x) 66.9862433391%, concurrently, to the FC, SC )
and HX Classes, pro rata (or 75.0122021036%, 15.0024430835% )
and 9.9853548129%, respectively), until their principal )
balances are reduced to zero, and )
)
(y) 33.0137566609% in the following order: )
)
(1) concurrently, to the FV and SV )
Classes, pro rata (or 83.3333333333% and 16.6666666667%, )
respectively), until their principal balances are reduced )
to zero; and )
)
(2) sequentially, to the KB, KC, KD and KE )
Classes, in that order, until their principal balances are )
reduced to zero; and )
)
second, concurrently, to the TY, FB, SB, LL, HY, TU, )
WW, TW, FT, ST and SU Classes, pro rata (or 2.1659545613%, )
24.9449326295%, 4.9889878754%, 25.3032074919%, )
15.6068294504%, 4.2172012487%, 8.4344024973%, )
4.2172012487%, 8.4344024973%, 1.2002812637% and )
0.4865992358%, respectively), until their principal )
balances are reduced to zero; )
(v) concurrently, to the GL, FD and SD Classes, pro rata, )
without regard to their Scheduled Balances and until their ) SCHEDULED
principal balances are reduced to zero; ) CLASSES
</TABLE>
S-38
<PAGE> 190
<TABLE>
<S> <C>
(vi) sequentially, to the LA, LB, LC and LD Classes, in that )
order, without regard to their Planned Balances and until their )
principal balances are reduced to zero; and )
)
(vii) (a) 26.0869109003% of the remaining amount, )
sequentially, to the LJ and LI Classes, in that order, without )
regard to their Planned Balances and until their principal )
balances are reduced to zero, and )
)
(b) 73.9130890997% of such remaining amount as )
follows: )
) PAC
first, concurrently, to the QE and LE Classes, pro ) CLASSES
rata, without regard to their Planned Balances and until )
their principal balances are reduced to zero; )
)
second, sequentially, to the LF and LG Classes, in )
that order, without regard to their Planned Balances and )
until their principal balances are reduced to zero; and )
)
third, (x) 26.9875182728% of the remaining amount to )
the LH Class, without regard to its Planned Balance and )
until its principal balance is reduced to zero, and )
)
(y) 73.0124817272% of such remaining amount, )
sequentially, to the LK and LM Classes, in that order, )
without regard to their Planned Balances and until their )
principal balances are reduced to zero. )
Group 2 Principal Distribution Amount
On each Distribution Date, we will pay the Group 2 Principal Distribution
Amount as principal of the Group 2 Classes in the following priority:
(a) 14.2857146667% of such amount to the PO Class, until its ) PASS-THROUGH
principal balance is reduced to zero, and ) CLASS
(b) 85.7142853333% of such amounts as follows: ) PAC
CLASSES
first, sequentially, to the PB, PD, PE, PF, PG, PH and )
R Classes, in that order, until their principal balances are )
reduced to their Planned Balances for such Distribution Date; ) SCHEDULE
) CLASSES
second, sequentially, to the GA and GB Classes, in that )
order, until their principal balances are reduced to their )
Scheduled Balances for such Distribution Date; )
third, (x) 12.4999966398% of the remaining amount to )
the H Class, until its principal balance is reduced to zero, and )
)
(y) 87.5000033602% of such remaining amount as )
follows: ) SUPPORT
(1) sequentially, to the HB and HD Classes, in that ) CLASSES
order, until their principal balances are reduced to zero; )
and )
)
(2) concurrently, to the HE and HH Classes, pro rata )
(or 36.9274709436% and 63.0725290564%, respectively), until )
their principal balances are reduced to zero; )
fourth, sequentially, to the GA and GB Classes, in that ) SCHEDULED
order, without regard to their Scheduled Balances and until their ) CLASSES
principal balances are reduced to zero; and )
</TABLE>
S-39
<PAGE> 191
<TABLE>
<S> <C>
fifth, sequentially, to the PB, PD, PE, PF, PG, PH and ) PAC
R Classes, in that order, without regard to their Planned ) CLASSES
Balances and until their principal balances are reduced to zero. )
Group 3 Principal Distribution Amount
On each Distribution Date, we will pay the Group 3 Principal ) SEQUENTIAL
Distribution Amount, sequentially, as principal of the A and C ) PAY
Classes, in that order, until their principal balances are reduced to ) CLASSES
zero.
Group 4 Principal Distribution Amount
On each Distribution Date, we will pay the Group 4 Principal )
Distribution Amount, concurrently, as principal of the N and F ) PASS-THROUGH
Classes, pro rata (or 15.7894741176% and 84.2105258824%, ) CLASSES
respectively), until their principal balances are reduced to zero. )
Group 5 Principal Distribution Amount
On each Distribution Date, we will pay the Group 5 Principal Distribution
Amount as principal of the Group 5 Classes as follows:
(a) 11.11111% of such amount to the FN Class, until its ) PASS-THROUGH
principal balance is reduced to zero, and ) CLASSES
(b) 88.88889% of such remaining amount, sequentially, to the ) SEQUENTIAL
DA and DB Classes, in that order, until their principal balances ) PAY
are reduced to zero. ) CLASSES
Group 6 Principal Distribution Amount
On each Distribution Date, we will pay the Group 6 Principal ) SEQUENTIAL
Distribution Amount, sequentially, as principal of the BA and BC ) PAY
Classes, in that order, until their principal balances are reduced to ) CLASSES
zero. )
Group 7 Principal Distribution Amount
On each Distribution Date, we will pay the Group 7 Principal )
Distribution Amount, concurrently, as principal of the J and FJ ) PASS-THROUGH
Classes, pro rata (or 11.1111111111% and 88.8888888889%, ) CLASSES
respectively), until their principal balances are reduced to zero. )
</TABLE>
Principal payments on exchangeable REMIC Certificates will be applied to
the corresponding RCR Certificates, on a pro rata basis, following any exchange.
STRUCTURING ASSUMPTIONS
Pricing Assumptions. Except where otherwise noted, the information in the
tables in this prospectus supplement has been prepared based on the following
assumptions (collectively, the "Pricing Assumptions"):
- the Mortgage Loans underlying the MBS and Ginnie Mae Certificates have
the original terms to maturity, remaining terms to maturity, CAGEs or
WALAs, and interest rates specified under "Reference Sheet--Assumed
Characteristics of the Mortgage Loans Underlying the MBS and the Ginnie
Mae Certificates";
- we pay all payments (including prepayments) on the Mortgage Loans
underlying the Ginnie Mae Certificates in the month we receive them;
PAC
CLASSES
SEQUENTIAL
PAY
CLASSES
PASS-THROUGH
CLASSES
PASS-THROUGH
CLASS
SEQUENTIAL
PAY
CLASSES
SEQUENTIAL
PAY
CLASSES
PASS-THROUGH
CLASSES
S-40
<PAGE> 192
- the Mortgage Loans prepay at the constant percentages of PSA specified in
the related table; and
- the settlement date for the sale of the Certificates is September 30,
1999.
Prepayment Assumptions. Prepayments of mortgage loans commonly are
measured relative to a prepayment standard or model. The model used here is The
Bond Market Association's standard prepayment model ("PSA"). To assume a
specified rate of PSA is to assume a specified rate of prepayment each month of
the then-outstanding principal balance of a pool of new mortgage loans computed
as described under "Description of Certificates--Prepayment Models" in the REMIC
Prospectus. It is highly unlikely that prepayments will occur at any constant
PSA rate or at any other constant rate.
Structuring Ranges. The Principal Balance Schedules are found beginning on
page B-1. The Principal Balance Schedules have been prepared on the basis of the
Pricing Assumptions and the assumption that the related Mortgage Loans will
prepay at a constant PSA rate within the applicable Structuring Range set forth
below.
<TABLE>
<CAPTION>
PRINCIPAL BALANCE
SCHEDULE REFERENCES RELATED CLASSES
- ------------------- ---------------
<S> <C>
Planned Balances LA, LB, LC, LD, LJ, LI, QE, LE, LF, LG,
LH, LK, LM, PB, PD, PE, PF, PG, PH
and R
Scheduled Balances GL, FD and SD
Scheduled Balances GA and GB
<CAPTION>
PRINCIPAL BALANCE
SCHEDULE REFERENCES STRUCTURING RANGES
- ------------------- ------------------
<S> <C>
Planned Balances Between 100% and 250%
Scheduled Balances Between 125% and 165%
Scheduled Balances Between 115% and 155%
</TABLE>
WE CANNOT ASSURE YOU THAT THE BALANCE OF ANY CLASS LISTED ABOVE WILL
CONFORM ON ANY DISTRIBUTION DATE TO THE SPECIFIED BALANCE IN THE PRINCIPAL
BALANCE SCHEDULES. AS A RESULT, WE CANNOT ASSURE YOU THAT PAYMENTS OF PRINCIPAL
OF ANY CLASS LISTED ABOVE WILL BEGIN OR END ON THE DISTRIBUTION DATES SPECIFIED
IN THE PRINCIPAL BALANCE SCHEDULES. We will distribute any excess of principal
payments over the amount needed to reduce a Class to its scheduled balance on a
Distribution Date. Accordingly, the ability to reduce a Class to its scheduled
balance will not be improved by the averaging of high and low principal payments
from month to month. In addition, even if the related Mortgage Loans prepay at
rates falling within the applicable Structuring Ranges, principal distributions
may be insufficient to reduce the applicable Classes to their scheduled balances
if such prepayments do not occur at a constant PSA rate. Moreover, because of
the diverse remaining terms to maturity of the related Mortgage Loans, which may
include recently originated Mortgage Loans, the Classes specified above may not
be reduced to their scheduled balances, even if prepayments occur at a constant
rate within the applicable Structuring Range specified above.
S-41
<PAGE> 193
Initial Effective Ranges. The Effective Range for a Class is the range of
prepayment rates (measured by constant PSA rates) that would reduce that Class
to its scheduled balance on each Distribution Date. The Initial Effective Ranges
shown in the table below are based upon the assumed characteristics of the
related Mortgage Loans specified in the Pricing Assumptions.
<TABLE>
<CAPTION>
INITIAL EFFECTIVE RANGES
------------------------
<S> <C>
LA Between 100% and 435%
LB Between 100% and 357%
LC Between 100% and 296%
LD Between 100% and 277%
LJ Between 100% and 267%
LI Between 100% and 250%
QE Between 100% and 252%
LE Between 100% and 252%
LF Between 100% and 250%
LG Between 100% and 250%
LH Between 65% and 250%
LK Between 65% and 250%
LM Between 20% and 250%
PB Between 100% and 298%
PD Between 100% and 275%
PE Between 100% and 252%
PF Between 100% and 250%
PG Between 100% and 250%
PH Between 80% and 250%
R Between 0% and 250%
GL Between 125% and 165%
FD Between 125% and 165%
SD Between 125% and 165%
GA Between 115% and 155%
GB Between 115% and 155%
</TABLE>
The actual Effective Ranges at any time will be based upon the actual
characteristics of the related Mortgage Loans at that time, which are likely to
vary (and may vary considerably) from the Pricing Assumptions. The actual
Effective Ranges calculated on the basis of the actual characteristics are
likely to differ from the Initial Effective Ranges. As a result, the applicable
Classes might not be reduced to their scheduled balances even if prepayments
were to occur at a constant PSA rate within the Initial Effective Ranges. This
is so particularly if such rate were at the lower or higher end of such ranges.
In addition, even if prepayments occur at rates falling within the actual
Effective Ranges, principal distributions may be insufficient to reduce the
applicable Classes to their scheduled balances if such prepayments do not occur
at a constant PSA rate. It is highly unlikely that the related Mortgage Loans
will prepay at any constant PSA rate. In general, the actual Effective Ranges
may narrow, widen or shift upward or downward to reflect actual prepayment
experience over time. The stability in principal payment of the PAC and
Scheduled Classes will be supported in part by the related Support Classes. When
the related Support Classes are retired, the PAC and Scheduled Classes, if still
outstanding, may no longer have Effective Ranges and will be more sensitive to
prepayments.
S-42
<PAGE> 194
YIELD TABLES
General. The tables below illustrate the sensitivity of the pre-tax
corporate bond equivalent yields to maturity of the applicable Classes to
various constant percentages of PSA and, where specified, to changes in the
Index. We calculated the yields set forth in the tables by
- determining the monthly discount rates that, when applied to the assumed
streams of cash flows to be paid on the applicable Classes, would cause
the discounted present values of such assumed streams of cash flows to
equal the assumed aggregate purchase prices of such Classes, and
- converting such monthly rates to corporate bond equivalent rates.
These calculations do not take into account variations in the interest rates at
which you could reinvest distributions on the Certificates. Accordingly, these
calculations do not illustrate the return on any investment in the Certificates
when such reinvestment rates are taken into account.
We cannot assure you that
- the pre-tax yields on the applicable Certificates will correspond to any
of the pre-tax yields shown here or
- the aggregate purchase prices of the applicable Certificates will be as
assumed.
In addition, it is unlikely that the Index will correspond to the levels
shown here. Furthermore, because some of the Mortgage Loans are likely to have
remaining terms to maturity shorter or longer than those assumed and interest
rates higher or lower than those assumed, the principal payments on the
Certificates are likely to differ from those assumed. This would be the case
even if all Mortgage Loans prepay at the indicated constant percentages of PSA.
Moreover, it is unlikely that
- the Mortgage Loans will prepay at a constant PSA rate until maturity,
- all of such Mortgage Loans will prepay at the same rate or
- the level of the Index will remain constant.
The Inverse Floating Rate Classes. THE YIELDS ON THE INVERSE FLOATING RATE
CLASSES WILL BE SENSITIVE IN VARYING DEGREES TO THE RATE OF PRINCIPAL PAYMENTS,
INCLUDING PREPAYMENTS, OF THE RELATED MORTGAGE LOANS AND TO THE LEVEL OF THE
INDEX. THE MORTGAGE LOANS GENERALLY CAN BE PREPAID AT ANY TIME WITHOUT PENALTY.
IN ADDITION, THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS) OF THE
MORTGAGE LOANS IS LIKELY TO VARY, AND MAY VARY CONSIDERABLY, FROM POOL TO POOL.
AS ILLUSTRATED IN THE APPLICABLE TABLES BELOW, IT IS POSSIBLE THAT INVESTORS IN
THE S, SN AND SJ CLASSES WOULD LOSE MONEY ON THEIR INITIAL INVESTMENTS UNDER
CERTAIN INDEX AND PREPAYMENT SCENARIOS.
Changes in the Index may not correspond to changes in prevailing mortgage
interest rates. It is possible that lower prevailing mortgage interest rates,
which might be expected to result in faster prepayments, could occur while the
level of the Index increased.
The information shown in the yield tables has been prepared on the basis of
the Pricing Assumptions and the assumptions that
- the interest rates for the Inverse Floating Rate Classes for the initial
Interest Accrual Period are the rates listed in the table under
"Reference Sheet--Interest Payments" and for each following Interest
Accrual Period will be based on the specified level of the Index, and
S-43
<PAGE> 195
- the aggregate purchase prices of such Classes (expressed in each case as
a percentage of original principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE*
----- ------
<S> <C>
SD ......................................................... 90.5000%
SV ......................................................... 92.0000%
SC ......................................................... 83.5000%
SB ......................................................... 80.5000%
ST ......................................................... 92.0000%
SU ......................................................... 92.0000%
SQ ......................................................... 92.0000%
SP ......................................................... 92.0000%
SY ......................................................... 92.0000%
S ......................................................... 7.6875%
SN ......................................................... 8.7500%
SJ ......................................................... 6.5000%
</TABLE>
-------------------------------
* The prices do not include accrued interest. Accrued interest
has been added to such prices in calculating the yields set
forth in the tables below.
SENSITIVITY OF THE SD CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------------------------------
LIBOR 50% 100% 125% 145% 165%
----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
3.27625%....................... 15.9% 16.7% 18.8% 18.8% 18.8%
5.27625%....................... 9.9% 10.6% 12.8% 12.8% 12.8%
7.27625%....................... 4.1% 4.8% 6.8% 6.8% 6.8%
8.50000%....................... 0.7% 1.3% 3.3% 3.3% 3.3%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
3.27625%....................... 19.4% 24.5%
5.27625%....................... 13.5% 18.9%
7.27625%....................... 7.7% 13.3%
8.50000%....................... 4.2% 10.0%
</TABLE>
SENSITIVITY OF THE SV CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 26.6% 26.6% 36.6%
5.27625%....................... 15.2% 15.2% 26.0%
7.27625%....................... 4.2% 4.3% 15.8%
8.00000%....................... 0.4% 0.5% 12.2%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------
LIBOR 250% 500%
----- ------ ------
<S> <C> <C>
3.27625%....................... 77.2% 153.2%
5.27625%....................... 69.6% 152.3%
7.27625%....................... 62.1% 151.3%
8.00000%....................... 59.4% 151.0%
</TABLE>
SENSITIVITY OF THE SC CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 29.4% 29.4% 31.5%
5.27625%....................... 16.8% 16.9% 18.8%
7.27625%....................... 4.8% 5.0% 6.6%
8.00000%....................... 0.8% 1.0% 2.4%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
3.27625%....................... 49.5% 86.3%
5.27625%....................... 37.5% 74.5%
7.27625%....................... 25.9% 63.1%
8.00000%....................... 21.8% 59.0%
</TABLE>
S-44
<PAGE> 196
SENSITIVITY OF THE SB CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 30.6% 30.6% 30.6%
5.27625%....................... 17.4% 17.4% 17.5%
7.27625%....................... 5.0% 5.0% 5.2%
8.00000%....................... 0.8% 0.9% 1.0%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
3.27625%....................... 36.0% 51.3%
5.27625%....................... 23.6% 39.1%
7.27625%....................... 11.8% 27.3%
8.00000%....................... 7.6% 23.1%
</TABLE>
SENSITIVITY OF THE ST CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 32.0% 32.0% 32.0%
5.27625%....................... 15.6% 15.6% 15.6%
6.27625%....................... 7.7% 7.7% 7.8%
7.25000% and above............. 0.3% 0.4% 0.4%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
3.27625%....................... 33.9% 39.4%
5.27625%....................... 18.1% 24.1%
6.27625%....................... 10.5% 16.7%
7.25000% and above............. 3.2% 9.6%
</TABLE>
SENSITIVITY OF THE SU CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
7.25% and below................ 14.6% 14.6% 14.6%
8.00%.......................... 0.3% 0.4% 0.4%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
7.25% and below................ 17.1% 23.1%
8.00%.......................... 3.2% 9.6%
</TABLE>
SENSITIVITY OF THE SQ CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 36.4% 36.4% 36.7%
5.27625%....................... 16.4% 16.5% 16.7%
6.27625%....................... 6.9% 7.0% 7.2%
7.00000% and above............. 0.3% 0.4% 0.5%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
3.27625%....................... 39.3% 45.6%
5.27625%....................... 20.0% 27.2%
6.27625%....................... 10.7% 18.3%
7.00000% and above............. 4.2% 12.1%
</TABLE>
SENSITIVITY OF THE SP CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
7.0% and below................. 13.3% 13.4% 13.6%
7.5%........................... 6.7% 6.8% 7.0%
8.0%........................... 0.3% 0.4% 0.5%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
7.0% and below................. 16.9% 24.3%
7.5%........................... 10.5% 18.1%
8.0%........................... 4.2% 12.1%
</TABLE>
S-45
<PAGE> 197
SENSITIVITY OF THE SY CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 145%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 26.6% 26.6% 26.9%
5.27625%....................... 15.1% 15.2% 15.4%
7.27625%....................... 4.1% 4.2% 4.4%
8.00000%....................... 0.3% 0.4% 0.5%
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-------------
LIBOR 250% 500%
----- ----- -----
<S> <C> <C>
3.27625%....................... 29.8% 36.6%
5.27625%....................... 18.7% 26.0%
7.27625%....................... 8.0% 15.7%
8.00000%....................... 4.2% 12.1%
</TABLE>
SENSITIVITY OF THE S CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 180%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 79.5% 75.3% 68.4%
5.27625%....................... 47.7% 44.0% 37.8%
7.27625%....................... 17.8% 14.4% 9.0%
9.00000%....................... * * *
<CAPTION>
PSA PREPAYMENT ASSUMPTION
----------------
LIBOR 350% 500%
----- ------ -------
<S> <C> <C>
3.27625%....................... 53.1% 38.7%
5.27625%....................... 24.1% 11.2%
7.27625%....................... (3.2)% (14.6)%
9.00000%....................... * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
SENSITIVITY OF THE SN CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 158%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 67.9% 63.9% 59.1%
5.27625%....................... 40.7% 37.0% 32.7%
7.27625%....................... 14.5% 11.2% 7.3%
9.00000%....................... * * *
<CAPTION>
PSA PREPAYMENT ASSUMPTION
----------------
LIBOR 350% 500%
----- ------ -------
<S> <C> <C>
3.27625%....................... 42.5% 28.7%
5.27625%....................... 17.6% 5.1%
7.27625%....................... (6.2)% (17.4)%
9.00000%....................... * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
SENSITIVITY OF THE SJ CLASS TO PREPAYMENTS AND LIBOR
(PRE-TAX YIELDS TO MATURITY)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------
LIBOR 50% 100% 199%
----- ----- ----- -----
<S> <C> <C> <C>
3.27625%....................... 85.1% 80.9% 72.3%
5.27625%....................... 48.0% 44.2% 36.6%
7.27625%....................... 12.9% 9.6% 3.0%
8.40000%....................... * * *
<CAPTION>
PSA PREPAYMENT ASSUMPTION
----------------
LIBOR 350% 500%
----- ------ -------
<S> <C> <C>
3.27625%....................... 58.7% 44.2%
5.27625%....................... 24.5% 11.8%
7.27625%....................... (7.6)% (18.7)%
8.40000%....................... * *
</TABLE>
--------------------
* The pre-tax yield to maturity would be less than (99.9)%.
The Principal Only Classes. THE L, M, PO, H, N AND J CLASSES WILL NOT BEAR
INTEREST. AS INDICATED IN THE TABLES BELOW, A LOW RATE OF PRINCIPAL PAYMENTS
(INCLUDING PREPAYMENTS) ON THE RELATED MORTGAGE LOANS WILL HAVE A NEGATIVE
EFFECT ON THE YIELDS TO INVESTORS IN THE L, M, PO, H, N AND J CLASSES.
S-46
<PAGE> 198
The information shown in the following tables has been prepared on the
basis of the Pricing Assumptions and the assumption that the aggregate purchase
prices of the L, M, PO, H, N and J Classes (expressed in each case as a
percentage of original principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE
----- -------
<S> <C>
L........................................................... 52.000%
M........................................................... 52.000%
PO.......................................................... 63.625%
H ......................................................... 51.000%
N .......................................................... 73.750%
J ......................................................... 76.000%
</TABLE>
SENSITIVITY OF THE L CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------
50% 100% 145% 250% 500%
---- ---- ---- ----- ------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to
Maturity.......... 2.6% 3.0% 4.7% 40.0% 129.9%
</TABLE>
SENSITIVITY OF THE M CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------
50% 100% 145% 250% 500%
---- ---- ---- ----- ------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to
Maturity.......... 2.6% 3.0% 4.7% 40.0% 129.9%
</TABLE>
SENSITIVITY OF THE PO CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
----------------------------------
50% 100% 130% 250% 500%
---- ---- ---- ----- -----
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to
Maturity.......... 3.6% 4.9% 5.7% 9.6% 18.5%
</TABLE>
SENSITIVITY OF THE H CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------
50% 100% 130% 250% 500%
---- ---- ---- ----- ------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to
Maturity.......... 2.7% 3.2% 4.4% 39.9% 123.6%
</TABLE>
SENSITIVITY OF THE N CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
50% 100% 180% 350% 500%
---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to
Maturity.......... 2.7% 3.5% 5.1% 9.3% 13.7%
</TABLE>
SENSITIVITY OF THE J CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------
50% 100% 199% 350% 500%
---- ---- ---- ----- ------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to
Maturity.......... 2.1% 2.9% 4.6% 8.0% 11.8%
</TABLE>
S-47
<PAGE> 199
The JE and PI Classes. THE YIELDS TO INVESTORS IN THE JE AND PI CLASSES
WILL BE VERY SENSITIVE TO THE RATE OF PRINCIPAL PAYMENTS (INCLUDING PREPAYMENTS)
OF THE RELATED MORTGAGE LOANS. THE MORTGAGE LOANS GENERALLY CAN BE PREPAID AT
ANY TIME WITHOUT PENALTY. ON THE BASIS OF THE ASSUMPTIONS DESCRIBED BELOW, THE
YIELDS TO MATURITY ON THE JE AND PI CLASSES WOULD BE 0% IF PREPAYMENTS OF THE
RELATED MORTGAGE LOANS WERE TO OCCUR AT CONSTANT RATES OF 363% PSA AND 424% PSA,
RESPECTIVELY. IF THE ACTUAL PREPAYMENT RATE OF THE RELATED MORTGAGE LOANS WERE
TO EXCEED THE LEVEL SPECIFIED WITH RESPECT TO EACH SUCH CLASS FOR AS LITTLE AS
ONE MONTH WHILE EQUALING SUCH LEVEL FOR THE REMAINING MONTHS, THE INVESTORS IN
THE JE AND PI CLASSES WOULD LOSE MONEY ON THEIR INITIAL INVESTMENTS.
The information shown in the yield tables has been prepared on the basis of
the Pricing Assumptions and the assumption that the aggregate purchase prices of
the JE and PI Classes (expressed in each case as a percentage of the original
principal balance) are as follows:
<TABLE>
<CAPTION>
CLASS PRICE*
----- -------
<S> <C>
JE.......................................................... 28.125%
PI ......................................................... 29.250%
- --------------
* The prices do not include accrued interest. Accrued interest has
been added to such prices in calculating the yields set forth in
the tables below.
</TABLE>
SENSITIVITY OF THE JE CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------------
50% 100% 145% 250% 500%
----- ----- ----- ----- -------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity................... 18.7% 11.0% 11.0% 11.0% (17.2)%
</TABLE>
SENSITIVITY OF THE PI CLASS TO PREPAYMENTS
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
-----------------------------------
50% 100% 130% 250% 500%
----- ---- ---- ---- ------
<S> <C> <C> <C> <C> <C>
Pre-Tax Yields to Maturity................... 13.6% 9.3% 9.3% 9.3% (5.0)%
</TABLE>
WEIGHTED AVERAGE LIVES OF THE CERTIFICATES
The weighted average life of a Certificate is determined by
(a) multiplying the amount of the reduction, if any, of the principal
balance of such Certificate from one Distribution Date to the next
Distribution Date by the number of years from the Settlement Date to
the second such Distribution Date,
(b) summing the results, and
(c) dividing the sum by the aggregate amount of the reductions in principal
balance of such Certificate referred to in clause (a).
For a description of the factors which may influence the weighted average
life of a Certificate, see "Description of Certificates--Weighted Average Life
and Final Distribution Date" in the REMIC Prospectus.
In general, the weighted average lives of the Certificates will be
shortened if the level of prepayments of principal of the related Mortgage Loans
increases. However, the weighted average lives will depend upon a variety of
other factors, including
- the timing of changes in such rate of principal payments,
- the priority sequences of distributions of principal of the Classes of
Certificates, and
S-48
<PAGE> 200
- in the case of certain Group 1 and Group 2 Classes, the payment of
principal of such Classes in accordance with the Principal Balance
Schedules.
See "--Distributions of Principal" above.
The effect of these factors may differ as to various Classes and the
effects on any Class may vary at different times during the life of that Class.
Accordingly, we can give no assurance as to the weighted average life of any
Class. Further, to the extent the prices of the Certificates represent discounts
or premiums to their original principal balances, variability in the weighted
average lives of such Classes of Certificates could result in variability in the
related yields to maturity. For an example of how the weighted average lives of
the Classes may be affected at various constant prepayment rates, see the
Decrement Tables below.
DECREMENT TABLES
The following tables indicate the percentages of original principal
balances of the specified Classes that would be outstanding after each date
shown at various constant PSA rates and the corresponding weighted average lives
of such Classes. The tables have been prepared on the basis of the Pricing
Assumptions. However, in the case of the information set forth for each Class
under 0% PSA, we assumed that the underlying Mortgage Loans have the original
and remaining terms to maturity and bear interest at the annual rates specified
in the table below.
<TABLE>
<CAPTION>
ORIGINAL
MORTGAGE LOANS RELATING TO TERMS
TRUST ASSETS SPECIFIED BELOW TO MATURITY
- ---------------------------- -----------
<S> <C>
Group 1 MBS 360 months
Group 2 MBS 360 months
Group 3 MBS 360 months
Group 4 Ginnie Mae
Certificates 360 months
Group 5 Ginnie Mae
Certificates 360 months
Group 6 MBS 360 months
Group 7 MBS 360 months
<CAPTION>
REMAINING
MORTGAGE LOANS RELATING TO TERMS TO INTEREST RELATED
TRUST ASSETS SPECIFIED BELOW MATURITY RATES GROUP
- ---------------------------- --------- -------- -------
<S> <C> <C> <C>
Group 1 MBS 360 months 9.0% Group 1
Group 2 MBS 360 months 8.5% Group 2
Group 3 MBS 360 months 10.0% Group 3
Group 4 Ginnie Mae
Certificates 360 months 8.5% Group 4
Group 5 Ginnie Mae
Certificates 360 months 8.0% Group 5
Group 6 MBS 360 months 10.0% Group 6
Group 7 MBS 360 months 10.5% Group 7
</TABLE>
It is unlikely
- that all of the underlying Mortgage Loans will have the CAGEs or WALAs,
remaining terms to maturity or, except in the case of the Group 4 and
Group 5 Ginnie Mae Certificates, interest rates assumed or
- that the underlying Mortgage Loans will prepay at any constant PSA level.
In addition, the diverse remaining terms to maturity of the Mortgage Loans
could produce slower or faster principal distributions than indicated in the
tables at the specified constant PSA rates. This is the case even if the
dispersion of weighted average remaining terms to maturity and the weighted
average CAGEs or WALAs of the Mortgage Loans are identical to the dispersion
specified in the Pricing Assumptions.
S-49
<PAGE> 201
PERCENT OF ORIGINAL PRINCIPAL BALANCES OUTSTANDING
<TABLE>
<CAPTION>
LA CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 90 8 8 8 0
September 2002...... 78 0 0 0 0
September 2003...... 66 0 0 0 0
September 2004...... 52 0 0 0 0
September 2005...... 38 0 0 0 0
September 2006...... 21 0 0 0 0
September 2007...... 4 0 0 0 0
September 2008...... 0 0 0 0 0
September 2009...... 0 0 0 0 0
September 2010...... 0 0 0 0 0
September 2011...... 0 0 0 0 0
September 2012...... 0 0 0 0 0
September 2013...... 0 0 0 0 0
September 2014...... 0 0 0 0 0
September 2015...... 0 0 0 0 0
September 2016...... 0 0 0 0 0
September 2017...... 0 0 0 0 0
September 2018...... 0 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 5.0 1.6 1.6 1.6 1.5
<CAPTION>
LB CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 32
September 2002...... 100 0 0 0 0
September 2003...... 100 0 0 0 0
September 2004...... 100 0 0 0 0
September 2005...... 100 0 0 0 0
September 2006...... 100 0 0 0 0
September 2007...... 100 0 0 0 0
September 2008...... 77 0 0 0 0
September 2009...... 45 0 0 0 0
September 2010...... 11 0 0 0 0
September 2011...... 0 0 0 0 0
September 2012...... 0 0 0 0 0
September 2013...... 0 0 0 0 0
September 2014...... 0 0 0 0 0
September 2015...... 0 0 0 0 0
September 2016...... 0 0 0 0 0
September 2017...... 0 0 0 0 0
September 2018...... 0 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 9.8 2.5 2.5 2.5 2.0
<CAPTION>
LC CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 87 87 87 0
September 2003...... 100 7 7 7 0
September 2004...... 100 0 0 0 0
September 2005...... 100 0 0 0 0
September 2006...... 100 0 0 0 0
September 2007...... 100 0 0 0 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 83 0 0 0 0
September 2012...... 56 0 0 0 0
September 2013...... 27 0 0 0 0
September 2014...... 0 0 0 0 0
September 2015...... 0 0 0 0 0
September 2016...... 0 0 0 0 0
September 2017...... 0 0 0 0 0
September 2018...... 0 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 13.2 3.5 3.5 3.5 2.3
</TABLE>
<TABLE>
<CAPTION>
LD CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 0
September 2003...... 100 100 100 100 0
September 2004...... 100 0 0 0 0
September 2005...... 100 0 0 0 0
September 2006...... 100 0 0 0 0
September 2007...... 100 0 0 0 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 100 0 0 0 0
September 2012...... 100 0 0 0 0
September 2013...... 100 0 0 0 0
September 2014...... 91 0 0 0 0
September 2015...... 28 0 0 0 0
September 2016...... 0 0 0 0 0
September 2017...... 0 0 0 0 0
September 2018...... 0 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 15.7 4.5 4.5 4.5 2.6
<CAPTION>
LJ CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 0
September 2003...... 100 100 100 100 0
September 2004...... 100 74 74 74 0
September 2005...... 100 0 0 0 0
September 2006...... 100 0 0 0 0
September 2007...... 100 0 0 0 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 100 0 0 0 0
September 2012...... 100 0 0 0 0
September 2013...... 100 0 0 0 0
September 2014...... 100 0 0 0 0
September 2015...... 100 0 0 0 0
September 2016...... 51 0 0 0 0
September 2017...... 0 0 0 0 0
September 2018...... 0 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 17.0 5.2 5.2 5.2 2.9
<CAPTION>
LI CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 99
September 2003...... 100 100 100 100 69
September 2004...... 100 100 100 100 47
September 2005...... 100 93 93 93 33
September 2006...... 100 79 79 79 22
September 2007...... 100 67 67 67 15
September 2008...... 100 56 56 56 11
September 2009...... 100 46 46 46 7
September 2010...... 100 38 38 38 5
September 2011...... 100 32 32 32 3
September 2012...... 100 26 26 26 2
September 2013...... 100 21 21 21 2
September 2014...... 100 17 17 17 1
September 2015...... 100 14 14 14 1
September 2016...... 100 11 11 11 *
September 2017...... 96 9 9 9 *
September 2018...... 87 7 7 7 *
September 2019...... 77 6 6 6 *
September 2020...... 67 4 4 4 *
September 2021...... 55 3 3 3 *
September 2022...... 42 2 2 2 *
September 2023...... 28 2 2 2 *
September 2024...... 12 1 1 1 *
September 2025...... 1 1 1 1 *
September 2026...... * * * * *
September 2027...... * * * * *
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 22.2 10.9 10.9 10.9 5.7
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
S-50
<PAGE> 202
<TABLE>
<CAPTION>
QE, JE+ AND LE CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 69
September 2003...... 100 100 100 100 0
September 2004...... 100 92 92 92 0
September 2005...... 100 48 48 48 0
September 2006...... 100 6 6 6 0
September 2007...... 100 0 0 0 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 100 0 0 0 0
September 2012...... 100 0 0 0 0
September 2013...... 100 0 0 0 0
September 2014...... 100 0 0 0 0
September 2015...... 100 0 0 0 0
September 2016...... 86 0 0 0 0
September 2017...... 60 0 0 0 0
September 2018...... 31 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.3 6.0 6.0 6.0 3.2
<CAPTION>
LF CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 0
September 2004...... 100 100 100 100 0
September 2005...... 100 100 100 100 0
September 2006...... 100 100 100 100 0
September 2007...... 100 0 0 0 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 100 0 0 0 0
September 2012...... 100 0 0 0 0
September 2013...... 100 0 0 0 0
September 2014...... 100 0 0 0 0
September 2015...... 100 0 0 0 0
September 2016...... 100 0 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 97 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.4 7.5 7.5 7.5 3.8
<CAPTION>
LG CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 98
September 2004...... 100 100 100 100 60
September 2005...... 100 100 100 100 34
September 2006...... 100 100 100 100 15
September 2007...... 100 95 95 95 3
September 2008...... 100 75 75 75 0
September 2009...... 100 58 58 58 0
September 2010...... 100 44 44 44 0
September 2011...... 100 32 32 32 0
September 2012...... 100 22 22 22 0
September 2013...... 100 13 13 13 0
September 2014...... 100 6 6 6 0
September 2015...... 100 * * * 0
September 2016...... 100 0 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 95 0 0 0 0
September 2021...... 74 0 0 0 0
September 2022...... 50 0 0 0 0
September 2023...... 25 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 23.0 11.0 11.0 11.0 5.6
</TABLE>
<TABLE>
<CAPTION>
LH CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 100
September 2005...... 100 100 100 100 100
September 2006...... 100 100 100 100 100
September 2007...... 100 100 100 100 100
September 2008...... 100 100 100 100 76
September 2009...... 100 100 100 100 52
September 2010...... 100 100 100 100 35
September 2011...... 100 100 100 100 24
September 2012...... 100 100 100 100 16
September 2013...... 100 100 100 100 11
September 2014...... 100 100 100 100 7
September 2015...... 100 100 100 100 5
September 2016...... 100 82 82 82 3
September 2017...... 100 66 66 66 2
September 2018...... 100 52 52 52 1
September 2019...... 100 41 41 41 1
September 2020...... 100 32 32 32 1
September 2021...... 100 24 24 24 *
September 2022...... 100 18 18 18 *
September 2023...... 100 13 13 13 *
September 2024...... 89 9 9 9 *
September 2025...... 5 5 5 5 *
September 2026...... 3 3 3 3 *
September 2027...... 1 1 1 1 *
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.4 20.0 20.0 20.0 10.9
<CAPTION>
LK CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 100
September 2005...... 100 100 100 100 100
September 2006...... 100 100 100 100 100
September 2007...... 100 100 100 100 100
September 2008...... 100 100 100 100 68
September 2009...... 100 100 100 100 36
September 2010...... 100 100 100 100 14
September 2011...... 100 100 100 100 0
September 2012...... 100 100 100 100 0
September 2013...... 100 100 100 100 0
September 2014...... 100 100 100 100 0
September 2015...... 100 100 100 100 0
September 2016...... 100 76 76 76 0
September 2017...... 100 54 54 54 0
September 2018...... 100 36 36 36 0
September 2019...... 100 21 21 21 0
September 2020...... 100 9 9 9 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 86 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 25.3 18.5 18.5 18.5 9.7
<CAPTION>
LM CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 100
September 2005...... 100 100 100 100 100
September 2006...... 100 100 100 100 100
September 2007...... 100 100 100 100 100
September 2008...... 100 100 100 100 100
September 2009...... 100 100 100 100 100
September 2010...... 100 100 100 100 100
September 2011...... 100 100 100 100 98
September 2012...... 100 100 100 100 66
September 2013...... 100 100 100 100 45
September 2014...... 100 100 100 100 30
September 2015...... 100 100 100 100 20
September 2016...... 100 100 100 100 13
September 2017...... 100 100 100 100 9
September 2018...... 100 100 100 100 6
September 2019...... 100 100 100 100 4
September 2020...... 100 100 100 100 2
September 2021...... 100 97 97 97 2
September 2022...... 100 72 72 72 1
September 2023...... 100 51 51 51 1
September 2024...... 100 35 35 35 *
September 2025...... 22 22 22 22 *
September 2026...... 11 11 11 11 *
September 2027...... 2 2 2 2 *
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 26.0 24.4 24.4 24.4 14.5
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-51
<PAGE> 203
<TABLE>
<CAPTION>
GL, SD AND FD CLASSES
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 125% 145% 165% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
September 2000...... 95 63 56 56 56 56 56
September 2001...... 95 63 47 47 47 47 0
September 2002...... 95 63 39 39 39 39 0
September 2003...... 95 63 33 33 33 33 0
September 2004...... 95 63 27 27 27 24 0
September 2005...... 95 63 23 23 23 11 0
September 2006...... 95 63 20 20 20 3 0
September 2007...... 95 63 18 18 18 * 0
September 2008...... 95 62 15 15 15 * 0
September 2009...... 95 58 11 11 11 * 0
September 2010...... 95 52 6 6 6 * 0
September 2011...... 95 43 0 0 0 * 0
September 2012...... 95 34 0 0 0 * 0
September 2013...... 95 23 0 0 0 * 0
September 2014...... 95 11 0 0 0 * 0
September 2015...... 95 0 0 0 0 * 0
September 2016...... 95 0 0 0 0 * 0
September 2017...... 95 0 0 0 0 * 0
September 2018...... 95 0 0 0 0 * 0
September 2019...... 95 0 0 0 0 * 0
September 2020...... 95 0 0 0 0 * 0
September 2021...... 95 0 0 0 0 * 0
September 2022...... 95 0 0 0 0 * 0
September 2023...... 95 0 0 0 0 * 0
September 2024...... 95 0 0 0 0 * 0
September 2025...... 81 0 0 0 0 * 0
September 2026...... 32 0 0 0 0 * 0
September 2027...... 0 0 0 0 0 * 0
September 2028...... 0 0 0 0 0 0 0
September 2029...... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 25.4 8.4 3.5 3.5 3.5 2.7 1.1
<CAPTION>
UU++, SP, SQ, FQ, L, M
AND SY CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 96 75 26
September 2001...... 100 100 91 46 0
September 2002...... 100 100 87 24 0
September 2003...... 100 100 84 9 0
September 2004...... 100 100 81 0 0
September 2005...... 100 100 80 0 0
September 2006...... 100 100 78 0 0
September 2007...... 100 100 78 0 0
September 2008...... 100 100 77 0 0
September 2009...... 100 100 77 0 0
September 2010...... 100 100 76 0 0
September 2011...... 100 100 76 0 0
September 2012...... 100 100 70 0 0
September 2013...... 100 100 65 0 0
September 2014...... 100 100 59 0 0
September 2015...... 100 99 54 0 0
September 2016...... 100 91 48 0 0
September 2017...... 100 82 43 0 0
September 2018...... 100 74 37 0 0
September 2019...... 100 65 32 0 0
September 2020...... 100 57 28 0 0
September 2021...... 100 49 23 0 0
September 2022...... 100 41 19 0 0
September 2023...... 100 33 15 0 0
September 2024...... 100 26 12 0 0
September 2025...... 100 19 8 0 0
September 2026...... 100 12 5 0 0
September 2027...... 85 5 2 0 0
September 2028...... 44 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.9 22.1 15.5 2.1 0.7
<CAPTION>
UA CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 37 0 0
September 2001...... 100 100 0 0 0
September 2002...... 100 100 0 0 0
September 2003...... 100 100 0 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 90 0 0 0
September 2016...... 100 0 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.7 16.3 0.8 0.2 0.1
</TABLE>
<TABLE>
<CAPTION>
UB CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 0 0
September 2001...... 100 100 19 0 0
September 2002...... 100 100 0 0 0
September 2003...... 100 100 0 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 11 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.8 16.9 1.8 0.4 0.2
<CAPTION>
UC CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 0 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 * 0 0
September 2003...... 100 100 0 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 100 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.9 17.3 2.6 0.5 0.2
<CAPTION>
UD CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 0 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 100 0 0
September 2003...... 100 100 0 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 100 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.0 17.6 3.3 0.6 0.2
<CAPTION>
UE, UG, VV++
AND UF CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 89 31
September 2001...... 100 100 100 54 0
September 2002...... 100 100 100 28 0
September 2003...... 100 100 99 10 0
September 2004...... 100 100 96 0 0
September 2005...... 100 100 94 0 0
September 2006...... 100 100 92 0 0
September 2007...... 100 100 91 0 0
September 2008...... 100 100 91 0 0
September 2009...... 100 100 90 0 0
September 2010...... 100 100 90 0 0
September 2011...... 100 100 89 0 0
September 2012...... 100 100 83 0 0
September 2013...... 100 100 76 0 0
September 2014...... 100 100 69 0 0
September 2015...... 100 100 63 0 0
September 2016...... 100 100 56 0 0
September 2017...... 100 97 50 0 0
September 2018...... 100 87 44 0 0
September 2019...... 100 77 38 0 0
September 2020...... 100 67 33 0 0
September 2021...... 100 58 27 0 0
September 2022...... 100 48 22 0 0
September 2023...... 100 39 18 0 0
September 2024...... 100 30 14 0 0
September 2025...... 100 22 10 0 0
September 2026...... 100 14 6 0 0
September 2027...... 100 6 3 0 0
September 2028...... 52 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.1 23.0 17.9 2.3 0.8
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
++ The weighted average lives shown in the table apply to the entire UU and VV
Classes and are not likely to reflect the experience of any particular
investor in the Retail Certificates. Because investors will receive principal
payments subject to the payment priorities and allocations as described under
"Description of the Certificates--Characteristics of the Retail
Certificates--Retail Principal Payments" above, the weighted average lives of
retail class units will vary among different individual investors. See
"Description of the Certificates--Characteristics of the Retail
Certificates--Certain Principal Payment Considerations" above.
S-52
<PAGE> 204
<TABLE>
<CAPTION>
YT AND HT CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 77 0 0
September 2001...... 100 100 49 0 0
September 2002...... 100 100 26 0 0
September 2003...... 100 100 8 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 96 0 0 0
September 2016...... 100 48 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 13 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.9 17.0 2.1 0.4 0.2
<CAPTION>
YU CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 55 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 100 0 0
September 2003...... 100 100 100 0 0
September 2004...... 100 100 93 0 0
September 2005...... 100 100 82 0 0
September 2006...... 100 100 74 0 0
September 2007...... 100 100 69 0 0
September 2008...... 100 100 67 0 0
September 2009...... 100 100 65 0 0
September 2010...... 100 100 62 0 0
September 2011...... 100 100 55 0 0
September 2012...... 100 100 23 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 100 0 0 0
September 2017...... 100 99 0 0 0
September 2018...... 100 45 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 100 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.3 18.9 10.4 1.1 0.4
<CAPTION>
YY++, YV, YW, TT++
AND HV CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 39
September 2001...... 100 100 100 69 0
September 2002...... 100 100 100 36 0
September 2003...... 100 100 100 13 0
September 2004...... 100 100 100 0 0
September 2005...... 100 100 100 0 0
September 2006...... 100 100 100 0 0
September 2007...... 100 100 100 0 0
September 2008...... 100 100 100 0 0
September 2009...... 100 100 100 0 0
September 2010...... 100 100 100 0 0
September 2011...... 100 100 100 0 0
September 2012...... 100 100 100 0 0
September 2013...... 100 100 97 0 0
September 2014...... 100 100 89 0 0
September 2015...... 100 100 80 0 0
September 2016...... 100 100 72 0 0
September 2017...... 100 100 64 0 0
September 2018...... 100 100 56 0 0
September 2019...... 100 98 49 0 0
September 2020...... 100 86 42 0 0
September 2021...... 100 74 35 0 0
September 2022...... 100 62 29 0 0
September 2023...... 100 50 23 0 0
September 2024...... 100 39 17 0 0
September 2025...... 100 28 12 0 0
September 2026...... 100 18 8 0 0
September 2027...... 100 8 3 0 0
September 2028...... 67 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.3 24.1 20.3 2.7 0.9
<CAPTION>
HU CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 55 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 100 0 0
September 2003...... 100 100 100 0 0
September 2004...... 100 100 93 0 0
September 2005...... 100 100 82 0 0
September 2006...... 100 100 74 0 0
September 2007...... 100 100 69 0 0
September 2008...... 100 100 67 0 0
September 2009...... 100 100 65 0 0
September 2010...... 100 100 62 0 0
September 2011...... 100 100 56 0 0
September 2012...... 100 100 23 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 100 0 0 0
September 2017...... 100 99 0 0 0
September 2018...... 100 45 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 100 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.3 18.9 10.4 1.1 0.4
</TABLE>
<TABLE>
<CAPTION>
SV AND FV CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 25 0 0
September 2001...... 100 100 0 0 0
September 2002...... 100 100 0 0 0
September 2003...... 100 100 0 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 87 0 0 0
September 2016...... 100 0 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.7 16.3 0.7 0.2 0.1
<CAPTION>
KB CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 0 0
September 2001...... 100 100 31 0 0
September 2002...... 100 100 0 0 0
September 2003...... 100 100 0 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 27 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.8 16.9 1.8 0.4 0.2
<CAPTION>
KC CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 0 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 54 0 0
September 2003...... 100 100 0 0 0
September 2004...... 100 100 0 0 0
September 2005...... 100 100 0 0 0
September 2006...... 100 100 0 0 0
September 2007...... 100 100 0 0 0
September 2008...... 100 100 0 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 100 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 12 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.0 17.5 3.1 0.6 0.2
<CAPTION>
KD CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 24 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 100 0 0
September 2003...... 100 100 97 0 0
September 2004...... 100 100 76 0 0
September 2005...... 100 100 60 0 0
September 2006...... 100 100 50 0 0
September 2007...... 100 100 43 0 0
September 2008...... 100 100 40 0 0
September 2009...... 100 100 37 0 0
September 2010...... 100 100 33 0 0
September 2011...... 100 100 25 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 100 0 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 100 0 0 0
September 2017...... 100 84 0 0 0
September 2018...... 100 11 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 100 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.2 18.5 8.1 0.9 0.4
</TABLE>
- ---------------
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
++ The weighted average lives shown in the table apply to the entire YY and TT
Classes and are not likely to reflect the experience of any particular
investor in the Retail Certificates. Because investors will receive principal
payments subject to the payment priorities and allocations as described under
"Description of the Certificates--Characteristics of the Retail
Certificates--Retail Principal Payments" above, the weighted average lives of
retail class units will vary among different individual investors. See
"Description of the Certificates--Characteristics of the Retail
Certificates--Certain Principal Payment Considerations" above.
S-53
<PAGE> 205
<TABLE>
<CAPTION>
KE CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 100 0 0
September 2003...... 100 100 100 0 0
September 2004...... 100 100 100 0 0
September 2005...... 100 100 100 0 0
September 2006...... 100 100 100 0 0
September 2007...... 100 100 100 0 0
September 2008...... 100 100 100 0 0
September 2009...... 100 100 100 0 0
September 2010...... 100 100 100 0 0
September 2011...... 100 100 100 0 0
September 2012...... 100 100 85 0 0
September 2013...... 100 100 50 0 0
September 2014...... 100 100 14 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 100 0 0 0
September 2017...... 100 100 0 0 0
September 2018...... 100 100 0 0 0
September 2019...... 100 54 0 0 0
September 2020...... 100 1 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 100 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.5 20.1 14.0 1.4 0.6
<CAPTION>
SC, FC, HX AND HN CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 91 43 0
September 2001...... 100 100 80 0 0
September 2002...... 100 100 70 0 0
September 2003...... 100 100 63 0 0
September 2004...... 100 100 57 0 0
September 2005...... 100 100 53 0 0
September 2006...... 100 100 50 0 0
September 2007...... 100 100 48 0 0
September 2008...... 100 100 47 0 0
September 2009...... 100 100 47 0 0
September 2010...... 100 100 45 0 0
September 2011...... 100 100 43 0 0
September 2012...... 100 100 31 0 0
September 2013...... 100 100 18 0 0
September 2014...... 100 100 5 0 0
September 2015...... 100 98 0 0 0
September 2016...... 100 79 0 0 0
September 2017...... 100 59 0 0 0
September 2018...... 100 39 0 0 0
September 2019...... 100 20 0 0 0
September 2020...... 100 1 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 65 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.2 18.5 8.0 0.9 0.4
<CAPTION>
TU, WW++, TW, SU, ST,
FT, TY, SB, FB, LL++, HM
AND HY CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 145% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 46
September 2001...... 100 100 100 81 0
September 2002...... 100 100 100 43 0
September 2003...... 100 100 100 15 0
September 2004...... 100 100 100 0 0
September 2005...... 100 100 100 0 0
September 2006...... 100 100 100 0 0
September 2007...... 100 100 100 0 0
September 2008...... 100 100 100 0 0
September 2009...... 100 100 100 0 0
September 2010...... 100 100 100 0 0
September 2011...... 100 100 100 0 0
September 2012...... 100 100 100 0 0
September 2013...... 100 100 100 0 0
September 2014...... 100 100 100 0 0
September 2015...... 100 100 94 0 0
September 2016...... 100 100 84 0 0
September 2017...... 100 100 75 0 0
September 2018...... 100 100 66 0 0
September 2019...... 100 100 57 0 0
September 2020...... 100 100 49 0 0
September 2021...... 100 86 41 0 0
September 2022...... 100 72 33 0 0
September 2023...... 100 59 27 0 0
September 2024...... 100 45 20 0 0
September 2025...... 100 33 14 0 0
September 2026...... 100 21 9 0 0
September 2027...... 100 9 4 0 0
September 2028...... 78 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.4 24.8 21.3 2.9 1.0
<CAPTION>
PO CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 99 95 94 89 79
September 2001...... 98 88 85 75 55
September 2002...... 98 82 78 63 38
September 2003...... 97 76 71 52 26
September 2004...... 95 70 64 44 18
September 2005...... 94 65 58 37 12
September 2006...... 93 60 52 31 8
September 2007...... 92 55 47 25 6
September 2008...... 90 50 43 21 4
September 2009...... 89 46 38 18 3
September 2010...... 87 42 34 14 2
September 2011...... 85 39 31 12 1
September 2012...... 83 35 27 10 1
September 2013...... 81 32 24 8 1
September 2014...... 78 29 22 7 *
September 2015...... 75 26 19 5 *
September 2016...... 72 23 17 4 *
September 2017...... 69 20 14 3 *
September 2018...... 66 18 12 3 *
September 2019...... 62 15 11 2 *
September 2020...... 58 13 9 2 *
September 2021...... 53 11 7 1 *
September 2022...... 49 9 6 1 *
September 2023...... 43 7 5 1 *
September 2024...... 37 6 3 * *
September 2025...... 31 4 2 * *
September 2026...... 24 2 1 * *
September 2027...... 17 1 1 * *
September 2028...... 9 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.8 10.7 9.3 5.8 3.1
</TABLE>
<TABLE>
<CAPTION>
PB CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 96 65 65 65 44
September 2002...... 91 32 32 32 0
September 2003...... 86 * * * 0
September 2004...... 80 0 0 0 0
September 2005...... 74 0 0 0 0
September 2006...... 68 0 0 0 0
September 2007...... 61 0 0 0 0
September 2008...... 53 0 0 0 0
September 2009...... 44 0 0 0 0
September 2010...... 35 0 0 0 0
September 2011...... 25 0 0 0 0
September 2012...... 14 0 0 0 0
September 2013...... 2 0 0 0 0
September 2014...... 0 0 0 0 0
September 2015...... 0 0 0 0 0
September 2016...... 0 0 0 0 0
September 2017...... 0 0 0 0 0
September 2018...... 0 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 8.8 2.5 2.5 2.5 1.9
<CAPTION>
PD CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 0
September 2003...... 100 100 100 100 0
September 2004...... 100 0 0 0 0
September 2005...... 100 0 0 0 0
September 2006...... 100 0 0 0 0
September 2007...... 100 0 0 0 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 100 0 0 0 0
September 2012...... 100 0 0 0 0
September 2013...... 100 0 0 0 0
September 2014...... 62 0 0 0 0
September 2015...... 11 0 0 0 0
September 2016...... 0 0 0 0 0
September 2017...... 0 0 0 0 0
September 2018...... 0 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 15.3 4.5 4.5 4.5 2.6
<CAPTION>
PE CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 71
September 2003...... 100 100 100 100 0
September 2004...... 100 97 97 97 0
September 2005...... 100 48 48 48 0
September 2006...... 100 2 2 2 0
September 2007...... 100 0 0 0 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 100 0 0 0 0
September 2012...... 100 0 0 0 0
September 2013...... 100 0 0 0 0
September 2014...... 100 0 0 0 0
September 2015...... 100 0 0 0 0
September 2016...... 78 0 0 0 0
September 2017...... 49 0 0 0 0
September 2018...... 18 0 0 0 0
September 2019...... 0 0 0 0 0
September 2020...... 0 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.0 6.0 6.0 6.0 3.2
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
++ The weighted average lives shown in the table apply to the entire WW and LL
Classes and are not likely to reflect the experience of any particular
investor in the Retail Certificates. Because investors will receive principal
payments subject to the payment priorities and allocations as described under
"Description of the Certificates--Characteristics of the Retail
Certificates--Retail Principal Payments" above, the weighted average lives of
retail class units will vary among different individual investors. See
"Description of the Certificates--Characteristics of the Retail
Certificates--Certain Principal Payment Considerations" above.
S-54
<PAGE> 206
<TABLE>
<CAPTION>
PF CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 54
September 2004...... 100 100 100 100 0
September 2005...... 100 100 100 100 0
September 2006...... 100 100 100 100 0
September 2007...... 100 47 47 47 0
September 2008...... 100 0 0 0 0
September 2009...... 100 0 0 0 0
September 2010...... 100 0 0 0 0
September 2011...... 100 0 0 0 0
September 2012...... 100 0 0 0 0
September 2013...... 100 0 0 0 0
September 2014...... 100 0 0 0 0
September 2015...... 100 0 0 0 0
September 2016...... 100 0 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 78 0 0 0 0
September 2020...... 31 0 0 0 0
September 2021...... 0 0 0 0 0
September 2022...... 0 0 0 0 0
September 2023...... 0 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.6 8.0 8.0 8.0 4.1
<CAPTION>
PG CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 73
September 2005...... 100 100 100 100 29
September 2006...... 100 100 100 100 0
September 2007...... 100 100 100 100 0
September 2008...... 100 98 98 98 0
September 2009...... 100 70 70 70 0
September 2010...... 100 46 46 46 0
September 2011...... 100 26 26 26 0
September 2012...... 100 9 9 9 0
September 2013...... 100 0 0 0 0
September 2014...... 100 0 0 0 0
September 2015...... 100 0 0 0 0
September 2016...... 100 0 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 86 0 0 0 0
September 2022...... 47 0 0 0 0
September 2023...... 5 0 0 0 0
September 2024...... 0 0 0 0 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 22.9 11.0 11.0 11.0 5.6
<CAPTION>
PH CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 100
September 2005...... 100 100 100 100 100
September 2006...... 100 100 100 100 97
September 2007...... 100 100 100 100 65
September 2008...... 100 100 100 100 43
September 2009...... 100 100 100 100 28
September 2010...... 100 100 100 100 18
September 2011...... 100 100 100 100 10
September 2012...... 100 100 100 100 6
September 2013...... 100 92 92 92 2
September 2014...... 100 74 74 74 0
September 2015...... 100 59 59 59 0
September 2016...... 100 47 47 47 0
September 2017...... 100 37 37 37 0
September 2018...... 100 28 28 28 0
September 2019...... 100 21 21 21 0
September 2020...... 100 15 15 15 0
September 2021...... 100 11 11 11 0
September 2022...... 100 7 7 7 0
September 2023...... 100 4 4 4 0
September 2024...... 38 1 1 1 0
September 2025...... 0 0 0 0 0
September 2026...... 0 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 24.9 17.5 17.5 17.5 9.2
</TABLE>
<TABLE>
<CAPTION>
R CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 100
September 2005...... 100 100 100 100 100
September 2006...... 100 100 100 100 100
September 2007...... 100 100 100 100 100
September 2008...... 100 100 100 100 100
September 2009...... 100 100 100 100 100
September 2010...... 100 100 100 100 100
September 2011...... 100 100 100 100 100
September 2012...... 100 100 100 100 100
September 2013...... 100 100 100 100 100
September 2014...... 100 100 100 100 99
September 2015...... 100 100 100 100 66
September 2016...... 100 100 100 100 44
September 2017...... 100 100 100 100 29
September 2018...... 100 100 100 100 19
September 2019...... 100 100 100 100 12
September 2020...... 100 100 100 100 8
September 2021...... 100 100 100 100 5
September 2022...... 100 100 100 100 3
September 2023...... 100 100 100 100 2
September 2024...... 100 100 100 100 1
September 2025...... 78 78 78 78 1
September 2026...... 43 43 43 43 *
September 2027...... 15 15 15 15 *
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 26.9 26.9 26.9 26.9 17.4
<CAPTION>
PI+ CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 99 90 90 90 84
September 2002...... 97 80 80 80 58
September 2003...... 96 71 71 71 40
September 2004...... 94 62 62 62 27
September 2005...... 92 54 54 54 19
September 2006...... 91 46 46 46 13
September 2007...... 88 39 39 39 9
September 2008...... 86 32 32 32 6
September 2009...... 84 27 27 27 4
September 2010...... 81 22 22 22 3
September 2011...... 78 18 18 18 2
September 2012...... 75 15 15 15 1
September 2013...... 71 12 12 12 1
September 2014...... 68 10 10 10 1
September 2015...... 63 8 8 8 *
September 2016...... 59 7 7 7 *
September 2017...... 54 5 5 5 *
September 2018...... 49 4 4 4 *
September 2019...... 43 3 3 3 *
September 2020...... 37 3 3 3 *
September 2021...... 30 2 2 2 *
September 2022...... 22 1 1 1 *
September 2023...... 14 1 1 1 *
September 2024...... 5 1 1 1 *
September 2025...... * * * * *
September 2026...... * * * * *
September 2027...... * * * * *
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 17.3 7.7 7.7 7.7 4.2
<CAPTION>
GA CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 115% 130% 155% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
September 2000...... 93 49 43 43 43 43 43
September 2001...... 93 49 35 35 35 35 0
September 2002...... 93 49 29 29 29 29 0
September 2003...... 93 49 23 23 23 23 0
September 2004...... 93 49 19 19 19 19 0
September 2005...... 93 49 15 15 15 1 0
September 2006...... 93 49 12 12 12 0 0
September 2007...... 93 49 11 11 11 0 0
September 2008...... 93 47 8 8 8 0 0
September 2009...... 93 41 1 1 1 0 0
September 2010...... 93 32 0 0 0 0 0
September 2011...... 93 21 0 0 0 0 0
September 2012...... 93 7 0 0 0 0 0
September 2013...... 93 0 0 0 0 0 0
September 2014...... 93 0 0 0 0 0 0
September 2015...... 93 0 0 0 0 0 0
September 2016...... 93 0 0 0 0 0 0
September 2017...... 93 0 0 0 0 0 0
September 2018...... 93 0 0 0 0 0 0
September 2019...... 93 0 0 0 0 0 0
September 2020...... 93 0 0 0 0 0 0
September 2021...... 93 0 0 0 0 0 0
September 2022...... 93 0 0 0 0 0 0
September 2023...... 93 0 0 0 0 0 0
September 2024...... 93 0 0 0 0 0 0
September 2025...... 63 0 0 0 0 0 0
September 2026...... 0 0 0 0 0 0 0
September 2027...... 0 0 0 0 0 0 0
September 2028...... 0 0 0 0 0 0 0
September 2029...... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 24.4 5.9 2.5 2.5 2.5 2.0 1.0
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-55
<PAGE> 207
<TABLE>
<CAPTION>
GB CLASS
-----------------------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------------------
DATE 0% 100% 115% 130% 155% 250% 500%
---- -- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100 100 100
September 2000...... 100 100 100 100 100 100 100
September 2001...... 100 100 100 100 100 100 0
September 2002...... 100 100 100 100 100 100 0
September 2003...... 100 100 100 100 100 100 0
September 2004...... 100 100 100 100 100 100 0
September 2005...... 100 100 100 100 100 100 0
September 2006...... 100 100 100 100 100 29 0
September 2007...... 100 100 100 100 100 1 0
September 2008...... 100 100 100 100 100 * 0
September 2009...... 100 100 100 100 100 * 0
September 2010...... 100 100 49 49 49 * 0
September 2011...... 100 100 0 0 0 * 0
September 2012...... 100 100 0 0 0 * 0
September 2013...... 100 40 0 0 0 * 0
September 2014...... 100 0 0 0 0 * 0
September 2015...... 100 0 0 0 0 * 0
September 2016...... 100 0 0 0 0 * 0
September 2017...... 100 0 0 0 0 * 0
September 2018...... 100 0 0 0 0 * 0
September 2019...... 100 0 0 0 0 * 0
September 2020...... 100 0 0 0 0 * 0
September 2021...... 100 0 0 0 0 * 0
September 2022...... 100 0 0 0 0 * 0
September 2023...... 100 0 0 0 0 * 0
September 2024...... 100 0 0 0 0 * 0
September 2025...... 100 0 0 0 0 * 0
September 2026...... 78 0 0 0 0 * 0
September 2027...... 0 0 0 0 0 * 0
September 2028...... 0 0 0 0 0 0 0
September 2029...... 0 0 0 0 0 0 0
Weighted Average
Life (years)**..... 27.1 13.9 11.0 11.0 11.0 6.8 1.7
<CAPTION>
HB CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 84 0 0
September 2001...... 100 100 64 0 0
September 2002...... 100 100 46 0 0
September 2003...... 100 100 33 0 0
September 2004...... 100 100 22 0 0
September 2005...... 100 100 14 0 0
September 2006...... 100 100 7 0 0
September 2007...... 100 100 3 0 0
September 2008...... 100 100 1 0 0
September 2009...... 100 100 0 0 0
September 2010...... 100 100 0 0 0
September 2011...... 100 100 0 0 0
September 2012...... 100 100 0 0 0
September 2013...... 100 100 0 0 0
September 2014...... 100 71 0 0 0
September 2015...... 100 26 0 0 0
September 2016...... 100 0 0 0 0
September 2017...... 100 0 0 0 0
September 2018...... 100 0 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 27.4 15.5 3.3 0.4 0.2
<CAPTION>
HD CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 68 0
September 2001...... 100 100 100 0 0
September 2002...... 100 100 100 0 0
September 2003...... 100 100 100 0 0
September 2004...... 100 100 100 0 0
September 2005...... 100 100 100 0 0
September 2006...... 100 100 100 0 0
September 2007...... 100 100 100 0 0
September 2008...... 100 100 100 0 0
September 2009...... 100 100 100 0 0
September 2010...... 100 100 98 0 0
September 2011...... 100 100 90 0 0
September 2012...... 100 100 67 0 0
September 2013...... 100 100 42 0 0
September 2014...... 100 100 17 0 0
September 2015...... 100 100 0 0 0
September 2016...... 100 85 0 0 0
September 2017...... 100 52 0 0 0
September 2018...... 100 19 0 0 0
September 2019...... 100 0 0 0 0
September 2020...... 100 0 0 0 0
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 52 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.0 18.1 13.7 1.2 0.5
</TABLE>
<TABLE>
<CAPTION>
HE AND HH++ CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 53
September 2001...... 100 100 100 79 0
September 2002...... 100 100 100 44 0
September 2003...... 100 100 100 18 0
September 2004...... 100 100 100 1 0
September 2005...... 100 100 100 0 0
September 2006...... 100 100 100 0 0
September 2007...... 100 100 100 0 0
September 2008...... 100 100 100 0 0
September 2009...... 100 100 100 0 0
September 2010...... 100 100 100 0 0
September 2011...... 100 100 100 0 0
September 2012...... 100 100 100 0 0
September 2013...... 100 100 100 0 0
September 2014...... 100 100 100 0 0
September 2015...... 100 100 97 0 0
September 2016...... 100 100 87 0 0
September 2017...... 100 100 78 0 0
September 2018...... 100 100 69 0 0
September 2019...... 100 95 60 0 0
September 2020...... 100 82 51 0 0
September 2021...... 100 70 43 0 0
September 2022...... 100 59 36 0 0
September 2023...... 100 48 28 0 0
September 2024...... 100 37 21 0 0
September 2025...... 100 26 15 0 0
September 2026...... 100 16 9 0 0
September 2027...... 100 6 4 0 0
September 2028...... 63 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.2 23.9 21.5 3.0 1.0
<CAPTION>
H CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 130% 250% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 97 76 32
September 2001...... 100 100 94 48 0
September 2002...... 100 100 91 26 0
September 2003...... 100 100 89 11 0
September 2004...... 100 100 87 * 0
September 2005...... 100 100 86 0 0
September 2006...... 100 100 85 0 0
September 2007...... 100 100 84 0 0
September 2008...... 100 100 84 0 0
September 2009...... 100 100 84 0 0
September 2010...... 100 100 83 0 0
September 2011...... 100 100 81 0 0
September 2012...... 100 100 76 0 0
September 2013...... 100 100 71 0 0
September 2014...... 100 95 65 0 0
September 2015...... 100 88 59 0 0
September 2016...... 100 80 53 0 0
September 2017...... 100 73 47 0 0
September 2018...... 100 65 42 0 0
September 2019...... 100 58 36 0 0
September 2020...... 100 50 31 0 0
September 2021...... 100 43 26 0 0
September 2022...... 100 36 22 0 0
September 2023...... 100 29 17 0 0
September 2024...... 100 22 13 0 0
September 2025...... 100 16 9 0 0
September 2026...... 100 10 6 0 0
September 2027...... 73 4 2 0 0
September 2028...... 38 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.7 21.2 16.7 2.1 0.8
<CAPTION>
A CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 177% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 99 92 87 76 66
September 2001...... 99 84 75 56 42
September 2002...... 98 76 64 41 26
September 2003...... 97 69 55 30 15
September 2004...... 96 63 47 21 7
September 2005...... 95 56 39 14 2
September 2006...... 94 50 33 8 0
September 2007...... 93 45 27 4 0
September 2008...... 92 40 22 1 0
September 2009...... 90 35 17 0 0
September 2010...... 88 30 13 0 0
September 2011...... 87 25 9 0 0
September 2012...... 85 21 6 0 0
September 2013...... 82 17 4 0 0
September 2014...... 80 13 1 0 0
September 2015...... 77 9 0 0 0
September 2016...... 74 6 0 0 0
September 2017...... 71 2 0 0 0
September 2018...... 67 0 0 0 0
September 2019...... 63 0 0 0 0
September 2020...... 59 0 0 0 0
September 2021...... 54 0 0 0 0
September 2022...... 48 0 0 0 0
September 2023...... 42 0 0 0 0
September 2024...... 36 0 0 0 0
September 2025...... 28 0 0 0 0
September 2026...... 20 0 0 0 0
September 2027...... 11 0 0 0 0
September 2028...... 1 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.8 7.8 5.5 3.0 2.1
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
++ The weighted average lives shown in the table apply to the entire HH Class
and are not likely to reflect the experience of any particular investor in
the Retail Certificates. Because investors will receive principal payments
subject to the payment priorities and allocations as described under
"Description of the Certificates--Characteristics of the Retail
Certificates--Retail Principal Payments" above, the weighted average lives of
retail class units will vary among different individual investors. See
"Description of the Certificates--Characteristics of the Retail
Certificates--Certain Principal Payment Considerations" above.
S-56
<PAGE> 208
<TABLE>
<CAPTION>
C CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 177% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 100
September 2005...... 100 100 100 100 100
September 2006...... 100 100 100 100 81
September 2007...... 100 100 100 100 54
September 2008...... 100 100 100 100 37
September 2009...... 100 100 100 82 24
September 2010...... 100 100 100 61 16
September 2011...... 100 100 100 46 11
September 2012...... 100 100 100 34 7
September 2013...... 100 100 100 24 4
September 2014...... 100 100 100 18 3
September 2015...... 100 100 89 12 2
September 2016...... 100 100 68 8 1
September 2017...... 100 100 51 6 1
September 2018...... 100 92 35 3 *
September 2019...... 100 60 22 2 *
September 2020...... 100 29 10 1 *
September 2021...... 100 0 0 0 0
September 2022...... 100 0 0 0 0
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 100 0 0 0 0
September 2028...... 100 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.6 20.4 18.3 12.5 9.0
<CAPTION>
N, S+ AND F CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 180% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 99 93 88 78 69
September 2001...... 98 86 77 61 48
September 2002...... 98 79 68 47 33
September 2003...... 97 73 59 36 22
September 2004...... 95 67 52 28 15
September 2005...... 94 62 45 22 11
September 2006...... 93 56 39 17 7
September 2007...... 92 52 34 13 5
September 2008...... 90 47 29 10 3
September 2009...... 89 42 25 7 2
September 2010...... 87 38 21 6 1
September 2011...... 85 34 18 4 1
September 2012...... 83 30 15 3 1
September 2013...... 81 27 13 2 *
September 2014...... 78 23 11 2 *
September 2015...... 75 20 9 1 *
September 2016...... 72 17 7 1 *
September 2017...... 69 14 5 1 *
September 2018...... 66 11 4 * *
September 2019...... 62 8 3 * *
September 2020...... 58 6 2 * *
September 2021...... 53 3 1 * *
September 2022...... 49 1 * * *
September 2023...... 43 0 0 0 0
September 2024...... 37 0 0 0 0
September 2025...... 31 0 0 0 0
September 2026...... 24 0 0 0 0
September 2027...... 17 0 0 0 0
September 2028...... 9 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.8 9.4 6.8 3.9 2.7
<CAPTION>
DA CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 158% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 99 90 86 71 60
September 2001...... 98 81 73 49 32
September 2002...... 96 73 62 32 13
September 2003...... 95 65 52 18 0
September 2004...... 94 57 43 7 0
September 2005...... 92 50 34 0 0
September 2006...... 90 44 27 0 0
September 2007...... 88 37 20 0 0
September 2008...... 86 31 14 0 0
September 2009...... 84 25 8 0 0
September 2010...... 82 20 3 0 0
September 2011...... 79 15 0 0 0
September 2012...... 76 10 0 0 0
September 2013...... 73 5 0 0 0
September 2014...... 70 1 0 0 0
September 2015...... 66 0 0 0 0
September 2016...... 63 0 0 0 0
September 2017...... 58 0 0 0 0
September 2018...... 54 0 0 0 0
September 2019...... 49 0 0 0 0
September 2020...... 44 0 0 0 0
September 2021...... 38 0 0 0 0
September 2022...... 32 0 0 0 0
September 2023...... 25 0 0 0 0
September 2024...... 18 0 0 0 0
September 2025...... 10 0 0 0 0
September 2026...... 1 0 0 0 0
September 2027...... 0 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 18.1 6.6 4.7 2.3 1.5
<CAPTION>
DB CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 158% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 68
September 2005...... 100 100 100 96 47
September 2006...... 100 100 100 74 32
September 2007...... 100 100 100 57 22
September 2008...... 100 100 100 43 15
September 2009...... 100 100 100 33 10
September 2010...... 100 100 100 25 7
September 2011...... 100 100 96 19 4
September 2012...... 100 100 83 14 3
September 2013...... 100 100 70 10 2
September 2014...... 100 100 59 8 1
September 2015...... 100 90 49 6 1
September 2016...... 100 76 40 4 1
September 2017...... 100 63 32 3 *
September 2018...... 100 51 25 2 *
September 2019...... 100 39 18 1 *
September 2020...... 100 28 13 1 *
September 2021...... 100 17 8 * *
September 2022...... 100 7 3 * *
September 2023...... 100 0 0 0 0
September 2024...... 100 0 0 0 0
September 2025...... 100 0 0 0 0
September 2026...... 100 0 0 0 0
September 2027...... 72 0 0 0 0
September 2028...... 37 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 28.6 19.2 16.5 9.5 6.6
</TABLE>
<TABLE>
<CAPTION>
SN+ AND FN CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 158% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 99 93 89 78 69
September 2001...... 98 86 79 60 47
September 2002...... 97 79 71 47 33
September 2003...... 96 73 63 36 22
September 2004...... 95 67 55 28 15
September 2005...... 94 61 49 22 10
September 2006...... 92 56 43 17 7
September 2007...... 91 51 38 13 5
September 2008...... 89 47 33 10 3
September 2009...... 88 42 29 7 2
September 2010...... 86 38 25 6 1
September 2011...... 84 34 22 4 1
September 2012...... 82 30 19 3 1
September 2013...... 79 27 16 2 *
September 2014...... 77 23 13 2 *
September 2015...... 74 20 11 1 *
September 2016...... 71 17 9 1 *
September 2017...... 68 14 7 1 *
September 2018...... 64 11 6 * *
September 2019...... 60 9 4 * *
September 2020...... 56 6 3 * *
September 2021...... 52 4 2 * *
September 2022...... 47 2 1 * *
September 2023...... 42 0 0 0 0
September 2024...... 36 0 0 0 0
September 2025...... 30 0 0 0 0
September 2026...... 23 0 0 0 0
September 2027...... 16 0 0 0 0
September 2028...... 8 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.5 9.4 7.4 3.9 2.7
<CAPTION>
BA CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 184% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 99 92 86 74 63
September 2001...... 99 84 73 53 37
September 2002...... 98 76 61 37 20
September 2003...... 97 69 51 24 7
September 2004...... 96 62 42 14 0
September 2005...... 95 56 35 7 0
September 2006...... 94 50 28 1 0
September 2007...... 92 44 21 0 0
September 2008...... 91 39 16 0 0
September 2009...... 89 34 11 0 0
September 2010...... 87 29 7 0 0
September 2011...... 85 25 3 0 0
September 2012...... 83 21 0 0 0
September 2013...... 81 17 0 0 0
September 2014...... 78 13 0 0 0
September 2015...... 75 9 0 0 0
September 2016...... 72 6 0 0 0
September 2017...... 68 2 0 0 0
September 2018...... 64 0 0 0 0
September 2019...... 60 0 0 0 0
September 2020...... 55 0 0 0 0
September 2021...... 49 0 0 0 0
September 2022...... 43 0 0 0 0
September 2023...... 37 0 0 0 0
September 2024...... 29 0 0 0 0
September 2025...... 21 0 0 0 0
September 2026...... 13 0 0 0 0
September 2027...... 3 0 0 0 0
September 2028...... 0 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 20.0 7.8 4.9 2.6 1.8
<CAPTION>
BC CLASS
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 184% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 100 100 100 100 100
September 2001...... 100 100 100 100 100
September 2002...... 100 100 100 100 100
September 2003...... 100 100 100 100 100
September 2004...... 100 100 100 100 94
September 2005...... 100 100 100 100 65
September 2006...... 100 100 100 100 44
September 2007...... 100 100 100 80 30
September 2008...... 100 100 100 62 21
September 2009...... 100 100 100 47 14
September 2010...... 100 100 100 36 10
September 2011...... 100 100 100 28 7
September 2012...... 100 100 99 21 4
September 2013...... 100 100 84 16 3
September 2014...... 100 100 72 12 2
September 2015...... 100 100 60 9 1
September 2016...... 100 100 50 7 1
September 2017...... 100 100 42 5 1
September 2018...... 100 97 34 4 *
September 2019...... 100 82 27 3 *
September 2020...... 100 68 22 2 *
September 2021...... 100 55 16 1 *
September 2022...... 100 43 12 1 *
September 2023...... 100 30 8 * *
September 2024...... 100 19 5 * *
September 2025...... 100 8 2 * *
September 2026...... 100 0 0 0 0
September 2027...... 100 0 0 0 0
September 2028...... 60 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 29.2 22.6 17.9 10.9 7.5
<CAPTION>
SJ+, FJ AND J CLASSES
-------------------------------------
PSA PREPAYMENT
ASSUMPTION
-------------------------------------
DATE 0% 100% 199% 350% 500%
---- -- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Initial Percent..... 100 100 100 100 100
September 2000...... 99 93 87 78 69
September 2001...... 99 87 76 61 48
September 2002...... 98 80 66 48 33
September 2003...... 98 74 57 37 23
September 2004...... 97 69 50 29 16
September 2005...... 96 64 43 22 11
September 2006...... 95 59 37 17 7
September 2007...... 94 54 32 13 5
September 2008...... 93 50 28 10 4
September 2009...... 92 46 24 8 2
September 2010...... 90 42 20 6 2
September 2011...... 89 38 17 5 1
September 2012...... 87 34 15 4 1
September 2013...... 85 31 12 3 1
September 2014...... 83 28 10 2 *
September 2015...... 80 25 9 2 *
September 2016...... 78 22 7 1 *
September 2017...... 75 19 6 1 *
September 2018...... 71 17 5 1 *
September 2019...... 68 14 4 * *
September 2020...... 64 12 3 * *
September 2021...... 59 10 2 * *
September 2022...... 54 7 2 * *
September 2023...... 49 5 1 * *
September 2024...... 43 3 1 * *
September 2025...... 36 1 * * *
September 2026...... 28 0 0 0 0
September 2027...... 20 0 0 0 0
September 2028...... 10 0 0 0 0
September 2029...... 0 0 0 0 0
Weighted Average
Life (years)**..... 21.8 10.4 6.7 4.0 2.7
</TABLE>
- ---------------
* Indicates an outstanding balance greater than 0% and less than 0.5% of the
original principal balance.
** Determined as specified under "Weighted Average Lives of the Certificates"
herein.
+ In the case of a Notional Class, the Decrement Table indicates the percentage
of the original notional principal balance outstanding.
S-57
<PAGE> 209
CHARACTERISTICS OF THE R AND RL CLASSES
In addition to payments of principal and interest, the Holders of the R
Class will be entitled to receive the proceeds of any assets of the Trust that
remain after the principal balances of all Classes are reduced to zero. The RL
Class will not have a principal balance and will not bear interest. If any
assets of the Lower Tier REMIC remain after the principal balances of the Lower
Tier Regular Interests are reduced to zero, we will pay the proceeds of those
assets to the Holder of the RL Class. Fannie Mae does not expect that any
material assets will remain in either case.
The R and RL Classes will be subject to certain transfer restrictions. We
will not permit transfer of record or beneficial ownership of an R or RL
Certificate to a "disqualified organization." In addition, we will not permit
transfer of record or beneficial ownership of an R or RL Certificate to any
person that is not a "U.S. Person" without our written consent. Treasury
Department regulations (the "Regulations") provide that a transfer of a
"noneconomic residual interest" to a U.S. Person will be disregarded for all
federal tax purposes unless no significant purpose of the transfer is to impede
the assessment or collection of tax. The RL Class will, and the R Class may,
constitute a noneconomic residual interest under the Regulations. Any transferee
of an R or RL Certificate must execute and deliver an affidavit and an Internal
Revenue Service Form W-9 on which the transferee provides its taxpayer
identification number. See "Description of Certificates--Special Characteristics
of Residual Certificates" and "Certain Federal Income Tax Consequences--Taxation
of Beneficial Owners of Residual Certificates" in the REMIC Prospectus.
Transferors of an R or RL Certificate should consult with their own tax advisors
for further information regarding such transfers.
The Holder of the R Class will be considered to be the holder of the
"residual interest" in the REMIC constituted by the Trust, and the Holder of the
RL Class will be considered to be the holder of the "residual interest" in the
REMIC constituted by the Lower Tier REMIC. See "Certain Federal Income Tax
Consequences" in the REMIC Prospectus. Pursuant to the Trust Agreement, we will
be obligated to provide to these Holders (i) information necessary to enable
them to prepare their federal income tax returns and (ii) any reports regarding
the R or RL Class that may be required under the Code.
CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES
The Certificates and payments on the Certificates are not generally exempt
from taxation. Therefore, you should consider the tax consequences of holding a
Certificate before you acquire one. The following tax discussion supplements the
discussion under the caption "Certain Federal Income Tax Consequences" in the
REMIC Prospectus. When read together, the two discussions describe the current
federal income tax treatment of beneficial owners of Certificates. These two tax
discussions do not purport to deal with all federal tax consequences applicable
to all categories of beneficial owners, some of which may be subject to special
rules. In addition, these discussions may not apply to your particular
circumstances for one of the reasons explained in the REMIC Prospectus. You
should consult your own tax advisors regarding the federal income tax
consequences of holding and disposing of Certificates as well as any tax
consequences arising under the laws of any state, local or foreign taxing
jurisdiction.
REMIC ELECTIONS AND SPECIAL TAX ATTRIBUTES
We will elect to treat the Lower Tier REMIC and the Trust as REMICs for
federal income tax purposes. The REMIC Certificates, other than the R and RL
Classes, will be designated as the "regular interests," and the R Class will be
designated as the "residual interest," in the REMIC constituted by the Trust.
The Lower Tier Regular Interests will be designated as the "regular interests"
and the RL Class will be designated as the "residual interest" in the Lower Tier
REMIC.
Because the Lower Tier REMIC and the Trust will qualify as REMICs, the
REMIC Certificates and any related RCR Certificates generally will be treated as
"regular or residual interests in a
S-58
<PAGE> 210
REMIC" for domestic building and loan associations, "real estate assets" for
real estate investment trusts, and, except for the R and RL Classes, as
"qualified mortgages" for other REMICs. See "Certain Federal Income Tax
Consequences--REMIC Election and Special Tax Attributes" in the REMIC
Prospectus.
TAXATION OF BENEFICIAL OWNERS OF REGULAR CERTIFICATES
The Notional Classes, the Principal Only Classes and the SB, SC and PH
Classes will be issued with original issue discount ("OID"), and certain other
Classes of REMIC Certificates may be issued with OID. If a Class is issued with
OID, a beneficial owner of a Certificate of that Class generally must recognize
some taxable income in advance of the receipt of the cash attributable to that
income. See "Certain Federal Income Tax Consequences--Taxation of Beneficial
Owners of Regular Certificates--Treatment of Original Issue Discount" in the
REMIC Prospectus. In addition, certain Classes of REMIC Certificates may be
treated as having been issued at a premium. See "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates--Regular
Certificates Purchased at a Premium" in the REMIC Prospectus.
The Prepayment Assumptions that will be used in determining the rate of
accrual of OID will be as follows:
<TABLE>
<CAPTION>
CERTIFICATE GROUP PSA PREPAYMENT ASSUMPTION
- ----------------- -------------------------
<S> <C>
1 145%
2 130%
3 177%
4 180%
5 158%
6 184%
7 199%
</TABLE>
See "Certain Federal Income Tax Consequences--Taxation of Beneficial Owners of
Regular Certificates--Treatment of Original Issue Discount--Daily Portions of
Original Issue Discount" in the REMIC Prospectus. No representation is made as
to whether the Mortgage Loans underlying the MBS or the Ginnie Mae Certificates
will prepay at any of those rates or any other rate. See "Description of the
Certificates--Weighted Average Lives of the Certificates" in this prospectus
supplement and "Description of Certificates--Weighted Average Life and Final
Distribution Date" in the REMIC Prospectus.
Additional tax consequences affecting beneficial owners of Retail
Certificates are discussed under "Description of the
Certificates--Characteristics of the Retail Certificates--Retail Principal
Payments--Tax Information" in this prospectus supplement.
TAXATION OF BENEFICIAL OWNERS OF RESIDUAL CERTIFICATES
For purposes of determining the portion of the taxable income of the Trust
(or the Lower Tier REMIC) that generally will not be treated as excess
inclusions, the rate to be used is 120% of the "federal long-term rate." The
rate will be published on or about August 20, 1999. See "Certain Federal Income
Tax Consequences--Taxation of Beneficial Owners of Residual
Certificates--Treatment of Excess Inclusions" and "--Foreign Investors--Residual
Certificates" in the REMIC Prospectus.
TAXATION OF BENEFICIAL OWNERS OF RCR CERTIFICATES
General. The RCR Classes will be created, sold and administered pursuant
to an arrangement that will be classified as a grantor trust under subpart E,
part I of subchapter J of the Code. The REMIC Certificates that are exchanged
for RCR Certificates (including any exchanges effective on the Settlement Date)
will be the assets of the trust, and the RCR Certificates will represent an
S-59
<PAGE> 211
ownership interest in those REMIC Certificates. For a general discussion of the
federal income tax treatment of beneficial owners of REMIC Certificates, see
"Certain Federal Income Tax Consequences" in the REMIC Prospectus.
The RCR Classes (each, a "Combination RCR Class") will represent the
beneficial ownership of the underlying REMIC Certificates set forth in Schedule
1. Each Certificate of a Combination RCR Class (a "Combination RCR Certificate")
will represent beneficial ownership of undivided interests in two or more
underlying REMIC Certificates.
Combination RCR Classes. A beneficial owner of a Combination RCR
Certificate will be treated as the beneficial owner of a proportionate interest
in the REMIC Certificates underlying that Combination RCR Certificate. A
beneficial owner of a Combination RCR Certificate must allocate its cost to
acquire that Certificate among the underlying REMIC Certificates in proportion
to their relative fair market values at the time of acquisition. Such owner
should account for its ownership interest in each underlying REMIC Certificate
as described under "--Taxation of Beneficial Owners of Regular Certificates" in
this prospectus supplement and "Certain Federal Income Tax
Consequences--Taxation of Beneficial Owners of Regular Certificates" in the
REMIC Prospectus. When a beneficial owner sells a Combination RCR Certificate,
the owner must allocate the sale proceeds among the underlying REMIC
Certificates in proportion to their relative fair market values at the time of
sale.
Exchanges. If a beneficial owner exchanges one or more REMIC Certificates
for the related RCR Certificate or Certificates in the manner described under
"Description of the Certificates--Combination and Recombination" in this
prospectus supplement, the exchange will not be taxable. Likewise, if a
beneficial owner exchanges one or more RCR Certificates for the related REMIC
Certificate or Certificates in the manner described in that discussion, the
exchange will not be a taxable exchange. In each of these cases, the beneficial
owner will be treated as continuing to own after the exchange the same
combination of interests in the related REMIC Certificates (or the same interest
in the related REMIC Certificate) that it owned immediately prior to the
exchange.
PLAN OF DISTRIBUTION
General. We are obligated to deliver the Certificates to Merrill Lynch,
Pierce, Fenner & Smith Incorporated (the "Dealer") in exchange for the MBS and
the Ginnie Mae Certificates. The Dealer proposes to offer the Certificates
directly to the public from time to time in negotiated transactions at varying
prices to be determined at the time of sale. The Dealer may effect these
transactions to or through other dealers.
Increase in Certificates. Before the Settlement Date, we and the Dealer
may agree to offer Group 1, Group 2, Group 3, Group 4, Group 5, Group 6 and
Group 7 Classes in addition to those contemplated as of the date of this
prospectus supplement. In this event, we will increase the related MBS or Ginnie
Mae Certificates in principal balance, but we expect that all these additional
MBS or Ginnie Mae Certificates will have the same characteristics as described
under "Description of the Certificates--The MBS" and "--The Ginnie Mae
Certificates." The proportion that the original principal balance of each Group
1, Group 2, Group 3, Group 4, Group 5, Group 6 or Group 7 Class bears to the
aggregate original principal balance of all Group 1, Group 2, Group 3, Group 4,
Group 5, Group 6 or Group 7 Classes, respectively, will remain the same. In
addition, the dollar amounts shown in the Principal Balance Schedules will be
increased to correspond to the increase of the principal balances of the
applicable Classes.
LEGAL MATTERS
Brown & Wood LLP will provide legal representation for Fannie Mae. Milbank,
Tweed, Hadley & McCloy LLP will provide legal representation for the Dealer.
S-60
<PAGE> 212
SCHEDULE 1
AVAILABLE RECOMBINATIONS(1)
<TABLE>
<CAPTION>
REMIC CERTIFICATES RCR CERTIFICATES
- ----------------------------------------- -------
ORIGINAL
PRINCIPAL RCR
CLASSES BALANCE CLASSES
------- --------- -------
<S> <C> <C>
RECOMBINATION 1
SP $ 1,388,889 SY
SQ 1,944,445
RECOMBINATION 2
SB 2,957,523 HM
FB 14,787,611
RECOMBINATION 3
SC 4,507,334 HN
FC 22,536,666
<CAPTION>
REMIC CERTIFIC RCR CERTIFICATES
- ------------------------- -----------------------------------
ORIGINAL
PRINCIPAL INTEREST INTEREST
CLASSES BALANCE RATE TYPE(2)
------- --------- -------- --------
<S> <C> <C> <C>
RECOMBINATION 1
SP $ 3,333,334 (3) INV
SQ
RECOMBINATION 2
SB 17,745,134 7.5% FIX
FB
RECOMBINATION 3
SC 27,044,000 7.5 FIX
FC
<CAPTION>
REMIC CERTIFIC RCR CERTIFICATES
- ------------------------- --------------------------------------
FINAL
PRINCIPAL CUSIP MATURITY
CLASSES TYPE(2) NUMBER DATE
------- --------- ------ --------
<S> <C> <C> <C>
RECOMBINATION 1
SP SUP 31359W3L3 October 2029
SQ
RECOMBINATION 2
SB SUP 31359W3M1 October 2029
FB
RECOMBINATION 3
SC SUP 31359W3N9 July 2028
FC
</TABLE>
- ---------------
(1) The principal balances of the REMIC Certificates and RCR Certificates
involved in any exchange will bear the same proportionate relationship as
that borne by the original principal balances of the related Classes.
(2) See "Description of the Certificates--Class Definitions and Abbreviations"
in the REMIC Prospectus and "Description of the Certificates--Distributions
of Interest" and "--Distributions of Principal" herein.
(3) For a description of this interest rate, see "Description of the
Certificates--Distributions of Interest" herein.
A-1
<PAGE> 213
PRINCIPAL BALANCE SCHEDULES
LA CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
September 2000...... $83,055,000.00
October 2000........ 76,964,651.09
November 2000....... 70,710,931.69
December 2000....... 64,296,609.45
January 2001........ 57,724,529.77
February 2001....... 51,185,506.62
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2001.......... $44,679,369.46
April 2001.......... 38,205,948.64
May 2001............ 31,765,075.39
June 2001........... 25,356,581.77
July 2001........... 18,980,300.75
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2001......... $12,636,066.12
September 2001...... 6,323,712.55
October 2001........ 43,075.54
November 2001 and
thereafter........ 0.00
</TABLE>
LB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
October 2001........ $55,938,000.00
November 2001....... 49,731,991.47
December 2001....... 43,514,297.51
January 2002........ 37,327,831.71
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2002....... $31,172,432.94
March 2002.......... 25,047,940.88
April 2002.......... 18,954,196.07
May 2002............ 12,891,039.83
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2002........... $ 6,858,314.33
July 2002........... 855,862.53
August 2002 and
thereafter........ 0.00
</TABLE>
LC CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
July 2002........... $86,420,000.00
August 2002......... 81,303,528.20
September 2002...... 75,361,155.92
October 2002........ 69,448,591.07
November 2002....... 63,565,679.82
December 2002....... 57,712,269.13
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2003........ $51,888,206.74
February 2003....... 46,093,341.19
March 2003.......... 40,327,521.79
April 2003.......... 34,590,598.62
May 2003............ 28,882,422.54
June 2003........... 23,202,845.16
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
July 2003........... $17,551,718.88
August 2003......... 11,928,896.83
September 2003...... 6,334,232.91
October 2003........ 767,581.78
November 2003 and
thereafter........ 0.00
</TABLE>
LD CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
October 2003........ $48,257,000.00
November 2003....... 43,485,798.82
December 2003....... 37,974,740.18
January 2004........ 32,491,262.74
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2004....... $27,035,224.11
March 2004.......... 21,606,482.63
April 2004.......... 16,204,897.39
May 2004............ 10,830,328.18
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2004........... $ 5,482,635.52
July 2004........... 161,680.65
August 2004 and
thereafter........ 0.00
</TABLE>
LJ CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
July 2004........... $10,343,000.00
August 2004......... 9,004,043.78
September 2004...... 7,629,813.29
October 2004........ 6,262,450.39
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2004....... $ 4,901,919.60
December 2004....... 3,548,185.65
January 2005........ 2,201,213.44
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2005....... $ 860,968.06
March 2005 and
thereafter........ 0.00
</TABLE>
B-1
<PAGE> 214
LI CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2005....... $113,964,000.00
March 2005.......... 113,491,414.77
April 2005.......... 112,164,519.01
May 2005............ 110,844,246.41
June 2005........... 109,530,562.74
July 2005........... 108,223,434.00
August 2005......... 106,922,826.32
September 2005...... 105,628,706.02
October 2005........ 104,341,039.60
November 2005....... 103,059,793.73
December 2005....... 101,784,935.24
January 2006........ 100,516,431.14
February 2006....... 99,254,248.61
March 2006.......... 97,998,354.99
April 2006.......... 96,748,717.80
May 2006............ 95,505,304.72
June 2006........... 94,268,083.59
July 2006........... 93,037,022.43
August 2006......... 91,812,089.42
September 2006...... 90,593,252.88
October 2006........ 89,380,481.34
November 2006....... 88,173,743.45
December 2006....... 86,973,008.04
January 2007........ 85,778,244.09
February 2007....... 84,589,420.75
March 2007.......... 83,406,507.33
April 2007.......... 82,229,473.28
May 2007............ 81,058,288.23
June 2007........... 79,892,921.95
July 2007........... 78,733,344.37
August 2007......... 77,579,525.57
September 2007...... 76,431,435.80
October 2007........ 75,289,045.44
November 2007....... 74,152,325.05
December 2007....... 73,021,245.30
January 2008........ 71,906,117.02
February 2008....... 70,806,995.56
March 2008.......... 69,723,657.90
April 2008.......... 68,655,884.07
May 2008............ 67,603,457.13
June 2008........... 66,566,163.09
July 2008........... 65,543,790.93
August 2008......... 64,536,132.50
September 2008...... 63,542,982.52
October 2008........ 62,564,138.51
November 2008....... 61,599,400.80
December 2008....... 60,648,572.44
January 2009........ 59,711,459.18
February 2009....... 58,787,869.46
March 2009.......... 57,877,614.32
April 2009.......... 56,980,507.43
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2009............ $ 56,096,365.00
June 2009........... 55,225,005.75
July 2009........... 54,366,250.94
August 2009......... 53,519,924.23
September 2009...... 52,685,851.74
October 2009........ 51,863,861.97
November 2009....... 51,053,785.78
December 2009....... 50,255,456.35
January 2010........ 49,468,709.16
February 2010....... 48,693,381.95
March 2010.......... 47,929,314.70
April 2010.......... 47,176,349.58
May 2010............ 46,434,330.93
June 2010........... 45,703,105.24
July 2010........... 44,982,521.13
August 2010......... 44,272,429.26
September 2010...... 43,572,682.39
October 2010........ 42,883,135.29
November 2010....... 42,203,644.71
December 2010....... 41,534,069.42
January 2011........ 40,874,270.08
February 2011....... 40,224,109.32
March 2011.......... 39,583,451.63
April 2011.......... 38,952,163.39
May 2011............ 38,330,112.79
June 2011........... 37,717,169.87
July 2011........... 37,113,206.46
August 2011......... 36,518,096.12
September 2011...... 35,931,714.21
October 2011........ 35,353,937.76
November 2011....... 34,784,645.52
December 2011....... 34,223,717.92
January 2012........ 33,671,037.02
February 2012....... 33,126,486.52
March 2012.......... 32,589,951.73
April 2012.......... 32,061,319.53
May 2012............ 31,540,478.37
June 2012........... 31,027,318.24
July 2012........... 30,521,730.65
August 2012......... 30,023,608.61
September 2012...... 29,532,846.60
October 2012........ 29,049,340.58
November 2012....... 28,572,987.92
December 2012....... 28,103,687.43
January 2013........ 27,641,339.31
February 2013....... 27,185,845.15
March 2013.......... 26,737,107.88
April 2013.......... 26,295,031.79
May 2013............ 25,859,522.49
June 2013........... 25,430,486.90
July 2013........... 25,007,833.23
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2013......... $ 24,591,470.95
September 2013...... 24,181,310.79
October 2013........ 23,777,264.72
November 2013....... 23,379,245.92
December 2013....... 22,987,168.79
January 2014........ 22,600,948.89
February 2014....... 22,220,502.98
March 2014.......... 21,845,748.95
April 2014.......... 21,476,605.83
May 2014............ 21,112,993.80
June 2014........... 20,754,834.11
July 2014........... 20,402,049.13
August 2014......... 20,054,562.29
September 2014...... 19,712,298.09
October 2014........ 19,375,182.09
November 2014....... 19,043,140.86
December 2014....... 18,716,102.01
January 2015........ 18,393,994.13
February 2015....... 18,076,746.83
March 2015.......... 17,764,290.69
April 2015.......... 17,456,557.24
May 2015............ 17,153,478.98
June 2015........... 16,854,989.35
July 2015........... 16,561,022.69
August 2015......... 16,271,514.27
September 2015...... 15,986,400.28
October 2015........ 15,705,617.76
November 2015....... 15,429,104.66
December 2015....... 15,156,799.76
January 2016........ 14,888,642.73
February 2016....... 14,624,574.05
March 2016.......... 14,364,535.04
April 2016.......... 14,108,467.85
May 2016............ 13,856,315.41
June 2016........... 13,608,021.46
July 2016........... 13,363,530.53
August 2016......... 13,122,787.92
September 2016...... 12,885,739.68
October 2016........ 12,652,332.64
November 2016....... 12,422,514.33
December 2016....... 12,196,233.06
January 2017........ 11,973,437.83
February 2017....... 11,754,078.36
March 2017.......... 11,538,105.07
April 2017.......... 11,325,469.09
May 2017............ 11,116,122.21
June 2017........... 10,910,016.90
July 2017........... 10,707,106.30
August 2017......... 10,507,344.20
September 2017...... 10,310,685.04
</TABLE>
B-2
<PAGE> 215
<TABLE>
<CAPTION>
LI CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
October 2017........ $ 10,117,083.90
November 2017....... 9,926,496.49
December 2017....... 9,738,879.12
January 2018........ 9,554,188.74
February 2018....... 9,372,382.89
March 2018.......... 9,193,419.69
April 2018.......... 9,017,257.87
May 2018............ 8,843,856.74
June 2018........... 8,673,176.15
July 2018........... 8,505,176.55
August 2018......... 8,339,818.92
September 2018...... 8,177,064.80
October 2018........ 8,016,876.25
November 2018....... 7,859,215.90
December 2018....... 7,704,046.87
January 2019........ 7,551,332.81
February 2019....... 7,401,037.89
March 2019.......... 7,253,126.77
April 2019.......... 7,107,564.60
May 2019............ 6,964,317.05
June 2019........... 6,823,350.24
July 2019........... 6,684,630.79
August 2019......... 6,548,125.78
September 2019...... 6,413,802.75
October 2019........ 6,281,629.70
November 2019....... 6,151,575.09
December 2019....... 6,023,607.81
January 2020........ 5,897,697.19
February 2020....... 5,773,813.01
March 2020.......... 5,651,925.46
April 2020.......... 5,532,005.15
May 2020............ 5,414,023.10
June 2020........... 5,297,950.77
July 2020........... 5,183,759.98
August 2020......... 5,071,422.97
September 2020...... 4,960,912.39
October 2020........ 4,852,201.24
November 2020....... 4,745,262.92
December 2020....... 4,640,071.21
January 2021........ 4,536,600.25
February 2021....... 4,434,824.56
March 2021.......... 4,334,719.01
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2021.......... $ 4,236,258.83
May 2021............ 4,139,419.59
June 2021........... 4,044,177.23
July 2021........... 3,950,508.01
August 2021......... 3,858,388.52
September 2021...... 3,767,795.72
October 2021........ 3,678,706.85
November 2021....... 3,591,099.51
December 2021....... 3,504,951.59
January 2022........ 3,420,241.32
February 2022....... 3,336,947.22
March 2022.......... 3,255,048.12
April 2022.......... 3,174,523.16
May 2022............ 3,095,351.76
June 2022........... 3,017,513.64
July 2022........... 2,940,988.83
August 2022......... 2,865,757.61
September 2022...... 2,791,800.55
October 2022........ 2,719,098.52
November 2022....... 2,647,632.64
December 2022....... 2,577,384.30
January 2023........ 2,508,335.16
February 2023....... 2,440,467.14
March 2023.......... 2,373,762.43
April 2023.......... 2,308,203.47
May 2023............ 2,243,772.92
June 2023........... 2,180,453.73
July 2023........... 2,118,229.08
August 2023......... 2,057,082.39
September 2023...... 1,996,997.30
October 2023........ 1,937,957.70
November 2023....... 1,879,947.73
December 2023....... 1,822,951.71
January 2024........ 1,766,954.24
February 2024....... 1,711,940.09
March 2024.......... 1,657,894.28
April 2024.......... 1,604,802.04
May 2024............ 1,552,648.80
June 2024........... 1,501,420.22
July 2024........... 1,451,102.13
August 2024......... 1,401,680.62
September 2024...... 1,353,141.92
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2024........ $ 1,305,472.49
November 2024....... 1,258,658.99
December 2024....... 1,212,688.26
January 2025........ 1,167,547.33
February 2025....... 1,123,223.42
March 2025.......... 1,079,703.93
April 2025.......... 1,036,976.45
May 2025............ 995,028.74
June 2025........... 953,848.74
July 2025........... 913,424.58
August 2025......... 873,744.52
September 2025...... 834,797.04
October 2025........ 796,570.76
November 2025....... 759,054.46
December 2025....... 722,237.09
January 2026........ 686,107.77
February 2026....... 650,655.76
March 2026.......... 615,870.49
April 2026.......... 581,741.53
May 2026............ 548,258.62
June 2026........... 515,411.63
July 2026........... 483,190.58
August 2026......... 451,585.66
September 2026...... 420,587.17
October 2026........ 390,185.56
November 2026....... 360,371.43
December 2026....... 331,135.52
January 2027........ 302,468.67
February 2027....... 274,361.91
March 2027.......... 246,806.35
April 2027.......... 219,793.25
May 2027............ 193,314.00
June 2027........... 167,360.12
July 2027........... 141,923.25
August 2027......... 116,995.13
September 2027...... 92,567.67
October 2027........ 68,632.84
November 2027....... 45,182.78
December 2027....... 22,209.71
January 2028 and
thereafter........ 0.00
</TABLE>
QE CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
July 2004........... $15,000,000.00
August 2004......... 14,438,411.39
September 2004...... 13,862,027.95
October 2004........ 13,288,524.93
November 2004....... 12,717,887.46
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
December 2004....... $12,150,100.73
January 2005........ 11,585,150.03
February 2005....... 11,023,020.72
March 2005.......... 10,463,698.22
April 2005.......... 9,907,168.04
May 2005............ 9,353,415.75
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2005........... $ 8,802,427.03
July 2005........... 8,254,187.58
August 2005......... 7,708,683.22
September 2005...... 7,165,899.81
October 2005........ 6,625,823.30
November 2005....... 6,088,439.72
</TABLE>
B-3
<PAGE> 216
<TABLE>
<CAPTION>
QE CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
December 2005....... $ 5,553,735.15
January 2006........ 5,021,695.76
February 2006....... 4,492,307.77
March 2006.......... 3,965,557.50
April 2006.......... 3,441,431.32
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2006............ $ 2,919,915.66
June 2006........... 2,400,997.06
July 2006........... 1,884,662.08
August 2006......... 1,370,897.39
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
September 2006...... $ 859,689.70
October 2006........ 351,025.81
November 2006 and
thereafter........ 0.00
</TABLE>
LE CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
July 2004........... $86,330,000.00
August 2004......... 83,097,870.34
September 2004...... 79,780,591.53
October 2004........ 76,479,890.48
November 2004....... 73,195,681.60
December 2004....... 69,927,879.73
January 2005........ 66,676,400.15
February 2005....... 63,441,158.57
March 2005.......... 60,222,071.14
April 2005.......... 57,019,054.44
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2005............ $53,832,025.47
June 2005........... 50,660,901.68
July 2005........... 47,505,600.92
August 2005......... 44,366,041.47
September 2005...... 41,242,142.03
October 2005........ 38,133,821.72
November 2005....... 35,041,000.08
December 2005....... 31,963,597.05
January 2006........ 28,901,532.99
February 2006....... 25,854,728.67
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2006.......... $22,823,105.27
April 2006.......... 19,806,584.37
May 2006............ 16,805,087.95
June 2006........... 13,818,538.41
July 2006........... 10,846,858.51
August 2006......... 7,889,971.45
September 2006...... 4,947,800.79
October 2006........ 2,020,270.52
November 2006 and
thereafter........ 0.00
</TABLE>
LF CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
October 2006........ $25,976,000.00
November 2006....... 24,928,197.55
December 2006....... 21,526,105.83
January 2007........ 18,140,933.30
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2007....... $14,772,592.54
March 2007.......... 11,420,996.58
April 2007.......... 8,086,058.89
May 2007............ 4,767,693.39
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2007........... $ 1,465,814.44
July 2007 and
thereafter........ 0.00
</TABLE>
LG CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
June 2007........... $180,433,000.00
July 2007........... 178,613,336.86
August 2007......... 175,344,175.87
September 2007...... 172,091,247.15
October 2007........ 168,854,466.81
November 2007....... 165,633,751.40
December 2007....... 162,429,017.89
January 2008........ 159,269,480.27
February 2008....... 156,155,295.43
March 2008.......... 153,085,831.47
April 2008.......... 150,060,465.13
May 2008............ 147,078,581.73
June 2008........... 144,139,575.01
July 2008........... 141,242,847.03
August 2008......... 138,387,808.06
September 2008...... 135,573,876.44
October 2008........ 132,800,478.54
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2008....... $130,067,048.56
December 2008....... 127,373,028.49
January 2009........ 124,717,867.98
February 2009....... 122,101,024.23
March 2009.......... 119,521,961.92
April 2009.......... 116,980,153.04
May 2009............ 114,475,076.88
June 2009........... 112,006,219.86
July 2009........... 109,573,075.45
August 2009......... 107,175,144.10
September 2009...... 104,811,933.13
October 2009........ 102,482,956.61
November 2009....... 100,187,735.30
December 2009....... 97,925,796.57
January 2010........ 95,696,674.26
February 2010....... 93,499,908.63
March 2010.......... 91,335,046.29
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2010.......... $ 89,201,640.06
May 2010............ 87,099,248.91
June 2010........... 85,027,437.91
July 2010........... 82,985,778.08
August 2010......... 80,973,846.37
September 2010...... 78,991,225.55
October 2010........ 77,037,504.12
November 2010....... 75,112,276.28
December 2010....... 73,215,141.78
January 2011........ 71,345,705.91
February 2011....... 69,503,579.40
March 2011.......... 67,688,378.32
April 2011.......... 65,899,724.05
May 2011............ 64,137,243.20
June 2011........... 62,400,567.49
July 2011........... 60,689,333.76
</TABLE>
B-4
<PAGE> 217
<TABLE>
<CAPTION>
LG CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- ---------------
<S> <C>
August 2011......... $ 59,003,183.83
September 2011...... 57,341,764.47
October 2011........ 55,704,727.33
November 2011....... 54,091,728.84
December 2011....... 52,502,430.21
January 2012........ 50,936,497.29
February 2012....... 49,393,600.56
March 2012.......... 47,873,415.04
April 2012.......... 46,375,620.26
May 2012............ 44,899,900.15
June 2012........... 43,445,943.00
July 2012........... 42,013,441.44
August 2012......... 40,602,092.32
September 2012...... 39,211,596.69
October 2012........ 37,841,659.71
November 2012....... 36,491,990.66
December 2012....... 35,162,302.80
January 2013........ 33,852,313.36
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2013....... $ 32,561,743.50
March 2013.......... 31,290,318.22
April 2013.......... 30,037,766.34
May 2013............ 28,803,820.41
June 2013........... 27,588,216.71
July 2013........... 26,390,695.13
August 2013......... 25,210,999.22
September 2013...... 24,048,876.02
October 2013........ 22,904,076.11
November 2013....... 21,776,353.52
December 2013....... 20,665,465.67
January 2014........ 19,571,173.38
February 2014....... 18,493,240.74
March 2014.......... 17,431,435.13
April 2014.......... 16,385,527.16
May 2014............ 15,355,290.63
June 2014........... 14,340,502.44
July 2014........... 13,340,942.63
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2014......... $ 12,356,394.26
September 2014...... 11,386,643.41
October 2014........ 10,431,479.15
November 2014....... 9,490,693.44
December 2014....... 8,564,081.15
January 2015........ 7,651,440.01
February 2015....... 6,752,570.54
March 2015.......... 5,867,276.04
April 2015.......... 4,995,362.54
May 2015............ 4,136,638.78
June 2015........... 3,290,916.14
July 2015........... 2,458,008.64
August 2015......... 1,637,732.86
September 2015...... 829,907.97
October 2015........ 34,355.62
November 2015 and
thereafter........ 0.00
</TABLE>
LH CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
October 2015........ $12,000,000.00
November 2015....... 11,797,836.49
December 2015....... 11,589,619.06
January 2016........ 11,384,573.27
February 2016....... 11,182,653.64
March 2016.......... 10,983,815.29
April 2016.......... 10,788,013.98
May 2016............ 10,595,206.08
June 2016........... 10,405,348.57
July 2016........... 10,218,399.04
August 2016......... 10,034,315.64
September 2016...... 9,853,057.14
October 2016........ 9,674,582.87
November 2016....... 9,498,852.73
December 2016....... 9,325,827.17
January 2017........ 9,155,467.21
February 2017....... 8,987,734.39
March 2017.......... 8,822,590.82
April 2017.......... 8,659,999.10
May 2017............ 8,499,922.39
June 2017........... 8,342,324.35
July 2017........... 8,187,169.13
August 2017......... 8,034,421.41
September 2017...... 7,884,046.35
October 2017........ 7,736,009.59
November 2017....... 7,590,277.28
December 2017....... 7,446,816.01
January 2018........ 7,305,592.85
February 2018....... 7,166,575.33
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2018.......... $ 7,029,731.45
April 2018.......... 6,895,029.64
May 2018............ 6,762,438.78
June 2018........... 6,631,928.19
July 2018........... 6,503,467.60
August 2018......... 6,377,027.19
September 2018...... 6,252,577.55
October 2018........ 6,130,089.68
November 2018....... 6,009,534.98
December 2018....... 5,890,885.27
January 2019........ 5,774,112.74
February 2019....... 5,659,190.01
March 2019.......... 5,546,090.04
April 2019.......... 5,434,786.20
May 2019............ 5,325,252.22
June 2019........... 5,217,462.21
July 2019........... 5,111,390.64
August 2019......... 5,007,012.33
September 2019...... 4,904,302.47
October 2019........ 4,803,236.59
November 2019....... 4,703,790.57
December 2019....... 4,605,940.63
January 2020........ 4,509,663.31
February 2020....... 4,414,935.50
March 2020.......... 4,321,734.40
April 2020.......... 4,230,037.56
May 2020............ 4,139,822.80
June 2020........... 4,051,068.31
July 2020........... 3,963,752.53
August 2020......... 3,877,854.25
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
September 2020...... $ 3,793,352.53
October 2020........ 3,710,226.75
November 2020....... 3,628,456.56
December 2020....... 3,548,021.91
January 2021........ 3,468,903.04
February 2021....... 3,391,080.44
March 2021.......... 3,314,534.92
April 2021.......... 3,239,247.52
May 2021............ 3,165,199.58
June 2021........... 3,092,372.68
July 2021........... 3,020,748.68
August 2021......... 2,950,309.69
September 2021...... 2,881,038.06
October 2021........ 2,812,916.42
November 2021....... 2,745,927.63
December 2021....... 2,680,054.79
January 2022........ 2,615,281.23
February 2022....... 2,551,590.55
March 2022.......... 2,488,966.56
April 2022.......... 2,427,393.29
May 2022............ 2,366,855.03
June 2022........... 2,307,336.26
July 2022........... 2,248,821.70
August 2022......... 2,191,296.28
September 2022...... 2,134,745.16
October 2022........ 2,079,153.68
November 2022....... 2,024,507.43
December 2022....... 1,970,792.16
January 2023........ 1,917,993.86
February 2023....... 1,866,098.71
</TABLE>
B-5
<PAGE> 218
<TABLE>
<CAPTION>
LH CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
March 2023.......... $ 1,815,093.08
April 2023.......... 1,764,963.53
May 2023............ 1,715,696.84
June 2023........... 1,667,279.94
July 2023........... 1,619,699.97
August 2023......... 1,572,944.26
September 2023...... 1,527,000.31
October 2023........ 1,481,855.79
November 2023....... 1,437,498.57
December 2023....... 1,393,916.67
January 2024........ 1,351,098.31
February 2024....... 1,309,031.84
March 2024.......... 1,267,705.81
April 2024.......... 1,227,108.93
May 2024............ 1,187,230.05
June 2024........... 1,148,058.21
July 2024........... 1,109,582.58
August 2024......... 1,071,792.50
September 2024...... 1,034,677.48
October 2024........ 998,227.14
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2024....... $ 962,431.28
December 2024....... 927,279.85
January 2025........ 892,762.92
February 2025....... 858,870.72
March 2025.......... 825,593.62
April 2025.......... 792,922.13
May 2025............ 760,846.90
June 2025........... 729,358.69
July 2025........... 698,448.42
August 2025......... 668,107.14
September 2025...... 638,326.02
October 2025........ 609,096.36
November 2025....... 580,409.59
December 2025....... 552,257.26
January 2026........ 524,631.04
February 2026....... 497,522.73
March 2026.......... 470,924.23
April 2026.......... 444,827.59
May 2026............ 419,224.94
June 2026........... 394,108.55
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
July 2026........... $ 369,470.79
August 2026......... 345,304.14
September 2026...... 321,601.20
October 2026........ 298,354.67
November 2026....... 275,557.35
December 2026....... 253,202.16
January 2027........ 231,282.12
February 2027....... 209,790.33
March 2027.......... 188,720.02
April 2027.......... 168,064.50
May 2027............ 147,817.20
June 2027........... 127,971.61
July 2027........... 108,521.35
August 2027......... 89,460.11
September 2027...... 70,781.70
October 2027........ 52,479.98
November 2027....... 34,548.93
December 2027....... 16,982.61
January 2028 and
thereafter........ 0.00
</TABLE>
LK CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
October 2015........ $24,438,192.00
November 2015....... 23,891,255.48
December 2015....... 23,327,940.55
January 2016........ 22,773,206.28
February 2016....... 22,226,929.54
March 2016.......... 21,688,988.96
April 2016.......... 21,159,264.83
May 2016............ 20,637,639.13
June 2016........... 20,123,995.46
July 2016........... 19,618,219.06
August 2016......... 19,120,196.77
September 2016...... 18,629,817.01
October 2016........ 18,146,969.75
November 2016....... 17,671,546.49
December 2016....... 17,203,440.26
January 2017........ 16,742,545.58
February 2017....... 16,288,758.42
March 2017.......... 15,841,976.24
April 2017.......... 15,402,097.91
May 2017............ 14,969,023.71
June 2017........... 14,542,655.33
July 2017........... 14,122,895.82
August 2017......... 13,709,649.59
September 2017...... 13,302,822.39
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2017........ $12,902,321.29
November 2017....... 12,508,054.66
December 2017....... 12,119,932.13
January 2018........ 11,737,864.64
February 2018....... 11,361,764.35
March 2018.......... 10,991,544.64
April 2018.......... 10,627,120.12
May 2018............ 10,268,406.60
June 2018........... 9,915,321.05
July 2018........... 9,567,781.64
August 2018......... 9,225,707.65
September 2018...... 8,889,019.52
October 2018........ 8,557,638.78
November 2018....... 8,231,488.09
December 2018....... 7,910,491.18
January 2019........ 7,594,572.85
February 2019....... 7,283,658.96
March 2019.......... 6,977,676.42
April 2019.......... 6,676,553.15
May 2019............ 6,380,218.10
June 2019........... 6,088,601.22
July 2019........... 5,801,633.41
August 2019......... 5,519,246.60
September 2019...... 5,241,373.64
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2019........ $ 4,967,948.33
November 2019....... 4,698,905.41
December 2019....... 4,434,180.54
January 2020........ 4,173,710.27
February 2020....... 3,917,432.08
March 2020.......... 3,665,284.28
April 2020.......... 3,417,206.11
May 2020............ 3,173,137.61
June 2020........... 2,933,019.71
July 2020........... 2,696,794.16
August 2020......... 2,464,403.51
September 2020...... 2,235,791.16
October 2020........ 2,010,901.28
November 2020....... 1,789,678.85
December 2020....... 1,572,069.62
January 2021........ 1,358,020.09
February 2021....... 1,147,477.55
March 2021.......... 940,390.01
April 2021.......... 736,706.23
May 2021............ 536,375.69
June 2021........... 339,348.59
July 2021........... 145,575.82
August 2021 and
thereafter........ 0.00
</TABLE>
B-6
<PAGE> 219
LM CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
July 2021........... $8,026,808.00
August 2021......... 7,981,817.00
September 2021...... 7,794,408.39
October 2021........ 7,610,110.98
November 2021....... 7,428,878.38
December 2021....... 7,250,664.89
January 2022........ 7,075,425.43
February 2022....... 6,903,115.60
March 2022.......... 6,733,691.60
April 2022.......... 6,567,110.27
May 2022............ 6,403,329.04
June 2022........... 6,242,305.96
July 2022........... 6,083,999.70
August 2022......... 5,928,369.48
September 2022...... 5,775,375.13
October 2022........ 5,624,977.03
November 2022....... 5,477,136.13
December 2022....... 5,331,813.96
January 2023........ 5,188,972.57
February 2023....... 5,048,574.56
March 2023.......... 4,910,583.07
April 2023.......... 4,774,961.76
May 2023............ 4,641,674.81
June 2023........... 4,510,686.93
July 2023........... 4,381,963.30
August 2023......... 4,255,469.62
September 2023...... 4,131,172.08
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2023........ $4,009,037.36
November 2023....... 3,889,032.59
December 2023....... 3,771,125.40
January 2024........ 3,655,283.88
February 2024....... 3,541,476.56
March 2024.......... 3,429,672.44
April 2024.......... 3,319,840.95
May 2024............ 3,211,951.97
June 2024........... 3,105,975.80
July 2024........... 3,001,883.20
August 2024......... 2,899,645.30
September 2024...... 2,799,233.69
October 2024........ 2,700,620.34
November 2024....... 2,603,777.63
December 2024....... 2,508,678.36
January 2025........ 2,415,295.68
February 2025....... 2,323,603.16
March 2025.......... 2,233,574.75
April 2025.......... 2,145,184.76
May 2025............ 2,058,407.87
June 2025........... 1,973,219.15
July 2025........... 1,889,594.00
August 2025......... 1,807,508.20
September 2025...... 1,726,937.86
October 2025........ 1,647,859.46
November 2025....... 1,570,249.79
December 2025....... 1,494,086.00
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2026........ $1,419,345.56
February 2026....... 1,346,006.28
March 2026.......... 1,274,046.27
April 2026.......... 1,203,443.97
May 2026............ 1,134,178.15
June 2026........... 1,066,227.84
July 2026........... 999,572.44
August 2026......... 934,191.59
September 2026...... 870,065.26
October 2026........ 807,173.70
November 2026....... 745,497.46
December 2026....... 685,017.35
January 2027........ 625,714.49
February 2027....... 567,570.25
March 2027.......... 510,566.28
April 2027.......... 454,684.51
May 2027............ 399,907.11
June 2027........... 346,216.53
July 2027........... 293,595.47
August 2027......... 242,026.88
September 2027...... 191,493.98
October 2027........ 141,980.20
November 2027....... 93,469.25
December 2027....... 45,945.05
January 2028 and
thereafter........ 0.00
</TABLE>
GL CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $9,000,000.00
October 1999........ 8,739,300.21
November 1999....... 8,465,524.25
December 1999....... 8,178,811.38
January 2000........ 7,879,309.20
February 2000....... 7,567,173.52
March 2000.......... 7,242,568.24
April 2000.......... 6,905,665.23
May 2000............ 6,556,644.15
June 2000........... 6,195,692.29
July 2000........... 5,823,004.46
August 2000......... 5,438,782.75
September 2000...... 5,043,236.41
October 2000........ 4,975,413.28
November 2000....... 4,905,793.61
December 2000....... 4,834,452.88
January 2001........ 4,761,468.60
February 2001....... 4,689,522.68
March 2001.......... 4,618,605.96
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
April 2001.......... $4,548,709.34
May 2001............ 4,479,823.79
June 2001........... 4,411,940.35
July 2001........... 4,345,050.15
August 2001......... 4,279,144.36
September 2001...... 4,214,214.25
October 2001........ 4,150,251.13
November 2001....... 4,087,246.39
December 2001....... 4,025,191.51
January 2002........ 3,964,077.99
February 2002....... 3,903,897.45
March 2002.......... 3,844,641.53
April 2002.......... 3,786,301.97
May 2002............ 3,728,870.56
June 2002........... 3,672,339.16
July 2002........... 3,616,699.68
August 2002......... 3,561,944.11
September 2002...... 3,508,064.50
October 2002........ 3,455,052.96
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
November 2002....... $3,402,901.67
December 2002....... 3,351,602.87
January 2003........ 3,301,148.85
February 2003....... 3,251,531.96
March 2003.......... 3,202,744.65
April 2003.......... 3,154,779.37
May 2003............ 3,107,628.68
June 2003........... 3,061,285.17
July 2003........... 3,015,741.50
August 2003......... 2,970,990.39
September 2003...... 2,927,024.61
October 2003........ 2,883,837.01
November 2003....... 2,841,420.46
December 2003....... 2,799,767.91
January 2004........ 2,758,872.37
February 2004....... 2,718,726.90
March 2004.......... 2,679,324.62
April 2004.......... 2,640,658.68
May 2004............ 2,602,722.33
</TABLE>
B-7
<PAGE> 220
<TABLE>
<CAPTION>
GL CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- -------------
<S> <C>
June 2004........... $2,565,508.83
July 2004........... 2,529,011.52
August 2004......... 2,493,223.79
September 2004...... 2,458,139.07
October 2004........ 2,423,750.86
November 2004....... 2,390,052.70
December 2004....... 2,357,038.19
January 2005........ 2,324,700.98
February 2005....... 2,293,034.77
March 2005.......... 2,262,033.30
April 2005.......... 2,231,690.37
May 2005............ 2,201,999.85
June 2005........... 2,172,955.62
July 2005........... 2,144,551.64
August 2005......... 2,116,781.90
September 2005...... 2,089,640.45
October 2005........ 2,063,121.39
November 2005....... 2,037,218.86
December 2005....... 2,011,927.04
January 2006........ 1,987,240.18
February 2006....... 1,963,152.56
March 2006.......... 1,939,658.51
April 2006.......... 1,916,752.41
May 2006............ 1,894,428.67
June 2006........... 1,872,681.77
July 2006........... 1,851,506.22
August 2006......... 1,830,896.57
September 2006...... 1,810,847.43
October 2006........ 1,791,353.43
November 2006....... 1,772,409.28
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
December 2006....... $1,754,009.70
January 2007........ 1,736,149.47
February 2007....... 1,718,823.40
March 2007.......... 1,702,026.36
April 2007.......... 1,685,753.25
May 2007............ 1,669,999.01
June 2007........... 1,654,758.62
July 2007........... 1,640,027.12
August 2007......... 1,625,799.58
September 2007...... 1,612,071.09
October 2007........ 1,598,836.82
November 2007....... 1,586,091.93
December 2007....... 1,573,831.68
January 2008........ 1,559,846.16
February 2008....... 1,544,112.69
March 2008.......... 1,526,668.04
April 2008.......... 1,507,548.36
May 2008............ 1,486,789.26
June 2008........... 1,464,425.78
July 2008........... 1,440,492.37
August 2008......... 1,415,022.98
September 2008...... 1,388,050.98
October 2008........ 1,359,609.22
November 2008....... 1,329,843.78
December 2008....... 1,299,271.60
January 2009........ 1,267,915.06
February 2009....... 1,235,796.18
March 2009.......... 1,202,936.54
April 2009.......... 1,169,357.35
May 2009............ 1,135,079.43
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
June 2009........... $1,100,123.23
July 2009........... 1,064,508.82
August 2009......... 1,028,255.91
September 2009...... 991,383.83
October 2009........ 953,911.57
November 2009....... 915,857.77
December 2009....... 877,240.73
January 2010........ 838,078.40
February 2010....... 798,388.40
March 2010.......... 758,188.02
April 2010.......... 717,494.24
May 2010............ 676,323.70
June 2010........... 634,692.75
July 2010........... 592,617.41
August 2010......... 550,113.42
September 2010...... 507,196.21
October 2010........ 463,880.91
November 2010....... 420,182.37
December 2010....... 376,115.16
January 2011........ 331,693.55
February 2011....... 286,931.57
March 2011.......... 241,842.96
April 2011.......... 196,441.17
May 2011............ 150,739.43
June 2011........... 104,750.69
July 2011........... 58,487.64
August 2011......... 11,962.75
September 2011 and
thereafter........ 0.00
</TABLE>
SD CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $42,436,389.00
October 1999........ 41,207,149.27
November 1999....... 39,916,253.37
December 1999....... 38,564,357.93
January 2000........ 37,152,158.91
February 2000....... 35,680,391.00
March 2000.......... 34,149,827.04
April 2000.......... 32,561,277.36
May 2000............ 30,915,589.07
June 2000........... 29,213,645.36
July 2000........... 27,456,364.71
August 2000......... 25,644,700.06
September 2000...... 23,779,637.99
October 2000........ 23,459,841.49
November 2000....... 23,131,573.98
December 2000....... 22,795,191.44
January 2001........ 22,451,059.29
February 2001....... 22,111,823.19
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
March 2001.......... $21,777,439.91
April 2001.......... 21,447,866.55
May 2001............ 21,123,060.54
June 2001........... 20,802,979.67
July 2001........... 20,487,582.04
August 2001......... 20,176,826.08
September 2001...... 19,870,670.57
October 2001........ 19,569,074.58
November 2001....... 19,271,997.54
December 2001....... 18,979,399.17
January 2002........ 18,691,239.53
February 2002....... 18,407,478.97
March 2002.......... 18,128,078.19
April 2002.......... 17,852,998.16
May 2002............ 17,582,200.20
June 2002........... 17,315,645.89
July 2002........... 17,053,297.15
August 2002......... 16,795,116.19
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
September 2002...... $16,541,065.52
October 2002........ 16,291,107.95
November 2002....... 16,045,206.57
December 2002....... 15,803,324.79
January 2003........ 15,565,426.29
February 2003....... 15,331,475.03
March 2003.......... 15,101,435.30
April 2003.......... 14,875,271.61
May 2003............ 14,652,948.82
June 2003........... 14,434,432.02
July 2003........... 14,219,686.59
August 2003......... 14,008,678.20
September 2003...... 13,801,372.79
October 2003........ 13,597,736.55
November 2003....... 13,397,735.97
December 2003....... 13,201,337.79
January 2004........ 13,008,509.03
February 2004....... 12,819,216.95
</TABLE>
B-8
<PAGE> 221
<TABLE>
<CAPTION>
SD CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- --------------
<S> <C>
March 2004.......... $12,633,429.08
April 2004.......... 12,451,113.24
May 2004............ 12,272,237.47
June 2004........... 12,096,770.07
July 2004........... 11,924,679.63
August 2004......... 11,755,934.94
September 2004...... 11,590,505.08
October 2004........ 11,428,359.36
November 2004....... 11,269,467.35
December 2004....... 11,113,798.84
January 2005........ 10,961,323.90
February 2005....... 10,812,012.81
March 2005.......... 10,665,836.10
April 2005.......... 10,522,764.54
May 2005............ 10,382,769.13
June 2005........... 10,245,821.11
July 2005........... 10,111,891.95
August 2005......... 9,980,953.35
September 2005...... 9,852,977.24
October 2005........ 9,727,935.77
November 2005....... 9,605,801.33
December 2005....... 9,486,546.52
January 2006........ 9,370,144.17
February 2006....... 9,256,567.32
March 2006.......... 9,145,789.25
April 2006.......... 9,037,783.43
May 2006............ 8,932,523.57
June 2006........... 8,829,983.57
July 2006........... 8,730,137.57
August 2006......... 8,632,959.89
September 2006...... 8,538,425.08
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
October 2006........ $ 8,446,507.90
November 2006....... 8,357,183.30
December 2006....... 8,270,426.44
January 2007........ 8,186,212.68
February 2007....... 8,104,517.60
March 2007.......... 8,025,316.96
April 2007.......... 7,948,586.72
May 2007............ 7,874,303.05
June 2007........... 7,802,442.29
July 2007........... 7,732,981.00
August 2007......... 7,665,895.93
September 2007...... 7,601,164.00
October 2007........ 7,538,762.34
November 2007....... 7,478,668.25
December 2007....... 7,420,859.24
January 2008........ 7,354,915.37
February 2008....... 7,280,729.66
March 2008.......... 7,198,475.42
April 2008.......... 7,108,323.20
May 2008............ 7,010,440.84
June 2008........... 6,904,993.54
July 2008........... 6,792,143.85
August 2008......... 6,672,051.72
September 2008...... 6,544,874.58
October 2008........ 6,410,767.30
November 2008....... 6,270,418.67
December 2008....... 6,126,266.09
January 2009........ 5,978,415.20
February 2009....... 5,826,969.70
March 2009.......... 5,672,031.42
April 2009.......... 5,513,700.36
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
May 2009............ $ 5,352,074.70
June 2009........... 5,187,250.83
July 2009........... 5,019,323.39
August 2009......... 4,848,385.30
September 2009...... 4,674,527.75
October 2009........ 4,497,840.27
November 2009....... 4,318,410.75
December 2009....... 4,136,325.44
January 2010........ 3,951,669.00
February 2010....... 3,764,524.52
March 2010.......... 3,574,973.53
April 2010.......... 3,383,096.06
May 2010............ 3,188,970.62
June 2010........... 2,992,674.25
July 2010........... 2,794,282.55
August 2010......... 2,593,869.68
September 2010...... 2,391,508.39
October 2010........ 2,187,270.07
November 2010....... 1,981,224.71
December 2010....... 1,773,441.01
January 2011........ 1,563,986.30
February 2011....... 1,352,926.66
March 2011.......... 1,140,326.86
April 2011.......... 926,250.43
May 2011............ 710,759.67
June 2011........... 493,915.66
July 2011........... 275,778.27
August 2011......... 56,406.21
September 2011 and
thereafter........ 0.00
</TABLE>
FD CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $110,334,611.00
October 1999........ 107,138,587.72
November 1999....... 103,782,258.39
December 1999....... 100,267,330.26
January 2000........ 96,595,612.81
February 2000....... 92,769,016.26
March 2000.......... 88,789,549.98
April 2000.......... 84,659,320.82
May 2000............ 80,380,531.29
June 2000........... 75,955,477.67
July 2000........... 71,386,547.99
August 2000......... 66,676,219.92
September 2000...... 61,827,058.55
October 2000........ 60,995,587.65
November 2000....... 60,142,092.13
December 2000....... 59,267,497.52
January 2001........ 58,372,753.94
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
February 2001....... $ 57,490,740.09
March 2001.......... 56,621,343.56
April 2001.......... 55,764,452.82
May 2001............ 54,919,957.21
June 2001........... 54,087,746.95
July 2001........... 53,267,713.10
August 2001......... 52,459,747.62
September 2001...... 51,663,743.28
October 2001........ 50,879,593.72
November 2001....... 50,107,193.42
December 2001....... 49,346,437.66
January 2002........ 48,597,222.59
February 2002....... 47,859,445.16
March 2002.......... 47,133,003.12
April 2002.......... 46,417,795.06
May 2002............ 45,713,720.34
June 2002........... 45,020,679.14
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
July 2002........... $ 44,338,572.43
August 2002......... 43,667,301.94
September 2002...... 43,006,770.20
October 2002........ 42,356,880.51
November 2002....... 41,717,536.94
December 2002....... 41,088,644.30
January 2003........ 40,470,108.20
February 2003....... 39,861,834.94
March 2003.......... 39,263,731.63
April 2003.......... 38,675,706.06
May 2003............ 38,097,666.79
June 2003........... 37,529,523.10
July 2003........... 36,971,185.00
August 2003......... 36,422,563.19
September 2003...... 35,883,569.11
October 2003........ 35,354,114.90
November 2003....... 34,834,113.40
</TABLE>
B-9
<PAGE> 222
<TABLE>
<CAPTION>
FD CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- ---------------
<S> <C>
December 2003....... $ 34,323,478.14
January 2004........ 33,822,123.35
February 2004....... 33,329,963.94
March 2004.......... 32,846,915.50
April 2004.......... 32,372,894.31
May 2004............ 31,907,817.30
June 2004........... 31,451,602.08
July 2004........... 31,004,166.91
August 2004......... 30,565,430.73
September 2004...... 30,135,313.09
October 2004........ 29,713,734.22
November 2004....... 29,300,614.99
December 2004....... 28,895,876.89
January 2005........ 28,499,442.04
February 2005....... 28,111,233.20
March 2005.......... 27,731,173.76
April 2005.......... 27,359,187.70
May 2005............ 26,995,199.64
June 2005........... 26,639,134.79
July 2005........... 26,290,918.97
August 2005......... 25,950,478.61
September 2005...... 25,617,740.72
October 2005........ 25,292,632.91
November 2005....... 24,975,083.37
December 2005....... 24,665,020.86
January 2006........ 24,362,374.75
February 2006....... 24,067,074.95
March 2006.......... 23,779,051.97
April 2006.......... 23,498,236.84
May 2006............ 23,224,561.20
June 2006........... 22,957,957.21
July 2006........... 22,698,357.60
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
August 2006......... $ 22,445,695.64
September 2006...... 22,199,905.14
October 2006........ 21,960,920.46
November 2006....... 21,728,676.49
December 2006....... 21,503,108.66
January 2007........ 21,284,152.90
February 2007....... 21,071,745.69
March 2007.......... 20,865,824.02
April 2007.......... 20,666,325.40
May 2007............ 20,473,187.84
June 2007........... 20,286,349.88
July 2007........... 20,105,750.54
August 2007......... 19,931,329.35
September 2007...... 19,763,026.33
October 2007........ 19,600,782.01
November 2007....... 19,444,537.39
December 2007....... 19,294,233.96
January 2008........ 19,122,779.90
February 2008....... 18,929,897.06
March 2008.......... 18,716,036.03
April 2008.......... 18,481,640.25
May 2008............ 18,227,146.13
June 2008........... 17,952,983.14
July 2008........... 17,659,573.94
August 2008......... 17,347,334.41
September 2008...... 17,016,673.84
October 2008........ 16,667,994.93
November 2008....... 16,303,088.47
December 2008....... 15,928,291.79
January 2009........ 15,543,879.47
February 2009....... 15,150,121.16
March 2009.......... 14,747,281.63
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
April 2009.......... $ 14,335,620.88
May 2009............ 13,915,394.16
June 2009........... 13,486,852.10
July 2009........... 13,050,240.77
August 2009......... 12,605,801.73
September 2009...... 12,153,772.10
October 2009........ 11,694,384.66
November 2009....... 11,227,867.91
December 2009....... 10,754,446.10
January 2010........ 10,274,339.36
February 2010....... 9,787,763.71
March 2010.......... 9,294,931.15
April 2010.......... 8,796,049.73
May 2010............ 8,291,323.58
June 2010........... 7,780,953.03
July 2010........... 7,265,134.61
August 2010......... 6,744,061.15
September 2010...... 6,217,921.80
October 2010........ 5,686,902.16
November 2010....... 5,151,184.24
December 2010....... 4,610,946.60
January 2011........ 4,066,364.37
February 2011....... 3,517,609.29
March 2011.......... 2,964,849.82
April 2011.......... 2,408,251.12
May 2011............ 1,847,975.15
June 2011........... 1,284,180.71
July 2011........... 717,023.50
August 2011......... 146,656.15
September 2011 and
thereafter........ 0.00
</TABLE>
PB CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
September 2000...... $24,610,700.00
October 2000........ 23,926,218.38
November 2000....... 23,223,506.92
December 2000....... 22,502,876.82
January 2001........ 21,764,647.96
February 2001....... 21,030,144.22
March 2001.......... 20,299,346.41
April 2001.......... 19,572,235.43
May 2001............ 18,848,792.26
June 2001........... 18,128,998.00
July 2001........... 17,412,833.85
August 2001......... 16,700,281.10
September 2001...... 15,991,321.12
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2001........ $15,285,935.40
November 2001....... 14,584,105.52
December 2001....... 13,885,813.14
January 2002........ 13,191,040.02
February 2002....... 12,499,768.04
March 2002.......... 11,811,979.13
April 2002.......... 11,127,655.34
May 2002............ 10,446,778.81
June 2002........... 9,769,331.77
July 2002........... 9,095,296.54
August 2002......... 8,424,655.52
September 2002...... 7,757,391.22
October 2002........ 7,093,486.23
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
November 2002....... $ 6,432,923.24
December 2002....... 5,775,685.00
January 2003........ 5,121,754.38
February 2003....... 4,471,114.32
March 2003.......... 3,823,747.87
April 2003.......... 3,179,638.13
May 2003............ 2,538,768.32
June 2003........... 1,901,121.74
July 2003........... 1,266,681.75
August 2003......... 635,431.84
September 2003...... 7,355.54
October 2003 and
thereafter........ 0.00
</TABLE>
B-10
<PAGE> 223
PD CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
September 2003...... $6,799,600.00
October 2003........ 6,182,036.50
November 2003....... 5,560,258.43
December 2003....... 4,941,605.14
January 2004........ 4,326,060.52
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
February 2004....... $3,713,608.52
March 2004.......... 3,104,233.21
April 2004.......... 2,497,918.72
May 2004............ 1,894,649.27
June 2004........... 1,294,409.14
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
July 2004........... $ 697,182.72
August 2004......... 102,954.47
September 2004 and
thereafter........ 0.00
</TABLE>
PE CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2004......... $14,057,300.00
September 2004...... 13,569,008.91
October 2004........ 12,980,730.68
November 2004....... 12,395,404.46
December 2004....... 11,813,015.03
January 2005........ 11,233,547.25
February 2005....... 10,656,986.04
March 2005.......... 10,083,316.41
April 2005.......... 9,512,523.45
May 2005............ 8,944,592.31
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2005........... $ 8,379,508.25
July 2005........... 7,817,256.57
August 2005......... 7,257,822.66
September 2005...... 6,701,191.98
October 2005........ 6,147,350.08
November 2005....... 5,596,282.58
December 2005....... 5,047,975.15
January 2006........ 4,502,413.56
February 2006....... 3,959,583.64
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2006.......... $ 3,419,471.31
April 2006.......... 2,882,062.54
May 2006............ 2,347,343.38
June 2006........... 1,815,299.97
July 2006........... 1,285,918.48
August 2006......... 759,185.19
September 2006...... 235,086.44
October 2006 and
thereafter........ 0.00
</TABLE>
PF CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
September 2006...... $11,108,400.00
October 2006........ 10,822,008.63
November 2006....... 10,303,138.25
December 2006....... 9,786,861.82
January 2007........ 9,273,165.98
February 2007....... 8,762,037.40
March 2007.......... 8,253,462.85
April 2007.......... 7,747,429.13
May 2007............ 7,243,923.14
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2007........... $ 6,742,931.83
July 2007........... 6,244,442.23
August 2007......... 5,748,441.43
September 2007...... 5,254,916.58
October 2007........ 4,763,854.91
November 2007....... 4,275,243.70
December 2007....... 3,790,697.52
January 2008........ 3,313,120.10
February 2008....... 2,842,414.20
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
March 2008.......... $ 2,378,483.91
April 2008.......... 1,921,234.62
May 2008............ 1,470,573.06
June 2008........... 1,026,407.20
July 2008........... 588,646.30
August 2008......... 157,200.86
September 2008 and
thereafter........ 0.00
</TABLE>
PG CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
August 2008......... $16,264,000.00
September 2008...... 15,995,982.61
October 2008........ 15,576,904.48
November 2008....... 15,163,880.61
December 2008....... 14,756,826.34
January 2009........ 14,355,658.13
February 2009....... 13,960,293.62
March 2009.......... 13,570,651.58
April 2009.......... 13,186,651.88
May 2009............ 12,808,215.51
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2009........... $12,435,264.55
July 2009........... 12,067,722.13
August 2009......... 11,705,512.46
September 2009...... 11,348,560.78
October 2009........ 10,996,793.36
November 2009....... 10,650,137.49
December 2009....... 10,308,521.47
January 2010........ 9,971,874.57
February 2010....... 9,640,127.04
March 2010.......... 9,313,210.09
April 2010.......... 8,991,055.89
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
May 2010............ $ 8,673,597.52
June 2010........... 8,360,769.02
July 2010........... 8,052,505.29
August 2010......... 7,748,742.17
September 2010...... 7,449,416.36
October 2010........ 7,154,465.44
November 2010....... 6,863,827.87
December 2010....... 6,577,442.92
January 2011........ 6,295,250.72
February 2011....... 6,017,192.24
March 2011.......... 5,743,209.23
</TABLE>
B-11
<PAGE> 224
<TABLE>
<CAPTION>
PG CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
April 2011.......... $ 5,473,244.28
May 2011............ 5,207,240.75
June 2011........... 4,945,142.78
July 2011........... 4,686,895.30
August 2011......... 4,432,443.99
September 2011...... 4,181,735.27
October 2011........ 3,934,716.32
November 2011....... 3,691,335.03
December 2011....... 3,451,540.03
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
January 2012........ $ 3,215,280.65
February 2012....... 2,982,506.91
March 2012.......... 2,753,169.54
April 2012.......... 2,527,219.94
May 2012............ 2,304,610.19
June 2012........... 2,085,293.03
July 2012........... 1,869,221.84
August 2012......... 1,656,350.67
September 2012...... 1,446,634.18
</TABLE>
<TABLE>
<S> <C>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2012........ $ 1,240,027.69
November 2012....... 1,036,487.10
December 2012....... 835,968.95
January 2013........ 638,430.37
February 2013....... 443,829.08
March 2013.......... 252,123.41
April 2013.......... 63,272.23
May 2013 and
thereafter........ 0.00
</TABLE>
PH CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
April 2013.......... $10,670,100.00
May 2013............ 10,547,335.01
June 2013........... 10,364,071.76
July 2013........... 10,183,543.07
August 2013......... 10,005,710.05
September 2013...... 9,830,534.37
October 2013........ 9,657,978.22
November 2013....... 9,488,004.31
December 2013....... 9,320,575.89
January 2014........ 9,155,656.70
February 2014....... 8,993,210.98
March 2014.......... 8,833,203.49
April 2014.......... 8,675,599.45
May 2014............ 8,520,364.59
June 2014........... 8,367,465.10
July 2014........... 8,216,867.64
August 2014......... 8,068,539.34
September 2014...... 7,922,447.79
October 2014........ 7,778,561.02
November 2014....... 7,636,847.51
December 2014....... 7,497,276.18
January 2015........ 7,359,816.37
February 2015....... 7,224,437.88
March 2015.......... 7,091,110.89
April 2015.......... 6,959,806.01
May 2015............ 6,830,494.28
June 2015........... 6,703,147.10
July 2015........... 6,577,736.32
August 2015......... 6,454,234.15
September 2015...... 6,332,613.18
October 2015........ 6,212,846.40
November 2015....... 6,094,907.18
December 2015....... 5,978,769.26
January 2016........ 5,864,406.72
February 2016....... 5,751,794.03
March 2016.......... 5,640,906.01
April 2016.......... 5,531,717.83
May 2016............ 5,424,205.01
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2016........... $ 5,318,343.40
July 2016........... 5,214,109.20
August 2016......... 5,111,478.93
September 2016...... 5,010,429.45
October 2016........ 4,910,937.95
November 2016....... 4,812,981.91
December 2016....... 4,716,539.16
January 2017........ 4,621,587.82
February 2017....... 4,528,106.31
March 2017.......... 4,436,073.37
April 2017.......... 4,345,468.02
May 2017............ 4,256,269.59
June 2017........... 4,168,457.70
July 2017........... 4,082,012.24
August 2017......... 3,996,913.38
September 2017...... 3,913,141.59
October 2017........ 3,830,677.61
November 2017....... 3,749,502.42
December 2017....... 3,669,597.30
January 2018........ 3,590,943.78
February 2018....... 3,513,523.65
March 2018.......... 3,437,318.96
April 2018.......... 3,362,312.00
May 2018............ 3,288,485.32
June 2018........... 3,215,821.71
July 2018........... 3,144,304.21
August 2018......... 3,073,916.09
September 2018...... 3,004,640.85
October 2018........ 2,936,462.23
November 2018....... 2,869,364.21
December 2018....... 2,803,330.98
January 2019........ 2,738,346.95
February 2019....... 2,674,396.76
March 2019.......... 2,611,465.25
April 2019.......... 2,549,537.51
May 2019............ 2,488,598.79
June 2019........... 2,428,634.59
July 2019........... 2,369,630.59
August 2019......... 2,311,572.69
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
September 2019...... $ 2,254,446.97
October 2019........ 2,198,239.71
November 2019....... 2,142,937.40
December 2019....... 2,088,526.71
January 2020........ 2,034,994.50
February 2020....... 1,982,327.80
March 2020.......... 1,930,513.85
April 2020.......... 1,879,540.05
May 2020............ 1,829,393.99
June 2020........... 1,780,063.44
July 2020........... 1,731,536.32
August 2020......... 1,683,800.74
September 2020...... 1,636,844.97
October 2020........ 1,590,657.46
November 2020....... 1,545,226.81
December 2020....... 1,500,541.79
January 2021........ 1,456,591.31
February 2021....... 1,413,364.47
March 2021.......... 1,370,850.49
April 2021.......... 1,329,038.77
May 2021............ 1,287,918.85
June 2021........... 1,247,480.41
July 2021........... 1,207,713.30
August 2021......... 1,168,607.49
September 2021...... 1,130,153.10
October 2021........ 1,092,340.40
November 2021....... 1,055,159.78
December 2021....... 1,018,601.80
January 2022........ 982,657.11
February 2022....... 947,316.52
March 2022.......... 912,570.98
April 2022.......... 878,411.54
May 2022............ 844,829.40
June 2022........... 811,815.89
July 2022........... 779,362.43
August 2022......... 747,460.60
September 2022...... 716,102.08
October 2022........ 685,278.67
November 2022....... 654,982.31
</TABLE>
B-12
<PAGE> 225
<TABLE>
<CAPTION>
PH CLASS (CONTINUED)
DISTRIBUTION PLANNED
DATE BALANCE
- -------------------- --------------
<S> <C>
December 2022....... $ 625,205.02
January 2023........ 595,938.95
February 2023....... 567,176.37
March 2023.......... 538,909.65
April 2023.......... 511,131.28
May 2023............ 483,833.84
June 2023........... 457,010.04
July 2023........... 430,652.67
August 2023......... 404,754.63
September 2023...... 379,308.95
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
October 2023........ $ 354,308.72
November 2023....... 329,747.14
December 2023....... 305,617.53
January 2024........ 281,913.28
February 2024....... 258,627.89
March 2024.......... 235,754.94
April 2024.......... 213,288.13
May 2024............ 191,221.21
June 2024........... 169,548.05
July 2024........... 148,262.60
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
August 2024......... $ 127,358.90
September 2024...... 106,831.07
October 2024........ 86,673.32
November 2024....... 66,879.94
December 2024....... 47,445.30
January 2025........ 28,363.87
February 2025....... 9,630.17
March 2025 and
thereafter........ 0.00
</TABLE>
R CLASS PLANNED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
Initial Balance
through
February 2025....... $500,000.00
March 2025.......... 491,238.82
April 2025.......... 473,184.52
May 2025............ 455,462.02
June 2025........... 438,066.19
July 2025........... 420,991.93
August 2025......... 404,234.25
September 2025...... 387,788.20
October 2025........ 371,648.93
November 2025....... 355,811.64
December 2025....... 340,271.62
January 2026........ 325,024.20
February 2026....... 310,064.81
March 2026.......... 295,388.93
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
April 2026.......... $280,992.09
May 2026............ 266,869.92
June 2026........... 253,018.09
July 2026........... 239,432.33
August 2026......... 226,108.46
September 2026...... 213,042.32
October 2026........ 200,229.86
November 2026....... 187,667.03
December 2026....... 175,349.90
January 2027........ 163,274.55
February 2027....... 151,437.15
March 2027.......... 139,833.90
April 2027.......... 128,461.07
May 2027............ 117,314.99
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION PLANNED
DATE BALANCE
------------ -------
<S> <C>
June 2027........... $106,392.04
July 2027........... 95,688.63
August 2027......... 85,201.26
September 2027...... 74,926.46
October 2027........ 64,860.81
November 2027....... 55,000.95
December 2027....... 45,343.57
January 2028........ 35,885.39
February 2028....... 26,623.21
March 2028.......... 17,553.84
April 2028.......... 8,674.16
May 2028 and
thereafter........ 0.00
</TABLE>
GA CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance..... $13,075,000.00
October 1999........ 12,580,468.99
November 1999....... 12,061,692.42
December 1999....... 11,518,914.34
January 2000........ 10,952,393.01
February 2000....... 10,362,400.76
March 2000.......... 9,749,223.72
April 2000.......... 9,113,161.66
May 2000............ 8,454,527.70
June 2000........... 7,773,648.11
July 2000........... 7,070,862.00
August 2000......... 6,346,521.07
September 2000...... 5,600,989.31
October 2000........ 5,519,124.32
November 2000....... 5,435,062.00
December 2000....... 5,348,890.16
January 2001........ 5,260,698.94
February 2001....... 5,173,717.93
March 2001.......... 5,087,937.03
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
April 2001.......... $ 5,003,346.18
May 2001............ 4,919,935.40
June 2001........... 4,837,694.81
July 2001........... 4,756,614.57
August 2001......... 4,676,684.94
September 2001...... 4,597,896.24
October 2001........ 4,520,238.86
November 2001....... 4,443,703.27
December 2001....... 4,368,280.01
January 2002........ 4,293,959.68
February 2002....... 4,220,732.97
March 2002.......... 4,148,590.62
April 2002.......... 4,077,523.46
May 2002............ 4,007,522.36
June 2002........... 3,938,578.29
July 2002........... 3,870,682.26
August 2002......... 3,803,825.38
September 2002...... 3,737,998.79
October 2002........ 3,673,193.72
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
November 2002....... $ 3,609,401.46
December 2002....... 3,546,613.37
January 2003........ 3,484,820.87
February 2003....... 3,424,015.45
March 2003.......... 3,364,188.64
April 2003.......... 3,305,332.08
May 2003............ 3,247,437.42
June 2003........... 3,190,496.43
July 2003........... 3,134,500.89
August 2003......... 3,079,442.67
September 2003...... 3,025,313.70
October 2003........ 2,972,105.96
November 2003....... 2,919,811.50
December 2003....... 2,868,422.43
January 2004........ 2,817,930.92
February 2004....... 2,768,329.19
March 2004.......... 2,719,609.53
April 2004.......... 2,671,764.28
May 2004............ 2,624,785.85
</TABLE>
B-13
<PAGE> 226
<TABLE>
<CAPTION>
GA CLASS (CONTINUED)
DISTRIBUTION SCHEDULED
DATE BALANCE
- -------------------- --------------
<S> <C>
June 2004........... $ 2,578,666.70
July 2004........... 2,533,399.34
August 2004......... 2,488,976.35
September 2004...... 2,445,390.36
October 2004........ 2,402,634.06
November 2004....... 2,360,700.19
December 2004....... 2,319,581.55
January 2005........ 2,279,270.99
February 2005....... 2,239,761.43
March 2005.......... 2,201,045.81
April 2005.......... 2,163,117.17
May 2005............ 2,125,968.56
June 2005........... 2,089,593.12
July 2005........... 2,053,984.00
August 2005......... 2,019,134.45
September 2005...... 1,985,037.75
October 2005........ 1,951,687.21
November 2005....... 1,919,076.23
December 2005....... 1,887,198.24
January 2006........ 1,856,046.71
February 2006....... 1,825,615.19
March 2006.......... 1,795,897.25
April 2006.......... 1,766,886.54
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
May 2006............ $ 1,738,576.72
June 2006........... 1,710,961.53
July 2006........... 1,684,034.75
August 2006......... 1,657,790.20
September 2006...... 1,632,221.77
October 2006........ 1,607,323.36
November 2006....... 1,583,088.95
December 2006....... 1,559,512.55
January 2007........ 1,536,588.23
February 2007....... 1,514,310.09
March 2007.......... 1,492,672.28
April 2007.......... 1,471,669.01
May 2007............ 1,451,294.51
June 2007........... 1,431,543.07
July 2007........... 1,412,409.03
August 2007......... 1,393,886.76
September 2007...... 1,375,970.69
October 2007........ 1,358,655.26
November 2007....... 1,341,935.00
December 2007....... 1,324,177.24
January 2008........ 1,302,460.25
February 2008....... 1,276,863.40
March 2008.......... 1,247,464.82
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
April 2008.......... $ 1,214,341.44
May 2008............ 1,177,568.97
June 2008........... 1,137,221.98
July 2008........... 1,093,373.85
August 2008......... 1,046,096.83
September 2008...... 995,462.04
October 2008........ 941,539.48
November 2008....... 884,398.06
December 2008....... 824,105.63
January 2009........ 760,728.94
February 2009....... 694,333.71
March 2009.......... 624,984.64
April 2009.......... 553,153.82
May 2009............ 479,675.09
June 2009........... 404,594.13
July 2009........... 327,955.82
August 2009......... 249,804.21
September 2009...... 170,182.59
October 2009........ 89,133.48
November 2009....... 6,698.62
December 2009 and
thereafter........ 0.00
</TABLE>
GB CLASS SCHEDULED BALANCES
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
Initial Balance
through
November 2009....... $1,726,600.00
December 2009....... 1,649,519.02
January 2010........ 1,564,434.93
February 2010....... 1,478,085.91
March 2010.......... 1,390,510.77
April 2010.......... 1,301,747.63
May 2010............ 1,211,833.91
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
June 2010........... $1,120,806.37
July 2010........... 1,028,701.08
August 2010......... 935,553.44
September 2010...... 841,398.23
October 2010........ 746,269.55
November 2010....... 650,200.91
December 2010....... 553,225.17
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION SCHEDULED
DATE BALANCE
------------ ---------
<S> <C>
January 2011........ $ 455,374.60
February 2011....... 356,680.84
March 2011.......... 257,174.98
April 2011.......... 156,887.48
May 2011............ 55,848.28
June 2011 and
thereafter........ 0.00
</TABLE>
B-14
<PAGE> 227
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NO ONE IS AUTHORIZED TO GIVE INFORMATION OR TO MAKE REPRESENTATIONS IN
CONNECTION WITH THE CERTIFICATES OTHER THAN THE INFORMATION AND REPRESENTATIONS
CONTAINED IN THIS PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS.
YOU MUST NOT RELY ON ANY UNAUTHORIZED INFORMATION OR REPRESENTATION. THIS
PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS DO NOT CONSTITUTE
AN OFFER OR SOLICITATION WITH REGARD TO THE CERTIFICATES IF IT IS ILLEGAL TO
MAKE SUCH AN OFFER OR SOLICITATION TO YOU UNDER STATE LAW. BY DELIVERING THIS
PROSPECTUS SUPPLEMENT AND THE ADDITIONAL DISCLOSURE DOCUMENTS AT ANY TIME, NO
ONE IMPLIES THAT THE INFORMATION CONTAINED HEREIN OR THEREIN IS CORRECT AFTER
THE DATE HEREOF OR THEREOF.
THE SECURITIES AND EXCHANGE COMMISSION HAS NOT APPROVED OR DISAPPROVED THE
CERTIFICATES OR DETERMINED IF THIS PROSPECTUS SUPPLEMENT IS TRUTHFUL AND
COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
PROSPECTUS SUPPLEMENT
Table of Contents.................... S- 2
Available Information................ S- 3
Reference Sheet...................... S- 4
Additional Risk Factors.............. S-12
Description of the Certificates...... S-13
Certain Additional Federal Income Tax
Consequences....................... S-58
Plan of Distribution................. S-60
Legal Matters........................ S-60
Schedule 1........................... A- 1
Principal Balance Schedules.......... B- 1
REMIC PROSPECTUS
Information about Prospectus
Supplements........................ 3
Fannie Mae........................... 4
Additional Information about Fannie
Mae................................ 4
Summary.............................. 6
Risk Factors......................... 10
Description of Certificates.......... 14
The Trust Agreement.................. 32
Ginnie Mae and the Ginnie Mae
Programs........................... 34
Certain Federal Income Tax
Consequences....................... 36
Legal Investment Considerations...... 53
Legal Opinion........................ 53
ERISA Considerations................. 53
Plan of Distribution................. 54
Index of Defined Terms............... 55
</TABLE>
$1,646,250,000
LOGO
GUARANTEED REMIC
PASS-THROUGH CERTIFICATES
FANNIE MAE REMIC TRUST 1999-51
------------------------
PROSPECTUS SUPPLEMENT
------------------------
MERRILL LYNCH & CO.
AUGUST 11, 1999
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<PAGE> 228
ANNEX 1(d)
OFFERING CIRCULAR SUPPLEMENT
DATED DECEMBER 10, 1998
TO
OFFERING CIRCULAR DATED APRIL 1, 1998
RELATING TO
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES AND MODIFIABLE
AND COMBINABLE REMIC CERTIFICATES,
SERIES 2114
<PAGE> 229
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,900,000,000
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2114
(LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Two Groups of Freddie Mac 6.0% 30-year PCs (Gold PCs and
Gold Giant PCs)
Payment Dates: Monthly, beginning in February 1999
Form of Securities: Regular (non-Retail) and MACR Classes: Book-entry (Federal
Reserve Banks)
Retail Classes (HH, UU and WW): Book-entry (Depository Trust
Company); issued in $1,000 Retail Class Units
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Merrill Lynch, Pierce, Fenner & Smith Incorporated
(the "Underwriter")
Closing Date: January 29, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED AVERAGE
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT LIFE AT
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) 165% PSA(4)
------------ --------- ------------- ------ -------- ------ ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
L ................... $ 28,000,000 SEQ 6.0% FIX 3133TH P 5 0 April 15, 2026 12.0 Yrs
M ................... 354,490,000 SEQ 6.0 FIX 3133TH P 6 8 June 15, 2025 5.1
O ................... 700,000 SEQ 0.0 PO 3133TH P 9 2 October 15, 2017 2.5
P ................... 300,000 SEQ 20.0 FIX 3133TH P A 9 October 15, 2017 2.5
T ................... 1,143,000 SEQ 6.0 FIX 3133TH P Z 4 June 15, 2025 7.4
VM................... 17,724,000 AD/SEQ 6.0 FIX 3133TH Q 7 5 September 15, 2004 3.0
VN .................. 53,643,000 AD/SEQ 6.0 FIX 3133TH Q 8 3 March 15, 2015 11.0
ZM................... 44,000,000 SEQ 6.0 FIX/Z 3133TH Q B 6 January 15, 2029 19.4
GROUP 2
F ................... 100,789,849 SUP (5) FLT/DLY 3133TH N M 5 January 15, 2029 15.6
GB .................. 329,369,600 SCH/AD 6.0 FIX 3133TH N N 3 January 15, 2029 5.0
HA .................. 5,502,000 SUP/AD 6.5 FIX 3133TH N P 8 November 15, 2022 2.3
HB .................. 4,191,000 SUP 6.5 FIX 3133TH N Q 6 February 15, 2028 7.9
HC .................. 6,507,000 SUP 6.5 FIX 3133TH N R 4 January 15, 2029 21.5
HD .................. 3,000,000 SUP (5) DRB 3133TH N S 2 January 15, 2029 21.5
HE .................. 3,000,000 SUP/AD 6.5 FIX 3133TH N T 0 July 15, 2027 3.5
HF .................. 900,000 SUP 7.0 FIX 3133TH N U 7 February 15, 2028 7.9
HG................... 900,000 SUP 6.0 FIX 3133TH N V 5 February 15, 2028 7.9
HH................... 2,000,000 SUP/RTL 6.75 FIX 3133TH N W 3 January 15, 2029 21.5
HZ .................. 1,500,000 SUP 6.5 FIX/Z 3133TH N X 1 November 15, 2027 4.4
JH .................. 7,087,500 NTL(PAC) 6.0 FIX/IO 3133TH P 3 5 June 15, 2021 --
K ................... 18,682,200 SUP 0.0 PO 3133TH P 4 3 January 15, 2029 15.6
PA .................. 74,401,600 PAC 6.0 FIX 3133TH P B 7 March 15, 2008 2.5 Yrs
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED AVERAGE
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT LIFE AT
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) 165% PSA(4)
------------ --------- ------------- ------ -------- ------ ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
PB .................. $ 20,924,400 PAC 6.0% FIX 3133TH P C 5 February 15, 2014 3.5
PC .................. 64,271,200 PAC 6.0 FIX 3133TH P D 3 August 15, 2016 4.5
PD .................. 85,331,700 PAC 6.0 FIX 3133TH P E 1 June 15, 2021 6.0
PE .................. 113,888,400 PAC 6.0 FIX 3133TH P F 8 November 15, 2023 8.0
PF .................. 211,372,500 PAC 6.0 FIX 3133TH P G 6 April 15, 2027 11.0
PK .................. 2,522,305 PAC/AD 6.0 FIX 3133TH P J 0 September 15, 2004 3.0
PL .................. 10,000,000 PAC/AD 6.0 FIX 3133TH P K 7 June 15, 2017 12.0
PM .................. 6,261,153 PAC 6.0 FIX/Z 3133TH P L 5 January 15, 2029 19.0
PR .................. 44,467,962 PAC 6.0 FIX 3133TH P N 1 January 15, 2028 15.0
PS .................. 40,135,258 PAC 6.0 FIX 3133TH P P 6 August 15, 2028 17.9
PT .................. 29,417,122 PAC 6.0 FIX 3133TH P Q 4 January 15, 2029 23.2
QB .................. 85,050,000 PAC 5.75 FIX 3133TH P S 0 February 15, 2014 3.5
QD .................. 85,050,000 PAC 5.75 FIX 3133TH P T 8 June 15, 2021 6.0
S ................... 12,602,251 SUP (5) INV/DLY 3133TH P W 1 January 15, 2029 15.6
SA .................. 4,061,875 SUP (5) INV/DLY 3133TH P X 9 January 15, 2029 15.6
SB .................. 2,000,625 SUP (5) INV/DLY 3133TH P Y 7 January 15, 2029 15.6
UU .................. 16,500,000 SUP/RTL 6.5 FIX 3133TH Q 6 7 January 15, 2029 21.5
WW................... 1,000,000 SUP/RTL 6.0 FIX 3133TH Q 9 1 January 15, 2029 21.5
ZB .................. 14,000,000 SUP 6.0 FIX/Z 3133TH Q A 8 July 15, 2027 1.1
RESIDUAL
R ................... 400,000 PAC 6.0 FIX 3133TH P U 5 January 15, 2029 29.2
RS .................. 0 NPR 0.0(6) NPR 3133TH P V 3 January 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for the Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which the Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the rate assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown. Because Retail Class investors will receive principal payments
subject to the priorities, limitations and allocations described in this
Supplement, the weighted average lives of Retail Class Units will vary among
different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
(6) Under certain circumstances, the RS Class may receive certain payments as
described under "Payments -- Interest-- Descending Rate Class" in this
Supplement.
------------------------
MERRILL LYNCH & CO.
THE DATE OF THIS OFFERING CIRCULAR SUPPLEMENT IS DECEMBER 10, 1998
<PAGE> 230
CERTAIN RISK CONSIDERATIONS
THE SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE SECURITIES OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND
MARKET RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE SECURITIES ARE COMPLEX SECURITIES AND IT IS IMPORTANT THAT EACH
INVESTOR IN ANY CLASS POSSESS, EITHER ALONE OR TOGETHER WITH AN INVESTMENT
ADVISOR, THE EXPERTISE NECESSARY TO EVALUATE THE INFORMATION CONTAINED AND
INCORPORATED IN THIS SUPPLEMENT IN THE CONTEXT OF THAT INVESTOR'S FINANCIAL
SITUATION.
------------------------
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Mortgages and the
actual characteristics of the related Mortgages. The yields of the Floating Rate
and Inverse Floating Rate Classes will also be sensitive to the level of LIBOR.
The Mortgages are subject to prepayment at any time without penalty. Mortgage
prepayment rates are likely to fluctuate significantly from time to time, as is
the level of LIBOR. Investors should consider the associated risks, including:
- Fast prepayment rates on the related Mortgages can reduce the yields
of the Interest Only Classes and any other Classes purchased at a
premium over their principal amounts. Under some prepayment scenarios,
investors in the Interest Only and P Classes could fail to fully
recover their investments.
- Slow prepayment rates on the related Mortgages can reduce the yields
of the Principal Only Classes and any other Classes purchased at a
discount to their principal amounts.
- Small differences in the characteristics of the Mortgages can have a
significant effect on the weighted average lives and yields of the
related Classes.
- Low levels of LIBOR can reduce the yield of the Floating Rate Class.
Conversely, high levels of LIBOR can significantly reduce the yields
of the Inverse Floating Rate Classes.
- Because Retail Class investors will receive principal payments subject
to the priorities, limitations and allocations described in this
Supplement, the weighted average lives of Retail Class Units will vary
among different investors.
- In general, principal payment rates on the Support Classes are likely
to exhibit a higher sensitivity to prepayments on the related
Mortgages than are principal payment rates on the PAC and Scheduled
Classes.
- In general, the principal payment rate on the Scheduled Class is
likely to exhibit a higher sensitivity to prepayments on the related
Mortgages than are principal payment rates on the PAC Classes.
- In general, the principal payment rates on the Sequential Pay Classes
(other than the VM and VN Classes) are likely to exhibit a higher
sensitivity to prepayments on the related Mortgages than are principal
payment rates on the VM and VN Classes.
See "Prepayment and Yield Analysis" in this Supplement.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
SECURITIES AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO. THERE IS
NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT DEVELOPS, THAT
IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL THEIR
SECURITIES READILY OR AT PRICES THAT WILL ENABLE THEM TO REALIZE THEIR DESIRED
YIELD. THE MARKET VALUES OF THE SECURITIES ARE LIKELY TO FLUCTUATE; SUCH
FLUCTUATIONS MAY BE SIGNIFICANT AND COULD RESULT IN SIGNIFICANT LOSSES TO
INVESTORS.
------------------------
THE SECONDARY MARKETS FOR MORTGAGE-RELATED SECURITIES HAVE EXPERIENCED
PERIODS OF ILLIQUIDITY AND CAN BE EXPECTED TO DO SO IN THE FUTURE. ILLIQUIDITY
CAN HAVE A SEVERELY ADVERSE EFFECT ON THE PRICES OF SECURITIES THAT ARE
ESPECIALLY SENSITIVE TO PREPAYMENT OR INTEREST RATE RISK OR THAT HAVE BEEN
STRUCTURED TO MEET THE INVESTMENT REQUIREMENTS OF LIMITED CATEGORIES OF
INVESTORS.
FREDDIE MAC'S MULTICLASS REMIC CERTIFICATES OFFERING CIRCULAR DATED APRIL
1, 1998 (THE "OFFERING CIRCULAR") ACCOMPANIES THIS SUPPLEMENT. CAPITALIZED TERMS
THAT ARE USED IN THIS SUPPLEMENT WITHOUT FURTHER DEFINITION HAVE THE MEANINGS
GIVEN THEM IN THE OFFERING CIRCULAR. INVESTORS SHOULD PURCHASE SECURITIES ONLY
IF THEY HAVE READ AND UNDERSTOOD THIS SUPPLEMENT, THE OFFERING CIRCULAR AND THE
DOCUMENTS LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
S-2
<PAGE> 231
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates or, in some cases, for other related MACR Certificates. Appendix 1
to this Supplement shows the characteristics of the MACR Classes and the
"Combinations" of Classes of REMIC Certificates and MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The O and K Classes will be Principal Only Classes and will not bear
interest.
The Descending Rate Class will bear interest at the following Class
Coupons:
<TABLE>
<CAPTION>
CLASS ACCRUAL PERIODS 1 THROUGH 12 THEREAFTER
- ----- ---------------------------- ----------
<S> <C> <C>
HD 7.0% 6.5%
</TABLE>
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- -------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
F(3)....................... 5.95% LIBOR + 0.95% 0.95% 8.0%
S(3)....................... 11.07013 38.070212% - (LIBOR X 5.400016) 0 38.070212
SA(3)...................... 12.08955 52.388053% - (LIBOR X 8.0597) 0 52.388053
SB(3)...................... 9.0 115.363958% - (LIBOR X 16.36363) 0 9.0
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
S-3
<PAGE> 232
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- -----------------------------------------
<S> <C> <C>
REMIC CERTIFICATES
JH $ 7,087,500 QB and QD, in the aggregate (PAC Classes)
MACR CLASSES
IB $ 1,743,700 PB (PAC Class)
ID $ 7,110,975 PD (PAC Class)
IM $14,770,416 M (Sequential Pay Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
ACCRETION (
DIRECTED ( - The "ZM Accrual Amount" for that Payment Date to VM and VN, in that
AND ( order, until retired, and then to ZM
ACCRUAL (
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Concurrently:
( (a) 99.3991021582% to M, until retired
SEQUENTIAL ( (b) 0.6008978418% as follows:
PAY ( (i) To O and P, pro rata, until retired
( (ii) To T, until retired
(
( 2. To L, VM, VN and ZM, in that order, until retired
( - The "HZ Accrual Amount" for that Payment Date to HA and HE, in that
ACCRETION ( order, until retired, and then to HZ
DIRECTED ( - The "PM Accrual Amount" for that Payment Date to PK and PL, in that
AND ( order, until retired, and then to PM
ACCRUAL ( - The "ZB Accrual Amount" for that Payment Date to GB, until retired,
( and then to ZB
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning March 15, 2001, to the PAC Classes, until reduced to their
( "Aggregate Targeted Balance" for that Payment Date, allocated as
( follows:
( (a) To PA, while outstanding
( (b) To PB and QB, pro rata, while outstanding
PAC ( (c) To PC, while outstanding
( (d) To PD and QD, pro rata, while outstanding
( (e) To PE and PF, in that order, while outstanding
( (f) Concurrently, 85.8562345355% to PR, PS and PT, in that order, and
( 14.1437654645% to PK, PL and PM, in that order, while outstanding
( (g) To R
</TABLE>
S-4
<PAGE> 233
<TABLE>
<S> <C>
SCHEDULED ( 2. To GB, until reduced to its "Targeted Balance" for that Payment Date
( 3. To ZB, until retired
(
( 4. Concurrently:
( (a) 75.4282044898% to F, K, S, SA and SB, pro rata, until retired
SUPPORT ( (b) 24.5717955102% as follows:
( (i) To HA, HE and HZ, in that order, until retired
( (ii) To HB, HF and HG, pro rata, until retired
( (iii) To HC, HD, HH, UU and WW, pro rata, until retired
SCHEDULED ( 5. To GB, until retired
PAC ( 6. To the PAC Classes as in step 1, but without regard to their
( Aggregate Targeted Balance, until retired
</TABLE>
The Targeted Balances and Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges:
<TABLE>
<CAPTION>
STRUCTURING RANGE
-------------------
<S> <C>
PAC Classes.................................. 100% PSA - 250% PSA
Scheduled Class.............................. 141% PSA - 190% PSA
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments (or, in the case of
Combination 2, the net reduction in the aggregate principal amount) will be
allocated from the applicable Class or Classes of REMIC Certificates to the
related MACR Class that is entitled to principal or, if there are two or more
related Classes entitled to principal, to such Classes, pro rata.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASSES
The HH, UU and WW Classes will be Retail Classes. Investors in the Retail
Classes will receive principal payments in $1,000 "Retail Class Units," subject
to the priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement. Also see
"Prepayment and Yield Analysis -- Prepayment and Weighted Average Life
Considerations -- Retail Classes" in this Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and in the Offering Circular.
S-5
<PAGE> 234
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 165% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
L............................. 26.8 16.6 12.0 7.4 4.7
M, MA and Q................... 17.7 7.2 5.1 3.3 2.3
N............................. 28.6 23.0 18.6 12.2 7.7
O and P....................... 11.8 3.4 2.5 1.8 1.3
T............................. 23.0 10.5 7.4 4.7 3.2
VM............................ 3.0 3.0 3.0 3.0 3.0
VN............................ 11.4 11.4 11.0 8.4 5.8
ZM............................ 28.6 23.0 19.4 13.9 9.2
Group 1 Assets................ 20.8 11.3 8.6 5.6 3.7
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 165% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
F, K, S, SA and SB............ 29.3 25.1 15.6 2.3 1.1
GB............................ 23.1 9.8 5.0 3.2 1.7
HA............................ 14.8 14.5 2.3 1.0 0.5
HB, HF and HG................. 28.9 23.2 7.9 1.8 0.9
HC, HD, HH**, UU** and WW**... 29.5 26.7 21.5 2.9 1.3
HE............................ 26.6 21.4 3.5 1.3 0.7
HZ............................ 28.7 22.1 4.4 1.5 0.7
PA............................ 4.7 2.5 2.5 2.5 2.4
PB, QB, TB and UB............. 9.5 3.5 3.5 3.5 2.8
PC............................ 12.8 4.5 4.5 4.5 3.1
PD, QD, TD and UD............. 16.1 6.0 6.0 6.0 3.7
PE............................ 19.3 8.0 8.0 8.0 4.5
PF............................ 22.1 11.0 11.0 11.0 6.0
PG............................ 24.5 18.1 18.1 18.1 10.0
PK............................ 3.0 3.0 3.0 3.0 3.0
PL............................ 12.8 12.0 12.0 12.0 8.0
PM............................ 24.5 19.0 19.0 19.0 11.4
PN............................ 24.9 20.2 20.2 20.2 11.3
PR............................ 23.9 15.0 15.0 15.0 8.0
PS............................ 24.6 17.9 17.9 17.9 9.7
PT............................ 25.4 23.2 23.2 23.2 13.4
ZB............................ 28.1 20.0 1.1 0.4 0.2
R............................. 29.2 29.2 29.2 29.2 23.9
Group 2 Assets................ 20.8 11.3 8.6 6.4 3.7
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
** The weighted average lives shown in the table for each Retail Class
apply to that Class as a whole and are not likely to reflect the
experience of any Retail Class investor. Because Retail Class
investors will receive principal payments subject to the
priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among
different investors.
THE ASSETS
The Group 1 Assets will consist of $500,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $1,400,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The assets of this Series will also include (i) a non-interest bearing cash
deposit of $2,999.97 to be used for principal payments on the Retail Classes as
described in this Supplement and (ii) a non-interest bearing cash deposit of
$15,000 to be used for interest payments on the HD Class as described in this
Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
S-6
<PAGE> 235
ASSUMED MORTGAGE CHARACTERISTICS (AS OF JANUARY 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE OF
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- ----------------
<S> <C> <C> <C> <C> <C>
1 $ 500,000,000 357 2 6.65% 6.0%
2 1,400,000,000 357 2 6.70 6.0
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-7
<PAGE> 236
AVAILABLE INFORMATION
Investors should purchase Securities only if they have read and understood
this Supplement, the Offering Circular and the following documents:
- Freddie Mac's Mortgage Participation Certificates Offering Circular
dated February 1, 1998 (the "PC Offering Circular"), which describes
Gold PCs generally.
- Freddie Mac's Giant Participation Certificates and Other Pass-Through
Participation Certificates Offering Circular dated January 1, 1997
(the "Giant PC Offering Circular"), which describes Gold Giant PCs
generally.
- Freddie Mac's Information Statement dated March 31, 1998, its
Information Statement Supplements dated May 15, 1998, August 14, 1998
and November 3, 1998 and any other Information Statement Supplements
published by Freddie Mac through the time of purchase.
This Supplement incorporates by reference the documents listed above.
Investors can order these documents: from Freddie Mac, by writing, calling or
e-mailing its Investor Inquiry Department at 8200 Jones Branch Drive, McLean,
Virginia 22102 (outside Washington, D.C. metropolitan area, phone 800/336-FMPC;
within Washington, D.C. metropolitan area, phone 703/450-3777; e-mail:
[email protected]); or from the Underwriter, by writing or calling
Tritech Services, 4 Corporate Place, Corporate Park, 287 Piscataway, New Jersey
08855 (phone 908/878-6526).
Freddie Mac will publish a Supplemental Statement (which will contain
schedules of the Assets and other information) applicable to this Series shortly
after the Closing Date. Investors can obtain the Supplemental Statement, any
offering materials for specific Assets and historic and current information
concerning specific Assets and the Securities from Freddie Mac's Investor
Inquiry Department.
Freddie Mac's Internet Web-Site (http://www.freddiemac.com) will display
this Supplement, the Supplemental Statement, schedules of the Assets and
information, updated monthly, regarding each Class of this Series.
GENERAL INFORMATION
THE AGREEMENT
Freddie Mac will create the Securities under the Multiclass REMIC
Certificate Agreement, dated as of April 1, 1998, and a Terms Supplement, to be
dated the Closing Date (together, the "Agreement"). Investors can order copies
of the Agreement by contacting the Investor Inquiry Department at Freddie Mac as
shown under "Available Information" in this Supplement. The Agreement is
incorporated by reference in this Supplement.
Holders and anyone having a beneficial interest in the Securities should
refer to the Agreement for a complete description of their rights and
obligations and the rights and obligations of Freddie Mac. Holders and
beneficial owners of Securities will acquire their Securities subject to all
terms and conditions of the Agreement, including the Terms Supplement.
FORM OF SECURITIES
Non-Retail Classes
The Regular Classes (other than the Retail Classes) and the MACR Classes
will be issued and may be held of record and transferred only on the book-entry
system of the Federal Reserve Banks by entities eligible to maintain book-entry
accounts with a Federal Reserve Bank ("Fed Participants").
The Residual Classes will be issued and may be held of record only in
certificated form and will be transferable at Chase Bank of Texas, National
Association or its successor (the "Registrar").
S-8
<PAGE> 237
The Classes other than the Retail Classes will be issued in the
denominations specified under "Description of Securities -- Form of Securities,
Holders, Minimum Principal Amounts and Transfers" in the Offering Circular.
Retail Classes (HH, UU and WW Classes)
Each Retail Class will be represented by one or more certificates held by
or on behalf of The Depository Trust Company or its successor (the "Retail
Depository"). The Retail Depository is a New York-chartered limited purpose
trust company that performs services for its participants (the "Retail
Depository Participants"), principally brokerage firms and other financial
institutions. The Retail Depository will maintain each Retail Class through its
book-entry facilities in principal amounts of $1,000 each ("Retail Class
Units"). The Retail Depository will record the positions held by each Retail
Depository Participant in Retail Class Units, whether held for the Retail
Depository Participant's own account or for another person.
Investors in each Retail Class will be subject to the rules and procedures
of the Retail Depository and Retail Depository Participants in effect from time
to time. Retail Class investors will not receive certificates. Rather, each
investor's ownership interest in a Retail Class will be recorded, in Retail
Class Units, on the records of the brokerage firm, bank, thrift institution or
other financial intermediary where the investor maintains an account for this
purpose. In turn, the financial intermediary's interest in a Retail Class will
be recorded, in Retail Class Units, on the records of the Retail Depository (or
of a Retail Depository Participant that acts as agent for the financial
intermediary, if the intermediary is not itself a Retail Depository
Participant). Investors may transfer their Retail Class Units only through their
brokers or other financial intermediaries, in compliance with their procedures.
HOLDERS
The term "Holders" means (i) in the case of a Regular Class (other than a
Retail Class) or a MACR Class, the Fed Participants that appear on the
book-entry records of a Federal Reserve Bank as holders of that Class, (ii) in
the case of a Retail Class, the Retail Depository or its nominee and (iii) in
the case of a Residual Class, the entities or individuals that appear on the
records of the Registrar as the registered holders of that Class. The beneficial
owner of a Security is not necessarily the Holder.
STRUCTURE OF TRANSACTION
General
This Series will be a "Double-Tier Series." The Regular Classes of REMIC
Certificates and the R Class will represent beneficial ownership interests in
the Upper-Tier REMIC Pool. The Upper-Tier REMIC Pool will consist of (i) the
classes of "regular interests" in the Lower-Tier REMIC Pool (the "Mortgage
Securities") and (ii) a non-interest bearing cash deposit of $2,999.97 (the
"Retail Rounding Account") to be applied as described in this Supplement. The RS
Class will represent the residual interest in the Lower-Tier REMIC Pool.
The Lower-Tier REMIC Pool will consist of (i) the Assets and (ii) a
non-interest bearing cash deposit of $15,000 (the "Group 2 Cash Deposit") to be
applied to the payment of interest on the HD Class through the twelfth Payment
Date.
The Underwriter intends to acquire the Assets in privately negotiated
transactions before delivering them to Freddie Mac on the Closing Date. On the
Closing Date, Freddie Mac expects to acquire the Assets from the Underwriter in
exchange for the REMIC Certificates.
The Assets
The Assets are PCs, which may include Gold Mortgage Participation
Certificates ("Gold PCs") and/or Gold Giant Mortgage Participation Certificates
("Gold Giant PCs"). Gold PCs represent undivided interests in discrete pools
consisting of specified Mortgages. Gold Giant PCs represent beneficial ownership
interests in discrete pools consisting of specified Gold PCs (or, in some cases,
other Gold Giant PCs).
S-9
<PAGE> 238
THE MORTGAGES
The Mortgages are fixed-rate, first lien, residential mortgages and
mortgage participations. For purposes of this Supplement, Freddie Mac has made
certain assumptions regarding the remaining terms to maturity, loan ages and
interest rates of the Mortgages. See "Terms Sheet -- Assumed Mortgage
Characteristics" in this Supplement. However, the characteristics of most of the
Mortgages differ from those assumed, in some cases significantly. This is the
case even if the weighted average characteristics of the Mortgages are the same
as those of mortgages having the characteristics assumed. Small differences in
the characteristics of the Mortgages can have a significant effect on the
weighted average lives and yields of the related Classes. See "Prepayment and
Yield Analysis" in this Supplement.
PAYMENTS
PAYMENT DATES; RECORD DATES
Freddie Mac will make payments of principal and interest on the Securities
to Holders entitled to such payments on the 15th of each month or, if the 15th
is not a "Business Day," on the next Business Day (a "Payment Date"), beginning
in the month following the Closing Date.
On each Payment Date, any payment on a Security will be made to the Holder
of record as of the end of the preceding calendar month (each, a "Record Date").
On each Payment Date, the Retail Depository will remit payments on each Retail
Class to those Retail Depository Participants that held Retail Class Units of
record as of the related Record Date.
METHOD OF PAYMENT
Non-Retail Classes
A Federal Reserve Bank will credit payments on the Regular Classes (other
than the Retail Classes) and the MACR Classes to the accounts of Holders of
these Classes monthly on each Payment Date.
The Registrar will mail payments on the Residual Classes by check to the
addresses of the Holders of these Classes as they appear on the Registrar's
records, not later than the applicable Payment Date. A Holder of a Residual
Class will be required to present the Holder's certificate to the Registrar for
payment under the circumstances described under "Description of
Securities -- Form of Securities, Holders, Minimum Principal Amounts and
Transfers" in the Offering Circular.
A Holder that is not also the beneficial owner of a Security, and each
other financial intermediary in the chain to the beneficial owner, will be
responsible for remitting payments to their customers.
Retail Classes
The Registrar will act as Freddie Mac's paying agent for the Retail
Classes. The Registrar will make payments on the Retail Classes to the Retail
Depository in immediately available funds. The Retail Depository will be
responsible for crediting payments to the accounts of the appropriate Retail
Depository Participants in accordance with the Retail Depository's normal
procedures. Each Retail Depository Participant, and each other financial
intermediary in the chain to the beneficial owner, will be responsible for
remitting payments to their customers. Thus, investors in a Retail Class may
experience some delay in the receipt of payments.
INTEREST
Freddie Mac will pay interest on each Payment Date to the Holders of each
Class of Securities on which interest has accrued, except in the case of the
Accrual Classes, which will receive payments as described under "Accrual
Classes" below.
S-10
<PAGE> 239
Categories of Classes
For purposes of interest payments, the Classes of REMIC Certificates will
be categorized as shown under "Interest Type" on the cover page of this
Supplement, and the MACR Classes will be categorized as shown under "Interest
Type" on Appendix 1 to this Supplement. The abbreviations used on the cover page
and Appendix 1 are explained under "Description of Securities -- Standard
Definitions and Abbreviations for Classes" in the Offering Circular.
Accrual Period
The Accrual Period for the interest-bearing Classes will be the calendar
month preceding the related Payment Date. Interest will be calculated on the
basis of a 360-day year consisting of twelve 30-day months. Interest payable on
any Class on any Payment Date will consist of 30 days' interest on its balance
as of the related Record Date.
Fixed Rate Classes
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement or on Appendix 1 to this Supplement.
Principal Only Classes
The O and K Classes will be Principal Only Classes and will not bear
interest.
Descending Rate Class
The HD Class will bear interest as shown under "Terms Sheet -- Class
Coupons" in this Supplement.
The Group 2 Cash Deposit will be applied to the payment of interest on the
Descending Rate Class through the twelfth Payment Date. As to any Payment Date,
to the extent that the balance remaining in the Group 2 Cash Deposit exceeds the
amount that may be necessary to pay interest on the Descending Rate Class on
subsequent Payment Dates, such excess will be passed through to the Holders of
the RS Class.
Accrual Classes
The HZ, PM, ZB and ZM Classes will be Accrual Classes. No payments of
interest will be made on the Accrual Classes; rather, interest accrued on each
Accrual Class during each Accrual Period will be added to its principal amount
on the related Payment Date. Payments of principal on each Accrual Class
(including accrued interest that has been added to its principal amount) will be
made as described under "Terms Sheet -- Allocation of Principal" in this
Supplement.
Notional Classes
The Notional Classes will not receive principal payments. For convenience
in describing interest payments, the Notional Classes will have notional
principal amounts. The table under "Terms Sheet -- Notional Classes" in this
Supplement shows the original notional principal amounts of the Notional Classes
and the Class or Classes with which each Notional Class will reduce
proportionately.
Floating Rate and Inverse Floating Rate Classes
The Floating Rate and Inverse Floating Rate Classes will bear interest as
shown under "Terms Sheet -- Class Coupons" in this Supplement. The Class Coupons
for the Floating Rate and Inverse Floating Rate Classes will be based on the
arithmetic mean of the London interbank offered quotations for one-month
Eurodollar deposits ("LIBOR").
For information regarding the manner in which Freddie Mac determines LIBOR
and calculates the Class Coupons for the Floating Rate and Inverse Floating Rate
Classes, see "Description of Securities -- Interest Rate Indices" in the
Offering Circular.
S-11
<PAGE> 240
Freddie Mac's determination of LIBOR and its calculation of the Class
Coupons will be final, except in the case of clear error. Investors can get
LIBOR levels and the Class Coupons for the current and preceding Accrual Periods
from Freddie Mac's Internet Web-Site or by contacting Freddie Mac's Investor
Inquiry Department as shown under "Available Information" in this Supplement.
PRINCIPAL
Freddie Mac will pay principal on each applicable Payment Date to the
Holders of the Classes on which principal is then due. The Holders of each such
Class will receive principal payments on a pro rata basis among the Securities
of that Class, subject to special allocation procedures for investors in any
Retail Class.
Categories of Classes
For purposes of principal payments, the Classes of REMIC Certificates will
be categorized as shown under "Principal or Other Type" on the cover page of
this Supplement, and the MACR Classes will be categorized as shown under
"Principal or Other Type" on Appendix 1 to this Supplement. The abbreviations
used on the cover page or Appendix 1 are explained under "Description of
Securities -- Standard Definitions and Abbreviations for Classes" in the
Offering Circular.
Amount of Payments
The total amount of principal payments that will be made on the Securities
on each Payment Date will equal the sum of:
- The amount of interest, if any, accrued on the HZ Class during the
related Accrual Period and not payable as interest on that Payment
Date (the "HZ Accrual Amount").
- The amount of interest, if any, accrued on the PM Class during the
related Accrual Period and not payable as interest on that Payment
Date (the "PM Accrual Amount").
- The amount of interest, if any, accrued on the ZB Class during the
related Accrual Period and not payable as interest on that Payment
Date (the "ZB Accrual Amount").
- The amount of interest, if any, accrued on the ZM Class during the
related Accrual Period and not payable as interest on that Payment
Date (the "ZM Accrual Amount").
- The amount of principal payments required to be made on that Payment
Date on the Group 1 Assets (the "Group 1 Asset Principal Amount").
- The amount of principal payments required to be made on that Payment
Date on the Group 2 Assets (the "Group 2 Asset Principal Amount").
Allocation of Payments
On each Payment Date, Freddie Mac will pay the Accrual Amounts and the
Asset Principal Amounts as described under "Terms Sheet -- Allocation of
Principal" in this Supplement. Principal that is allocable to the Classes
receiving payments from any Asset Group will be allocated only to those Classes
and will not be available for Classes receiving payments from the other Asset
Group.
Targeted Balances Schedules
The schedules of "Aggregate Targeted Balances" and "Targeted Balances" are
shown below.
S-12
<PAGE> 241
TARGETED BALANCES*
PAC CLASSES
<TABLE>
<CAPTION>
PAYMENT DATE
------------
PAC
(AGGREGATE)
<S> <C>
February 15, 2001
and before........ $873,493,600.00
March 15, 2001...... 866,017,488.29
April 15, 2001...... 858,352,165.28
May 15, 2001........ 850,501,035.27
June 15, 2001....... 842,689,734.96
July 15, 2001....... 834,918,059.28
August 15, 2001..... 827,185,804.20
September 15,
2001.............. 819,492,766.77
October 15, 2001.... 811,838,745.06
November 15, 2001... 804,223,538.18
December 15, 2001... 796,646,946.28
January 15, 2002.... 789,108,770.54
February 15, 2002... 781,608,813.16
March 15, 2002...... 774,146,877.35
April 15, 2002...... 766,722,767.35
May 15, 2002........ 759,336,288.38
June 15, 2002....... 751,987,246.68
July 15, 2002....... 744,675,449.49
August 15, 2002..... 737,400,705.02
September 15,
2002.............. 730,162,822.50
October 15, 2002.... 722,961,612.10
November 15, 2002... 715,796,885.01
December 15, 2002... 708,668,453.35
January 15, 2003.... 701,576,130.23
February 15, 2003... 694,519,729.71
March 15, 2003...... 687,499,066.83
April 15, 2003...... 680,513,957.55
May 15, 2003........ 673,564,218.78
June 15, 2003....... 666,649,668.40
July 15, 2003....... 659,770,125.20
August 15, 2003..... 652,925,408.91
September 15,
2003.............. 646,115,340.18
October 15, 2003.... 639,339,740.59
November 15, 2003... 632,598,432.65
December 15, 2003... 625,891,239.75
January 15, 2004.... 619,217,986.23
February 15, 2004... 612,578,497.28
March 15, 2004...... 605,972,599.05
April 15, 2004...... 599,400,118.53
May 15, 2004........ 592,860,883.64
June 15, 2004....... 586,354,723.16
July 15, 2004....... 579,881,466.76
August 15, 2004..... 573,440,944.99
September 15,
2004.............. 567,032,989.25
October 15, 2004.... 560,657,431.84
November 15, 2004... 554,314,105.89
December 15, 2004... 548,002,845.42
January 15, 2005.... 541,723,485.28
February 15, 2005... 535,475,861.18
March 15, 2005...... 529,259,809.66
April 15, 2005...... 523,075,168.12
May 15, 2005........ 516,921,774.78
June 15, 2005....... 510,799,468.71
July 15, 2005....... 504,708,089.80
August 15, 2005..... 498,647,478.75
September 15,
2005.............. 492,617,477.09
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
October 15, 2005.... $486,617,927.17
November 15, 2005... 480,648,672.15
December 15, 2005... 474,709,555.99
January 15, 2006.... 468,800,423.44
February 15, 2006... 462,921,120.08
March 15, 2006...... 457,071,492.26
April 15, 2006...... 451,251,387.13
May 15, 2006........ 445,460,652.62
June 15, 2006....... 439,699,137.44
July 15, 2006....... 433,966,691.10
August 15, 2006..... 428,263,163.85
September 15,
2006.............. 422,588,406.74
October 15, 2006.... 416,942,271.56
November 15, 2006... 411,324,610.88
December 15, 2006... 405,735,278.03
January 15, 2007.... 400,174,127.08
February 15, 2007... 394,641,012.86
March 15, 2007...... 389,135,790.94
April 15, 2007...... 383,658,317.65
May 15, 2007........ 378,208,450.03
June 15, 2007....... 372,786,045.89
July 15, 2007....... 367,390,963.73
August 15, 2007..... 362,023,062.82
September 15,
2007.............. 356,682,203.12
October 15, 2007.... 351,368,245.33
November 15, 2007... 346,081,050.85
December 15, 2007... 340,820,481.82
January 15, 2008.... 335,607,768.68
February 15, 2008... 330,470,116.89
March 15, 2008...... 325,406,477.50
April 15, 2008...... 320,415,815.96
May 15, 2008........ 315,497,111.95
June 15, 2008....... 310,649,359.20
July 15, 2008....... 305,871,565.26
August 15, 2008..... 301,162,751.32
September 15,
2008.............. 296,521,952.08
October 15, 2008.... 291,948,215.49
November 15, 2008... 287,440,602.60
December 15, 2008... 282,998,187.39
January 15, 2009.... 278,620,056.61
February 15, 2009... 274,305,309.54
March 15, 2009...... 270,053,057.89
April 15, 2009...... 265,862,425.60
May 15, 2009........ 261,732,548.67
June 15, 2009....... 257,662,575.00
July 15, 2009....... 253,651,664.24
August 15, 2009..... 249,698,987.60
September 15,
2009.............. 245,803,727.73
October 15, 2009.... 241,965,078.54
November 15, 2009... 238,182,245.04
December 15, 2009... 234,454,443.21
January 15, 2010.... 230,780,899.84
February 15, 2010... 227,160,852.38
March 15, 2010...... 223,593,548.81
April 15, 2010...... 220,078,247.45
May 15, 2010........ 216,614,216.90
June 15, 2010....... 213,200,735.81
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
July 15, 2010....... $209,837,092.80
August 15, 2010..... 206,522,586.32
September 15,
2010.............. 203,256,524.49
October 15, 2010.... 200,038,224.99
November 15, 2010... 196,867,014.91
December 15, 2010... 193,742,230.66
January 15, 2011.... 190,663,217.79
February 15, 2011... 187,629,330.90
March 15, 2011...... 184,639,933.51
April 15, 2011...... 181,694,397.93
May 15, 2011........ 178,792,105.16
June 15, 2011....... 175,932,444.74
July 15, 2011....... 173,114,814.65
August 15, 2011..... 170,338,621.21
September 15,
2011.............. 167,603,278.95
October 15, 2011.... 164,908,210.48
November 15, 2011... 162,252,846.41
December 15, 2011... 159,636,625.23
January 15, 2012.... 157,058,993.21
February 15, 2012... 154,519,404.27
March 15, 2012...... 152,017,319.88
April 15, 2012...... 149,552,209.00
May 15, 2012........ 147,123,547.92
June 15, 2012....... 144,730,820.19
July 15, 2012....... 142,373,516.52
August 15, 2012..... 140,051,134.66
September 15,
2012.............. 137,763,179.35
October 15, 2012.... 135,509,162.16
November 15, 2012... 133,288,601.45
December 15, 2012... 131,101,022.27
January 15, 2013.... 128,945,956.24
February 15, 2013... 126,822,941.47
March 15, 2013...... 124,731,522.50
April 15, 2013...... 122,671,250.17
May 15, 2013........ 120,641,681.58
June 15, 2013....... 118,642,379.94
July 15, 2013....... 116,672,914.56
August 15, 2013..... 114,732,860.70
September 15,
2013.............. 112,821,799.56
October 15, 2013.... 110,939,318.11
November 15, 2013... 109,085,009.09
December 15, 2013... 107,258,470.88
January 15, 2014.... 105,459,307.48
February 15, 2014... 103,687,128.34
March 15, 2014...... 101,941,548.39
April 15, 2014...... 100,222,187.89
May 15, 2014........ 98,528,672.38
June 15, 2014....... 96,860,632.62
July 15, 2014....... 95,217,704.51
August 15, 2014..... 93,599,529.02
September 15,
2014.............. 92,005,752.10
October 15, 2014.... 90,436,024.64
November 15, 2014... 88,890,002.40
December 15, 2014... 87,367,345.94
January 15, 2015.... 85,867,720.52
February 15, 2015... 84,390,796.10
March 15, 2015...... 82,936,247.22
</TABLE>
- ---------------
* The Aggregate Targeted Balances and Targeted Balances shown were calculated
using, among other things, the "structuring ranges" shown under "Terms
Sheet -- Allocation of Principal" in this Supplement. See "Prepayment and
Yield Analysis" in this Supplement.
S-13
<PAGE> 242
<TABLE>
<CAPTION>
PAYMENT DATE
------------
PAC
(AGGREGATE)
CONTINUED
<S> <C>
April 15, 2015...... $ 81,503,752.95
May 15, 2015........ 80,092,996.87
June 15, 2015....... 78,703,666.94
July 15, 2015....... 77,335,455.48
August 15, 2015..... 75,988,059.11
September 15,
2015.............. 74,661,178.68
October 15, 2015.... 73,354,519.23
November 15, 2015... 72,067,789.90
December 15, 2015... 70,800,703.90
January 15, 2016.... 69,552,978.44
February 15, 2016... 68,324,334.70
March 15, 2016...... 67,114,497.73
April 15, 2016...... 65,923,196.45
May 15, 2016........ 64,750,163.55
June 15, 2016....... 63,595,135.47
July 15, 2016....... 62,457,852.33
August 15, 2016..... 61,338,057.89
September 15,
2016.............. 60,235,499.50
October 15, 2016.... 59,149,928.04
November 15, 2016... 58,081,097.88
December 15, 2016... 57,028,766.84
January 15, 2017.... 55,992,696.11
February 15, 2017... 54,972,650.25
March 15, 2017...... 53,968,397.10
April 15, 2017...... 52,979,707.78
May 15, 2017........ 52,006,356.59
June 15, 2017....... 51,048,121.03
July 15, 2017....... 50,104,781.68
August 15, 2017..... 49,176,122.23
September 15,
2017.............. 48,261,929.39
October 15, 2017.... 47,361,992.89
November 15, 2017... 46,476,105.38
December 15, 2017... 45,604,062.45
January 15, 2018.... 44,745,662.54
February 15, 2018... 43,900,706.94
March 15, 2018...... 43,068,999.73
April 15, 2018...... 42,250,347.73
May 15, 2018........ 41,444,560.50
June 15, 2018....... 40,651,450.27
July 15, 2018....... 39,870,831.91
August 15, 2018..... 39,102,522.90
September 15,
2018.............. 38,346,343.28
October 15, 2018.... 37,602,115.65
November 15, 2018... 36,869,665.08
December 15, 2018... 36,148,819.13
January 15, 2019.... 35,439,407.76
February 15, 2019... 34,741,263.38
March 15, 2019...... 34,054,220.70
April 15, 2019...... 33,378,116.81
May 15, 2019........ 32,712,791.09
June 15, 2019....... 32,058,085.17
July 15, 2019....... 31,413,842.93
August 15, 2019..... 30,779,910.45
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
September 15,
2019.............. $ 30,156,136.00
October 15, 2019.... 29,542,369.98
November 15, 2019... 28,938,464.89
December 15, 2019... 28,344,275.36
January 15, 2020.... 27,759,658.05
February 15, 2020... 27,184,471.63
March 15, 2020...... 26,618,576.80
April 15, 2020...... 26,061,836.24
May 15, 2020........ 25,514,114.53
June 15, 2020....... 24,975,278.22
July 15, 2020....... 24,445,195.73
August 15, 2020..... 23,923,737.33
September 15,
2020.............. 23,410,775.16
October 15, 2020.... 22,906,183.15
November 15, 2020... 22,409,837.04
December 15, 2020... 21,921,614.31
January 15, 2021.... 21,441,394.20
February 15, 2021... 20,969,057.67
March 15, 2021...... 20,504,487.34
April 15, 2021...... 20,047,567.54
May 15, 2021........ 19,598,184.21
June 15, 2021....... 19,156,224.93
July 15, 2021....... 18,721,578.89
August 15, 2021..... 18,294,136.84
September 15,
2021.............. 17,873,791.08
October 15, 2021.... 17,460,435.47
November 15, 2021... 17,053,965.37
December 15, 2021... 16,654,277.61
January 15, 2022.... 16,261,270.54
February 15, 2022... 15,874,843.91
March 15, 2022...... 15,494,898.93
April 15, 2022...... 15,121,338.22
May 15, 2022........ 14,754,065.78
June 15, 2022....... 14,392,986.99
July 15, 2022....... 14,038,008.57
August 15, 2022..... 13,689,038.59
September 15,
2022.............. 13,345,986.42
October 15, 2022.... 13,008,762.75
November 15, 2022... 12,677,279.52
December 15, 2022... 12,351,449.95
January 15, 2023.... 12,031,188.50
February 15, 2023... 11,716,410.84
March 15, 2023...... 11,407,033.89
April 15, 2023...... 11,102,975.71
May 15, 2023........ 10,804,155.57
June 15, 2023....... 10,510,493.89
July 15, 2023....... 10,221,912.23
August 15, 2023..... 9,938,333.29
September 15,
2023.............. 9,659,680.86
October 15, 2023.... 9,385,879.84
November 15, 2023... 9,116,856.21
December 15, 2023... 8,852,537.01
January 15, 2024.... 8,592,850.33
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
February 15, 2024... $ 8,337,725.30
March 15, 2024...... 8,087,092.08
April 15, 2024...... 7,840,881.82
May 15, 2024........ 7,599,026.66
June 15, 2024....... 7,361,459.74
July 15, 2024....... 7,128,115.16
August 15, 2024..... 6,898,927.96
September 15,
2024.............. 6,673,834.12
October 15, 2024.... 6,452,770.55
November 15, 2024... 6,235,675.09
December 15, 2024... 6,022,486.44
January 15, 2025.... 5,813,144.22
February 15, 2025... 5,607,588.92
March 15, 2025...... 5,405,761.87
April 15, 2025...... 5,207,605.29
May 15, 2025........ 5,013,062.19
June 15, 2025....... 4,822,076.45
July 15, 2025....... 4,634,592.74
August 15, 2025..... 4,450,556.54
September 15,
2025.............. 4,269,914.12
October 15, 2025.... 4,092,612.54
November 15, 2025... 3,918,599.62
December 15, 2025... 3,747,823.94
January 15, 2026.... 3,580,234.83
February 15, 2026... 3,415,782.38
March 15, 2026...... 3,254,417.36
April 15, 2026...... 3,096,091.30
May 15, 2026........ 2,940,756.42
June 15, 2026....... 2,788,365.65
July 15, 2026....... 2,638,872.58
August 15, 2026..... 2,492,231.51
September 15,
2026.............. 2,348,397.38
October 15, 2026.... 2,207,325.82
November 15, 2026... 2,068,973.08
December 15, 2026... 1,933,296.07
January 15, 2027.... 1,800,252.33
February 15, 2027... 1,669,800.00
March 15, 2027...... 1,541,897.87
April 15, 2027...... 1,416,505.31
May 15, 2027........ 1,293,582.30
June 15, 2027....... 1,173,089.39
July 15, 2027....... 1,054,987.72
August 15, 2027..... 939,239.02
September 15,
2027.............. 825,805.55
October 15, 2027.... 714,650.16
November 15, 2027... 605,736.21
December 15, 2027... 499,027.64
January 15, 2028.... 394,488.89
February 15, 2028... 292,084.94
March 15, 2028...... 191,781.29
April 15, 2028...... 93,543.94
May 15, 2028
and after......... 0.00
</TABLE>
SCHEDULED CLASS
<TABLE>
<CAPTION>
PAYMENT DATE
------------
GB
<S> <C>
February 15, 1999... $327,138,647.79
March 15, 1999...... 324,572,052.75
April 15, 1999...... 321,670,674.80
May 15, 1999........ 318,435,616.78
June 15, 1999....... 314,868,224.28
</TABLE>
<TABLE>
<CAPTION>
GB
CONTINUED
<S> <C>
July 15, 1999....... $310,970,085.21
August 15, 1999..... 306,743,029.10
September 15,
1999.............. 302,189,126.09
October 15, 1999.... 297,310,685.64
November 15, 1999... 292,110,254.90
</TABLE>
<TABLE>
<CAPTION>
GB
CONTINUED
<S> <C>
December 15, 1999... $286,590,616.85
January 15, 2000.... 280,754,788.13
February 15, 2000... 274,606,016.55
March 15, 2000...... 268,147,778.34
April 15, 2000...... 261,383,775.13
</TABLE>
S-14
<PAGE> 243
<TABLE>
<CAPTION>
PAYMENT DATE
------------
GB
CONTINUED
<S> <C>
May 15, 2000........ $254,317,930.61
June 15, 2000....... 246,954,386.94
July 15, 2000....... 239,297,500.87
August 15, 2000..... 231,351,839.60
September 15,
2000.............. 223,122,176.38
October 15, 2000.... 214,613,485.86
November 15, 2000... 205,830,939.13
December 15, 2000... 196,779,898.60
January 15, 2001.... 187,465,912.57
February 15, 2001... 177,894,709.63
March 15, 2001...... 175,548,304.48
April 15, 2001...... 173,145,868.02
May 15, 2001........ 170,690,229.35
June 15, 2001....... 168,272,720.78
July 15, 2001....... 165,892,971.07
August 15, 2001..... 163,550,612.16
September 15,
2001.............. 161,245,279.12
October 15, 2001.... 158,976,610.19
November 15, 2001... 156,744,246.68
December 15, 2001... 154,547,833.02
January 15, 2002.... 152,387,016.66
February 15, 2002... 150,261,448.11
March 15, 2002...... 148,170,780.86
April 15, 2002...... 146,114,671.40
May 15, 2002........ 144,092,779.18
June 15, 2002....... 142,104,766.57
July 15, 2002....... 140,150,298.87
August 15, 2002..... 138,229,044.24
September 15,
2002.............. 136,340,673.74
October 15, 2002.... 134,484,861.25
November 15, 2002... 132,661,283.46
December 15, 2002... 130,869,619.87
January 15, 2003.... 129,109,552.74
February 15, 2003... 127,380,767.09
March 15, 2003...... 125,682,950.66
April 15, 2003...... 124,015,793.91
May 15, 2003........ 122,378,989.95
June 15, 2003....... 120,772,234.60
July 15, 2003....... 119,195,226.27
August 15, 2003..... 117,647,666.03
September 15,
2003.............. 116,129,257.51
October 15, 2003.... 114,639,706.95
November 15, 2003... 113,178,723.12
December 15, 2003... 111,746,017.34
January 15, 2004.... 110,341,303.43
February 15, 2004... 108,964,297.73
March 15, 2004...... 107,614,719.01
April 15, 2004...... 106,292,288.53
May 15, 2004........ 104,996,729.97
June 15, 2004....... 103,727,769.42
July 15, 2004....... 102,485,135.37
August 15, 2004..... 101,268,558.67
September 15,
2004.............. 100,077,772.54
October 15, 2004.... 98,912,512.53
November 15, 2004... 97,772,516.51
December 15, 2004... 96,657,524.64
January 15, 2005.... 95,567,279.36
February 15, 2005... 94,501,525.38
March 15, 2005...... 93,460,009.63
April 15, 2005...... 92,442,481.28
May 15, 2005........ 91,448,691.71
June 15, 2005....... 90,478,394.47
July 15, 2005....... 89,531,345.28
August 15, 2005..... 88,607,302.04
September 15,
2005.............. 87,706,024.75
October 15, 2005.... 86,827,275.54
November 15, 2005... 85,970,818.63
</TABLE>
<TABLE>
<CAPTION>
GB
CONTINUED
<S> <C>
December 15, 2005... $ 85,136,420.35
January 15, 2006.... 84,323,849.05
February 15, 2006... 83,532,875.17
March 15, 2006...... 82,763,271.15
April 15, 2006...... 82,014,811.46
May 15, 2006........ 81,287,272.57
June 15, 2006....... 80,580,432.92
July 15, 2006....... 79,894,072.93
August 15, 2006..... 79,227,974.95
September 15,
2006.............. 78,581,923.27
October 15, 2006.... 77,955,704.12
November 15, 2006... 77,349,105.59
December 15, 2006... 76,761,917.68
January 15, 2007.... 76,193,932.27
February 15, 2007... 75,644,943.07
March 15, 2007...... 75,114,745.65
April 15, 2007...... 74,603,137.38
May 15, 2007........ 74,109,917.47
June 15, 2007....... 73,634,886.91
July 15, 2007....... 73,177,848.45
August 15, 2007..... 72,738,606.64
September 15,
2007.............. 72,316,967.76
October 15, 2007.... 71,912,739.83
November 15, 2007... 71,525,732.59
December 15, 2007... 71,155,757.48
January 15, 2008.... 70,781,260.05
February 15, 2008... 70,381,094.06
March 15, 2008...... 69,966,364.57
April 15, 2008...... 69,537,492.05
May 15, 2008........ 69,094,888.96
June 15, 2008....... 68,638,959.95
July 15, 2008....... 68,170,101.91
August 15, 2008..... 67,688,704.14
September 15,
2008.............. 67,195,148.49
October 15, 2008.... 66,689,809.42
November 15, 2008... 66,173,054.21
December 15, 2008... 65,645,242.98
January 15, 2009.... 65,106,728.89
February 15, 2009... 64,557,858.23
March 15, 2009...... 63,998,970.49
April 15, 2009...... 63,430,398.54
May 15, 2009........ 62,852,468.72
June 15, 2009....... 62,265,500.90
July 15, 2009....... 61,669,808.66
August 15, 2009..... 61,065,699.35
September 15,
2009.............. 60,453,474.20
October 15, 2009.... 59,833,428.44
November 15, 2009... 59,205,851.37
December 15, 2009... 58,571,026.50
January 15, 2010.... 57,929,231.60
February 15, 2010... 57,280,738.85
March 15, 2010...... 56,625,814.88
April 15, 2010...... 55,964,720.89
May 15, 2010........ 55,297,712.76
June 15, 2010....... 54,625,041.10
July 15, 2010....... 53,946,951.38
August 15, 2010..... 53,263,683.97
September 15,
2010.............. 52,575,474.27
October 15, 2010.... 51,882,552.78
November 15, 2010... 51,185,145.18
December 15, 2010... 50,483,472.40
January 15, 2011.... 49,777,750.73
February 15, 2011... 49,068,191.88
March 15, 2011...... 48,355,003.05
April 15, 2011...... 47,638,387.03
May 15, 2011........ 46,918,542.28
</TABLE>
<TABLE>
<CAPTION>
GB
CONTINUED
<S> <C>
June 15, 2011....... $ 46,195,662.96
July 15, 2011....... 45,469,939.05
August 15, 2011..... 44,741,556.41
September 15,
2011.............. 44,010,696.85
October 15, 2011.... 43,277,538.17
November 15, 2011... 42,542,254.30
December 15, 2011... 41,805,015.28
January 15, 2012.... 41,065,987.41
February 15, 2012... 40,325,333.26
March 15, 2012...... 39,583,211.75
April 15, 2012...... 38,839,778.22
May 15, 2012........ 38,095,184.50
June 15, 2012....... 37,349,578.94
July 15, 2012....... 36,603,106.51
August 15, 2012..... 35,855,908.83
September 15,
2012.............. 35,108,124.25
October 15, 2012.... 34,359,887.90
November 15, 2012... 33,611,331.74
December 15, 2012... 32,862,584.62
January 15, 2013.... 32,113,772.34
February 15, 2013... 31,365,017.71
March 15, 2013...... 30,616,440.58
April 15, 2013...... 29,868,157.92
May 15, 2013........ 29,120,283.86
June 15, 2013....... 28,372,929.74
July 15, 2013....... 27,626,204.16
August 15, 2013..... 26,880,213.02
September 15,
2013.............. 26,135,059.61
October 15, 2013.... 25,390,844.59
November 15, 2013... 24,647,666.09
December 15, 2013... 23,905,619.76
January 15, 2014.... 23,164,798.78
February 15, 2014... 22,425,293.90
March 15, 2014...... 21,687,193.54
April 15, 2014...... 20,950,583.78
May 15, 2014........ 20,215,548.43
June 15, 2014....... 19,482,169.05
July 15, 2014....... 18,750,525.03
August 15, 2014..... 18,020,693.58
September 15,
2014.............. 17,292,749.82
October 15, 2014.... 16,566,766.76
November 15, 2014... 15,842,815.41
December 15, 2014... 15,120,964.76
January 15, 2015.... 14,401,281.85
February 15, 2015... 13,683,831.79
March 15, 2015...... 12,968,677.80
April 15, 2015...... 12,255,881.27
May 15, 2015........ 11,545,501.74
June 15, 2015....... 10,837,596.99
July 15, 2015....... 10,132,223.05
August 15, 2015..... 9,429,434.23
September 15,
2015.............. 8,729,283.16
October 15, 2015.... 8,031,820.81
November 15, 2015... 7,337,096.56
December 15, 2015... 6,645,158.18
January 15, 2016.... 5,956,051.88
February 15, 2016... 5,269,822.37
March 15, 2016...... 4,586,512.84
April 15, 2016...... 3,906,165.02
May 15, 2016........ 3,228,819.21
June 15, 2016....... 2,554,514.30
July 15, 2016....... 1,883,287.79
August 15, 2016..... 1,215,175.83
September 15,
2016.............. 550,213.24
October 15, 2016
and after......... 0.00
</TABLE>
S-15
<PAGE> 244
RETAIL CLASS PRINCIPAL PAYMENTS
General
The HH, UU and WW Classes are Retail Classes. Freddie Mac has arranged to
make principal payments on each Retail Class in $1,000 increments. These
arrangements are intended to accommodate retail investors who may not wish to
receive their principal payments in amounts smaller than $1,000, to give a
limited payment priority to investors who request early payment, and to give the
first limited payment priority to the requesting estates of deceased investors.
Principal payments on the Retail Classes will be made as follows:
- Freddie Mac will determine the amount of principal, if any, payable on
a Retail Class (as a whole) on each Payment Date as described above.
- The principal payment on a Retail Class will be rounded to a multiple
of $1,000 using the Retail Rounding Account, and the Registrar will
pay the rounded amount to the Retail Depository.
- The Retail Depository will remit the principal payment for a Retail
Class, in multiples of $1,000, to the applicable Retail Depository
Participants. The Retail Depository Participants and other financial
intermediaries in turn will remit principal payments to investors in a
Retail Class, also in multiples of $1,000.
- Investors in a Retail Class who have properly requested early payment
will be paid first, to the extent of available principal, with a first
priority given to "Deceased Owners" of that Class and a second
priority to "Living Owners" of that Class.
- If more principal is available for payment on a Retail Class than the
amount covered by valid requests for early payment, non-requesting
investors in that Class will receive principal payments in multiples
of $1,000 under procedures described below.
The rest of this section describes these procedures in more detail.
Rounding of Principal Payments
Whenever principal payments are to be made on a Retail Class, the amount
allocable to that Class will be rounded to a multiple of $1,000. On the first
Payment Date when principal payments will be made on a Retail Class, the
Registrar will withdraw from the Retail Rounding Account any funds needed to
round the allocable amount upward to the next multiple of $1,000 and will pay
the rounded amount on that Class. On the next Payment Date when principal
payments will be made on such Retail Class, the Registrar will apply the
allocable amount first to repay any amount withdrawn for that Class from the
Retail Rounding Account on the previous Payment Date; then it will round the
remainder of such allocable amount upward to the next multiple of $1,000, by
making another withdrawal from the Retail Rounding Account, and will pay this
amount to such Retail Class. This process will continue on subsequent Payment
Dates until such Retail Class has been retired.
Principal Payment Requests and Withdrawals
Any beneficial owner of Retail Class Units may request that any or all of
such Units be paid in full on the earliest possible Payment Date. The beneficial
owner must submit any request for Retail Class principal payments to his or her
broker or other financial intermediary, which must in turn make the request in
writing to the Retail Depository. The Retail Depository will date and time stamp
all requests in accordance with its established procedures and forward the
requests to the Registrar. The Registrar will maintain a list of those Retail
Depository Participants representing beneficial owners that have requested
Retail Class principal payments, together with the order of receipt and the
amounts of the requests. Investors can get information regarding the number of
Retail Class Units of the applicable Class for which requests have been made and
the status of their own requests by writing the Registrar at Chase Bank of
Texas, National Association, 601 Travis, 8TCT39, Houston, TX 77002.
A beneficial owner may withdraw a request for a Retail Class principal
payment by notifying his or her broker or other financial intermediary, which
must in turn forward the notice of withdrawal in writing to the
S-16
<PAGE> 245
Registrar. Any request for a Retail Class principal payment will be deemed
withdrawn when the Registrar receives notice of the beneficial owner's transfer
of the related Retail Class Units.
In order for a request or a notice of withdrawal to be effective for any
Payment Date, it must be received by the Retail Depository (in the case of a
request) or the Registrar (in the case of a withdrawal) by the last business day
of the preceding calendar month. Once effective, a request will remain effective
for all Payment Dates unless it is withdrawn.
The Retail Depository will honor requests for Retail Class principal
payments to be made on any Payment Date in accordance with the procedures
described below. The Registrar will notify the Retail Depository and the
appropriate Retail Depository Participants which of the requests should be
honored on each Payment Date. The decisions of the Registrar and the Retail
Depository concerning these matters, and any related rules and procedures they
establish, will be binding on all affected persons.
Principal Payment Allocations
Payments to Requesting Beneficial Owners. For any Payment Date, priority
of payment on a Retail Class will be given to beneficial owners of that Class
for whom principal payment requests are in effect. The Retail Depository will
honor requests in the following order of priority:
First, the Retail Depository will honor requests submitted on behalf
of Deceased Owners of a Retail Class in the order of their receipt by the
Retail Depository, until such requests have been honored in an amount up to
$100,000 for each requesting Deceased Owner of that Class; and
Second, the Retail Depository will honor requests submitted on behalf
of Living Owners of a Retail Class in the order of priority established by
the random lot procedures of the Registrar, until such requests have been
honored in an amount up to $10,000 for each requesting Living Owner of that
Class.
Thereafter, the Retail Depository will honor requests submitted on behalf
of each Deceased Owner as provided in step First up to a second $100,000, and
requests submitted on behalf of each Living Owner as provided in step Second up
to a second $10,000. This sequence of priorities will be repeated until all
principal payment requests have been honored.
If the amount of principal available for payment on a Retail Class on a
given Payment Date is insufficient to honor all requests, such requests will be
honored on succeeding Payment Dates as principal becomes available. In the case
of requests on behalf of Living Owners, the Registrar will establish a new order
of priority for each Payment Date by random lot. This order will apply both to
previously unsatisfied payment requests and to newly submitted requests. A
Retail Class principal payment request submitted on behalf of a Living Owner who
later dies will become entitled to the priority of a newly submitted request on
behalf of a Deceased Owner. Such priority will be effective for each subsequent
Payment Date, if the Retail Depository has received appropriate evidence of
death and any requested tax waivers by the last business day of the preceding
calendar month.
Payments to Non-Requesting Beneficial Owners. If the amount of principal
available for payments on a Retail Class on a given Payment Date exceeds the
amount needed to honor all principal payment requests, the Retail Depository
will determine which Retail Class Units will be paid, using its established
random lot procedures. Each Retail Depository Participant receiving such
payments, and each financial intermediary in the chain to the beneficial owners,
will remit payments to their customers according to their own procedures, which
may or may not be by random lot. A Retail Depository Participant or financial
intermediary could decide to allot Retail Class principal payments to certain
customers (which could include such Retail Depository Participant or
intermediary) without allotting payments to others. Investors may ask their
brokers or other intermediaries what allocation procedures they use.
Beneficial Owners
A "Deceased Owner" is the estate of an individual who beneficially owned
one or more Retail Class Units of the applicable Class at the time of death,
provided the executor or other authorized representative of
S-17
<PAGE> 246
the estate furnishes to the Retail Depository evidence of death satisfactory to
the Registrar and any tax waivers requested by the Registrar. A "Living Owner"
is any other beneficial owner of one or more Retail Class Units.
The following rules will apply to determine beneficial ownership in the
case of Deceased Owners:
- Retail Class Units beneficially owned by tenants by the entirety,
joint tenants or tenants in common will be regarded as beneficially
owned by a single owner. The death of a tenant by the entirety, joint
tenant or tenant in common will be deemed the death of the beneficial
owner, and the Retail Class Units beneficially owned will become
eligible for the principal payment priority described above.
- Retail Class Units beneficially owned by a trust will be regarded as
beneficially owned by each beneficiary of the trust to the extent of
that beneficiary's interest in the trust (however, a trust's
beneficiaries collectively cannot be beneficial owners of more Retail
Class Units than are owned by the trust). The death of a beneficiary
of a trust will be deemed the death of a beneficial owner of the
Retail Class Units beneficially owned by the trust to the extent of
that beneficiary's interest in the 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 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 interest in a Retail Class Unit
will be deemed the death of the beneficial owner of that Retail Class
Unit, regardless of the registration of ownership, if such beneficial
interest can be established to the satisfaction of the Registrar. Such
beneficial interest will exist in many 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 spouses. Beneficial interest will be evidenced by
such factors as the power to sell or otherwise dispose of a Retail
Class Unit, the right to receive the proceeds of sale or disposition
and the right to receive interest and principal payments on a Retail
Class Unit.
CLASS FACTORS
Description of Factors
On or about the first business day of each month after the Closing Date,
Freddie Mac will make available (including on its Internet Web-Site) a Class
Factor for each Class having a principal amount. The Class Factor for any Class
for any month will be a truncated seven-digit decimal which, when multiplied by
the original principal amount of a Security of that Class, will equal its
remaining principal amount, after giving effect to any principal payment to be
made on the Payment Date in the same month. The Class Factor for an Accrual
Class will also reflect any addition to its principal amount to be made on the
same Payment Date. For example, the January 1 Class Factor for any Class will
reflect the remaining principal amount of a Security of that Class, after giving
effect to any principal payment (or addition to principal) to be made on January
15. Freddie Mac will also make available a Class Factor for each Notional Class,
which will reflect the remaining notional principal amount of a Security of that
Class in an analogous manner. The Class Factor for each Retail Class will apply
to that Class as a whole, not to individual Retail Class Units, and will
disregard any rounding of principal payments. The Class Factor for each Class
for the month of the Closing Date is 1.0000000.
Use of Factors
For any Payment Date, investors can calculate the reduction (or for an
Accrual Class, the increase) in the principal amount of a Security of any Class
entitled to principal payments by multiplying the original principal amount of
that Security by the difference between its Class Factors for the preceding and
current months. The amount of interest to be paid on (or added to the principal
amount of) a Security of any Class on each Payment Date will equal 30 days'
interest on its outstanding principal amount (or notional principal amount) as
determined by its Class Factor for the preceding month.
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For example, the reduction (or for an Accrual Class, the increase) in the
principal amount of any Security entitled to principal payments on February 15
will reflect the difference between its January 1 and February 1 Class Factors.
The amount of interest to be paid on (or added to the principal amount of) any
Security on February 15 will equal 30 days' interest at its Class Coupon,
accrued during the month of January, on the principal amount or notional
principal amount of such Security determined by its January 1 Class Factor. If
the outstanding balance of any interest-bearing Class is reduced on the Payment
Date that falls within an Accrual Period, that Class will accrue interest during
such Accrual Period on its reduced balance, even though its balance had been
higher for approximately the first 15 days of the Accrual Period. No interest at
all will be paid on any Class (or on any Retail Class Unit) after its balance
has been reduced to zero.
GUARANTEES
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement. See
"Description of Securities -- Guarantees" in the Offering Circular.
Freddie Mac also guarantees the payment of interest and principal on Gold
PCs and Gold Giant PCs. See "Guarantees" in the PC Offering Circular and
"Description of Pass-Through PCs -- Guarantees" in the Giant PC Offering
Circular.
OPTIONAL REDEMPTION
Freddie Mac may redeem the Mortgage Securities and the RS Class, in whole
but not in part, on any Payment Date when their aggregate outstanding principal
amount would be less than 1% of their aggregate original principal amount. Upon
any redemption, the redemption price of the Mortgage Securities will be applied
to retire the outstanding Regular Classes. Any outstanding MACR Class will be
retired from the proceeds of any redemption of its related Regular Classes. The
PCs are not redeemable. See "Description of Securities -- Optional Redemption"
in the Offering Circular.
RESIDUAL PROCEEDS
Upon surrender of their certificates to the Registrar, the Holders of the
RS Class will receive the proceeds of the remaining assets of the Lower-Tier
REMIC Pool, if any, after all required principal and interest payments on the
Mortgage Securities and the RS Class have been made. Upon like surrender, the
Holders of the R Class will receive the proceeds of the remaining assets of the
Upper-Tier REMIC Pool (including the Retail Rounding Account) after all required
principal and interest payments on the Regular Classes and the R Class have been
made. In both cases, any remaining assets (other than the Retail Rounding
Account) are not likely to be significant.
PREPAYMENT AND YIELD ANALYSIS
GENERAL
Mortgage Prepayments
The rates of principal payments on the Assets will depend directly, and the
rates of principal payments on the Securities will depend indirectly, on the
rates of principal payments on the related Mortgages. Mortgage principal
payments may be in the form of scheduled amortization or partial or full
prepayments. "Prepayments" include prepayments by the borrower, liquidations
resulting from default, casualty or condemnation and payments made by Freddie
Mac pursuant to its guarantee of principal (other than scheduled amortization)
on PCs. The Mortgages are subject to prepayment at any time without penalty.
Mortgage prepayment rates are likely to fluctuate significantly. In
general, when prevailing mortgage interest rates decline significantly below the
interest rates on the Mortgages, the prepayment rate on the Mortgages is likely
to increase, although a number of other factors also may influence the
prepayment rate. See "Prepayments, Yields and Suitability" in the PC Offering
Circular.
Acceleration of mortgage payments as a result of transfers of mortgaged
properties is an important factor affecting prepayment rates. The Mortgages
generally provide that, in the event of the transfer or prospective transfer of
the underlying mortgaged property, the full unpaid principal balance is due and
payable at the
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option of the holder. Freddie Mac, in most cases, requires mortgage servicers to
enforce such "due-on-transfer" provisions where permitted by applicable law. See
"Mortgage Purchase and Servicing Standards -- Mortgage Servicing -- Assumption
and Due-on-Transfer Policies" in the PC Offering Circular.
PSA Model
Prepayments on pools of mortgages are commonly measured relative to a
variety of prepayment models. The particular model used in this Supplement,
"PSA," is the standard prepayment model of The Bond Market Association. This
model assumes that mortgages will prepay at an annual rate of 0.2% in the first
month after origination, that the prepayment rate increases at an annual rate of
0.2% per month up to the 30th month after origination and that the prepayment
rate is constant at 6% per annum in the 30th and later months (this assumption
is called "100% PSA"). For example, at 100% PSA, mortgages with a loan age of
three months (i.e., mortgages in their fourth month after origination) are
assumed to prepay at an annual rate of 0.8%. "0% PSA" assumes no prepayments;
"50% PSA" assumes prepayment rates equal to 0.50 times 100% PSA; "200% PSA"
assumes prepayment rates equal to 2.00 times 100% PSA; and so forth. PSA is not
a description of historical prepayment experience or a prediction of the rate of
prepayment of the Mortgages.
Weighted Average Life
The weighted average life of a security refers to the average amount of
time that will elapse from the date of its issuance until each dollar of
principal has been repaid to the investor. The weighted average lives of the
Classes will depend primarily on the rate at which principal is paid on the
related Mortgages. This Supplement shows weighted average lives under various
Mortgage prepayment assumptions. In each case, Freddie Mac has calculated the
weighted average life by (i) multiplying the assumed net reduction, if any, in
the principal amount on each Payment Date by the number of years from the
Closing Date to such Payment Date, (ii) summing the results and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in principal
amount.
Yield
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Mortgages and the
actual characteristics of the related Mortgages. In the case of a Retail Class,
the yield of a particular Retail Class Unit will also depend upon the date on
which it is retired as a result of the priorities, limitations and allocations
described under "Payments -- Retail Class Principal Payments" in this
Supplement. The yield of each Floating Rate or Inverse Floating Rate Class will
also depend on its sensitivity to the level of LIBOR. This Supplement shows
pre-tax yields to maturity under various scenarios. In each case, Freddie Mac
has calculated the pre-tax yield by (i) determining the monthly discount rate
(whether positive or negative) that, when applied to an assumed stream of cash
flows to be paid on the applicable Class, would cause the discounted present
value of such assumed stream of cash flows to equal an assumed purchase price
(including accrued interest, if any) of that Class and (ii) converting such
monthly rate to a corporate bond equivalent (i.e., semiannual payment) rate. The
yield calculations do not take into account any variations in the interest rates
at which investors may be able to reinvest payments received. Consequently, they
do not reflect the return on any investment when reinvestment rates other than
the discount rate are considered.
Modeling Assumptions
In order to prepare the various tables and other statistical information in
this Supplement, Freddie Mac has made certain assumptions regarding the
underlying Mortgages. Unless otherwise noted, each table is based on the
following assumptions (the "Modeling Assumptions"), among others:
- The Mortgages have the assumed characteristics shown under "Terms
Sheet -- Assumed Mortgage Characteristics" in this Supplement.
- Payments on the Classes and their underlying Assets are always
received on the 15th of the month, whether or not a Business Day.
- Freddie Mac does not make an optional redemption.
- Each Class is held from the Closing Date to retirement and is not
exchanged in whole or in part.
- Principal payments on a Retail Class are not rounded to multiples of
$1,000.
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When reading the tables and the related text, investors should bear in mind
that the Modeling Assumptions, like any other stated assumptions, are unlikely
to be entirely consistent with actual experience. For example, most of the
Mortgages do not have the characteristics assumed, many Payment Dates will occur
on the first Business Day after the 15th of the month and Freddie Mac may make
an optional redemption as described under "Payments -- Optional Redemption"
above.
Principal Payment Stability
Mortgages and mortgage securities, such as the Assets and Securities, are
subject to prepayment uncertainty. The rates of principal payments on the Assets
will depend directly, and the rates of principal payments on the Securities will
depend indirectly, on the rates of principal payments on their related
Mortgages. However, within certain limits, some Classes of Securities, such as
the PAC Classes, are expected to exhibit a lower level of prepayment uncertainty
than the related Mortgages and Assets. Such Classes are said to have a degree of
"stability." Stability in one Class or group of Classes is necessarily offset by
instability in other Classes, such as the Support Classes, which are said to
"support" the more stable Classes.
Suitability
The Securities, especially the Inverse Floating Rate, Interest Only,
Principal Only, Support, Accrual, Retail, P and Residual Classes, are not
suitable investments for all investors. The Securities are not appropriate
investments for any investor that requires a single lump sum payment on a
predetermined date or an otherwise certain payment stream. In addition, although
the Underwriter intends to make a market for the purchase and sale of the
Securities after their initial issuance, it has no obligation to do so. There is
no assurance that such secondary market will develop, that any secondary market
will continue, or that the price at which an investor can sell an investment in
any Class will enable the investor to realize a desired yield on that
investment. The market values of the Classes are likely to fluctuate; such
fluctuations may be significant and could result in significant losses to
investors. The secondary markets for mortgage-related securities have
experienced periods of illiquidity and can be expected to do so in the future.
Illiquidity can have a severely adverse effect on the prices of Classes that are
especially sensitive to prepayment or interest rate risk or that have been
structured to meet the investment requirements of limited categories of
investors. Investors are encouraged to consult their own advisors regarding the
financial, legal, tax and other aspects of an investment in the Securities. The
flexibility created by the ability to modify and combine certain Classes of
REMIC Certificates and the MACR Classes may affect the liquidity of the Classes
and the prices that potential purchasers are willing to pay in the secondary
market. No investor should purchase Securities of any Class unless the investor
understands and is able to bear the prepayment, yield, liquidity and market
risks associated with that Class.
PREPAYMENT AND WEIGHTED AVERAGE LIFE CONSIDERATIONS
Accretion Directed Classes
Payments of principal on the VM and VN Classes, and on the PK Class, are
likely to be stable, in varying degrees, under relatively slow prepayment
scenarios because the ZM Accrual Amount, and the PM Accrual Amount,
respectively, will be dedicated to making principal payments on those Classes,
as described above, until they have been retired. The weighted average life of
such an Accretion Directed Class cannot exceed its weighted average life as
shown in the following table under any prepayment scenario, even a scenario
where there are no prepayments. Moreover, based on the Modeling Assumptions,
each such Accretion Directed Class would be retired on, but not before, its
Final Payment Date if the related Mortgages prepay at any rate at or below the
rate shown for that Class until its retirement.
ACCRETION DIRECTED CLASSES
<TABLE>
<CAPTION>
MAXIMUM WEIGHTED
AVERAGE LIFE PREPAYMENT RATE
CLASS (IN YEARS) FINAL PAYMENT DATE AT OR BELOW
----- ---------------- ------------------ ---------------
<S> <C> <C> <C>
VM..................................... 3.0 September 15, 2004 445% PSA
VN..................................... 11.4 March 15, 2015 117% PSA
PK..................................... 3.0 September 15, 2004 670% PSA
</TABLE>
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<PAGE> 250
The related Mortgages will have characteristics that differ from those of
the Modeling Assumptions. Therefore, even if the Mortgages prepay at a rate at
or somewhat below the rate shown for an Accretion Directed Class, that Class
could be retired before its Final Payment Date and its weighted average life
could be shortened.
The principal payment stability of the Accretion Directed Classes shown
above will be supported primarily by their receipt of the related Accrual
Amount. The VM and VN Classes will be protected against early retirement by the
L, M, MA, O, P, Q and T Classes. The PK Class will be protected against early
retirement by the Support, Scheduled and certain PAC Classes. When the
applicable Classes are retired, however, any such Accretion Directed Class, if
outstanding, will become sensitive to Mortgage prepayments and may be retired
before its Final Payment Date.
PAC and Scheduled Classes
Principal payments on the PAC and Scheduled Classes are expected to be more
stable than would be the case if they were not entitled to receive such
payments, to the extent of available principal, in accordance with their
schedules. Moreover, these Classes will have cumulative priorities for future
payments if they fall behind their schedules. Based on the Modeling Assumptions,
each such Class has a range of constant Mortgage prepayment rates (an "Effective
Range") at which it would receive scheduled payments. The Effective Range at any
time depends on the actual or assumed characteristics of the underlying
Mortgages at that time. Based on the Modeling Assumptions, each PAC or Scheduled
Class would receive scheduled payments until retirement if the underlying
Mortgages were to prepay at any constant percentage of PSA within its initial
Effective Range shown in the following table.
INITIAL EFFECTIVE RANGES
<TABLE>
<CAPTION>
CLASS RANGE*
----- -------------------------
<S> <C>
PAC:
PA..................................................... 100% PSA through 434% PSA
PB, QB, TB and UB...................................... 100% PSA through 325% PSA
PC..................................................... 100% PSA through 296% PSA
PD, QD, TD and UD...................................... 100% PSA through 257% PSA
PE and PF.............................................. 100% PSA through 250% PSA
PG, PL and PR.......................................... 82% PSA through 250% PSA
PK..................................................... 0% PSA through 670% PSA
PM..................................................... 76% PSA through 250% PSA
PN and PS.............................................. 67% PSA through 250% PSA
PT..................................................... 38% PSA through 250% PSA
R...................................................... 0% PSA through 250% PSA
SCHEDULED:
GB..................................................... 140% PSA through 190% PSA
</TABLE>
--------------------
* The schedules for the Classes shown were prepared by calculating the
amounts that would be available for principal payments on those
Classes using, among other things, the Modeling Assumptions and the
"structuring ranges" shown under "Terms Sheet -- Allocation of
Principal" in this Supplement.
The underlying Mortgages will have characteristics that differ from those
of the Modeling Assumptions. The initial Effective Ranges, if calculated using
the actual characteristics of the Mortgages, could differ from those shown in
the table. Therefore, even if the Mortgages were to prepay at a constant rate
within the initial Effective Range shown for any Class, but near its upper or
lower end, that Class could fail to receive scheduled payments.
The underlying Mortgages will not prepay at any constant rate. Non-constant
prepayment rates can cause any Class not to receive scheduled payments, even if
such rates remain within its Effective Range shown above. The Effective Ranges
can narrow or "drift" upward or downward over time. Because the underlying
Mortgages will not prepay at the applicable constant rates and will have
characteristics that differ from those assumed, under many scenarios the Classes
shown in the table, especially the Scheduled Class, would not consistently
receive scheduled payments.
The principal payment stability of the PAC and Scheduled Classes will be
supported by other Classes, as indicated below. When its supporting Classes are
retired, any outstanding PAC or Scheduled Class will
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become more sensitive to Mortgage prepayments and its Effective Range will no
longer exist. If the Scheduled Class supports any other Classes at that time,
its principal payment behavior will become similar to that of a Support Class,
as described below.
SUPPORTING CLASSES
<TABLE>
<CAPTION>
CLASSES SUPPORTED BY
------- ------------
<S> <C>
PAC.................................................. Support and Scheduled
Scheduled............................................ Support
</TABLE>
If the underlying Mortgages prepay at rates that are generally below the
Effective Range for any Class, the available principal may be insufficient to
produce scheduled payments on that Class and its weighted average life may be
extended, perhaps significantly. If the underlying Mortgages prepay at rates
that are generally above the Effective Range for any Class, its weighted average
life may be shortened, perhaps significantly. However, the weighted average
lives of one or more of the PAC or Scheduled Classes could be extended under
certain scenarios involving Mortgage prepayments at rates that are generally
above their Effective Ranges.
All available principal will be distributed monthly on each Payment Date
and will not be retained for distribution on subsequent Payment Dates. Thus, the
likelihood that the PAC and Scheduled Classes will receive scheduled payments
will not be enhanced by averaging high and low principal payments in different
months.
The PL and GB Classes have also been classified as Accretion Directed
Classes because they are entitled to receive payments from the related Accrual
Amount, as described above. Such Classes may be somewhat more stable under slow
prepayment scenarios than would be the case if they were not entitled to receive
principal payments from such Accrual Amount. However, they will not have all of
the principal payment characteristics frequently associated with Accretion
Directed Classes.
Support Classes
The Support Classes will support the principal payment stability of the PAC
and Scheduled Classes, as described above. Thus, each Support Class is likely to
be much more sensitive to Mortgage prepayments than is any Class it supports.
The Support Classes may receive no principal payments for extended periods of
time and may receive principal payments that vary widely from period to period.
Relatively fast Mortgage prepayments may significantly shorten, and relatively
slow Mortgage prepayments may significantly extend, the weighted average lives
of the Support Classes.
The HA and HE Classes have also been classified as Accretion Directed
Classes because they are entitled to receive payments from the HZ Accrual
Amount, as described above. Such Classes may be somewhat more stable under slow
prepayment scenarios than would be the case if they were not entitled to receive
principal payments from such Accrual Amount. However, they will not have all of
the principal payment characteristics frequently associated with Accretion
Directed Classes.
Sequential Pay Classes
As described above, the Sequential Pay Classes will receive principal
payments from the Group 1 Assets in a prescribed sequence. While it is receiving
such principal payments, the sensitivity of each Sequential Pay Class (other
than an Accretion Directed Class) to prepayments on the underlying Mortgages
will be approximately the same as that of the Group 1 Assets.
MACR Classes
The payment characteristics of the MACR Classes will reflect the payment
characteristics of their related Classes of REMIC Certificates.
Retail Classes
Principal payments on each Retail Class will depend upon the prepayment
rate on the underlying Mortgages. As a result, it is uncertain when principal
payments on the Retail Classes will begin, at what rate principal payments on
the Retail Classes will be made and when the Retail Classes will be retired.
Under
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<PAGE> 252
extremely fast prepayment scenarios, some investors' Retail Class Units could be
retired on the first Payment Date. On the other hand, some investors' Retail
Class Units could be retired as late as the Final Payment Date for the related
Retail Class.
The amount of principal available for payment on a Retail Class on any
given Payment Date will be limited. Thus, an investor's request for Retail Class
principal payments may not be honored until well after its submission. The
likelihood that any Living Owner's request can be honored within any particular
time after submission will depend in part on the number of Retail Class Units of
the same Class beneficially owned by investors who have a prior right of payment
because they are Deceased Owners and on the number of Retail Class Units of the
same Class owned by other Living Owners who have submitted requests. Conversely,
the amount of principal available for payment on a Retail Class on any given
Payment Date could exceed the amount necessary to honor all requests. In that
case, some investors will receive principal payments they did not request.
When prevailing interest rates are higher than the Class Coupon of a Retail
Class, a greater number of investors in that Class can be expected to request
Retail Class principal payments. At the same time, however, Mortgage prepayment
rates are likely to decline, reducing the funds available for Retail Class
principal payments. Conversely, Mortgage prepayment rates are likely to
accelerate when prevailing interest rates decline, while investors may be less
likely to request Retail Class principal payments. Investors whose Retail Class
Units are selected for payment under such conditions may not be able to reinvest
their payments at rates as high as the Class Coupon of the related Retail Class.
The following tables show the amounts that would be available for principal
payments on the Retail Classes during the twelve-month periods indicated at
various constant percentages of PSA. Freddie Mac has prepared these tables based
on the Modeling Assumptions. Because Retail Class investors will receive
principal payments in multiples of $1,000 subject to the priorities, limitations
and allocations described above, there is no assurance that any investor will
receive a principal payment on any particular date.
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<PAGE> 253
AMOUNTS AVAILABLE FOR PAYMENT OF PRINCIPAL
HH CLASS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------
MONTHS THROUGH 50% 100% 165% 250% 500%
------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
January 15, 2000....................................... $ 0 $ 0 $ 0 $ 0 $ 106
January 15, 2001....................................... 0 0 0 61 1,894
January 15, 2002....................................... 0 0 0 1,131 0
January 15, 2003....................................... 0 0 0 807 0
January 15, 2004....................................... 0 0 0 0 0
January 15, 2005....................................... 0 0 0 0 0
January 15, 2006....................................... 0 0 0 0 0
January 15, 2007....................................... 0 0 0 0 0
January 15, 2008....................................... 0 0 0 0 0
January 15, 2009....................................... 0 0 0 0 0
January 15, 2010....................................... 0 0 0 0 0
January 15, 2011....................................... 0 0 0 0 0
January 15, 2012....................................... 0 0 20 0 0
January 15, 2013....................................... 0 0 62 0 0
January 15, 2014....................................... 0 0 66 0 0
January 15, 2015....................................... 0 0 68 0 0
January 15, 2016....................................... 0 0 69 0 0
January 15, 2017....................................... 0 0 105 0 0
January 15, 2018....................................... 0 0 196 0 0
January 15, 2019....................................... 0 0 186 0 0
January 15, 2020....................................... 0 0 175 0 0
January 15, 2021....................................... 0 0 163 0 0
January 15, 2022....................................... 0 0 151 0 0
January 15, 2023....................................... 0 83 140 0 0
January 15, 2024....................................... 0 363 128 0 0
January 15, 2025....................................... 0 350 117 0 0
January 15, 2026....................................... 0 337 106 0 0
January 15, 2027....................................... 696 324 96 0 0
January 15, 2028....................................... 738 310 86 0 0
January 15, 2029....................................... 567 232 66 0 0
-------- -------- -------- -------- --------
Total*................................................. $ 2,000 $ 2,000 $ 2,000 $ 2,000 $ 2,000
======== ======== ======== ======== ========
</TABLE>
- ---------------
* Totals may not equal sums of columns due to rounding.
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<PAGE> 254
UU CLASS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------
MONTHS THROUGH 50% 100% 165% 250% 500%
------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
January 15, 2000.................................. $ 0 $ 0 $ 0 $ 0 $ 874
January 15, 2001.................................. 0 0 0 507 15,626
January 15, 2002.................................. 0 0 0 9,333 0
January 15, 2003.................................. 0 0 0 6,660 0
January 15, 2004.................................. 0 0 0 0 0
January 15, 2005.................................. 0 0 0 0 0
January 15, 2006.................................. 0 0 0 0 0
January 15, 2007.................................. 0 0 0 0 0
January 15, 2008.................................. 0 0 0 0 0
January 15, 2009.................................. 0 0 0 0 0
January 15, 2010.................................. 0 0 0 0 0
January 15, 2011.................................. 0 0 0 0 0
January 15, 2012.................................. 0 0 161 0 0
January 15, 2013.................................. 0 0 508 0 0
January 15, 2014.................................. 0 0 543 0 0
January 15, 2015.................................. 0 0 564 0 0
January 15, 2016.................................. 0 0 573 0 0
January 15, 2017.................................. 0 0 863 0 0
January 15, 2018.................................. 0 0 1,621 0 0
January 15, 2019.................................. 0 0 1,536 0 0
January 15, 2020.................................. 0 0 1,443 0 0
January 15, 2021.................................. 0 0 1,347 0 0
January 15, 2022.................................. 0 0 1,249 0 0
January 15, 2023.................................. 0 686 1,151 0 0
January 15, 2024.................................. 0 2,995 1,056 0 0
January 15, 2025.................................. 0 2,891 964 0 0
January 15, 2026.................................. 0 2,782 875 0 0
January 15, 2027.................................. 5,739 2,672 791 0 0
January 15, 2028.................................. 6,085 2,561 711 0 0
January 15, 2029.................................. 4,676 1,912 548 0 0
-------- -------- -------- -------- --------
Total*............................................ $ 16,500 $ 16,500 $ 16,500 $ 16,500 $ 16,500
======== ======== ======== ======== ========
</TABLE>
- ---------------
* Totals may not equal sums of columns due to rounding.
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<PAGE> 255
WW CLASS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------
MONTHS THROUGH 50% 100% 165% 250% 500%
------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
January 15, 2000....................................... $ 0 $ 0 $ 0 $ 0 $ 53
January 15, 2001....................................... 0 0 0 31 947
January 15, 2002....................................... 0 0 0 566 0
January 15, 2003....................................... 0 0 0 404 0
January 15, 2004....................................... 0 0 0 0 0
January 15, 2005....................................... 0 0 0 0 0
January 15, 2006....................................... 0 0 0 0 0
January 15, 2007....................................... 0 0 0 0 0
January 15, 2008....................................... 0 0 0 0 0
January 15, 2009....................................... 0 0 0 0 0
January 15, 2010....................................... 0 0 0 0 0
January 15, 2011....................................... 0 0 0 0 0
January 15, 2012....................................... 0 0 10 0 0
January 15, 2013....................................... 0 0 31 0 0
January 15, 2014....................................... 0 0 33 0 0
January 15, 2015....................................... 0 0 34 0 0
January 15, 2016....................................... 0 0 35 0 0
January 15, 2017....................................... 0 0 52 0 0
January 15, 2018....................................... 0 0 98 0 0
January 15, 2019....................................... 0 0 93 0 0
January 15, 2020....................................... 0 0 87 0 0
January 15, 2021....................................... 0 0 82 0 0
January 15, 2022....................................... 0 0 76 0 0
January 15, 2023....................................... 0 42 70 0 0
January 15, 2024....................................... 0 182 64 0 0
January 15, 2025....................................... 0 175 58 0 0
January 15, 2026....................................... 0 169 53 0 0
January 15, 2027....................................... 348 162 48 0 0
January 15, 2028....................................... 369 155 43 0 0
January 15, 2029....................................... 283 116 33 0 0
-------- -------- -------- -------- --------
Total*................................................. $ 1,000 $ 1,000 $ 1,000 $ 1,000 $ 1,000
======== ======== ======== ======== ========
</TABLE>
- ---------------
* Totals may not equal sums of columns due to rounding.
The Mortgages will not prepay at any constant rate until maturity.
Moreover, the Mortgages have characteristics that differ from those of the
Modeling Assumptions. Therefore, the amounts available for payments of principal
on a Retail Class during any twelve-month period are likely to differ in many
cases from the amounts shown in its table.
The weighted average lives of each Retail Class shown in the declining
balances table below apply to that Class as a whole; as a result of the
priorities, limitations and allocations described above, the weighted average
lives of the Retail Class Units owned by individual investors will vary (and may
vary significantly) from the weighted average life of the related Retail Class.
Freddie Mac can give no assurance regarding the weighted average life of a
Retail Class as a whole, much less the weighted average life of any particular
Retail Class Unit.
Declining Balances Table
The following table shows, for the indicated Classes of Securities and the
underlying Assets, (i) the percentages of their original principal amounts (or,
in the case of the Assets, their outstanding principal amounts as of the Closing
Date) that would be outstanding after each of the dates shown at various
constant percentages of PSA and (ii) their corresponding weighted average lives.
Freddie Mac has prepared this table using the Modeling Assumptions. However, for
0% PSA, Freddie Mac has assumed that each Mortgage bears interest at a per annum
rate of 2.5% above that of the related PCs and has a remaining term to maturity
of 360 months and a loan age of 0 months. The Mortgages do not have the
characteristics assumed, and Mortgage
S-27
<PAGE> 256
prepayment rates may differ from the constant rates shown. These differences may
affect the actual payment behavior and weighted average life of any Class or
Asset. For example, because of the diverse remaining terms to maturity, loan
ages and interest rates of the Mortgages, principal payments on any Class or
Asset may be faster or (except at 0% PSA) slower than indicated, even if the
Mortgages were to prepay at the constant rates shown. This may be the case even
if the weighted average remaining term to maturity, weighted average loan age
and weighted average interest rate of the Mortgages are the same as those of
mortgages having the characteristics assumed.
S-28
<PAGE> 257
PERCENTAGES OF ORIGINAL PRINCIPAL AMOUNTS OUTSTANDING* AND WEIGHTED AVERAGE
LIVES
Group 1
<TABLE>
<CAPTION>
L M, MA AND Q
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 300% 500% 0% 100% 165% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 99 96 95 91 87
January 15, 2001.............. 100 100 100 100 100 98 89 84 74 59
January 15, 2002.............. 100 100 100 100 100 97 80 70 52 29
January 15, 2003.............. 100 100 100 100 100 95 71 58 35 8
January 15, 2004.............. 100 100 100 100 7 94 63 47 20 0
January 15, 2005.............. 100 100 100 100 0 92 55 37 9 0
January 15, 2006.............. 100 100 100 88 0 90 48 28 0 0
January 15, 2007.............. 100 100 100 0 0 88 41 20 0 0
January 15, 2008.............. 100 100 100 0 0 86 34 13 0 0
January 15, 2009.............. 100 100 100 0 0 84 28 7 0 0
January 15, 2010.............. 100 100 100 0 0 82 22 1 0 0
January 15, 2011.............. 100 100 47 0 0 79 17 0 0 0
January 15, 2012.............. 100 100 0 0 0 76 12 0 0 0
January 15, 2013.............. 100 100 0 0 0 73 7 0 0 0
January 15, 2014.............. 100 100 0 0 0 69 3 0 0 0
January 15, 2015.............. 100 80 0 0 0 65 0 0 0 0
January 15, 2016.............. 100 29 0 0 0 61 0 0 0 0
January 15, 2017.............. 100 0 0 0 0 57 0 0 0 0
January 15, 2018.............. 100 0 0 0 0 52 0 0 0 0
January 15, 2019.............. 100 0 0 0 0 47 0 0 0 0
January 15, 2020.............. 100 0 0 0 0 41 0 0 0 0
January 15, 2021.............. 100 0 0 0 0 35 0 0 0 0
January 15, 2022.............. 100 0 0 0 0 28 0 0 0 0
January 15, 2023.............. 100 0 0 0 0 20 0 0 0 0
January 15, 2024.............. 100 0 0 0 0 12 0 0 0 0
January 15, 2025.............. 100 0 0 0 0 4 0 0 0 0
January 15, 2026.............. 23 0 0 0 0 0 0 0 0 0
January 15, 2027.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 26.8 16.6 12.0 7.4 4.7 17.7 7.2 5.1 3.3 2.3
<CAPTION>
N
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 165% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100
January 15, 2001.............. 100 100 100 100 100
January 15, 2002.............. 100 100 100 100 100
January 15, 2003.............. 100 100 100 100 100
January 15, 2004.............. 100 100 100 100 100
January 15, 2005.............. 100 100 100 100 70
January 15, 2006.............. 100 100 100 100 48
January 15, 2007.............. 100 100 100 98 33
January 15, 2008.............. 100 100 100 78 23
January 15, 2009.............. 100 100 100 63 15
January 15, 2010.............. 100 100 100 50 11
January 15, 2011.............. 100 100 100 40 7
January 15, 2012.............. 100 100 97 32 5
January 15, 2013.............. 100 100 85 25 3
January 15, 2014.............. 100 100 74 20 2
January 15, 2015.............. 100 100 64 16 1
January 15, 2016.............. 100 100 55 12 1
January 15, 2017.............. 100 96 47 10 1
January 15, 2018.............. 100 85 40 7 0
January 15, 2019.............. 100 74 33 6 0
January 15, 2020.............. 100 65 28 4 0
January 15, 2021.............. 100 55 23 3 0
January 15, 2022.............. 100 47 18 2 0
January 15, 2023.............. 100 39 15 2 0
January 15, 2024.............. 100 31 11 1 0
January 15, 2025.............. 100 24 8 1 0
January 15, 2026.............. 100 17 6 0 0
January 15, 2027.............. 73 10 3 0 0
January 15, 2028.............. 38 4 1 0 0
January 15, 2029.............. 0 0 0 0 0
Weighted Average
Life (Years)................. 28.6 23.0 18.6 12.2 7.7
</TABLE>
<TABLE>
<CAPTION>
O AND P T
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 300% 500% 0% 100% 165% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 98 92 88 81 71 100 100 100 100 100
January 15, 2001.............. 95 76 66 44 13 100 100 100 100 100
January 15, 2002.............. 93 57 37 0 0 100 100 100 98 54
January 15, 2003.............. 90 38 10 0 0 100 100 100 65 14
January 15, 2004.............. 86 20 0 0 0 100 100 88 38 0
January 15, 2005.............. 83 3 0 0 0 100 100 69 16 0
January 15, 2006.............. 79 0 0 0 0 100 89 53 0 0
January 15, 2007.............. 75 0 0 0 0 100 76 38 0 0
January 15, 2008.............. 71 0 0 0 0 100 64 24 0 0
January 15, 2009.............. 66 0 0 0 0 100 53 13 0 0
January 15, 2010.............. 60 0 0 0 0 100 42 2 0 0
January 15, 2011.............. 55 0 0 0 0 100 32 0 0 0
January 15, 2012.............. 48 0 0 0 0 100 22 0 0 0
January 15, 2013.............. 42 0 0 0 0 100 13 0 0 0
January 15, 2014.............. 34 0 0 0 0 100 5 0 0 0
January 15, 2015.............. 26 0 0 0 0 100 0 0 0 0
January 15, 2016.............. 17 0 0 0 0 100 0 0 0 0
January 15, 2017.............. 8 0 0 0 0 100 0 0 0 0
January 15, 2018.............. 0 0 0 0 0 98 0 0 0 0
January 15, 2019.............. 0 0 0 0 0 88 0 0 0 0
January 15, 2020.............. 0 0 0 0 0 77 0 0 0 0
January 15, 2021.............. 0 0 0 0 0 65 0 0 0 0
January 15, 2022.............. 0 0 0 0 0 52 0 0 0 0
January 15, 2023.............. 0 0 0 0 0 38 0 0 0 0
January 15, 2024.............. 0 0 0 0 0 23 0 0 0 0
January 15, 2025.............. 0 0 0 0 0 7 0 0 0 0
January 15, 2026.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2027.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 11.8 3.4 2.5 1.8 1.3 23.0 10.5 7.4 4.7 3.2
<CAPTION>
VM
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 165% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
January 15, 2000.............. 85 85 85 85 85
January 15, 2001.............. 68 68 68 68 68
January 15, 2002.............. 51 51 51 51 51
January 15, 2003.............. 33 33 33 33 33
January 15, 2004.............. 13 13 13 13 13
January 15, 2005.............. 0 0 0 0 0
January 15, 2006.............. 0 0 0 0 0
January 15, 2007.............. 0 0 0 0 0
January 15, 2008.............. 0 0 0 0 0
January 15, 2009.............. 0 0 0 0 0
January 15, 2010.............. 0 0 0 0 0
January 15, 2011.............. 0 0 0 0 0
January 15, 2012.............. 0 0 0 0 0
January 15, 2013.............. 0 0 0 0 0
January 15, 2014.............. 0 0 0 0 0
January 15, 2015.............. 0 0 0 0 0
January 15, 2016.............. 0 0 0 0 0
January 15, 2017.............. 0 0 0 0 0
January 15, 2018.............. 0 0 0 0 0
January 15, 2019.............. 0 0 0 0 0
January 15, 2020.............. 0 0 0 0 0
January 15, 2021.............. 0 0 0 0 0
January 15, 2022.............. 0 0 0 0 0
January 15, 2023.............. 0 0 0 0 0
January 15, 2024.............. 0 0 0 0 0
January 15, 2025.............. 0 0 0 0 0
January 15, 2026.............. 0 0 0 0 0
January 15, 2027.............. 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0
Weighted Average
Life (Years)................. 3.0 3.0 3.0 3.0 3.0
</TABLE>
- ---------------
* Rounded to nearest whole percentage.
S-29
<PAGE> 258
<TABLE>
<CAPTION>
VN ZM
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 300% 500% 0% 100% 165% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 106 106 106 106 106
January 15, 2001.............. 100 100 100 100 100 113 113 113 113 113
January 15, 2002.............. 100 100 100 100 100 120 120 120 120 120
January 15, 2003.............. 100 100 100 100 100 127 127 127 127 127
January 15, 2004.............. 100 100 100 100 100 135 135 135 135 135
January 15, 2005.............. 98 98 98 98 33 143 143 143 143 143
January 15, 2006.............. 90 90 90 90 0 152 152 152 152 126
January 15, 2007.............. 83 83 83 77 0 161 161 161 161 87
January 15, 2008.............. 75 75 75 28 0 171 171 171 171 59
January 15, 2009.............. 66 66 66 0 0 182 182 182 164 41
January 15, 2010.............. 57 57 57 0 0 193 193 193 131 28
January 15, 2011.............. 47 47 47 0 0 205 205 205 105 19
January 15, 2012.............. 36 36 31 0 0 218 218 218 83 13
January 15, 2013.............. 25 25 0 0 0 231 231 222 66 9
January 15, 2014.............. 14 14 0 0 0 245 245 193 52 6
January 15, 2015.............. 1 1 0 0 0 261 261 167 41 4
January 15, 2016.............. 0 0 0 0 0 262 262 143 32 3
January 15, 2017.............. 0 0 0 0 0 262 250 122 25 2
January 15, 2018.............. 0 0 0 0 0 262 222 104 19 1
January 15, 2019.............. 0 0 0 0 0 262 195 87 15 1
January 15, 2020.............. 0 0 0 0 0 262 169 73 11 0
January 15, 2021.............. 0 0 0 0 0 262 145 60 8 0
January 15, 2022.............. 0 0 0 0 0 262 123 48 6 0
January 15, 2023.............. 0 0 0 0 0 262 101 38 4 0
January 15, 2024.............. 0 0 0 0 0 262 81 29 3 0
January 15, 2025.............. 0 0 0 0 0 262 62 22 2 0
January 15, 2026.............. 0 0 0 0 0 262 44 15 1 0
January 15, 2027.............. 0 0 0 0 0 192 27 9 1 0
January 15, 2028.............. 0 0 0 0 0 100 11 3 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 11.4 11.4 11.0 8.4 5.8 28.6 23.0 19.4 13.9 9.2
<CAPTION>
GROUP 1 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 165% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
January 15, 2000.............. 99 97 96 94 90
January 15, 2001.............. 98 92 89 81 71
January 15, 2002.............. 98 86 79 66 49
January 15, 2003.............. 97 79 70 53 34
January 15, 2004.............. 95 73 62 43 23
January 15, 2005.............. 94 68 55 35 16
January 15, 2006.............. 93 63 49 28 11
January 15, 2007.............. 92 58 43 23 8
January 15, 2008.............. 90 53 38 18 5
January 15, 2009.............. 89 49 33 14 4
January 15, 2010.............. 87 45 29 12 2
January 15, 2011.............. 85 41 26 9 2
January 15, 2012.............. 83 37 22 7 1
January 15, 2013.............. 81 34 20 6 1
January 15, 2014.............. 78 31 17 5 1
January 15, 2015.............. 75 28 15 4 0
January 15, 2016.............. 72 25 13 3 0
January 15, 2017.............. 69 22 11 2 0
January 15, 2018.............. 66 20 9 2 0
January 15, 2019.............. 62 17 8 1 0
January 15, 2020.............. 58 15 6 1 0
January 15, 2021.............. 53 13 5 1 0
January 15, 2022.............. 49 11 4 1 0
January 15, 2023.............. 43 9 3 0 0
January 15, 2024.............. 37 7 3 0 0
January 15, 2025.............. 31 5 2 0 0
January 15, 2026.............. 24 4 1 0 0
January 15, 2027.............. 17 2 1 0 0
January 15, 2028.............. 9 1 0 0 0
January 15, 2029.............. 0 0 0 0 0
Weighted Average
Life (Years)................. 20.8 11.3 8.6 5.6 3.7
</TABLE>
Group 2
<TABLE>
<CAPTION>
F, K, S, SA AND SB GB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 94 61 97 88 85 85 85
January 15, 2001.............. 100 100 98 62 0 93 66 57 57 36
January 15, 2002.............. 100 100 89 26 0 92 63 46 46 0
January 15, 2003.............. 100 100 82 0 0 92 63 39 39 0
January 15, 2004.............. 100 100 77 0 0 92 63 34 23 0
January 15, 2005.............. 100 100 74 0 0 91 62 29 12 0
January 15, 2006.............. 100 100 71 0 0 91 62 26 5 0
January 15, 2007.............. 100 100 69 0 0 90 62 23 1 0
January 15, 2008.............. 100 100 69 0 0 90 61 21 0 0
January 15, 2009.............. 100 100 68 0 0 90 60 20 0 0
January 15, 2010.............. 100 100 67 0 0 89 56 18 0 0
January 15, 2011.............. 100 100 66 0 0 89 52 15 0 0
January 15, 2012.............. 100 100 64 0 0 88 46 12 0 0
January 15, 2013.............. 100 100 62 0 0 87 39 10 0 0
January 15, 2014.............. 100 100 60 0 0 87 32 7 0 0
January 15, 2015.............. 100 100 58 0 0 86 25 4 0 0
January 15, 2016.............. 100 100 55 0 0 85 17 2 0 0
January 15, 2017.............. 100 100 52 0 0 85 9 0 0 0
January 15, 2018.............. 100 100 46 0 0 84 1 0 0 0
January 15, 2019.............. 100 100 40 0 0 83 0 0 0 0
January 15, 2020.............. 100 99 34 0 0 82 0 0 0 0
January 15, 2021.............. 100 86 29 0 0 81 0 0 0 0
January 15, 2022.............. 100 74 24 0 0 80 0 0 0 0
January 15, 2023.............. 100 62 19 0 0 79 0 0 0 0
January 15, 2024.............. 100 50 15 0 0 78 0 0 0 0
January 15, 2025.............. 100 39 11 0 0 55 0 0 0 0
January 15, 2026.............. 100 28 8 0 0 25 0 0 0 0
January 15, 2027.............. 100 17 5 0 0 0 0 0 0 0
January 15, 2028.............. 67 7 2 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 29.3 25.1 15.6 2.3 1.1 23.1 9.8 5.0 3.2 1.7
<CAPTION>
HA HB, HF AND HG
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 98 98 98 45 0 100 100 100 100 0
January 15, 2001.............. 96 96 77 0 0 100 100 100 0 0
January 15, 2002.............. 94 94 5 0 0 100 100 100 0 0
January 15, 2003.............. 92 92 0 0 0 100 100 100 0 0
January 15, 2004.............. 90 90 0 0 0 100 100 96 0 0
January 15, 2005.............. 87 87 0 0 0 100 100 68 0 0
January 15, 2006.............. 84 84 0 0 0 100 100 49 0 0
January 15, 2007.............. 81 81 0 0 0 100 100 38 0 0
January 15, 2008.............. 78 78 0 0 0 100 100 33 0 0
January 15, 2009.............. 75 75 0 0 0 100 100 28 0 0
January 15, 2010.............. 72 72 0 0 0 100 100 20 0 0
January 15, 2011.............. 68 68 0 0 0 100 100 9 0 0
January 15, 2012.............. 64 64 0 0 0 100 100 0 0 0
January 15, 2013.............. 60 60 0 0 0 100 100 0 0 0
January 15, 2014.............. 55 55 0 0 0 100 100 0 0 0
January 15, 2015.............. 50 50 0 0 0 100 100 0 0 0
January 15, 2016.............. 45 45 0 0 0 100 100 0 0 0
January 15, 2017.............. 40 40 0 0 0 100 100 0 0 0
January 15, 2018.............. 34 34 0 0 0 100 100 0 0 0
January 15, 2019.............. 28 28 0 0 0 100 100 0 0 0
January 15, 2020.............. 21 13 0 0 0 100 100 0 0 0
January 15, 2021.............. 14 0 0 0 0 100 100 0 0 0
January 15, 2022.............. 6 0 0 0 0 100 71 0 0 0
January 15, 2023.............. 0 0 0 0 0 100 0 0 0 0
January 15, 2024.............. 0 0 0 0 0 100 0 0 0 0
January 15, 2025.............. 0 0 0 0 0 100 0 0 0 0
January 15, 2026.............. 0 0 0 0 0 100 0 0 0 0
January 15, 2027.............. 0 0 0 0 0 100 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 20 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 14.8 14.5 2.3 1.0 0.5 28.9 23.2 7.9 1.8 0.9
</TABLE>
S-30
<PAGE> 259
<TABLE>
<CAPTION>
HC, HD, HH**, UU**
AND WW** HE
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 95 100 100 100 100 0
January 15, 2001.............. 100 100 100 97 0 100 100 100 0 0
January 15, 2002.............. 100 100 100 40 0 100 100 100 0 0
January 15, 2003.............. 100 100 100 0 0 100 100 4 0 0
January 15, 2004.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2005.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2006.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2007.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2008.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2009.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2010.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2011.............. 100 100 100 0 0 100 100 0 0 0
January 15, 2012.............. 100 100 99 0 0 100 100 0 0 0
January 15, 2013.............. 100 100 96 0 0 100 100 0 0 0
January 15, 2014.............. 100 100 93 0 0 100 100 0 0 0
January 15, 2015.............. 100 100 89 0 0 100 100 0 0 0
January 15, 2016.............. 100 100 86 0 0 100 100 0 0 0
January 15, 2017.............. 100 100 81 0 0 100 100 0 0 0
January 15, 2018.............. 100 100 71 0 0 100 100 0 0 0
January 15, 2019.............. 100 100 61 0 0 100 100 0 0 0
January 15, 2020.............. 100 100 53 0 0 100 100 0 0 0
January 15, 2021.............. 100 100 45 0 0 100 0 0 0 0
January 15, 2022.............. 100 100 37 0 0 100 0 0 0 0
January 15, 2023.............. 100 96 30 0 0 96 0 0 0 0
January 15, 2024.............. 100 78 24 0 0 81 0 0 0 0
January 15, 2025.............. 100 60 18 0 0 64 0 0 0 0
January 15, 2026.............. 100 43 12 0 0 46 0 0 0 0
January 15, 2027.............. 100 27 8 0 0 26 0 0 0 0
January 15, 2028.............. 100 12 3 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 29.5 26.7 21.5 2.9 1.3 26.6 21.4 3.5 1.3 0.7
<CAPTION>
HZ PA
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 107 107 107 107 0 100 100 100 100 100
January 15, 2001.............. 114 114 114 0 0 100 100 100 100 100
January 15, 2002.............. 121 121 121 0 0 84 0 0 0 0
January 15, 2003.............. 130 130 130 0 0 66 0 0 0 0
January 15, 2004.............. 138 138 0 0 0 46 0 0 0 0
January 15, 2005.............. 148 148 0 0 0 24 0 0 0 0
January 15, 2006.............. 157 157 0 0 0 1 0 0 0 0
January 15, 2007.............. 168 168 0 0 0 0 0 0 0 0
January 15, 2008.............. 179 179 0 0 0 0 0 0 0 0
January 15, 2009.............. 191 191 0 0 0 0 0 0 0 0
January 15, 2010.............. 204 204 0 0 0 0 0 0 0 0
January 15, 2011.............. 218 218 0 0 0 0 0 0 0 0
January 15, 2012.............. 232 232 0 0 0 0 0 0 0 0
January 15, 2013.............. 248 248 0 0 0 0 0 0 0 0
January 15, 2014.............. 264 264 0 0 0 0 0 0 0 0
January 15, 2015.............. 282 282 0 0 0 0 0 0 0 0
January 15, 2016.............. 301 301 0 0 0 0 0 0 0 0
January 15, 2017.............. 321 321 0 0 0 0 0 0 0 0
January 15, 2018.............. 343 343 0 0 0 0 0 0 0 0
January 15, 2019.............. 366 366 0 0 0 0 0 0 0 0
January 15, 2020.............. 390 390 0 0 0 0 0 0 0 0
January 15, 2021.............. 416 256 0 0 0 0 0 0 0 0
January 15, 2022.............. 444 0 0 0 0 0 0 0 0 0
January 15, 2023.............. 474 0 0 0 0 0 0 0 0 0
January 15, 2024.............. 506 0 0 0 0 0 0 0 0 0
January 15, 2025.............. 539 0 0 0 0 0 0 0 0 0
January 15, 2026.............. 576 0 0 0 0 0 0 0 0 0
January 15, 2027.............. 614 0 0 0 0 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 28.7 22.1 4.4 1.5 0.7 4.7 2.5 2.5 2.5 2.4
</TABLE>
<TABLE>
<CAPTION>
PB, QB, TB AND UB PC
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2001.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2002.............. 100 91 91 91 0 100 100 100 100 97
January 15, 2003.............. 100 8 8 8 0 100 100 100 100 0
January 15, 2004.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2005.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2006.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2007.............. 83 0 0 0 0 100 0 0 0 0
January 15, 2008.............. 63 0 0 0 0 100 0 0 0 0
January 15, 2009.............. 41 0 0 0 0 100 0 0 0 0
January 15, 2010.............. 18 0 0 0 0 100 0 0 0 0
January 15, 2011.............. 0 0 0 0 0 88 0 0 0 0
January 15, 2012.............. 0 0 0 0 0 43 0 0 0 0
January 15, 2013.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2014.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2015.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2016.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2017.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2018.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2019.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2020.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2021.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2022.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2023.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2024.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2025.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2026.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2027.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 9.5 3.5 3.5 3.5 2.8 12.8 4.5 4.5 4.5 3.1
<CAPTION>
PD, QD, TD AND UD PE
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2001.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2002.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2003.............. 100 100 100 100 11 100 100 100 100 100
January 15, 2004.............. 100 94 94 94 0 100 100 100 100 0
January 15, 2005.............. 100 49 49 49 0 100 100 100 100 0
January 15, 2006.............. 100 6 6 6 0 100 100 100 100 0
January 15, 2007.............. 100 0 0 0 0 100 49 49 49 0
January 15, 2008.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2009.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2010.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2011.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2012.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2013.............. 97 0 0 0 0 100 0 0 0 0
January 15, 2014.............. 77 0 0 0 0 100 0 0 0 0
January 15, 2015.............. 55 0 0 0 0 100 0 0 0 0
January 15, 2016.............. 31 0 0 0 0 100 0 0 0 0
January 15, 2017.............. 5 0 0 0 0 100 0 0 0 0
January 15, 2018.............. 0 0 0 0 0 64 0 0 0 0
January 15, 2019.............. 0 0 0 0 0 18 0 0 0 0
January 15, 2020.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2021.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2022.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2023.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2024.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2025.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2026.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2027.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 16.1 6.0 6.0 6.0 3.7 19.3 8.0 8.0 8.0 4.5
</TABLE>
- ---------------
** The figures shown in the table for each Retail Class apply to that Class as a
whole and are not likely to reflect the experience of any Retail Class
investor. Because Retail Class investors will receive principal payments
subject to the priorities, limitations and allocations described above, the
weighted average lives of Retail Class Units will vary among different
investors.
S-31
<PAGE> 260
<TABLE>
<CAPTION>
PF PG
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2001.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2002.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2003.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2004.............. 100 100 100 100 93 100 100 100 100 100
January 15, 2005.............. 100 100 100 100 44 100 100 100 100 100
January 15, 2006.............. 100 100 100 100 11 100 100 100 100 100
January 15, 2007.............. 100 100 100 100 0 100 100 100 100 80
January 15, 2008.............. 100 96 96 96 0 100 100 100 100 55
January 15, 2009.............. 100 69 69 69 0 100 100 100 100 37
January 15, 2010.............. 100 46 46 46 0 100 100 100 100 25
January 15, 2011.............. 100 27 27 27 0 100 100 100 100 17
January 15, 2012.............. 100 11 11 11 0 100 100 100 100 12
January 15, 2013.............. 100 0 0 0 0 100 97 97 97 8
January 15, 2014.............. 100 0 0 0 0 100 79 79 79 5
January 15, 2015.............. 100 0 0 0 0 100 64 64 64 3
January 15, 2016.............. 100 0 0 0 0 100 52 52 52 2
January 15, 2017.............. 100 0 0 0 0 100 42 42 42 1
January 15, 2018.............. 100 0 0 0 0 100 33 33 33 1
January 15, 2019.............. 100 0 0 0 0 100 26 26 26 0
January 15, 2020.............. 82 0 0 0 0 100 21 21 21 0
January 15, 2021.............. 53 0 0 0 0 100 16 16 16 0
January 15, 2022.............. 20 0 0 0 0 100 12 12 12 0
January 15, 2023.............. 0 0 0 0 0 77 9 9 9 0
January 15, 2024.............. 0 0 0 0 0 16 6 6 6 0
January 15, 2025.............. 0 0 0 0 0 4 4 4 4 0
January 15, 2026.............. 0 0 0 0 0 2 2 2 2 0
January 15, 2027.............. 0 0 0 0 0 1 1 1 1 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 22.1 11.0 11.0 11.0 6.0 24.5 18.1 18.1 18.1 10.0
<CAPTION>
PK PL
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 85 85 85 85 85 100 100 100 100 100
January 15, 2001.............. 68 68 68 68 68 100 100 100 100 100
January 15, 2002.............. 51 51 51 51 51 100 100 100 100 100
January 15, 2003.............. 33 33 33 33 33 100 100 100 100 100
January 15, 2004.............. 13 13 13 13 13 100 100 100 100 100
January 15, 2005.............. 0 0 0 0 0 98 98 98 98 98
January 15, 2006.............. 0 0 0 0 0 93 93 93 93 93
January 15, 2007.............. 0 0 0 0 0 87 87 87 87 50
January 15, 2008.............. 0 0 0 0 0 81 81 81 81 0
January 15, 2009.............. 0 0 0 0 0 74 74 74 74 0
January 15, 2010.............. 0 0 0 0 0 67 67 67 67 0
January 15, 2011.............. 0 0 0 0 0 59 59 59 59 0
January 15, 2012.............. 0 0 0 0 0 52 52 52 52 0
January 15, 2013.............. 0 0 0 0 0 43 37 37 37 0
January 15, 2014.............. 0 0 0 0 0 34 0 0 0 0
January 15, 2015.............. 0 0 0 0 0 25 0 0 0 0
January 15, 2016.............. 0 0 0 0 0 15 0 0 0 0
January 15, 2017.............. 0 0 0 0 0 4 0 0 0 0
January 15, 2018.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2019.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2020.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2021.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2022.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2023.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2024.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2025.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2026.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2027.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 3.0 3.0 3.0 3.0 3.0 12.8 12.0 12.0 12.0 8.0
</TABLE>
<TABLE>
<CAPTION>
PM PN
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 106 106 106 106 106 100 100 100 100 100
January 15, 2001.............. 113 113 113 113 113 100 100 100 100 100
January 15, 2002.............. 120 120 120 120 120 100 100 100 100 100
January 15, 2003.............. 127 127 127 127 127 100 100 100 100 100
January 15, 2004.............. 135 135 135 135 135 100 100 100 100 100
January 15, 2005.............. 143 143 143 143 143 100 100 100 100 100
January 15, 2006.............. 152 152 152 152 152 100 100 100 100 100
January 15, 2007.............. 161 161 161 161 161 100 100 100 100 100
January 15, 2008.............. 171 171 171 171 165 100 100 100 100 90
January 15, 2009.............. 182 182 182 182 112 100 100 100 100 61
January 15, 2010.............. 193 193 193 193 76 100 100 100 100 42
January 15, 2011.............. 205 205 205 205 52 100 100 100 100 28
January 15, 2012.............. 218 218 218 218 35 100 100 100 100 19
January 15, 2013.............. 231 231 231 231 23 100 100 100 100 13
January 15, 2014.............. 245 237 237 237 15 100 100 100 100 8
January 15, 2015.............. 261 193 193 193 10 100 100 100 100 5
January 15, 2016.............. 277 156 156 156 6 100 85 85 85 3
January 15, 2017.............. 294 126 126 126 4 100 69 69 69 2
January 15, 2018.............. 300 100 100 100 2 100 55 55 55 1
January 15, 2019.............. 300 79 79 79 1 100 43 43 43 1
January 15, 2020.............. 300 62 62 62 0 100 34 34 34 0
January 15, 2021.............. 300 48 48 48 0 100 26 26 26 0
January 15, 2022.............. 300 36 36 36 0 100 20 20 20 0
January 15, 2023.............. 230 26 26 26 0 100 14 14 14 0
January 15, 2024.............. 47 19 19 19 0 26 10 10 10 0
January 15, 2025.............. 12 12 12 12 0 7 7 7 7 0
January 15, 2026.............. 7 7 7 7 0 4 4 4 4 0
January 15, 2027.............. 3 3 3 3 0 2 2 2 2 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 24.5 19.0 19.0 19.0 11.4 24.9 20.2 20.2 20.2 11.3
<CAPTION>
PR PS
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2001.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2002.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2003.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2004.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2005.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2006.............. 100 100 100 100 100 100 100 100 100 100
January 15, 2007.............. 100 100 100 100 49 100 100 100 100 100
January 15, 2008.............. 100 100 100 100 0 100 100 100 100 83
January 15, 2009.............. 100 100 100 100 0 100 100 100 100 33
January 15, 2010.............. 100 100 100 100 0 100 100 100 100 0
January 15, 2011.............. 100 100 100 100 0 100 100 100 100 0
January 15, 2012.............. 100 100 100 100 0 100 100 100 100 0
January 15, 2013.............. 100 92 92 92 0 100 100 100 100 0
January 15, 2014.............. 100 46 46 46 0 100 100 100 100 0
January 15, 2015.............. 100 9 9 9 0 100 100 100 100 0
January 15, 2016.............. 100 0 0 0 0 100 75 75 75 0
January 15, 2017.............. 100 0 0 0 0 100 46 46 46 0
January 15, 2018.............. 100 0 0 0 0 100 22 22 22 0
January 15, 2019.............. 100 0 0 0 0 100 2 2 2 0
January 15, 2020.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2021.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2022.............. 100 0 0 0 0 100 0 0 0 0
January 15, 2023.............. 40 0 0 0 0 100 0 0 0 0
January 15, 2024.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2025.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2026.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2027.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 23.9 15.0 15.0 15.0 8.0 24.6 17.9 17.9 17.9 9.7
</TABLE>
S-32
<PAGE> 261
<TABLE>
<CAPTION>
PT ZB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 106 106 59 0 0
January 15, 2001.............. 100 100 100 100 100 113 113 0 0 0
January 15, 2002.............. 100 100 100 100 100 120 120 0 0 0
January 15, 2003.............. 100 100 100 100 100 127 127 0 0 0
January 15, 2004.............. 100 100 100 100 100 135 135 0 0 0
January 15, 2005.............. 100 100 100 100 100 143 143 0 0 0
January 15, 2006.............. 100 100 100 100 100 152 152 0 0 0
January 15, 2007.............. 100 100 100 100 100 161 161 0 0 0
January 15, 2008.............. 100 100 100 100 100 171 171 0 0 0
January 15, 2009.............. 100 100 100 100 100 182 182 0 0 0
January 15, 2010.............. 100 100 100 100 99 193 193 0 0 0
January 15, 2011.............. 100 100 100 100 67 205 205 0 0 0
January 15, 2012.............. 100 100 100 100 45 218 218 0 0 0
January 15, 2013.............. 100 100 100 100 30 231 231 0 0 0
January 15, 2014.............. 100 100 100 100 20 245 245 0 0 0
January 15, 2015.............. 100 100 100 100 13 261 261 0 0 0
January 15, 2016.............. 100 100 100 100 8 277 277 0 0 0
January 15, 2017.............. 100 100 100 100 5 294 294 0 0 0
January 15, 2018.............. 100 100 100 100 3 312 312 0 0 0
January 15, 2019.............. 100 100 100 100 2 331 157 0 0 0
January 15, 2020.............. 100 80 80 80 1 351 0 0 0 0
January 15, 2021.............. 100 61 61 61 0 373 0 0 0 0
January 15, 2022.............. 100 46 46 46 0 396 0 0 0 0
January 15, 2023.............. 100 34 34 34 0 421 0 0 0 0
January 15, 2024.............. 61 24 24 24 0 446 0 0 0 0
January 15, 2025.............. 16 16 16 16 0 474 0 0 0 0
January 15, 2026.............. 9 9 9 9 0 503 0 0 0 0
January 15, 2027.............. 4 4 4 4 0 371 0 0 0 0
January 15, 2028.............. 0 0 0 0 0 0 0 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 25.4 23.2 23.2 23.2 13.4 28.1 20.0 1.1 0.4 0.2
<CAPTION>
R GROUP 2 ASSETS
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 165% 250% 500% 0% 100% 165% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
January 15, 2000.............. 100 100 100 100 100 99 97 96 95 90
January 15, 2001.............. 100 100 100 100 100 98 92 89 84 71
January 15, 2002.............. 100 100 100 100 100 98 86 79 71 49
January 15, 2003.............. 100 100 100 100 100 97 79 70 59 34
January 15, 2004.............. 100 100 100 100 100 95 73 62 50 24
January 15, 2005.............. 100 100 100 100 100 94 68 55 41 16
January 15, 2006.............. 100 100 100 100 100 93 63 49 35 11
January 15, 2007.............. 100 100 100 100 100 92 58 43 29 8
January 15, 2008.............. 100 100 100 100 100 90 53 38 24 5
January 15, 2009.............. 100 100 100 100 100 89 49 33 20 4
January 15, 2010.............. 100 100 100 100 100 87 45 29 17 2
January 15, 2011.............. 100 100 100 100 100 85 41 26 14 2
January 15, 2012.............. 100 100 100 100 100 83 37 23 11 1
January 15, 2013.............. 100 100 100 100 100 81 34 20 9 1
January 15, 2014.............. 100 100 100 100 100 78 31 17 8 1
January 15, 2015.............. 100 100 100 100 100 75 28 15 6 0
January 15, 2016.............. 100 100 100 100 100 72 25 13 5 0
January 15, 2017.............. 100 100 100 100 100 69 22 11 4 0
January 15, 2018.............. 100 100 100 100 100 66 20 9 3 0
January 15, 2019.............. 100 100 100 100 100 62 17 8 3 0
January 15, 2020.............. 100 100 100 100 100 58 15 6 2 0
January 15, 2021.............. 100 100 100 100 96 53 13 5 2 0
January 15, 2022.............. 100 100 100 100 60 49 11 4 1 0
January 15, 2023.............. 100 100 100 100 37 43 9 3 1 0
January 15, 2024.............. 100 100 100 100 22 37 7 3 1 0
January 15, 2025.............. 100 100 100 100 13 31 5 2 0 0
January 15, 2026.............. 100 100 100 100 7 24 4 1 0 0
January 15, 2027.............. 100 100 100 100 3 17 2 1 0 0
January 15, 2028.............. 99 99 99 99 1 9 1 0 0 0
January 15, 2029.............. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 29.2 29.2 29.2 29.2 23.9 20.8 11.3 8.6 6.4 3.7
</TABLE>
S-33
<PAGE> 262
YIELD CONSIDERATIONS
An investor seeking to maximize yield should make a decision whether to
invest in any Class based on the anticipated yield of that Class resulting from
its purchase price, the investor's own projection of Mortgage prepayment rates
under a variety of scenarios and, in the case of the Floating Rate and Inverse
Floating Rate Classes, the investor's own projection of levels of LIBOR under a
variety of scenarios. Freddie Mac makes no representation regarding Mortgage
prepayment rates, the level of LIBOR or the yield of any Class.
Prepayments: Effect on Yields
The yields to investors will be sensitive in varying degrees to the rate of
prepayments on the underlying Mortgages. In the case of the Interest Only
Classes and any other Classes purchased at a premium over their principal
amounts, faster than anticipated rates of Mortgage principal payments could
result in actual yields to investors that are lower than the anticipated yields.
Investors in the Interest Only Classes and the P Class should also consider the
risk that rapid rates of Mortgage principal payments could result in the failure
of investors to fully recover their investments. In the case of the Principal
Only Classes and any other Classes purchased at a discount to their principal
amounts, slower than anticipated rates of principal payments could result in
actual yields to investors that are lower than the anticipated yields.
Rapid rates of prepayments on the Mortgages are likely to coincide with
periods of low prevailing interest rates. During such periods, the yields at
which an investor may be able to reinvest amounts received as principal payments
on the investor's Class may be lower than the yield on that Class. Conversely,
slow rates of prepayments on the Mortgages are likely to coincide with periods
of high prevailing interest rates. During such periods, the amount of principal
payments available to an investor for reinvestment at such high rates may be
relatively low.
The Mortgages will not prepay at any constant rate until maturity, nor will
all of the Mortgages prepay at the same rate at any one time. The timing of
changes in the rate of prepayments may affect the actual yield to an investor,
even if the average rate of principal prepayments is consistent with the
investor's expectation. In general, the earlier a prepayment of principal on the
Mortgages, the greater the effect on an investor's yield. As a result, the
effect on an investor's yield of principal prepayments occurring at a rate
higher (or lower) than the rate anticipated by the investor during the period
immediately following the Closing Date is not likely to be offset by a later
equivalent reduction (or increase) in the rate of principal prepayments.
LIBOR: Effect on Yields of the Floating Rate and Inverse Floating Rate
Classes
Investors in the Floating Rate Class should consider the risk that lower
than anticipated levels of LIBOR could result in actual yields to investors that
are lower than the anticipated yields and the fact that its Class Coupon cannot
exceed its specified maximum rate. Conversely, investors in the Inverse Floating
Rate Classes should consider the risk that higher than anticipated levels of
LIBOR could result in actual yields to investors that are significantly lower
than the anticipated yields and the fact that their Class Coupons can fall as
low as 0%.
Changes in LIBOR may not correlate with changes in mortgage interest rates.
It is possible that lower prevailing mortgage interest rates (which would be
expected to result in faster prepayments) could occur concurrently with a higher
level of LIBOR. Conversely, higher prevailing mortgage interest rates (which
would be expected to result in slower prepayments) could occur concurrently with
a lower level of LIBOR.
LIBOR will not remain constant at any level. The timing of changes in the
level of LIBOR may affect the actual yield to an investor, even if the average
level is consistent with the investor's expectation. In general, the earlier a
change in the level of LIBOR, the greater the effect on an investor's yield. As
a result, the effect on an investor's yield of a LIBOR level that is higher (or
lower) than the rate anticipated by the investor during earlier periods is not
likely to be offset by a later equivalent reduction (or increase).
Payment Delay: Effect on Yields
The effective yield on any interest-bearing Class will be less than the
yield otherwise produced by its Class Coupon and purchase price because (i) on
the first Payment Date 30 days' interest will be payable on
S-34
<PAGE> 263
(or, in the case of an Accrual Class, added to the principal amount of) that
Class even though interest began to accrue approximately 45 days earlier and
(ii) on each subsequent Payment Date the interest payable will accrue during the
related Accrual Period, which will end approximately 15 days earlier.
Yield Tables
The following tables show the pre-tax yields to maturity (corporate bond
equivalent) of the Principal Only, Interest Only and Inverse Floating Rate
Classes (i) at various constant percentages of PSA and (ii) in the case of the
Inverse Floating Rate Classes, at various constant levels of LIBOR. The tables
for the Interest Only Classes also show annual and total interest payments on
those Classes. Freddie Mac has prepared these tables using the Modeling
Assumptions and the assumed purchase prices shown in the table captions. Where
the assumed price is expressed as a dollar amount, it includes accrued interest.
Where the assumed price is expressed as a percentage of original principal
amount, it excludes accrued interest and Freddie Mac has added accrued interest,
if any, in calculating the yields shown. The assumed prices are not necessarily
those at which actual sales will occur.
INTEREST PAYMENTS AND PRE-TAX YIELDS
Group 1
IM CLASS
(ASSUMED PRICE: $4,112,329.99)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------------------
MONTHS THROUGH 50% 100% 165% 190% 300% 500%
------------------ --- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
January 15, 2000............................. $ 876 $ 873 $ 868 $ 866 $ 858 $ 844
January 15, 2001............................. 845 825 798 788 744 664
January 15, 2002............................. 800 751 688 665 565 397
January 15, 2003............................. 751 671 573 537 389 164
January 15, 2004............................. 702 595 469 423 246 18
January 15, 2005............................. 654 524 375 324 130 0
January 15, 2006............................. 607 457 291 236 36 0
January 15, 2007............................. 560 394 217 159 0 0
January 15, 2008............................. 515 335 149 91 0 0
January 15, 2009............................. 470 279 89 31 0 0
January 15, 2010............................. 426 226 35 0 0 0
January 15, 2011............................. 382 177 1 0 0 0
January 15, 2012............................. 340 130 0 0 0 0
January 15, 2013............................. 297 87 0 0 0 0
January 15, 2014............................. 255 45 0 0 0 0
January 15, 2015............................. 214 9 0 0 0 0
January 15, 2016............................. 173 0 0 0 0 0
January 15, 2017............................. 132 0 0 0 0 0
January 15, 2018............................. 91 0 0 0 0 0
January 15, 2019............................. 51 0 0 0 0 0
January 15, 2020............................. 12 0 0 0 0 0
January 15, 2021 and after................... 0 0 0 0 0 0
-------- -------- -------- -------- -------- --------
Total Payments*.............................. $ 9,154 $ 6,376 $ 4,554 $ 4,119 $ 2,969 $ 2,087
======== ======== ======== ======== ======== ========
Pre-Tax Yield................................ 15.7% 10.6% 3.1% 0.1% (13.7)% (37.0)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
O CLASS
(ASSUMED PRICE: 90%)
<TABLE>
<CAPTION>
100% PSA 165% PSA 300% PSA 500% PSA
- -------- -------- -------- --------
<S> <C> <C> <C>
3.2% 4.3% 6.1% 8.1%
</TABLE>
S-35
<PAGE> 264
Group 2
IB CLASS
(ASSUMED PRICE: $295,847.77)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 325% 500% 503%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
January 15, 2000............................................ $ 105 $ 105 $ 105 $ 105
January 15, 2001............................................ 105 105 105 105
January 15, 2002............................................ 105 104 88 87
January 15, 2003............................................ 97 55 0 0
January 15, 2004............................................ 48 1 0 0
January 15, 2005............................................ 4 0 0 0
January 15, 2006 and after.................................. 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 463 $ 369 $ 297 $ 296
======== ======== ======== ========
Pre-Tax Yield............................................... 22.9% 13.3% 0.2% 0.0%
</TABLE>
ID CLASS
(ASSUMED PRICE: $1,784,262.14)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 257% 428% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
January 15, 2000............................................ $ 427 $ 427 $ 427 $ 427
January 15, 2001............................................ 427 427 427 427
January 15, 2002............................................ 427 427 427 427
January 15, 2003............................................ 427 427 405 295
January 15, 2004............................................ 427 426 98 5
January 15, 2005............................................ 427 313 0 0
January 15, 2006............................................ 417 124 0 0
January 15, 2007............................................ 312 3 0 0
January 15, 2008............................................ 184 0 0 0
January 15, 2009............................................ 57 0 0 0
January 15, 2010 and after.................................. 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 3,530 $ 2,572 $ 1,783 $ 1,580
======== ======== ======== ========
Pre-Tax Yield............................................... 19.7% 13.3% 0.0% (6.3)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-36
<PAGE> 265
JH CLASS
(ASSUMED PRICE: $1,521,450.00)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 257% 442% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
January 15, 2000............................................ $ 425 $ 425 $ 425 $ 425
January 15, 2001............................................ 425 425 425 425
January 15, 2002............................................ 425 425 421 391
January 15, 2003............................................ 409 324 216 147
January 15, 2004............................................ 310 214 34 2
January 15, 2005............................................ 221 156 0 0
January 15, 2006............................................ 208 62 0 0
January 15, 2007............................................ 155 2 0 0
January 15, 2008............................................ 92 0 0 0
January 15, 2009............................................ 29 0 0 0
January 15, 2010 and after.................................. 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 2,700 $ 2,032 $ 1,522 $ 1,390
======== ======== ======== ========
Pre-Tax Yield............................................... 19.8% 12.3% 0.0% (5.2)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
K CLASS
(ASSUMED PRICE: 64%)
<TABLE>
<CAPTION>
100% PSA 165% PSA 250% PSA 500% PSA
- -------- -------- -------- --------
<S> <C> <C> <C>
1.8% 3.1% 20.7% 46.5%
</TABLE>
S CLASS
(ASSUMED PRICE: 95%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 165% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
4.07734%............................ 17.4% 17.6% 19.1% 21.5%
5.07734............................. 11.5 11.6 13.3 15.8
6.06368............................. 5.8 5.9 7.7 10.2
7.05002 and Higher.................. 0.2 0.3 2.2 4.8
</TABLE>
SA CLASS
(ASSUMED PRICE: 96%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 165% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
4.07734%............................ 21.0% 21.2% 22.3% 24.0%
5.07734............................. 12.2 12.4 13.6 15.5
5.78867............................. 6.1 6.2 7.7 9.6
6.50000 and Higher.................. 0.2 0.3 1.8 3.8
</TABLE>
SB CLASS
(ASSUMED PRICE: 98%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 165% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
6.50000% and Lower.................. 9.3% 9.4% 10.0% 10.8%
6.75000............................. 5.1 5.2 5.8 6.7
7.05002 and Higher.................. 0.1 0.1 0.9 1.9
</TABLE>
S-37
<PAGE> 266
The Mortgages will not prepay at any constant rate until maturity, nor will
LIBOR remain constant at any level. Moreover, the Mortgages have characteristics
that differ from those of the Modeling Assumptions. Therefore, the actual
pre-tax yield of any Class may differ from any of those shown in the table for
that Class, even if purchased at the assumed price shown, and the actual annual
and total payments for the Interest Only Classes may also differ from any of
those shown in the tables for those Classes.
FINAL PAYMENT DATES
The Final Payment Date for each Class is the latest date by which it will
be retired. The assumptions used in calculating the Final Payment Dates are
highly conservative, and the actual retirement of any Class may occur earlier
than its Final Payment Date.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
GENERAL
Subject to the assumptions described in "Certain Federal Income Tax
Consequences -- REMIC Election" in the Offering Circular, the Upper-Tier REMIC
Pool and the Lower-Tier REMIC Pool will each qualify as a REMIC for federal
income tax purposes.
The arrangement pursuant to which the MACR Classes are created, sold and
administered (the "MACR Pool") will be classified as a grantor trust under
subpart E, part I of subchapter J of the Internal Revenue Code. The interests in
the Regular Classes that have been exchanged with Freddie Mac for the MACR
Classes (including any exchanges effective on the Closing Date) will be the
assets of the MACR Pool and the MACR Classes will represent beneficial ownership
of these assets.
REGULAR CLASSES
The Regular Classes will be the "regular interests" in the Upper-Tier REMIC
Pool. The Regular Classes will be treated as debt instruments for federal income
tax purposes and may be issued with original issue discount ("OID") or at a
premium. Based in part on the level of LIBOR as of the date of this Supplement
and assumptions regarding the initial prices at which substantial portions of
the Regular Classes will be sold to the public, Freddie Mac expects to report
income to the Internal Revenue Service and to Holders of the Regular Classes
assuming they are issued as follows:
- OID: HE, HG, HZ, JH, K, L, O, PM, S, SA, SB, WW, ZB and ZM Classes.
- De Minimis OID: GB, HF, HH, M, PE, PF, PL, PR, PS, PT, QD, T and VN
Classes.
- Premium: F, HA, HB, HC, HD, P, PA, PB, PC, PD, PK, QB, UU and VM
Classes.
OID generally will result in recognition of taxable income in advance of the
receipt of cash attributable to such income. The "Prepayment Assumption" used in
determining whether OID is de minimis and in computing the rate of accrual of
OID or the amortization of premium is 165% PSA. See "Certain Federal Income Tax
Consequences -- Taxation of Regular Classes -- Original Issue Discount" and
"-- Premium" in the Offering Circular. With respect to Regular Classes issued
with OID, investors may obtain the information required by Treasury regulation
section 1.6049-7(g) by contacting Freddie Mac's Investor Inquiry Department as
shown under "Available Information" in this Supplement.
Freddie Mac intends to report any original issue or market discount or
premium with respect to the Floating Rate Class assuming that the variable rate
is a fixed rate equal to the value of the variable rate as of the date of this
Supplement. See "Certain Federal Income Tax Consequences -- Taxation of Regular
Classes -- Floating Rate and Inverse Floating Rate Classes" in the Offering
Circular.
RESIDUAL CLASSES
The R Class will be the "residual interest" in the Upper-Tier REMIC Pool
and the RS Class will be the "residual interest" in the Lower-Tier REMIC Pool.
Special tax considerations apply to the Residual Classes.
S-38
<PAGE> 267
The taxation of the Residual Classes can produce a significantly less favorable
after-tax return than if (i) the Residual Classes were taxable as debt
instruments or (ii) no portion of the taxable income on the Residual Classes
were treated as "excess inclusions." In certain periods, taxable income and the
resulting tax liability on the R Class may exceed any payments on that Class.
See "Certain Federal Income Tax Consequences -- Taxation of Residual Classes" in
the Offering Circular. In addition, a substantial tax may be imposed on certain
transferors of a Residual Class and certain beneficial owners of such a Class
that are "pass-through entities." See "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Disqualified
Organizations" in the Offering Circular. Investors should not purchase a
Residual Class before consulting their tax advisors.
Certain Transfers of Residual Classes
The REMIC Regulations (as defined under "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular) disregard:
- A transfer of a "noneconomic residual" unless no significant purpose
of the transfer is to impede the assessment or collection of tax; and
- Except in certain cases, a transfer of a residual interest to a
foreign investor or a transfer of a residual interest from a foreign
investor to a U.S. investor (accordingly, the Agreement prohibits the
transfer of an interest in a Residual Class to or from a foreign
investor without Freddie Mac's written consent).
In such cases, the transferor would continue to be treated as the owner of the
residual interest and thus would continue to be subject to tax on its allocable
portion of the net income of the REMIC. See "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular.
Residual Classes with Negative Fair Market Values
The federal income tax consequences of any consideration paid to a
transferee on a transfer of a Residual Class are unclear. The REMIC Regulations
do not address whether a residual interest could have a negative basis and a
negative issue price. The preamble indicates that the Internal Revenue Service
is considering the tax treatment of these types of residual interests. Any
transferee receiving consideration should consult its tax advisors.
Reporting and Administrative Matters
Freddie Mac will furnish Holders of the Residual Classes the information it
deems necessary or appropriate to enable them to prepare any reports required
under the Internal Revenue Code or applicable Treasury regulations. Freddie Mac
does not intend to hold the Residual Classes for its account, and applicable law
may not permit Freddie Mac to perform tax administrative functions for the REMIC
Pools. Accordingly, the Holders of a Residual Class may have certain tax
administrative obligations (for which Freddie Mac will act as attorney-in-fact
and agent). See "Certain Federal Income Tax Consequences -- Reporting and
Administrative Matters" in the Offering Circular.
MACR CLASSES
For a discussion of certain federal income tax consequences applicable to
the MACR Classes, see "Certain Federal Income Tax Consequences -- Taxation of
MACR Classes," "-- Exchanges of MACR Classes and REMIC Certificates" and
"-- Taxation of Certain Foreign Investors" in the Offering Circular.
LEGAL INVESTMENT CONSIDERATIONS; ERISA CONSIDERATIONS
Investors should consult their legal advisors to determine whether and to
what extent any Classes constitute legal investments for such investors. An
institution under the jurisdiction of the Comptroller of the Currency, the Board
of Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, the Office of Thrift Supervision, the National Credit Union
Administration, the Department of the Treasury
S-39
<PAGE> 268
or any other federal or state agency with similar authority should review any
applicable regulations, policy statements and guidelines before purchasing or
pledging any Class. See "Legal Investment Considerations" in the Offering
Circular. Fiduciaries of ERISA plans should review "ERISA Considerations" in the
Offering Circular.
PLAN OF DISTRIBUTION
Subject to the terms and conditions of the Purchase Agreement between
Freddie Mac and the Underwriter, Freddie Mac has agreed to sell, and the
Underwriter has agreed to purchase, all of the REMIC Certificates, if any are
sold and purchased.
The Underwriter proposes to offer the Securities directly to the public
from time to time for sale in negotiated transactions at varying prices to be
determined at the time of sale, plus accrued interest, if any, from January 1,
1999. The Securities are offered by the Underwriter, subject to sale by Freddie
Mac and receipt and acceptance by the Underwriter and subject to the
Underwriter's right to reject any order in whole or in part. The Underwriter may
effect such transactions by sales to or through certain securities dealers
(which may include Freddie Mac through its Securities Sales and Trading Group).
Such dealers may receive compensation in the form of discounts, concessions or
commissions from the Underwriter and/or commissions from any purchasers for
which they act as agents.
The HH, UU and WW Classes are Retail Classes; the sales commission charged
to a retail investor will be a higher percentage of the sales price than the
commission charged to an institutional investor in any non-Retail Class.
The Purchase Agreement provides that Freddie Mac will indemnify the
Underwriter against certain liabilities.
It is expected that (i) the Regular Classes (other than the Retail Classes)
and MACR Classes will be available for deposit (in book-entry form) at any
Federal Reserve Bank, (ii) the Retail Classes will be available through the
book-entry facilities of the Retail Depository, and (iii) the Residual Classes
will be available (in certificated form) at the offices of the Underwriter, on
or about the Closing Date.
LEGAL MATTERS
The legality of the Securities will be passed upon for Freddie Mac by Maud
Mater, Esq., Executive Vice President -- General Counsel and Secretary of
Freddie Mac. Certain legal matters relating to the Securities will be passed
upon for the Underwriter by Milbank, Tweed, Hadley & McCloy.
S-40
<PAGE> 269
APPENDIX 1
AVAILABLE COMBINATIONS
<TABLE>
<CAPTION>
REMIC CERTIFICATES MACR CERTIFICATES
- ------------------------------------------------------------- ----------------------------------------------------------------
RELATED MAXIMUM ORIGINAL
ORIGINAL PRINCIPAL EXCHANGE MACR PRINCIPAL OR NOTIONAL EXCHANGE PRINCIPAL OR
CLASS AMOUNT PROPORTIONS(1) CLASSES PRINCIPAL AMOUNT(2) PROPORTIONS(1) OTHER TYPE(3)
----- --------------------- -------------- ------- --------------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
COMBINATION 1
O $ 700,000 32.6644890340% Q $ 2,143,000 100% SEQ
P 300,000 13.9990667289
T 1,143,000 53.3364442371
COMBINATION 2
VM $ 17,724,000 15.3631454402% N $115,367,000 100% SEQ
VN 53,643,000 46.4976986487
ZM 44,000,000 38.1391559111
COMBINATION 3
M $354,490,000 100% IM $ 14,770,416 (6) NTL(SEQ)
MA 354,490,000 100% SEQ
COMBINATION 4
PB $ 20,924,400 100% IB $ 1,743,700 N/A NTL(PAC)
TB 20,924,400 N/A PAC
UB 20,924,400 N/A PAC
COMBINATION 5
PD $ 85,331,700 100% ID $ 7,110,975 N/A NTL(PAC)
TD 85,331,700 N/A PAC
UD 85,331,700 N/A PAC
COMBINATION 6
PK $ 2,522,305 13.4283314606% PG $ 18,783,458 100% PAC
PL 10,000,000 53.2383334315
PM 6,261,153 33.3333351079
COMBINATION 7
PS $ 40,135,258 57.7050821266% PN $ 69,552,380 100% PAC
PT 29,417,122 42.2949178734
<CAPTION>
MACR CERTIFICATES
- --------------------- ------------------------------------------------------------------------
WEIGHTED AVERAGE
CLASS INTEREST CUSIP LIFE AT
CLASS COUPON TYPE(3) NUMBER FINAL PAYMENT DATE(4) 165% PSA(5)
----- ------ -------- --------- --------------------- ----------------
<S> <C> <C> <C> <C> <C>
COMBINATION 1
O 6.0% FIX 3133TH P R 2 June 15, 2025 5.1 Yrs
P
COMBINATION 2
VM 6.0% FIX 3133TH P 8 4 January 15, 2029 18.6 Yrs
VN
ZM
COMBINATION 3
M 6.00% FIX/IO 3133TH P 2 7 June 15, 2025 --
5.75 FIX 3133TH P 7 6 June 15, 2025 5.1 Yrs
COMBINATION 4
PB 6.00% FIX/IO 3133THNY9 February 15, 2014 --
5.75 FIX 3133TH Q 2 6 February 15, 2014 3.5 Yrs
5.50 FIX 3133TH Q 4 2 February 15, 2014 3.5
COMBINATION 5
PD 6.00% FIX/IO 3133TH N Z 6 June 15, 2021 --
5.75 FIX 3133TH Q 3 4 June 15, 2021 6.0 Yrs
5.50 FIX 3133TH Q 5 9 June 15, 2021 6.0
COMBINATION 6
PK 6.0% FIX 3133TH P H 4 January 15, 2029 18.1 Yrs
PL
PM
COMBINATION 7
PS 6.0% FIX 3133THPM3 January 15, 2029 20.2 Yrs
PT
</TABLE>
- ---------------
(1) Exchange proportions shown are constant proportions of the original
principal amounts of the Classes of REMIC Certificates or MACR Certificates.
In accordance with the exchange proportions, REMIC Certificates may be
exchanged for MACR Certificates, and vice versa. The exchange proportions
are not applicable to the MACR Certificates of Combinations 4 and 5. See
"MACR Certificates -- Exchanges" in the Offering Circular for the
constraints applicable to exchanges and examples of exchanges of REMIC
Certificates and "ratio-stripping" MACR Classes of the type available in
Combinations 4 and 5.
(2) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(3) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(4) See "Final Payment Dates" in this Supplement.
(5) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the rate assumed, and the actual
weighted average lives of the MACR Classes may differ significantly from
those shown.
(6) The original notional principal amount of IM being exchanged equals 1/24 of
the original principal amount of MA being exchanged.
A-1
<PAGE> 270
- ----------------------------------------------------------
- ----------------------------------------------------------
THIS SUPPLEMENT, TOGETHER WITH THE OFFERING CIRCULAR, CONSTITUTES AN OFFER TO
SELL ONLY THE SECURITIES OFFERED HEREBY. FREDDIE MAC HAS NOT AUTHORIZED ANY
BROKER, DEALER OR SALESPERSON, OR ANYONE ELSE, TO MAKE ANY STATEMENTS, WRITTEN
OR ORAL, IN CONNECTION WITH THE OFFER, EXCEPT FOR THOSE CONTAINED IN THIS
SUPPLEMENT AND IN THE OTHER DOCUMENTS AND SOURCES OF INFORMATION PREPARED BY
FREDDIE MAC THAT ARE LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
INVESTORS MUST NOT RELY ON ANY OTHER STATEMENTS AS HAVING BEEN AUTHORIZED BY
EITHER FREDDIE MAC OR THE UNDERWRITER. THIS SUPPLEMENT AND THE OFFERING CIRCULAR
DO NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY THE
SECURITIES BY ANYONE IN ANY JURISDICTION WHERE SUCH AN OFFER OR SOLICITATION
WOULD BE UNLAWFUL, OR WHERE THE PERSON MAKING SUCH AN OFFER OR SOLICITATION
WOULD NOT BE QUALIFIED TO DO SO, OR TO ANYONE TO WHOM IT WOULD BE UNLAWFUL TO
MAKE SUCH AN OFFER OR SOLICITATION. FREDDIE MAC MAKES NO REPRESENTATION THAT THE
STATEMENTS IN THIS SUPPLEMENT OR ANY OTHER DOCUMENT WILL BE CORRECT AT ANY TIME
AFTER THE DATE OF SUCH DOCUMENT, EVEN THOUGH DELIVERY OF THE DOCUMENT AND THE
SALE OF THE SECURITIES TAKE PLACE ON A LATER DATE.
------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
DESCRIPTION PAGE
----------- ----
<S> <C>
OFFERING CIRCULAR SUPPLEMENT
Certain Risk Considerations...................... S-2
Terms Sheet...................................... S-3
Available Information............................ S-8
General Information.............................. S-8
The Agreement................................ S-8
Form of Securities........................... S-8
Holders...................................... S-9
Structure of Transaction..................... S-9
The Mortgages................................ S-10
Payments......................................... S-10
Payment Dates; Record Dates.................. S-10
Method of Payment............................ S-10
Interest..................................... S-10
Principal.................................... S-12
Retail Class Principal Payments.............. S-16
Class Factors................................ S-18
Guarantees................................... S-19
Optional Redemption.......................... S-19
Residual Proceeds............................ S-19
Prepayment and Yield Analysis.................... S-19
General...................................... S-19
Prepayment and Weighted Average Life
Considerations............................. S-21
Yield Considerations......................... S-34
Final Payment Dates.............................. S-38
Certain Federal Income Tax Consequences.......... S-38
General...................................... S-38
Regular Classes.............................. S-38
Residual Classes............................. S-38
MACR Classes................................. S-39
Legal Investment Considerations; ERISA
Considerations................................. S-39
Plan of Distribution............................. S-40
Legal Matters.................................... S-40
Appendix 1 -- Available Combinations............. A-1
OFFERING CIRCULAR
Offering Circular Summary........................ 3
Freddie Mac...................................... 9
Availability of Information and Incorporation by
Reference...................................... 9
Description of Securities........................ 9
MACR Certificates................................ 27
The Agreement.................................... 30
Certain Federal Income Tax Consequences.......... 33
ERISA Considerations............................. 44
Legal Investment Considerations.................. 45
Plan of Distribution............................. 45
Increase in Size of Offering..................... 45
Accounting Considerations........................ 45
Exhibit A -- Index of Terms...................... A-1
</TABLE>
- ----------------------------------------------------------
- ----------------------------------------------------------
- ----------------------------------------------------------
- ----------------------------------------------------------
$1,900,000,000
FREDDIE MAC
MULTICLASS REMIC
CERTIFICATES
AND MODIFIABLE
AND COMBINABLE
REMIC CERTIFICATES,
SERIES 2114
(LOGO)
MERRILL LYNCH & CO.
OFFERING CIRCULAR SUPPLEMENT
DATED DECEMBER 10, 1998
- ----------------------------------------------------------
- ----------------------------------------------------------
<PAGE> 271
ANNEX 1(e)
OFFERING CIRCULAR SUPPLEMENT
DATED FEBRUARY 11, 1999
TO
OFFERING CIRCULAR DATED APRIL 1, 1998
RELATING TO
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES AND MODIFIABLE
AND COMBINABLE REMIC CERTIFICATES,
SERIES 2137
<PAGE> 272
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$2,250,000,000
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2137
(LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Four Asset Groups, consisting of two Groups of Freddie Mac
6.0% 30-year PCs (Gold PCs and Gold Giant PCs) and two
Groups of Freddie Mac 6.5% 30-year PCs
Payment Dates: Monthly, beginning in April 1999
Form of Securities: Regular (non-Retail) and MACR Classes: Book-entry (Federal
Reserve Banks)
Retail Classes (TT, UU and VV): Book-entry (Depository Trust
Company); issued in $1,000 Retail Class Units
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Merrill Lynch, Pierce, Fenner & Smith Incorporated
(the "Underwriter")
Closing Date: March 30, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
FA .................. $ 16,200,337 SUP (5) FLT/DLY 3133TJ Q J 5 March 15, 2029 16.9 Yrs
GA .................. 51,350,000 SCH/AD 6.0% FIX 3133TJ Q L 0 November 15, 2028 3.5
GB .................. 58,829,000 SCH/AD 6.0 FIX 3133TJQM8 March 15, 2029 5.0
GC .................. 7,478,900 SCH/AD 6.0 FIX 3133TJ Q N 6 March 15, 2029 15.3
K ................... 6,708,800 SUP 0.0 PO 3133TJ Q X 4 March 15, 2029 16.9
KF .................. 3,773,916 NTL(PAC) 6.0 FIX/IO 3133TJ Q Y 2 June 15, 2027 --
PA .................. 26,764,300 PAC 6.0 FIX 3133TJ Q Z 9 June 15, 2008 2.5
PB .................. 37,635,100 PAC 6.0 FIX 3133TJ R 2 1 April 15, 2014 3.5
PC .................. 23,160,200 PAC 6.0 FIX 3133TJ R 3 9 October 15, 2016 4.5
PD .................. 60,632,700 PAC 6.0 FIX 3133TJ R 4 7 August 15, 2021 6.0
PE .................. 40,866,400 PAC 6.0 FIX 3133TJ R 5 4 January 15, 2024 8.0
PF .................. 30,000,000 PAC 6.0 FIX 3133TJ R 6 2 June 15, 2027 11.0
PG .................. 47,617,200 PAC 6.0 FIX 3133TJ R 7 0 March 15, 2029 18.2
QF .................. 45,287,000 PAC 5.5 FIX 3133TJ R 8 8 June 15, 2027 11.0
SA .................. 3,000,063 SUP (5) INV/DLY 3133TJ R B 1 March 15, 2029 16.9
UU .................. 15,000,000 SUP/RTL 6.5 FIX 3133TJ S 4 6 March 15, 2029 16.9
VV .................. 24,470,000 SUP/RTL 6.75 FIX 3133TJ S 9 5 March 15, 2029 16.9
ZB .................. 5,000,000 SUP 6.0 FIX/Z 3133TJ S B 0 September 15, 2027 1.2
GROUP 2
A ................... 314,879,000 SEQ 6.0 FIX 3133TJ Q 6 3 October 15, 2025 5.1
AB .................. 50,000,000 SEQ 6.0 FIX 3133TJ Q 7 1 February 15, 2026 5.3
BA .................. 8,871,000 SEQ 6.0 FIX 3133TJ Q 9 7 February 15, 2026 12.0
BC .................. 29,789,000 SEQ 6.0 FIX 3133TJ Q A 4 December 15, 2026 13.3
VA .................. 12,780,000 AD/SEQ 6.0 FIX 3133TJ S 5 3 November 15, 2004 3.0
VB .................. 13,606,000 AD/SEQ 6.0 FIX 3133TJ S 6 1 May 15, 2009 8.0
VC .................. 38,383,000 AD/SEQ 6.0 FIX 3133TJ S 7 9 November 15, 2017 13.8
Z ................... 31,692,000 SEQ 6.0 FIX/Z 3133TJ S A 2 March 15, 2029 20.8
GROUP 3
DF .................. 20,000,000 PAC/AD 6.5 FIX 3133TJ Q H 9 April 15, 2016 11.6
FT .................. 94,106,319 SUP (5) FLT/DLY 3133TJ Q K 2 March 15, 2029 8.3
GR .................. 113,422,000 SCH 6.5% FIX 3133TJ Q P 1 December 15, 2028 3.5 Yrs
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GS .................. $ 12,907,800 SCH 6.5 FIX 3133TJ Q Q 9 March 15, 2029 18.2
GT .................. 108,750,000 SCH 6.5 FIX 3133TJ Q R 7 March 15, 2029 5.0
JI .................. 16,420,423 NTL(PAC) 6.5 FIX/IO 3133TJ Q U 0 November 15, 2021 --
ST .................. 21,716,843 SUP (5) INV/DLY 3133TJ R C 9 March 15, 2029 8.3
T ................... 961,538 SUP 0.0 PO 3133TJ R D 7 March 15, 2029 8.3
TB .................. 10,809,700 PAC 6.5 FIX 3133TJ R E 5 November 15, 2008 2.5
TE .................. 69,795,100 PAC 6.5 FIX 3133TJ R F 2 November 15, 2021 6.0
TF .................. 54,647,700 PAC 6.5 FIX 3133TJ R G 0 March 15, 2024 8.0
TG .................. 100,990,000 PAC 6.5 FIX 3133TJ R H 8 July 15, 2027 11.0
TH .................. 26,439,600 PAC 6.5 FIX 3133TJ R J 4 March 15, 2029 18.2
TL .................. 15,137,000 PAC 6.5 FIX 3133TJ R K 1 March 15, 2023 7.6
TM................... 70,000,000 PAC 6.5 FIX 3133TJ R L 9 January 15, 2028 11.0
TN .................. 23,096,000 PAC 6.5 FIX 3133TJ R M 7 March 15, 2029 19.3
TT .................. 25,000,000 SUP/RTL 6.75 FIX 3133TJ R S 4 March 15, 2029 8.3
TZ .................. 12,667,100 PAC 6.5 FIX/Z 3133TJ R X 3 March 15, 2029 18.9
UB .................. 42,809,700 PAC 6.0 FIX 3133TJ R Y 1 November 15, 2008 2.5
UC .................. 74,052,200 PAC 6.0 FIX 3133TJ R Z 8 August 15, 2014 3.5
UD .................. 46,603,600 PAC 6.0 FIX 3133TJ S 2 0 March 15, 2017 4.5
UE .................. 50,000,000 PAC 6.0 FIX 3133TJ S 3 8 November 15, 2021 6.0
VE .................. 5,587,800 AD/PAC 6.5 FIX 3133TJ S 8 7 November 15, 2004 3.0
GROUP 4
CA .................. 98,302,500 SEQ 6.4 FIX 3133TJ Q B 2 October 15, 2026 5.1
CE .................. 98,302,500 SEQ 6.5 FIX 3133TJ Q C 0 October 15, 2026 5.1
CI .................. 1,512,346 NTL(SEQ) 6.5 FIX/IO 3133TJ Q D 8 October 15, 2026 --
CV .................. 16,000,000 AD/SEQ 6.5 FIX 3133TJ Q E 6 June 15, 2006 3.9
CW................... 10,697,500 AD/SEQ 6.5 FIX 3133TJ Q F 3 December 15, 2009 9.0
CZ .................. 26,697,500 SEQ 6.5 FIX/Z 3133TJ Q G 1 March 15, 2029 17.7
RESIDUAL
R ................... 500,000 PAC 6.5 FIX 3133TJ R 9 6 March 15, 2029 28.5
RS .................. 0 NPR 0.0 NPR 3133TJ R A 3 March 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 160% PSA for the Group 1
Classes, 155% PSA for the Group 2 Classes, 195% PSA for the Group 3 and R
Classes and 185% PSA for the Group 4 Classes. Prepayments will not occur at
the rates assumed, and the actual weighted average lives of the Classes may
differ significantly from those shown. Because Retail Class investors will
receive principal payments subject to the priorities, limitations and
allocations described in this Supplement, the weighted average lives of
Retail Class Units will vary among different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
MERRILL LYNCH & CO.
THE DATE OF THIS OFFERING CIRCULAR SUPPLEMENT IS FEBRUARY 11, 1999
<PAGE> 273
CERTAIN RISK CONSIDERATIONS
THE SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE SECURITIES OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND
MARKET RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE SECURITIES ARE COMPLEX SECURITIES AND IT IS IMPORTANT THAT EACH
INVESTOR IN ANY CLASS POSSESS, EITHER ALONE OR TOGETHER WITH AN INVESTMENT
ADVISOR, THE EXPERTISE NECESSARY TO EVALUATE THE INFORMATION CONTAINED AND
INCORPORATED IN THIS SUPPLEMENT IN THE CONTEXT OF THAT INVESTOR'S FINANCIAL
SITUATION.
------------------------
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Mortgages and the
actual characteristics of the related Mortgages. The yields of the Floating Rate
and Inverse Floating Rate Classes will also be sensitive to the level of LIBOR.
The Mortgages are subject to prepayment at any time without penalty. Mortgage
prepayment rates are likely to fluctuate significantly from time to time, as is
the level of LIBOR. Investors should consider the associated risks, including:
- Fast prepayment rates on the related Mortgages can reduce the yields
of the Interest Only Classes and any other Classes purchased at a
premium over their principal amounts. Under some prepayment scenarios,
investors in the Interest Only Classes could fail to fully recover
their investments.
- Slow prepayment rates on the related Mortgages can reduce the yields
of the Principal Only Classes and any other Classes purchased at a
discount to their principal amounts.
- Small differences in the characteristics of the Mortgages can have a
significant effect on the weighted average lives and yields of the
related Classes.
- Low levels of LIBOR can reduce the yields of the Floating Rate
Classes. Conversely, high levels of LIBOR can significantly reduce the
yields of the Inverse Floating Rate Classes.
- Because Retail Class investors will receive principal payments subject
to the priorities, limitations and allocations described in this
Supplement, the weighted average lives of Retail Class Units will vary
among different investors.
- In general, principal payment rates on the Support Classes are likely
to exhibit a higher sensitivity to prepayments on the related
Mortgages than are principal payment rates on the PAC and Scheduled
Classes.
- In general, principal payment rates on the Scheduled Classes are
likely to exhibit a higher sensitivity to prepayments on the related
Mortgages than are principal payment rates on the PAC Classes.
See "Prepayment and Yield Analysis" in this Supplement.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
SECURITIES AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO. THERE IS
NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT DEVELOPS, THAT
IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL THEIR
SECURITIES READILY OR AT PRICES THAT WILL ENABLE THEM TO REALIZE THEIR DESIRED
YIELD. THE MARKET VALUES OF THE SECURITIES ARE LIKELY TO FLUCTUATE; SUCH
FLUCTUATIONS MAY BE SIGNIFICANT AND COULD RESULT IN SIGNIFICANT LOSSES TO
INVESTORS.
------------------------
THE SECONDARY MARKETS FOR MORTGAGE-RELATED SECURITIES HAVE EXPERIENCED
PERIODS OF ILLIQUIDITY AND CAN BE EXPECTED TO DO SO IN THE FUTURE. ILLIQUIDITY
CAN HAVE A SEVERELY ADVERSE EFFECT ON THE PRICES OF SECURITIES THAT ARE
ESPECIALLY SENSITIVE TO PREPAYMENT OR INTEREST RATE RISK OR THAT HAVE BEEN
STRUCTURED TO MEET THE INVESTMENT REQUIREMENTS OF LIMITED CATEGORIES OF
INVESTORS.
FREDDIE MAC'S MULTICLASS REMIC CERTIFICATES OFFERING CIRCULAR DATED APRIL
1, 1998 (THE "OFFERING CIRCULAR") ACCOMPANIES THIS SUPPLEMENT. CAPITALIZED TERMS
THAT ARE USED IN THIS SUPPLEMENT WITHOUT FURTHER DEFINITION HAVE THE MEANINGS
GIVEN THEM IN THE OFFERING CIRCULAR. INVESTORS SHOULD PURCHASE SECURITIES ONLY
IF THEY HAVE READ AND UNDERSTOOD THIS SUPPLEMENT, THE OFFERING CIRCULAR AND THE
DOCUMENTS LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
S-2
<PAGE> 274
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates or, in some cases, for other related MACR Certificates. Appendix 1
to this Supplement shows the characteristics of the MACR Classes and the
"Combinations" of Classes of REMIC Certificates and MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The K and T Classes will be Principal Only Classes and will not bear
interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ---------------------------- ------------ ------------
<S> <C> <C> <C> <C>
FA(3)....................... 5.8875% LIBOR + 0.95% 0.95% 8.0%
FT(3)....................... 5.8875 LIBOR + 0.95% 0.95 8.0
SA(3)....................... 11.4075 38.07% - (LIBOR X 5.4) 0 38.07
ST(3)....................... 9.15417 30.55% - (LIBOR X 4.3333333) 0 30.55
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- -------------------------------------------------
<S> <C> <C>
REMIC CERTIFICATES
CI $ 1,512,346 CA (Sequential Pay Class)
JI $16,420,423 UB, UC, UD and UE, in the aggregate (PAC Classes)
KF $ 3,773,916 QF (PAC Class)
MACR CLASSES
JF $ 4,203,669 TF (PAC Class)
JG $ 7,768,461 TG (PAC Class)
JL $ 1,164,384 TL (PAC Class)
JM $ 5,384,615 TM (PAC Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-3
<PAGE> 275
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
Group 1
( - The "ZB Accrual Amount" for that Payment Date to the Classes shown
( below in the following order of priority:
(
ACCRETION ( 1. Concurrently:
DIRECTED ( (a) 50.0000424961% to GB, until retired
AND ACCRUAL ( (b) 49.9999575039% to GA and GC, in that order, until retired
(
( 2. To ZB
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning May 15, 2001, to the PAC Classes, until reduced to their
( "Aggregate Targeted Balance" for that Payment Date, allocated as
( follows:
PAC ( (a) To PA, PB, PC, PD and PE, in that order, while outstanding
( (b) To PF and QF, pro rata, while outstanding
( (c) To PG
( 2. To the Scheduled Classes, until reduced to their Aggregate Targeted
SCHEDULED ( Balance for that Payment Date, allocated concurrently:
( (a) 50.0000424961% to GB
( (b) 49.9999575039% to GA and GC, in that order
SUPPORT ( 3. To ZB, until retired
( 4. To FA, K, SA, UU and VV, pro rata, until retired
SCHEDULED ( 5. To the Scheduled Classes as in step 2, but without regard to their
( Aggregate Targeted Balance, until retired
PAC ( 6. To the PAC Classes as in step 1, but without regard to their
( Aggregate Targeted Balance, until retired
Group 2
ACCRETION (
DIRECTED ( - The "Z Accrual Amount" for that Payment Date to VA, VB and VC, in that
AND ( order, until retired, and then to Z
ACCRUAL (
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Concurrently:
SEQUENTIAL ( (a) 86.6220735786% to A and BA, in that order, until retired
PAY ( (b) 13.3779264214% to AB, until retired
(
( 2. To BC, VA, VB, VC and Z, in that order, until retired
Group 3
ACCRETION (
DIRECTED ( - The "TZ Accrual Amount" for that Payment Date to VE and DF, in that
AND ( order, until retired, and then to TZ
ACCRUAL (
</TABLE>
S-4
<PAGE> 276
<TABLE>
<S> <C>
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning May 15, 2001, to the PAC Classes, until reduced to their
( Aggregate Targeted Balance for that Payment Date, allocated as
( follows:
( (a) To TB and UB, pro rata
( (b) To UC and UD, in that order
PAC ( (c) To TE and UE, pro rata
( (d) Concurrently, 33.0429957346% to TL, TM, TN and R, in that order,
( and 66.9570042654% as follows:
( (i) To TF and TG, in that order
( (ii) Concurrently, 59.1316108788% to VE, DF and TZ, in that
( order, and 40.8683891212% to TH
( 2. To the Scheduled Classes, until reduced to their Aggregate Targeted
( Balance for that Payment Date, allocated concurrently:
SCHEDULED ( (a) 46.2608867287% to GT
( (b) 53.7391132713% to GR and GS, in that order
SUPPORT ( 3. To FT, ST, T and TT, pro rata, until retired
SCHEDULED ( 4. To the Scheduled Classes as in step 2, but without regard to their
( Aggregate Targeted Balance, until retired
PAC ( 5. To the PAC Classes as in step 1, but without regard to their
( Aggregate Targeted Balance, until retired
Group 4
ACCRETION ( - The "CZ Accrual Amount" for that Payment Date to CV and CW, in that
DIRECTED ( order, until retired, and then to CZ
AND ACCRUAL (
- The "Group 4 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To CA and CE, pro rata, until retired
PAY ( 2. To CV, CW and CZ, in that order, until retired
</TABLE>
The Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges:
<TABLE>
<CAPTION>
STRUCTURING RANGE
-------------------
<S> <C>
GROUP 1
PAC Classes........................................ 100% PSA - 250% PSA
Scheduled Classes.................................. 141% PSA - 190% PSA
GROUP 3
PAC Classes........................................ 100% PSA - 250% PSA
Scheduled Classes.................................. 145% PSA - 215% PSA
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments will be allocated from
the applicable Class or Classes of REMIC Certificates to the related MACR Class
that is entitled to principal or, if there are two or more related Classes
entitled to principal, to such Classes, pro rata.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASSES
The TT, UU and VV Classes will be Retail Classes. Investors in the Retail
Classes will receive principal payments in $1,000 "Retail Class Units," subject
to the priorities, limitations and allocations described under
S-5
<PAGE> 277
"Payments -- Retail Class Principal Payments" in this Supplement. Also see
"Prepayment and Yield Analysis -- Prepayment and Weighted Average Life
Considerations -- Retail Classes" in this Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and in the Offering Circular.
S-6
<PAGE> 278
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 160% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FA, K, SA, UU** and VV**...... 29.3 25.1 16.9 2.3 1.1
GA............................ 22.5 8.5 3.5 2.6 1.6
GB............................ 23.1 9.8 5.0 3.2 1.7
GC............................ 27.6 18.3 15.3 7.1 2.4
PA............................ 4.7 2.5 2.5 2.5 2.4
PB............................ 9.5 3.5 3.5 3.5 2.8
PC............................ 12.8 4.5 4.5 4.5 3.1
PD............................ 16.2 6.0 6.0 6.0 3.7
PE............................ 19.3 8.0 8.0 8.0 4.5
PF and QF..................... 22.1 11.0 11.0 11.0 6.0
PG............................ 24.5 18.2 18.2 18.2 10.0
ZB............................ 28.1 20.0 1.2 0.4 0.2
Group 1 Assets................ 20.8 11.3 8.8 6.4 3.7
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 155% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 17.9 7.0 5.1 3.0 2.0
AB and AC..................... 18.1 7.2 5.3 3.1 2.0
BA............................ 26.7 16.1 12.0 6.9 4.3
BC............................ 27.3 17.6 13.3 7.7 4.7
VA............................ 3.0 3.0 3.0 3.0 3.0
VB............................ 8.0 8.0 8.0 7.6 5.3
VC............................ 14.7 14.7 13.8 9.5 6.2
Z............................. 28.9 23.5 20.8 14.6 9.6
Group 2 Assets................ 20.8 11.0 8.6 5.2 3.3
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 195% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
DF............................ 12.0 11.6 11.6 11.6 7.9
FT, ST, T and TT**............ 29.2 24.8 8.3 2.3 1.0
GR............................ 25.0 9.7 3.5 2.7 1.6
GS............................ 28.3 20.0 18.2 7.4 2.4
GT............................ 25.3 10.7 5.0 3.2 1.7
TB and UB..................... 5.0 2.5 2.5 2.5 2.4
TE and UE..................... 16.5 6.0 6.0 6.0 3.7
TF, TP and TU................. 19.6 8.0 8.0 8.0 4.5
TG, TQ and TV................. 22.3 11.0 11.0 11.0 5.9
TH............................ 24.7 18.2 18.2 18.2 10.0
TL, TR and TW................. 19.1 7.6 7.6 7.6 4.3
TM, TS and TX................. 22.1 11.0 11.0 11.0 5.9
TN............................ 24.9 19.3 19.3 19.3 10.6
TZ............................ 24.7 18.9 18.9 18.9 11.4
UC............................ 9.9 3.5 3.5 3.5 2.8
UD............................ 13.2 4.5 4.5 4.5 3.1
VE............................ 3.0 3.0 3.0 3.0 3.0
R............................. 28.5 28.5 28.5 28.5 20.4
Group 3 Assets................ 21.0 11.4 7.7 6.5 3.7
</TABLE>
-------------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
** The weighted average lives shown in the table for each Retail Class
apply to that Class as a whole and are not likely to reflect the
experience of any Retail Class investor. Because Retail Class
investors will receive principal payments subject to the
priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among
different investors.
S-7
<PAGE> 279
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 185% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
CA and CE..................... 18.9 8.0 5.1 3.5 2.4
CV............................ 3.9 3.9 3.9 3.9 3.6
CW............................ 9.0 9.0 9.0 8.2 5.6
CZ............................ 28.8 23.3 17.7 12.9 8.5
Group 4 Assets................ 21.0 11.3 7.8 5.4 3.5
</TABLE>
THE ASSETS
The Group 1 Assets will consist of $500,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $500,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Assets will consist of $1,000,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 4 Assets will consist of $250,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The assets of this Series will also include a non-interest bearing cash
deposit of $2,999.97 to be used for principal payments on the Retail Classes as
described in this Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF MARCH 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE OF
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- ----------------
<S> <C> <C> <C> <C> <C>
1 $ 500,000,000 357 2 6.70% 6.0%
2 500,000,000 351 8 6.75 6.0
3 1,000,000,000 357 2 7.05 6.5
4 250,000,000 355 5 7.10 6.5
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-8
<PAGE> 280
AVAILABLE INFORMATION
Investors should purchase Securities only if they have read and understood
this Supplement, the Offering Circular and the following documents:
- Freddie Mac's Mortgage Participation Certificates Offering Circular
dated February 1, 1998 (the "PC Offering Circular"), which describes
Gold PCs generally.
- Freddie Mac's Giant Participation Certificates and Other Pass-Through
Participation Certificates Offering Circular dated January 1, 1997
(the "Giant PC Offering Circular"), which describes Gold Giant PCs
generally.
- Freddie Mac's Information Statement dated March 31, 1998, its
Information Statement Supplements dated May 15, 1998, August 14, 1998,
November 3, 1998 and January 29, 1999 and any other Information
Statement Supplements published by Freddie Mac through the time of
purchase.
This Supplement incorporates by reference the documents listed above.
Investors can order these documents: from Freddie Mac, by writing, calling or
e-mailing its Investor Inquiry Department at 8200 Jones Branch Drive, McLean,
Virginia 22102 (outside Washington, D.C. metropolitan area, phone 800/336-FMPC;
within Washington, D.C. metropolitan area, phone 703/450-3777; e-mail:
[email protected]); or from the Underwriter, by writing or calling
Merrill Lynch, Pierce, Fenner & Smith Incorporated, Prospectus Department, 44B
Colonial Drive, Piscataway, New Jersey 08854 (phone 732/885-2760).
Freddie Mac will publish a Supplemental Statement (which will contain
schedules of the Assets and other information) applicable to this Series shortly
after the Closing Date. Investors can obtain the Supplemental Statement, any
offering materials for specific Assets and historic and current information
concerning specific Assets and the Securities from Freddie Mac's Investor
Inquiry Department.
Freddie Mac's Internet Web-Site (http://www.freddiemac.com) will display
this Supplement, the Supplemental Statement, schedules of the Assets and
information, updated monthly, regarding each Class of this Series.
GENERAL INFORMATION
THE AGREEMENT
Freddie Mac will create the Securities under the Multiclass REMIC
Certificate Agreement, dated as of April 1, 1998, and a Terms Supplement, to be
dated the Closing Date (together, the "Agreement"). Investors can order copies
of the Agreement by contacting the Investor Inquiry Department at Freddie Mac as
shown under "Available Information" in this Supplement. The Agreement is
incorporated by reference in this Supplement.
Holders and anyone having a beneficial interest in the Securities should
refer to the Agreement for a complete description of their rights and
obligations and the rights and obligations of Freddie Mac. Holders and
beneficial owners of Securities will acquire their Securities subject to all
terms and conditions of the Agreement, including the Terms Supplement.
FORM OF SECURITIES
Non-Retail Classes
The Regular Classes (other than the Retail Classes) and the MACR Classes
will be issued and may be held of record and transferred only on the book-entry
system of the Federal Reserve Banks by entities eligible to maintain book-entry
accounts with a Federal Reserve Bank ("Fed Participants").
The Residual Classes will be issued and may be held of record only in
certificated form and will be transferable at Chase Bank of Texas, National
Association or its successor (the "Registrar").
S-9
<PAGE> 281
The Classes other than the Retail Classes will be issued in the
denominations specified under "Description of Securities -- Form of Securities,
Holders, Minimum Principal Amounts and Transfers" in the Offering Circular.
Retail Classes (TT, UU and VV Classes)
Each Retail Class will be represented by one or more certificates held by
or on behalf of The Depository Trust Company or its successor (the "Retail
Depository"). The Retail Depository is a New York-chartered limited purpose
trust company that performs services for its participants (the "Retail
Depository Participants"), principally brokerage firms and other financial
institutions. The Retail Depository will maintain each Retail Class through its
book-entry facilities in principal amounts of $1,000 each ("Retail Class
Units"). The Retail Depository will record the positions held by each Retail
Depository Participant in Retail Class Units, whether held for the Retail
Depository Participant's own account or for another person.
Investors in each Retail Class will be subject to the rules and procedures
of the Retail Depository and Retail Depository Participants in effect from time
to time. Retail Class investors will not receive certificates. Rather, each
investor's ownership interest in a Retail Class will be recorded, in Retail
Class Units, on the records of the brokerage firm, bank, thrift institution or
other financial intermediary where the investor maintains an account for this
purpose. In turn, the financial intermediary's interest in a Retail Class will
be recorded, in Retail Class Units, on the records of the Retail Depository (or
of a Retail Depository Participant that acts as agent for the financial
intermediary, if the intermediary is not itself a Retail Depository
Participant). Investors may transfer their Retail Class Units only through their
brokers or other financial intermediaries, in compliance with their procedures.
HOLDERS
The term "Holders" means (i) in the case of a Regular Class (other than a
Retail Class) or a MACR Class, the Fed Participants that appear on the
book-entry records of a Federal Reserve Bank as holders of that Class, (ii) in
the case of a Retail Class, the Retail Depository or its nominee and (iii) in
the case of a Residual Class, the entities or individuals that appear on the
records of the Registrar as the registered holders of that Class. The beneficial
owner of a Security is not necessarily the Holder.
STRUCTURE OF TRANSACTION
General
This Series will be a "Double-Tier Series." The Regular Classes of REMIC
Certificates and the R Class will represent beneficial ownership interests in
the Upper-Tier REMIC Pool. The Upper-Tier REMIC Pool will consist of (i) the
classes of "regular interests" in the Lower-Tier REMIC Pool (the "Mortgage
Securities") and (ii) a non-interest bearing cash deposit of $2,999.97 (the
"Retail Rounding Account") to be applied as described in this Supplement. The RS
Class will represent the residual interest in the Lower-Tier REMIC Pool.
The Lower-Tier REMIC Pool will consist of the Assets. The Underwriter
intends to acquire the Assets in privately negotiated transactions before
delivering them to Freddie Mac on the Closing Date. On the Closing Date, Freddie
Mac expects to acquire the Assets from the Underwriter in exchange for the REMIC
Certificates.
The Assets
The Assets are PCs, which may include Gold Mortgage Participation
Certificates ("Gold PCs") and/or Gold Giant Mortgage Participation Certificates
("Gold Giant PCs"). Gold PCs represent undivided interests in discrete pools
consisting of specified Mortgages. Gold Giant PCs represent beneficial ownership
interests in discrete pools consisting of specified Gold PCs (or, in some cases,
other Gold Giant PCs).
S-10
<PAGE> 282
THE MORTGAGES
The Mortgages are fixed-rate, first lien, residential mortgages and
mortgage participations. For purposes of this Supplement, Freddie Mac has made
certain assumptions regarding the remaining terms to maturity, loan ages and
interest rates of the Mortgages. See "Terms Sheet -- Assumed Mortgage
Characteristics" in this Supplement. However, the characteristics of most of the
Mortgages differ from those assumed, in some cases significantly. This is the
case even if the weighted average characteristics of the Mortgages are the same
as those of mortgages having the characteristics assumed. Small differences in
the characteristics of the Mortgages can have a significant effect on the
weighted average lives and yields of the related Classes. See "Prepayment and
Yield Analysis" in this Supplement.
PAYMENTS
PAYMENT DATES; RECORD DATES
Freddie Mac will make payments of principal and interest on the Securities
to Holders entitled to such payments on the 15th of each month or, if the 15th
is not a "Business Day," on the next Business Day (a "Payment Date"), beginning
in the month following the Closing Date.
On each Payment Date, any payment on a Security will be made to the Holder
of record as of the end of the preceding calendar month (each, a "Record Date").
On each Payment Date, the Retail Depository will remit payments on each Retail
Class to those Retail Depository Participants that held Retail Class Units of
record as of the related Record Date.
METHOD OF PAYMENT
Non-Retail Classes
A Federal Reserve Bank will credit payments on the Regular Classes (other
than the Retail Classes) and the MACR Classes to the accounts of Holders of
these Classes monthly on each Payment Date.
The Registrar will mail payments on the Residual Classes by check to the
addresses of the Holders of these Classes as they appear on the Registrar's
records, not later than the applicable Payment Date. A Holder of a Residual
Class will be required to present the Holder's certificate to the Registrar for
payment under the circumstances described under "Description of
Securities -- Form of Securities, Holders, Minimum Principal Amounts and
Transfers" in the Offering Circular.
A Holder that is not also the beneficial owner of a Security, and each
other financial intermediary in the chain to the beneficial owner, will be
responsible for remitting payments to their customers.
Retail Classes
The Registrar will act as Freddie Mac's paying agent for the Retail
Classes. The Registrar will make payments on the Retail Classes to the Retail
Depository in immediately available funds. The Retail Depository will be
responsible for crediting payments to the accounts of the appropriate Retail
Depository Participants in accordance with the Retail Depository's normal
procedures. Each Retail Depository Participant, and each other financial
intermediary in the chain to the beneficial owner, will be responsible for
remitting payments to their customers. Thus, investors in a Retail Class may
experience some delay in the receipt of payments.
INTEREST
Freddie Mac will pay interest on each Payment Date to the Holders of each
Class of Securities on which interest has accrued, except in the case of the
Accrual Classes, which will receive payments as described under "Accrual
Classes" below.
S-11
<PAGE> 283
Categories of Classes
For purposes of interest payments, the Classes of REMIC Certificates will
be categorized as shown under "Interest Type" on the cover page of this
Supplement, and the MACR Classes will be categorized as shown under "Interest
Type" on Appendix 1 to this Supplement. The abbreviations used on the cover page
and Appendix 1 are explained under "Description of Securities -- Standard
Definitions and Abbreviations for Classes" in the Offering Circular.
Accrual Period
The Accrual Period for the interest-bearing Classes will be the calendar
month preceding the related Payment Date. Interest will be calculated on the
basis of a 360-day year consisting of twelve 30-day months. Interest payable on
any Class on any Payment Date will consist of 30 days' interest on its balance
as of the related Record Date.
Fixed Rate Classes
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement or on Appendix 1 to this Supplement.
Principal Only Classes
The K and T Classes will be Principal Only Classes and will not bear
interest.
Accrual Classes
The CZ, TZ, Z and ZB Classes will be Accrual Classes. No payments of
interest will be made on the Accrual Classes; rather, interest accrued on each
Accrual Class during each Accrual Period will be added to its principal amount
on the related Payment Date. Payments of principal on each Accrual Class
(including accrued interest that has been added to its principal amount) will be
made as described under "Terms Sheet -- Allocation of Principal" in this
Supplement.
Notional Classes
The Notional Classes will not receive principal payments. For convenience
in describing interest payments, the Notional Classes will have notional
principal amounts. The table under "Terms Sheet -- Notional Classes" in this
Supplement shows the original notional principal amounts of the Notional Classes
and the Class or Classes with which each Notional Class will reduce
proportionately.
Floating Rate and Inverse Floating Rate Classes
The Floating Rate and Inverse Floating Rate Classes will bear interest as
shown under "Terms Sheet -- Class Coupons" in this Supplement. The Class Coupons
for the Floating Rate and Inverse Floating Rate Classes will be based on the
arithmetic mean of the London interbank offered quotations for one-month
Eurodollar deposits ("LIBOR").
For information regarding the manner in which Freddie Mac determines LIBOR
and calculates the Class Coupons for the Floating Rate and Inverse Floating Rate
Classes, see "Description of Securities -- Interest Rate Indices" in the
Offering Circular.
Freddie Mac's determination of LIBOR and its calculation of the Class
Coupons will be final, except in the case of clear error. Investors can get
LIBOR levels and the Class Coupons for the current and preceding Accrual Periods
from Freddie Mac's Internet Web-Site or by contacting Freddie Mac's Investor
Inquiry Department as shown under "Available Information" in this Supplement.
S-12
<PAGE> 284
PRINCIPAL
Freddie Mac will pay principal on each applicable Payment Date to the
Holders of the Classes on which principal is then due. The Holders of each such
Class will receive principal payments on a pro rata basis among the Securities
of that Class, subject to special allocation procedures for investors in any
Retail Class.
Categories of Classes
For purposes of principal payments, the Classes of REMIC Certificates will
be categorized as shown under "Principal or Other Type" on the cover page of
this Supplement, and the MACR Classes will be categorized as shown under
"Principal or Other Type" on Appendix 1 to this Supplement. The abbreviations
used on the cover page or Appendix 1 are explained under "Description of
Securities -- Standard Definitions and Abbreviations for Classes" in the
Offering Circular.
Amount of Payments
The total amount of principal payments that will be made on the Securities
on each Payment Date will equal the sum of:
- The amount of interest, if any, accrued on the CZ, TZ, Z and ZB
Classes during the related Accrual Period and not payable as interest
on that Payment Date (the "CZ Accrual Amount," the "TZ Accrual Amount"
and so forth).
- The amount of principal payments required to be made on that Payment
Date on the Group 1 through Group 4 Assets (the "Group 1 Asset
Principal Amount," the "Group 2 Asset Principal Amount" and so forth).
Allocation of Payments
On each Payment Date, Freddie Mac will pay the Accrual Amounts and the
Asset Principal Amounts as described under "Terms Sheet -- Allocation of
Principal" in this Supplement. Principal that is allocable to the Classes
receiving payments from any Asset Group will be allocated only to those Classes
and will not be available for Classes receiving payments from the other Asset
Groups.
Targeted Balances Schedules
The schedules of "Aggregate Targeted Balances" are shown below.
S-13
<PAGE> 285
TARGETED BALANCES*
Group 1
PAC CLASSES
<TABLE>
<CAPTION>
PAYMENT DATE
------------
PAC
(AGGREGATE)
<S> <C>
April 15, 2001
and before........ $311,962,900.00
May 15, 2001........ 309,292,860.10
June 15, 2001....... 306,555,244.74
July 15, 2001....... 303,751,269.74
August 15, 2001..... 300,961,519.63
September 15,
2001.............. 298,185,921.17
October 15, 2001.... 295,424,401.50
November 15, 2001... 292,676,888.13
December 15, 2001... 289,943,308.95
January 15, 2002.... 287,223,592.21
February 15, 2002... 284,517,666.53
March 15, 2002...... 281,825,460.91
April 15, 2002...... 279,146,904.70
May 15, 2002........ 276,481,927.63
June 15, 2002....... 273,830,459.77
July 15, 2002....... 271,192,431.56
August 15, 2002..... 268,567,773.81
September 15,
2002.............. 265,956,417.67
October 15, 2002.... 263,358,294.65
November 15, 2002... 260,773,336.61
December 15, 2002... 258,201,475.75
January 15, 2003.... 255,642,644.65
February 15, 2003... 253,096,776.20
March 15, 2003...... 250,563,803.65
April 15, 2003...... 248,043,660.61
May 15, 2003........ 245,536,281.01
June 15, 2003....... 243,041,599.12
July 15, 2003....... 240,559,549.57
August 15, 2003..... 238,090,067.29
September 15,
2003.............. 235,633,087.57
October 15, 2003.... 233,188,546.04
November 15, 2003... 230,756,378.64
December 15, 2003... 228,336,521.64
January 15, 2004.... 225,928,911.66
February 15, 2004... 223,533,485.63
March 15, 2004...... 221,150,180.80
April 15, 2004...... 218,778,934.74
May 15, 2004........ 216,419,685.37
June 15, 2004....... 214,072,370.91
July 15, 2004....... 211,736,929.87
August 15, 2004..... 209,413,301.13
September 15,
2004.............. 207,101,423.84
October 15, 2004.... 204,801,237.49
November 15, 2004... 202,512,681.87
December 15, 2004... 200,235,697.08
January 15, 2005.... 197,970,223.53
February 15, 2005... 195,716,201.94
March 15, 2005...... 193,473,573.31
April 15, 2005...... 191,242,278.99
May 15, 2005........ 189,022,260.59
June 15, 2005....... 186,813,460.04
July 15, 2005....... 184,615,819.56
August 15, 2005..... 182,429,281.68
September 15,
2005.............. 180,253,789.21
October 15, 2005.... 178,089,285.27
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
November 15, 2005... $175,935,713.25
December 15, 2005... 173,793,016.85
January 15, 2006.... 171,661,140.05
February 15, 2006... 169,540,027.14
March 15, 2006...... 167,429,622.66
April 15, 2006...... 165,329,871.46
May 15, 2006........ 163,240,718.66
June 15, 2006....... 161,162,109.69
July 15, 2006....... 159,093,990.22
August 15, 2006..... 157,036,306.23
September 15,
2006.............. 154,989,003.96
October 15, 2006.... 152,952,029.95
November 15, 2006... 150,925,330.98
December 15, 2006... 148,908,854.13
January 15, 2007.... 146,902,546.74
February 15, 2007... 144,906,356.44
March 15, 2007...... 142,920,231.10
April 15, 2007...... 140,944,118.88
May 15, 2007........ 138,977,968.19
June 15, 2007....... 137,021,727.73
July 15, 2007....... 135,075,346.44
August 15, 2007..... 133,138,773.53
September 15,
2007.............. 131,211,958.48
October 15, 2007.... 129,294,851.01
November 15, 2007... 127,387,401.11
December 15, 2007... 125,489,559.04
January 15, 2008.... 123,601,275.30
February 15, 2008... 121,722,500.65
March 15, 2008...... 119,860,817.38
April 15, 2008...... 118,025,941.75
May 15, 2008........ 116,217,499.11
June 15, 2008....... 114,435,119.98
July 15, 2008....... 112,678,439.98
August 15, 2008..... 110,947,099.71
September 15,
2008.............. 109,240,744.73
October 15, 2008.... 107,559,025.47
November 15, 2008... 105,901,597.17
December 15, 2008... 104,268,119.82
January 15, 2009.... 102,658,258.07
February 15, 2009... 101,071,681.21
March 15, 2009...... 99,508,063.07
April 15, 2009...... 97,967,081.98
May 15, 2009........ 96,448,420.68
June 15, 2009....... 94,951,766.29
July 15, 2009....... 93,476,810.24
August 15, 2009..... 92,023,248.22
September 15,
2009.............. 90,590,780.09
October 15, 2009.... 89,179,109.86
November 15, 2009... 87,787,945.62
December 15, 2009... 86,416,999.48
January 15, 2010.... 85,065,987.51
February 15, 2010... 83,734,629.72
March 15, 2010...... 82,422,649.94
April 15, 2010...... 81,129,775.85
May 15, 2010........ 79,855,738.86
June 15, 2010....... 78,600,274.09
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
July 15, 2010....... $ 77,363,120.32
August 15, 2010..... 76,144,019.93
September 15,
2010.............. 74,942,718.86
October 15, 2010.... 73,758,966.54
November 15, 2010... 72,592,515.89
December 15, 2010... 71,443,123.21
January 15, 2011.... 70,310,548.18
February 15, 2011... 69,194,553.81
March 15, 2011...... 68,094,906.35
April 15, 2011...... 67,011,375.32
May 15, 2011........ 65,943,733.40
June 15, 2011....... 64,891,756.41
July 15, 2011....... 63,855,223.27
August 15, 2011..... 62,833,915.98
September 15,
2011.............. 61,827,619.52
October 15, 2011.... 60,836,121.86
November 15, 2011... 59,859,213.91
December 15, 2011... 58,896,689.46
January 15, 2012.... 57,948,345.15
February 15, 2012... 57,013,980.44
March 15, 2012...... 56,093,397.58
April 15, 2012...... 55,186,401.52
May 15, 2012........ 54,292,799.96
June 15, 2012....... 53,412,403.22
July 15, 2012....... 52,545,024.26
August 15, 2012..... 51,690,478.64
September 15,
2012.............. 50,848,584.47
October 15, 2012.... 50,019,162.38
November 15, 2012... 49,202,035.48
December 15, 2012... 48,397,029.34
January 15, 2013.... 47,603,971.95
February 15, 2013... 46,822,693.67
March 15, 2013...... 46,053,027.23
April 15, 2013...... 45,294,807.67
May 15, 2013........ 44,547,872.32
June 15, 2013....... 43,812,060.78
July 15, 2013....... 43,087,214.85
August 15, 2013..... 42,373,178.55
September 15,
2013.............. 41,669,798.06
October 15, 2013.... 40,976,921.68
November 15, 2013... 40,294,399.84
December 15, 2013... 39,622,085.04
January 15, 2014.... 38,959,831.82
February 15, 2014... 38,307,496.74
March 15, 2014...... 37,664,938.38
April 15, 2014...... 37,032,017.27
May 15, 2014........ 36,408,595.85
June 15, 2014....... 35,794,538.53
July 15, 2014....... 35,189,711.56
August 15, 2014..... 34,593,983.08
September 15,
2014.............. 34,007,223.04
October 15, 2014.... 33,429,303.22
November 15, 2014... 32,860,097.18
December 15, 2014... 32,299,480.23
January 15, 2015.... 31,747,329.43
February 15, 2015... 31,203,523.55
</TABLE>
- ---------------
* The Aggregate Targeted Balances shown were calculated using, among other
things, the "structuring ranges" shown under "Terms Sheet -- Allocation of
Principal" in this Supplement. See "Prepayment and Yield Analysis" in this
Supplement.
S-14
<PAGE> 286
<TABLE>
<CAPTION>
PAYMENT DATE
------------
PAC
(AGGREGATE)
CONTINUED
<S> <C>
March 15, 2015...... $ 30,667,943.04
April 15, 2015...... 30,140,470.04
May 15, 2015........ 29,620,988.29
June 15, 2015....... 29,109,383.20
July 15, 2015....... 28,605,541.74
August 15, 2015..... 28,109,352.48
September 15,
2015.............. 27,620,705.53
October 15, 2015.... 27,139,492.54
November 15, 2015... 26,665,606.67
December 15, 2015... 26,198,942.58
January 15, 2016.... 25,739,396.39
February 15, 2016... 25,286,865.68
March 15, 2016...... 24,841,249.44
April 15, 2016...... 24,402,448.11
May 15, 2016........ 23,970,363.48
June 15, 2016....... 23,544,898.73
July 15, 2016....... 23,125,958.41
August 15, 2016..... 22,713,448.38
September 15,
2016.............. 22,307,275.83
October 15, 2016.... 21,907,349.25
November 15, 2016... 21,513,578.39
December 15, 2016... 21,125,874.30
January 15, 2017.... 20,744,149.24
February 15, 2017... 20,368,316.73
March 15, 2017...... 19,998,291.47
April 15, 2017...... 19,633,989.37
May 15, 2017........ 19,275,327.54
June 15, 2017....... 18,922,224.21
July 15, 2017....... 18,574,598.78
August 15, 2017..... 18,232,371.79
September 15,
2017.............. 17,895,464.88
October 15, 2017.... 17,563,800.79
November 15, 2017... 17,237,303.35
December 15, 2017... 16,915,897.46
January 15, 2018.... 16,599,509.07
February 15, 2018... 16,288,065.16
March 15, 2018...... 15,981,493.77
April 15, 2018...... 15,679,723.91
May 15, 2018........ 15,382,685.62
June 15, 2018....... 15,090,309.90
July 15, 2018....... 14,802,528.75
August 15, 2018..... 14,519,275.10
September 15,
2018.............. 14,240,482.82
October 15, 2018.... 13,966,086.75
November 15, 2018... 13,696,022.60
December 15, 2018... 13,430,227.02
January 15, 2019.... 13,168,637.53
February 15, 2019... 12,911,192.54
March 15, 2019...... 12,657,831.34
April 15, 2019...... 12,408,494.06
May 15, 2019........ 12,163,121.68
June 15, 2019....... 11,921,656.01
July 15, 2019....... 11,684,039.68
August 15, 2019..... 11,450,216.13
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
September 15,
2019.............. $ 11,220,129.62
October 15, 2019.... 10,993,725.16
November 15, 2019... 10,770,948.57
December 15, 2019... 10,551,746.42
January 15, 2020.... 10,336,066.03
February 15, 2020... 10,123,855.49
March 15, 2020...... 9,915,063.59
April 15, 2020...... 9,709,639.87
May 15, 2020........ 9,507,534.57
June 15, 2020....... 9,308,698.66
July 15, 2020....... 9,113,083.76
August 15, 2020..... 8,920,642.22
September 15,
2020.............. 8,731,327.05
October 15, 2020.... 8,545,091.90
November 15, 2020... 8,361,891.13
December 15, 2020... 8,181,679.70
January 15, 2021.... 8,004,413.23
February 15, 2021... 7,830,047.97
March 15, 2021...... 7,658,540.79
April 15, 2021...... 7,489,849.17
May 15, 2021........ 7,323,931.19
June 15, 2021....... 7,160,745.55
July 15, 2021....... 7,000,251.50
August 15, 2021..... 6,842,408.91
September 15,
2021.............. 6,687,178.18
October 15, 2021.... 6,534,520.30
November 15, 2021... 6,384,396.82
December 15, 2021... 6,236,769.81
January 15, 2022.... 6,091,601.92
February 15, 2022... 5,948,856.29
March 15, 2022...... 5,808,496.62
April 15, 2022...... 5,670,487.11
May 15, 2022........ 5,534,792.48
June 15, 2022....... 5,401,377.94
July 15, 2022....... 5,270,209.21
August 15, 2022..... 5,141,252.50
September 15,
2022.............. 5,014,474.49
October 15, 2022.... 4,889,842.35
November 15, 2022... 4,767,323.72
December 15, 2022... 4,646,886.70
January 15, 2023.... 4,528,499.83
February 15, 2023... 4,412,132.12
March 15, 2023...... 4,297,753.03
April 15, 2023...... 4,185,332.44
May 15, 2023........ 4,074,840.67
June 15, 2023....... 3,966,248.47
July 15, 2023....... 3,859,526.99
August 15, 2023..... 3,754,647.82
September 15,
2023.............. 3,651,582.94
October 15, 2023.... 3,550,304.75
November 15, 2023... 3,450,786.02
December 15, 2023... 3,352,999.94
January 15, 2024.... 3,256,920.08
February 15, 2024... 3,162,520.36
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
March 15, 2024...... $ 3,069,775.12
April 15, 2024...... 2,978,659.04
May 15, 2024........ 2,889,147.17
June 15, 2024....... 2,801,214.93
July 15, 2024....... 2,714,838.09
August 15, 2024..... 2,629,992.77
September 15,
2024.............. 2,546,655.41
October 15, 2024.... 2,464,802.84
November 15, 2024... 2,384,412.18
December 15, 2024... 2,305,460.91
January 15, 2025.... 2,227,926.82
February 15, 2025... 2,151,788.01
March 15, 2025...... 2,077,022.94
April 15, 2025...... 2,003,610.33
May 15, 2025........ 1,931,529.24
June 15, 2025....... 1,860,759.03
July 15, 2025....... 1,791,279.35
August 15, 2025..... 1,723,070.16
September 15,
2025.............. 1,656,111.69
October 15, 2025.... 1,590,384.48
November 15, 2025... 1,525,869.33
December 15, 2025... 1,462,547.34
January 15, 2026.... 1,400,399.86
February 15, 2026... 1,339,408.55
March 15, 2026...... 1,279,555.30
April 15, 2026...... 1,220,822.28
May 15, 2026........ 1,163,191.91
June 15, 2026....... 1,106,646.89
July 15, 2026....... 1,051,170.15
August 15, 2026..... 996,744.87
September 15,
2026.............. 943,354.49
October 15, 2026.... 890,982.68
November 15, 2026... 839,613.35
December 15, 2026... 789,230.65
January 15, 2027.... 739,818.96
February 15, 2027... 691,362.88
March 15, 2027...... 643,847.26
April 15, 2027...... 597,257.14
May 15, 2027........ 551,577.81
June 15, 2027....... 506,794.75
July 15, 2027....... 462,893.68
August 15, 2027..... 419,860.49
September 15,
2027.............. 377,681.33
October 15, 2027.... 336,342.51
November 15, 2027... 295,830.55
December 15, 2027... 256,132.20
January 15, 2028.... 217,234.36
February 15, 2028... 179,124.16
March 15, 2028...... 141,788.89
April 15, 2028...... 105,216.05
May 15, 2028........ 69,393.32
June 15, 2028....... 34,308.55
July 15, 2028
and after......... 0.00
</TABLE>
SCHEDULED CLASSES
<TABLE>
<CAPTION>
PAYMENT DATE
------------
SCHEDULED
(AGGREGATE)
<S> <C>
April 15, 1999...... $116,861,131.36
May 15, 1999........ 115,944,490.27
June 15, 1999....... 114,908,283.86
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
July 15, 1999....... $113,752,905.99
August 15, 1999..... 112,478,837.24
September 15,
1999.............. 111,086,644.72
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
October 15, 1999.... $109,576,981.82
November 15, 1999... 107,950,587.89
December 15, 1999... 106,208,287.73
</TABLE>
S-15
<PAGE> 287
<TABLE>
<CAPTION>
PAYMENT DATE
------------
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
January 15, 2000.... $104,350,991.04
February 15, 2000... 102,379,691.73
March 15, 2000...... 100,295,467.19
April 15, 2000...... 98,099,477.34
May 15, 2000........ 95,792,963.69
June 15, 2000....... 93,377,248.26
July 15, 2000....... 90,853,732.36
August 15, 2000..... 88,223,895.34
September 15,
2000.............. 85,489,293.17
October 15, 2000.... 82,651,557.00
November 15, 2000... 79,712,391.57
December 15, 2000... 76,673,573.52
January 15, 2001.... 73,536,949.69
February 15, 2001... 70,304,435.21
March 15, 2001...... 66,978,011.63
April 15, 2001...... 63,559,724.87
May 15, 2001........ 62,721,723.03
June 15, 2001....... 61,863,710.01
July 15, 2001....... 60,986,696.20
August 15, 2001..... 60,123,300.28
September 15,
2001.............. 59,273,389.67
October 15, 2001.... 58,436,832.91
November 15, 2001... 57,613,499.69
December 15, 2001... 56,803,260.78
January 15, 2002.... 56,005,988.10
February 15, 2002... 55,221,554.65
March 15, 2002...... 54,449,834.52
April 15, 2002...... 53,690,702.90
May 15, 2002........ 52,944,036.02
June 15, 2002....... 52,209,711.21
July 15, 2002....... 51,487,606.85
August 15, 2002..... 50,777,602.35
September 15,
2002.............. 50,079,578.17
October 15, 2002.... 49,393,415.80
November 15, 2002... 48,718,997.77
December 15, 2002... 48,056,207.59
January 15, 2003.... 47,404,929.81
February 15, 2003... 46,765,049.95
March 15, 2003...... 46,136,454.55
April 15, 2003...... 45,519,031.10
May 15, 2003........ 44,912,668.09
June 15, 2003....... 44,317,254.97
July 15, 2003....... 43,732,682.13
August 15, 2003..... 43,158,840.93
September 15,
2003.............. 42,595,623.67
October 15, 2003.... 42,042,923.58
November 15, 2003... 41,500,634.82
December 15, 2003... 40,968,652.48
January 15, 2004.... 40,446,872.54
February 15, 2004... 39,935,191.91
March 15, 2004...... 39,433,508.37
April 15, 2004...... 38,941,720.62
May 15, 2004........ 38,459,728.22
June 15, 2004....... 37,987,431.62
July 15, 2004....... 37,524,732.13
August 15, 2004..... 37,071,531.94
September 15,
2004.............. 36,627,734.06
October 15, 2004.... 36,193,242.38
November 15, 2004... 35,767,961.62
December 15, 2004... 35,351,797.33
January 15, 2005.... 34,944,655.90
February 15, 2005... 34,546,444.52
March 15, 2005...... 34,157,071.20
April 15, 2005...... 33,776,444.78
May 15, 2005........ 33,404,474.87
June 15, 2005....... 33,041,071.89
July 15, 2005....... 32,686,147.04
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
August 15, 2005..... $ 32,339,612.31
September 15,
2005.............. 32,001,380.46
October 15, 2005.... 31,671,365.01
November 15, 2005... 31,349,480.27
December 15, 2005... 31,035,641.26
January 15, 2006.... 30,729,763.80
February 15, 2006... 30,431,764.41
March 15, 2006...... 30,141,560.37
April 15, 2006...... 29,859,069.70
May 15, 2006........ 29,584,211.12
June 15, 2006....... 29,316,904.09
July 15, 2006....... 29,057,068.77
August 15, 2006..... 28,804,626.04
September 15,
2006.............. 28,559,497.47
October 15, 2006.... 28,321,605.34
November 15, 2006... 28,090,872.60
December 15, 2006... 27,867,222.90
January 15, 2007.... 27,650,580.57
February 15, 2007... 27,440,870.60
March 15, 2007...... 27,238,018.67
April 15, 2007...... 27,041,951.10
May 15, 2007........ 26,852,594.87
June 15, 2007....... 26,669,877.64
July 15, 2007....... 26,493,727.67
August 15, 2007..... 26,324,073.90
September 15,
2007.............. 26,160,845.88
October 15, 2007.... 26,003,973.80
November 15, 2007... 25,853,388.49
December 15, 2007... 25,709,021.37
January 15, 2008.... 25,570,804.50
February 15, 2008... 25,438,670.53
March 15, 2008...... 25,304,921.45
April 15, 2008...... 25,162,005.02
May 15, 2008........ 25,013,887.35
June 15, 2008....... 24,860,718.59
July 15, 2008....... 24,702,646.06
August 15, 2008..... 24,539,814.27
September 15,
2008.............. 24,372,364.97
October 15, 2008.... 24,200,437.19
November 15, 2008... 24,024,167.32
December 15, 2008... 23,843,689.08
January 15, 2009.... 23,659,133.65
February 15, 2009... 23,470,629.64
March 15, 2009...... 23,278,303.18
April 15, 2009...... 23,082,277.94
May 15, 2009........ 22,882,675.17
June 15, 2009....... 22,679,613.77
July 15, 2009....... 22,473,210.26
August 15, 2009..... 22,263,578.89
September 15,
2009.............. 22,050,831.66
October 15, 2009.... 21,835,078.34
November 15, 2009... 21,616,426.50
December 15, 2009... 21,394,981.58
January 15, 2010.... 21,170,846.92
February 15, 2010... 20,944,123.75
March 15, 2010...... 20,714,911.29
April 15, 2010...... 20,483,306.73
May 15, 2010........ 20,249,405.31
June 15, 2010....... 20,013,300.32
July 15, 2010....... 19,775,083.13
August 15, 2010..... 19,534,843.25
September 15,
2010.............. 19,292,668.35
October 15, 2010.... 19,048,644.27
November 15, 2010... 18,802,855.10
December 15, 2010... 18,555,383.14
January 15, 2011.... 18,306,308.99
February 15, 2011... 18,055,711.57
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
March 15, 2011...... $ 17,803,668.12
April 15, 2011...... 17,550,254.24
May 15, 2011........ 17,295,543.95
June 15, 2011....... 17,039,609.65
July 15, 2011....... 16,782,522.24
August 15, 2011..... 16,524,351.06
September 15,
2011.............. 16,265,163.95
October 15, 2011.... 16,005,027.29
November 15, 2011... 15,744,006.02
December 15, 2011... 15,482,163.63
January 15, 2012.... 15,219,562.25
February 15, 2012... 14,956,262.60
March 15, 2012...... 14,692,324.08
April 15, 2012...... 14,427,804.74
May 15, 2012........ 14,162,761.34
June 15, 2012....... 13,897,249.37
July 15, 2012....... 13,631,323.04
August 15, 2012..... 13,365,035.34
September 15,
2012.............. 13,098,438.04
October 15, 2012.... 12,831,581.73
November 15, 2012... 12,564,515.81
December 15, 2012... 12,297,288.54
January 15, 2013.... 12,029,947.05
February 15, 2013... 11,762,537.36
March 15, 2013...... 11,495,104.41
April 15, 2013...... 11,227,692.04
May 15, 2013........ 10,960,343.06
June 15, 2013....... 10,693,099.26
July 15, 2013....... 10,426,001.38
August 15, 2013..... 10,159,089.19
September 15,
2013.............. 9,892,401.48
October 15, 2013.... 9,625,976.08
November 15, 2013... 9,359,849.86
December 15, 2013... 9,094,058.78
January 15, 2014.... 8,828,637.89
February 15, 2014... 8,563,621.34
March 15, 2014...... 8,299,042.42
April 15, 2014...... 8,034,933.53
May 15, 2014........ 7,771,326.26
June 15, 2014....... 7,508,251.35
July 15, 2014....... 7,245,738.72
August 15, 2014..... 6,983,817.52
September 15,
2014.............. 6,722,516.08
October 15, 2014.... 6,461,861.99
November 15, 2014... 6,201,882.08
December 15, 2014... 5,942,602.41
January 15, 2015.... 5,684,048.36
February 15, 2015... 5,426,244.56
March 15, 2015...... 5,169,214.95
April 15, 2015...... 4,912,982.78
May 15, 2015........ 4,657,570.64
June 15, 2015....... 4,403,000.45
July 15, 2015....... 4,149,293.48
August 15, 2015..... 3,896,470.35
September 15,
2015.............. 3,644,551.09
October 15, 2015.... 3,393,555.08
November 15, 2015... 3,143,501.13
December 15, 2015... 2,894,407.43
January 15, 2016.... 2,646,291.63
February 15, 2016... 2,399,170.78
March 15, 2016...... 2,153,061.39
April 15, 2016...... 1,907,979.42
May 15, 2016........ 1,663,940.30
June 15, 2016....... 1,420,958.94
July 15, 2016....... 1,179,049.72
August 15, 2016..... 938,226.54
September 15,
2016.............. 698,502.78
</TABLE>
S-16
<PAGE> 288
<TABLE>
<CAPTION>
PAYMENT DATE
------------
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
October 15, 2016.... $ 459,891.37
November 15, 2016... 222,404.73
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
December 15, 2016
and after......... $ 0.00
</TABLE>
Group 3
PAC CLASSES
<TABLE>
<CAPTION>
PAYMENT DATE
------------
PAC
(AGGREGATE)
<S> <C>
April 15, 2001
and before........ $623,135,500.00
May 15, 2001........ 617,844,927.52
June 15, 2001....... 612,418,486.93
July 15, 2001....... 606,858,585.41
August 15, 2001..... 601,326,649.32
September 15,
2001.............. 595,822,534.40
October 15, 2001.... 590,346,097.12
November 15, 2001... 584,897,194.68
December 15, 2001... 579,475,685.04
January 15, 2002.... 574,081,426.87
February 15, 2002... 568,714,279.57
March 15, 2002...... 563,374,103.26
April 15, 2002...... 558,060,758.80
May 15, 2002........ 552,774,107.74
June 15, 2002....... 547,514,012.35
July 15, 2002....... 542,280,335.60
August 15, 2002..... 537,072,941.20
September 15,
2002.............. 531,891,693.51
October 15, 2002.... 526,736,457.62
November 15, 2002... 521,607,099.31
December 15, 2002... 516,503,485.04
January 15, 2003.... 511,425,481.96
February 15, 2003... 506,372,957.90
March 15, 2003...... 501,345,781.39
April 15, 2003...... 496,343,821.60
May 15, 2003........ 491,366,948.41
June 15, 2003....... 486,415,032.34
July 15, 2003....... 481,487,944.59
August 15, 2003..... 476,585,557.02
September 15,
2003.............. 471,707,742.14
October 15, 2003.... 466,854,373.14
November 15, 2003... 462,025,323.83
December 15, 2003... 457,220,468.69
January 15, 2004.... 452,439,682.83
February 15, 2004... 447,682,842.02
March 15, 2004...... 442,949,822.66
April 15, 2004...... 438,240,501.78
May 15, 2004........ 433,554,757.04
June 15, 2004....... 428,892,466.75
July 15, 2004....... 424,253,509.83
August 15, 2004..... 419,637,765.81
September 15,
2004.............. 415,045,114.87
October 15, 2004.... 410,475,437.78
November 15, 2004... 405,928,615.93
December 15, 2004... 401,404,531.32
January 15, 2005.... 396,903,066.56
February 15, 2005... 392,424,104.87
March 15, 2005...... 387,967,530.05
April 15, 2005...... 383,533,226.52
May 15, 2005........ 379,121,079.27
June 15, 2005....... 374,730,973.90
July 15, 2005....... 370,362,796.59
August 15, 2005..... 366,016,434.12
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
September 15,
2005.............. $361,691,773.83
October 15, 2005.... 357,388,703.64
November 15, 2005... 353,107,112.06
December 15, 2005... 348,846,888.18
January 15, 2006.... 344,607,921.63
February 15, 2006... 340,390,102.64
March 15, 2006...... 336,193,321.98
April 15, 2006...... 332,017,470.99
May 15, 2006........ 327,862,441.58
June 15, 2006....... 323,728,126.19
July 15, 2006....... 319,614,417.83
August 15, 2006..... 315,521,210.07
September 15,
2006.............. 311,448,397.00
October 15, 2006.... 307,395,873.28
November 15, 2006... 303,363,534.10
December 15, 2006... 299,351,275.17
January 15, 2007.... 295,358,992.78
February 15, 2007... 291,386,583.72
March 15, 2007...... 287,433,945.32
April 15, 2007...... 283,500,975.43
May 15, 2007........ 279,587,572.43
June 15, 2007....... 275,693,635.23
July 15, 2007....... 271,819,063.26
August 15, 2007..... 267,963,756.45
September 15,
2007.............. 264,127,615.25
October 15, 2007.... 260,310,540.64
November 15, 2007... 256,512,434.08
December 15, 2007... 252,733,197.57
January 15, 2008.... 248,972,733.58
February 15, 2008... 245,230,945.11
March 15, 2008...... 241,507,735.63
April 15, 2008...... 237,829,722.47
May 15, 2008........ 234,204,437.78
June 15, 2008....... 230,631,147.37
July 15, 2008....... 227,109,127.11
August 15, 2008..... 223,637,662.79
September 15,
2008.............. 220,216,050.02
October 15, 2008.... 216,843,594.04
November 15, 2008... 213,519,609.64
December 15, 2008... 210,243,421.01
January 15, 2009.... 207,014,361.61
February 15, 2009... 203,831,774.05
March 15, 2009...... 200,695,009.96
April 15, 2009...... 197,603,429.86
May 15, 2009........ 194,556,403.06
June 15, 2009....... 191,553,307.54
July 15, 2009....... 188,593,529.80
August 15, 2009..... 185,676,464.77
September 15,
2009.............. 182,801,515.70
October 15, 2009.... 179,968,094.03
November 15, 2009... 177,175,619.29
December 15, 2009... 174,423,518.97
January 15, 2010.... 171,711,228.46
February 15, 2010... 169,038,190.88
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
March 15, 2010...... $166,403,857.02
April 15, 2010...... 163,807,685.21
May 15, 2010........ 161,249,141.23
June 15, 2010....... 158,727,698.22
July 15, 2010....... 156,242,836.54
August 15, 2010..... 153,794,043.72
September 15,
2010.............. 151,380,814.33
October 15, 2010.... 149,002,649.90
November 15, 2010... 146,659,058.81
December 15, 2010... 144,349,556.21
January 15, 2011.... 142,073,663.93
February 15, 2011... 139,830,910.37
March 15, 2011...... 137,620,830.43
April 15, 2011...... 135,442,965.41
May 15, 2011........ 133,296,862.94
June 15, 2011....... 131,182,076.87
July 15, 2011....... 129,098,167.20
August 15, 2011..... 127,044,699.99
September 15,
2011.............. 125,021,247.27
October 15, 2011.... 123,027,386.99
November 15, 2011... 121,062,702.90
December 15, 2011... 119,126,784.49
January 15, 2012.... 117,219,226.93
February 15, 2012... 115,339,630.95
March 15, 2012...... 113,487,602.79
April 15, 2012...... 111,662,754.12
May 15, 2012........ 109,864,701.99
June 15, 2012....... 108,093,068.71
July 15, 2012....... 106,347,481.81
August 15, 2012..... 104,627,573.96
September 15,
2012.............. 102,932,982.91
October 15, 2012.... 101,263,351.40
November 15, 2012... 99,618,327.10
December 15, 2012... 97,997,562.57
January 15, 2013.... 96,400,715.14
February 15, 2013... 94,827,446.89
March 15, 2013...... 93,277,424.58
April 15, 2013...... 91,750,319.56
May 15, 2013........ 90,245,807.72
June 15, 2013....... 88,763,569.44
July 15, 2013....... 87,303,289.52
August 15, 2013..... 85,864,657.11
September 15,
2013.............. 84,447,365.68
October 15, 2013.... 83,051,112.93
November 15, 2013... 81,675,600.72
December 15, 2013... 80,320,535.07
January 15, 2014.... 78,985,626.06
February 15, 2014... 77,670,587.78
March 15, 2014...... 76,375,138.27
April 15, 2014...... 75,098,999.49
May 15, 2014........ 73,841,897.25
June 15, 2014....... 72,603,561.15
July 15, 2014....... 71,383,724.55
August 15, 2014..... 70,182,124.48
</TABLE>
S-17
<PAGE> 289
<TABLE>
<CAPTION>
PAYMENT DATE
------------
PAC
(AGGREGATE)
CONTINUED
<S> <C>
September 15,
2014................ $ 68,998,501.65
October 15, 2014.... 67,832,600.34
November 15, 2014... 66,684,168.39
December 15, 2014... 65,552,957.12
January 15, 2015.... 64,438,721.33
February 15, 2015... 63,341,219.18
March 15, 2015...... 62,260,212.23
April 15, 2015...... 61,195,465.33
May 15, 2015........ 60,146,746.58
June 15, 2015....... 59,113,827.32
July 15, 2015....... 58,096,482.07
August 15, 2015..... 57,094,488.47
September 15,
2015.............. 56,107,627.24
October 15, 2015.... 55,135,682.18
November 15, 2015... 54,178,440.06
December 15, 2015... 53,235,690.63
January 15, 2016.... 52,307,226.57
February 15, 2016... 51,392,843.44
March 15, 2016...... 50,492,339.64
April 15, 2016...... 49,605,516.37
May 15, 2016........ 48,732,177.60
June 15, 2016....... 47,872,130.05
July 15, 2016....... 47,025,183.09
August 15, 2016..... 46,191,148.79
September 15,
2016.............. 45,369,841.80
October 15, 2016.... 44,561,079.38
November 15, 2016... 43,764,681.32
December 15, 2016... 42,980,469.92
January 15, 2017.... 42,208,269.97
February 15, 2017... 41,447,908.70
March 15, 2017...... 40,699,215.75
April 15, 2017...... 39,962,023.12
May 15, 2017........ 39,236,165.18
June 15, 2017....... 38,521,478.60
July 15, 2017....... 37,817,802.32
August 15, 2017..... 37,124,977.55
September 15,
2017.............. 36,442,847.71
October 15, 2017.... 35,771,258.39
November 15, 2017... 35,110,057.36
December 15, 2017... 34,459,094.52
January 15, 2018.... 33,818,221.84
February 15, 2018... 33,187,293.40
March 15, 2018...... 32,566,165.28
April 15, 2018...... 31,954,695.61
May 15, 2018........ 31,352,744.48
June 15, 2018....... 30,760,173.94
July 15, 2018....... 30,176,847.99
August 15, 2018..... 29,602,632.53
September 15,
2018.............. 29,037,395.31
October 15, 2018.... 28,481,005.98
November 15, 2018... 27,933,335.97
December 15, 2018... 27,394,258.55
January 15, 2019.... 26,863,648.74
February 15, 2019... 26,341,383.34
March 15, 2019...... 25,827,340.85
April 15, 2019...... 25,321,401.49
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
May 15, 2019........ $ 24,823,447.16
June 15, 2019....... 24,333,361.42
July 15, 2019....... 23,851,029.47
August 15, 2019..... 23,376,338.11
September 15,
2019.............. 22,909,175.73
October 15, 2019.... 22,449,432.31
November 15, 2019... 21,996,999.35
December 15, 2019... 21,551,769.91
January 15, 2020.... 21,113,638.51
February 15, 2020... 20,682,501.19
March 15, 2020...... 20,258,255.44
April 15, 2020...... 19,840,800.19
May 15, 2020........ 19,430,035.81
June 15, 2020....... 19,025,864.06
July 15, 2020....... 18,628,188.08
August 15, 2020..... 18,236,912.38
September 15,
2020.............. 17,851,942.83
October 15, 2020.... 17,473,186.62
November 15, 2020... 17,100,552.23
December 15, 2020... 16,733,949.46
January 15, 2021.... 16,373,289.36
February 15, 2021... 16,018,484.26
March 15, 2021...... 15,669,447.72
April 15, 2021...... 15,326,094.51
May 15, 2021........ 14,988,340.61
June 15, 2021....... 14,656,103.20
July 15, 2021....... 14,329,300.62
August 15, 2021..... 14,007,852.37
September 15,
2021.............. 13,691,679.08
October 15, 2021.... 13,380,702.52
November 15, 2021... 13,074,845.56
December 15, 2021... 12,774,032.15
January 15, 2022.... 12,478,187.35
February 15, 2022... 12,187,237.25
March 15, 2022...... 11,901,109.01
April 15, 2022...... 11,619,730.80
May 15, 2022........ 11,343,031.84
June 15, 2022....... 11,070,942.33
July 15, 2022....... 10,803,393.48
August 15, 2022..... 10,540,317.46
September 15,
2022.............. 10,281,647.41
October 15, 2022.... 10,027,317.44
November 15, 2022... 9,777,262.55
December 15, 2022... 9,531,418.72
January 15, 2023.... 9,289,722.81
February 15, 2023... 9,052,112.58
March 15, 2023...... 8,818,526.68
April 15, 2023...... 8,588,904.65
May 15, 2023........ 8,363,186.86
June 15, 2023....... 8,141,314.55
July 15, 2023....... 7,923,229.81
August 15, 2023..... 7,708,875.53
September 15,
2023.............. 7,498,195.43
October 15, 2023.... 7,291,134.03
November 15, 2023... 7,087,636.66
December 15, 2023... 6,887,649.39
</TABLE>
<TABLE>
<CAPTION>
PAC
(AGGREGATE)
CONTINUED
<S> <C>
January 15, 2024.... $ 6,691,119.10
February 15, 2024... 6,497,993.42
March 15, 2024...... 6,308,220.72
April 15, 2024...... 6,121,750.12
May 15, 2024........ 5,938,531.46
June 15, 2024....... 5,758,515.30
July 15, 2024....... 5,581,652.92
August 15, 2024..... 5,407,896.28
September 15,
2024.............. 5,237,198.05
October 15, 2024.... 5,069,511.55
November 15, 2024... 4,904,790.81
December 15, 2024... 4,742,990.48
January 15, 2025.... 4,584,065.90
February 15, 2025... 4,427,973.01
March 15, 2025...... 4,274,668.42
April 15, 2025...... 4,124,109.35
May 15, 2025........ 3,976,253.64
June 15, 2025....... 3,831,059.72
July 15, 2025....... 3,688,486.64
August 15, 2025..... 3,548,494.03
September 15,
2025.............. 3,411,042.11
October 15, 2025.... 3,276,091.67
November 15, 2025... 3,143,604.06
December 15, 2025... 3,013,541.20
January 15, 2026.... 2,885,865.54
February 15, 2026... 2,760,540.09
March 15, 2026...... 2,637,528.40
April 15, 2026...... 2,516,794.53
May 15, 2026........ 2,398,303.08
June 15, 2026....... 2,282,019.13
July 15, 2026....... 2,167,908.31
August 15, 2026..... 2,055,936.71
September 15,
2026.............. 1,946,070.94
October 15, 2026.... 1,838,278.07
November 15, 2026... 1,732,525.67
December 15, 2026... 1,628,781.76
January 15, 2027.... 1,527,014.85
February 15, 2027... 1,427,193.88
March 15, 2027...... 1,329,288.27
April 15, 2027...... 1,233,267.86
May 15, 2027........ 1,139,102.94
June 15, 2027....... 1,046,764.25
July 15, 2027....... 956,222.92
August 15, 2027..... 867,450.53
September 15,
2027.............. 780,419.06
October 15, 2027.... 695,100.92
November 15, 2027... 611,468.89
December 15, 2027... 529,496.18
January 15, 2028.... 449,156.37
February 15, 2028... 370,423.44
March 15, 2028...... 293,271.74
April 15, 2028...... 217,676.02
May 15, 2028........ 143,611.36
June 15, 2028....... 71,053.23
July 15, 2028
and after......... 0.00
</TABLE>
SCHEDULED CLASSES
<TABLE>
<CAPTION>
PAYMENT DATE
------------
SCHEDULED
(AGGREGATE)
<S> <C>
April 15, 1999...... $233,524,439.59
May 15, 1999........ 231,722,600.93
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
June 15, 1999....... $229,674,872.47
July 15, 1999....... 227,382,025.89
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
August 15, 1999..... $224,845,016.09
September 15,
1999.............. 222,064,980.87
</TABLE>
S-18
<PAGE> 290
<TABLE>
<CAPTION>
PAYMENT DATE
------------
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
October 15, 1999.... $219,043,240.52
November 15, 1999... 215,781,297.07
December 15, 1999... 212,280,833.37
January 15, 2000.... 208,543,711.92
February 15, 2000... 204,571,973.50
March 15, 2000...... 200,367,835.53
April 15, 2000...... 195,933,690.23
May 15, 2000........ 191,272,102.57
June 15, 2000....... 186,385,808.00
July 15, 2000....... 181,277,709.91
August 15, 2000..... 175,950,876.92
September 15,
2000.............. 170,408,539.97
October 15, 2000.... 164,654,089.16
November 15, 2000... 158,691,070.39
December 15, 2000... 152,523,181.82
January 15, 2001.... 146,154,270.16
February 15, 2001... 139,588,326.66
March 15, 2001...... 132,829,483.05
April 15, 2001...... 125,882,007.21
May 15, 2001........ 124,040,871.16
June 15, 2001....... 122,155,897.12
July 15, 2001....... 120,229,326.71
August 15, 2001..... 118,332,852.35
September 15,
2001.............. 116,466,177.02
October 15, 2001.... 114,629,006.28
November 15, 2001... 112,821,048.26
December 15, 2001... 111,042,013.67
January 15, 2002.... 109,291,615.72
February 15, 2002... 107,569,570.17
March 15, 2002...... 105,875,595.24
April 15, 2002...... 104,209,411.63
May 15, 2002........ 102,570,742.51
June 15, 2002....... 100,959,313.45
July 15, 2002....... 99,374,852.46
August 15, 2002..... 97,817,089.92
September 15,
2002.............. 96,285,758.59
October 15, 2002.... 94,780,593.57
November 15, 2002... 93,301,332.32
December 15, 2002... 91,847,714.57
January 15, 2003.... 90,419,482.38
February 15, 2003... 89,016,380.08
March 15, 2003...... 87,638,154.22
April 15, 2003...... 86,284,553.64
May 15, 2003........ 84,955,329.36
June 15, 2003....... 83,650,234.62
July 15, 2003....... 82,369,024.82
August 15, 2003..... 81,111,457.55
September 15,
2003.............. 79,877,292.52
October 15, 2003.... 78,666,291.59
November 15, 2003... 77,478,218.72
December 15, 2003... 76,312,839.97
January 15, 2004.... 75,169,923.45
February 15, 2004... 74,049,239.36
March 15, 2004...... 72,950,559.92
April 15, 2004...... 71,873,659.39
May 15, 2004........ 70,818,314.03
June 15, 2004....... 69,784,302.07
July 15, 2004....... 68,771,403.76
August 15, 2004..... 67,779,401.26
September 15,
2004.............. 66,808,078.69
October 15, 2004.... 65,857,222.11
November 15, 2004... 64,926,619.47
December 15, 2004... 64,016,060.62
January 15, 2005.... 63,125,337.27
February 15, 2005... 62,254,243.03
March 15, 2005...... 61,402,573.31
April 15, 2005...... 60,570,125.39
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
May 15, 2005........ $ 59,756,698.35
June 15, 2005....... 58,962,093.05
July 15, 2005....... 58,186,112.17
August 15, 2005..... 57,428,560.14
September 15,
2005.............. 56,689,243.15
October 15, 2005.... 55,967,969.13
November 15, 2005... 55,264,547.73
December 15, 2005... 54,578,790.33
January 15, 2006.... 53,910,509.99
February 15, 2006... 53,259,521.46
March 15, 2006...... 52,625,641.15
April 15, 2006...... 52,008,687.15
May 15, 2006........ 51,408,479.16
June 15, 2006....... 50,824,838.52
July 15, 2006....... 50,257,588.20
August 15, 2006..... 49,706,552.75
September 15,
2006.............. 49,171,558.31
October 15, 2006.... 48,652,432.59
November 15, 2006... 48,149,004.88
December 15, 2006... 47,661,106.00
January 15, 2007.... 47,188,568.31
February 15, 2007... 46,731,225.69
March 15, 2007...... 46,288,913.52
April 15, 2007...... 45,861,468.69
May 15, 2007........ 45,448,729.57
June 15, 2007....... 45,050,536.00
July 15, 2007....... 44,666,729.27
August 15, 2007..... 44,297,152.12
September 15,
2007.............. 43,941,648.75
October 15, 2007.... 43,600,064.73
November 15, 2007... 43,282,486.12
December 15, 2007... 42,996,126.53
January 15, 2008.... 42,740,493.43
February 15, 2008... 42,515,100.61
March 15, 2008...... 42,319,468.17
April 15, 2008...... 42,126,409.04
May 15, 2008........ 41,927,827.93
June 15, 2008....... 41,723,902.44
July 15, 2008....... 41,514,806.57
August 15, 2008..... 41,300,710.78
September 15,
2008.............. 41,081,782.04
October 15, 2008.... 40,858,183.90
November 15, 2008... 40,630,076.56
December 15, 2008... 40,397,616.89
January 15, 2009.... 40,160,958.56
February 15, 2009... 39,920,252.01
March 15, 2009...... 39,675,644.56
April 15, 2009...... 39,427,280.45
May 15, 2009........ 39,175,300.91
June 15, 2009....... 38,919,844.18
July 15, 2009....... 38,661,045.59
August 15, 2009..... 38,399,037.61
September 15,
2009.............. 38,133,949.87
October 15, 2009.... 37,865,909.25
November 15, 2009... 37,595,039.92
December 15, 2009... 37,321,463.35
January 15, 2010.... 37,045,298.43
February 15, 2010... 36,766,661.43
March 15, 2010...... 36,485,666.12
April 15, 2010...... 36,202,423.78
May 15, 2010........ 35,917,043.23
June 15, 2010....... 35,629,630.92
July 15, 2010....... 35,340,290.92
August 15, 2010..... 35,049,125.02
September 15,
2010.............. 34,756,232.70
October 15, 2010.... 34,461,711.25
November 15, 2010... 34,165,655.74
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
December 15, 2010... $ 33,868,159.11
January 15, 2011.... 33,569,312.18
February 15, 2011... 33,269,203.70
March 15, 2011...... 32,967,920.38
April 15, 2011...... 32,665,546.94
May 15, 2011........ 32,362,166.14
June 15, 2011....... 32,057,858.81
July 15, 2011....... 31,752,703.89
August 15, 2011..... 31,446,778.46
September 15,
2011.............. 31,140,157.79
October 15, 2011.... 30,832,915.35
November 15, 2011... 30,525,122.86
December 15, 2011... 30,216,850.32
January 15, 2012.... 29,908,166.03
February 15, 2012... 29,599,136.65
March 15, 2012...... 29,289,827.19
April 15, 2012...... 28,980,301.07
May 15, 2012........ 28,670,620.16
June 15, 2012....... 28,360,844.75
July 15, 2012....... 28,051,033.65
August 15, 2012..... 27,741,244.19
September 15,
2012.............. 27,431,532.23
October 15, 2012.... 27,121,952.21
November 15, 2012... 26,812,557.18
December 15, 2012... 26,503,398.81
January 15, 2013.... 26,194,527.41
February 15, 2013... 25,885,991.98
March 15, 2013...... 25,577,840.24
April 15, 2013...... 25,270,118.61
May 15, 2013........ 24,962,872.28
June 15, 2013....... 24,656,145.22
July 15, 2013....... 24,349,980.18
August 15, 2013..... 24,044,418.75
September 15,
2013.............. 23,739,501.38
October 15, 2013.... 23,435,267.35
November 15, 2013... 23,131,754.87
December 15, 2013... 22,829,001.04
January 15, 2014.... 22,527,041.91
February 15, 2014... 22,225,912.45
March 15, 2014...... 21,925,646.65
April 15, 2014...... 21,626,277.47
May 15, 2014........ 21,327,836.89
June 15, 2014....... 21,030,355.92
July 15, 2014....... 20,733,864.64
August 15, 2014..... 20,438,392.18
September 15,
2014.............. 20,143,966.78
October 15, 2014.... 19,850,615.78
November 15, 2014... 19,558,365.64
December 15, 2014... 19,267,241.99
January 15, 2015.... 18,977,269.60
February 15, 2015... 18,688,472.42
March 15, 2015...... 18,400,873.61
April 15, 2015...... 18,114,495.53
May 15, 2015........ 17,829,359.78
June 15, 2015....... 17,545,487.18
July 15, 2015....... 17,262,897.84
August 15, 2015..... 16,981,611.12
September 15,
2015.............. 16,701,645.70
October 15, 2015.... 16,423,019.53
November 15, 2015... 16,145,749.90
December 15, 2015... 15,869,853.43
January 15, 2016.... 15,595,346.09
February 15, 2016... 15,322,243.20
March 15, 2016...... 15,050,559.48
April 15, 2016...... 14,780,309.00
May 15, 2016........ 14,511,505.26
June 15, 2016....... 14,244,161.18
</TABLE>
S-19
<PAGE> 291
<TABLE>
<CAPTION>
PAYMENT DATE
------------
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
July 15, 2016....... $ 13,978,289.08
August 15, 2016..... 13,713,900.73
September 15,
2016.............. 13,451,007.36
October 15, 2016.... 13,189,619.66
November 15, 2016... 12,929,747.78
December 15, 2016... 12,671,401.38
January 15, 2017.... 12,414,589.59
February 15, 2017... 12,159,321.08
March 15, 2017...... 11,905,604.01
April 15, 2017...... 11,653,446.09
May 15, 2017........ 11,402,854.56
June 15, 2017....... 11,153,836.22
July 15, 2017....... 10,906,397.43
August 15, 2017..... 10,660,544.11
September 15,
2017.............. 10,416,281.77
October 15, 2017.... 10,173,615.51
November 15, 2017... 9,932,550.03
December 15, 2017... 9,693,089.64
January 15, 2018.... 9,455,238.27
February 15, 2018... 9,218,999.46
March 15, 2018...... 8,984,376.42
April 15, 2018...... 8,751,371.97
May 15, 2018........ 8,519,988.60
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
June 15, 2018....... $ 8,290,228.46
July 15, 2018....... 8,062,093.38
August 15, 2018..... 7,835,584.84
September 15,
2018.............. 7,610,704.03
October 15, 2018.... 7,387,451.81
November 15, 2018... 7,165,828.78
December 15, 2018... 6,945,835.20
January 15, 2019.... 6,727,471.08
February 15, 2019... 6,510,736.13
March 15, 2019...... 6,295,629.81
April 15, 2019...... 6,082,151.29
May 15, 2019........ 5,870,299.52
June 15, 2019....... 5,660,073.16
July 15, 2019....... 5,451,470.65
August 15, 2019..... 5,244,490.18
September 15,
2019.............. 5,039,129.73
October 15, 2019.... 4,835,387.02
November 15, 2019... 4,633,259.58
December 15, 2019... 4,432,744.71
January 15, 2020.... 4,233,839.52
February 15, 2020... 4,036,540.90
March 15, 2020...... 3,840,845.54
April 15, 2020...... 3,646,749.96
</TABLE>
<TABLE>
<CAPTION>
SCHEDULED
(AGGREGATE)
CONTINUED
<S> <C>
May 15, 2020........ $ 3,454,250.49
June 15, 2020....... 3,263,343.26
July 15, 2020....... 3,074,024.25
August 15, 2020..... 2,886,289.24
September 15,
2020.............. 2,700,133.88
October 15, 2020.... 2,515,553.63
November 15, 2020... 2,332,543.82
December 15, 2020... 2,151,099.60
January 15, 2021.... 1,971,215.99
February 15, 2021... 1,792,887.88
March 15, 2021...... 1,616,109.99
April 15, 2021...... 1,440,876.95
May 15, 2021........ 1,267,183.21
June 15, 2021....... 1,095,023.15
July 15, 2021....... 924,390.97
August 15, 2021..... 755,280.80
September 15,
2021.............. 587,686.65
October 15, 2021.... 421,602.39
November 15, 2021... 257,021.82
December 15, 2021... 93,938.62
January 15, 2022
and after......... 0.00
</TABLE>
RETAIL CLASS PRINCIPAL PAYMENTS
General
The TT, UU and VV Classes are Retail Classes. Freddie Mac has arranged to
make principal payments on each Retail Class in $1,000 increments. These
arrangements are intended to accommodate retail investors who may not wish to
receive their principal payments in amounts smaller than $1,000, to give a
limited payment priority to investors who request early payment, and to give the
first limited payment priority to the requesting estates of deceased investors.
Principal payments on the Retail Classes will be made as follows:
- Freddie Mac will determine the amount of principal, if any, payable on
a Retail Class (as a whole) on each Payment Date as described above.
- The principal payment on a Retail Class will be rounded to a multiple
of $1,000 using the Retail Rounding Account, and the Registrar will
pay the rounded amount to the Retail Depository.
- The Retail Depository will remit the principal payment for a Retail
Class, in multiples of $1,000, to the applicable Retail Depository
Participants. The Retail Depository Participants and other financial
intermediaries in turn will remit principal payments to investors in a
Retail Class, also in multiples of $1,000.
- Investors in a Retail Class who have properly requested early payment
will be paid first, to the extent of available principal, with a first
priority given to "Deceased Owners" of that Class and a second
priority to "Living Owners" of that Class.
- If more principal is available for payment on a Retail Class than the
amount covered by valid requests for early payment, non-requesting
investors in that Class will receive principal payments in multiples
of $1,000 under procedures described below.
The rest of this section describes these procedures in more detail.
Rounding of Principal Payments
Whenever principal payments are to be made on a Retail Class, the amount
allocable to that Class will be rounded to a multiple of $1,000. On the first
Payment Date when principal payments will be made on a Retail
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<PAGE> 292
Class, the Registrar will withdraw from the Retail Rounding Account any funds
needed to round the allocable amount upward to the next multiple of $1,000 and
will pay the rounded amount on that Class. On the next Payment Date when
principal payments will be made on such Retail Class, the Registrar will apply
the allocable amount first to repay any amount withdrawn for that Class from the
Retail Rounding Account on the previous Payment Date; then it will round the
remainder of such allocable amount upward to the next multiple of $1,000, by
making another withdrawal from the Retail Rounding Account, and will pay this
amount to such Retail Class. This process will continue on subsequent Payment
Dates until such Retail Class has been retired.
Principal Payment Requests and Withdrawals
Any beneficial owner of Retail Class Units may request that any or all of
such Units be paid in full on the earliest possible Payment Date. The beneficial
owner must submit any request for Retail Class principal payments to his or her
broker or other financial intermediary, which must in turn make the request in
writing to the Retail Depository. The Retail Depository will date and time stamp
all requests in accordance with its established procedures and forward the
requests to the Registrar. The Registrar will maintain a list of those Retail
Depository Participants representing beneficial owners that have requested
Retail Class principal payments, together with the order of receipt and the
amounts of the requests. Investors can get information regarding the number of
Retail Class Units of the applicable Class for which requests have been made and
the status of their own requests by writing the Registrar at Chase Bank of
Texas, National Association, 601 Travis, 8TCT39, Houston, TX 77002.
A beneficial owner may withdraw a request for a Retail Class principal
payment by notifying his or her broker or other financial intermediary, which
must in turn forward the notice of withdrawal in writing to the Registrar. Any
request for a Retail Class principal payment will be deemed withdrawn when the
Registrar receives notice of the beneficial owner's transfer of the related
Retail Class Units.
In order for a request or a notice of withdrawal to be effective for any
Payment Date, it must be received by the Retail Depository (in the case of a
request) or the Registrar (in the case of a withdrawal) by the last business day
of the preceding calendar month. Once effective, a request will remain effective
for all Payment Dates unless it is withdrawn.
The Retail Depository will honor requests for Retail Class principal
payments to be made on any Payment Date in accordance with the procedures
described below. The Registrar will notify the Retail Depository and the
appropriate Retail Depository Participants which of the requests should be
honored on each Payment Date. The decisions of the Registrar and the Retail
Depository concerning these matters, and any related rules and procedures they
establish, will be binding on all affected persons.
Principal Payment Allocations
Payments to Requesting Beneficial Owners. For any Payment Date, priority
of payment on a Retail Class will be given to beneficial owners of that Class
for whom principal payment requests are in effect. The Retail Depository will
honor requests in the following order of priority:
First, the Retail Depository will honor requests submitted on behalf
of Deceased Owners of a Retail Class in the order of their receipt by the
Retail Depository, until such requests have been honored in an amount up to
$100,000 for each requesting Deceased Owner of that Class; and
Second, the Retail Depository will honor requests submitted on behalf
of Living Owners of a Retail Class in the order of priority established by
the random lot procedures of the Registrar, until such requests have been
honored in an amount up to $10,000 for each requesting Living Owner of that
Class.
Thereafter, the Retail Depository will honor requests submitted on behalf
of each Deceased Owner as provided in step First up to a second $100,000, and
requests submitted on behalf of each Living Owner as provided in step Second up
to a second $10,000. This sequence of priorities will be repeated until all
principal payment requests have been honored.
If the amount of principal available for payment on a Retail Class on a
given Payment Date is insufficient to honor all requests, such requests will be
honored on succeeding Payment Dates as principal becomes
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<PAGE> 293
available. In the case of requests on behalf of Living Owners, the Registrar
will establish a new order of priority for each Payment Date by random lot. This
order will apply both to previously unsatisfied payment requests and to newly
submitted requests. A Retail Class principal payment request submitted on behalf
of a Living Owner who later dies will become entitled to the priority of a newly
submitted request on behalf of a Deceased Owner. Such priority will be effective
for each subsequent Payment Date, if the Retail Depository has received
appropriate evidence of death and any requested tax waivers by the last business
day of the preceding calendar month.
Payments to Non-Requesting Beneficial Owners. If the amount of principal
available for payments on a Retail Class on a given Payment Date exceeds the
amount needed to honor all principal payment requests, the Retail Depository
will determine which Retail Class Units will be paid, using its established
random lot procedures. Each Retail Depository Participant receiving such
payments, and each financial intermediary in the chain to the beneficial owners,
will remit payments to their customers according to their own procedures, which
may or may not be by random lot. A Retail Depository Participant or financial
intermediary could decide to allot Retail Class principal payments to certain
customers (which could include such Retail Depository Participant or
intermediary) without allotting payments to others. Investors may ask their
brokers or other intermediaries what allocation procedures they use.
Beneficial Owners
A "Deceased Owner" is the estate of an individual who beneficially owned
one or more Retail Class Units of the applicable Class at the time of death,
provided the executor or other authorized representative of the estate furnishes
to the Retail Depository evidence of death satisfactory to the Registrar and any
tax waivers requested by the Registrar. A "Living Owner" is any other beneficial
owner of one or more Retail Class Units.
The following rules will apply to determine beneficial ownership in the
case of Deceased Owners:
- Retail Class Units beneficially owned by tenants by the entirety,
joint tenants or tenants in common will be regarded as beneficially
owned by a single owner. The death of a tenant by the entirety, joint
tenant or tenant in common will be deemed the death of the beneficial
owner, and the Retail Class Units beneficially owned will become
eligible for the principal payment priority described above.
- Retail Class Units beneficially owned by a trust will be regarded as
beneficially owned by each beneficiary of the trust to the extent of
that beneficiary's interest in the trust (however, a trust's
beneficiaries collectively cannot be beneficial owners of more Retail
Class Units than are owned by the trust). The death of a beneficiary
of a trust will be deemed the death of a beneficial owner of the
Retail Class Units beneficially owned by the trust to the extent of
that beneficiary's interest in the 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 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 interest in a Retail Class Unit
will be deemed the death of the beneficial owner of that Retail Class
Unit, regardless of the registration of ownership, if such beneficial
interest can be established to the satisfaction of the Registrar. Such
beneficial interest will exist in many 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 spouses. Beneficial interest will be evidenced by
such factors as the power to sell or otherwise dispose of a Retail
Class Unit, the right to receive the proceeds of sale or disposition
and the right to receive interest and principal payments on a Retail
Class Unit.
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<PAGE> 294
CLASS FACTORS
Description of Factors
On or about the first business day of each month after the Closing Date,
Freddie Mac will make available (including on its Internet Web-Site) a Class
Factor for each Class having a principal amount. The Class Factor for any Class
for any month will be a truncated seven-digit decimal which, when multiplied by
the original principal amount of a Security of that Class, will equal its
remaining principal amount, after giving effect to any principal payment to be
made on the Payment Date in the same month. The Class Factor for an Accrual
Class will also reflect any addition to its principal amount to be made on the
same Payment Date. For example, the January 1 Class Factor for any Class will
reflect the remaining principal amount of a Security of that Class, after giving
effect to any principal payment (or addition to principal) to be made on January
15. Freddie Mac will also make available a Class Factor for each Notional Class,
which will reflect the remaining notional principal amount of a Security of that
Class in an analogous manner. The Class Factor for each Retail Class will apply
to that Class as a whole, not to individual Retail Class Units, and will
disregard any rounding of principal payments. The Class Factor for each Class
for the month of the Closing Date is 1.0000000.
Use of Factors
For any Payment Date, investors can calculate the reduction (or for an
Accrual Class, the increase) in the principal amount of a Security of any Class
entitled to principal payments by multiplying the original principal amount of
that Security by the difference between its Class Factors for the preceding and
current months. The amount of interest to be paid on (or added to the principal
amount of) a Security of any Class on each Payment Date will equal 30 days'
interest on its outstanding principal amount (or notional principal amount) as
determined by its Class Factor for the preceding month.
For example, the reduction (or for an Accrual Class, the increase) in the
principal amount of any Security entitled to principal payments on February 15
will reflect the difference between its January 1 and February 1 Class Factors.
The amount of interest to be paid on (or added to the principal amount of) any
Security on February 15 will equal 30 days' interest at its Class Coupon,
accrued during the month of January, on the principal amount or notional
principal amount of such Security determined by its January 1 Class Factor. If
the outstanding balance of any interest-bearing Class is reduced on the Payment
Date that falls within an Accrual Period, that Class will accrue interest during
such Accrual Period on its reduced balance, even though its balance had been
higher for approximately the first 15 days of the Accrual Period. No interest at
all will be paid on any Class (or on any Retail Class Unit) after its balance
has been reduced to zero.
GUARANTEES
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement. See
"Description of Securities -- Guarantees" in the Offering Circular.
Freddie Mac also guarantees the payment of interest and principal on Gold
PCs and Gold Giant PCs. See "Guarantees" in the PC Offering Circular and
"Description of Pass-Through PCs -- Guarantees" in the Giant PC Offering
Circular.
OPTIONAL REDEMPTION
Freddie Mac may redeem the Mortgage Securities and the RS Class, in whole
but not in part, on any Payment Date when their aggregate outstanding principal
amount would be less than 1% of their aggregate original principal amount. Upon
any redemption, the redemption price of the Mortgage Securities will be applied
to retire the outstanding Regular Classes. Any outstanding MACR Class will be
retired from the proceeds of any redemption of its related Regular Classes. The
PCs are not redeemable. See "Description of Securities -- Optional Redemption"
in the Offering Circular.
RESIDUAL PROCEEDS
Upon surrender of their certificates to the Registrar, the Holders of the
RS Class will receive the proceeds of the remaining assets of the Lower-Tier
REMIC Pool, if any, after all required principal and interest
S-23
<PAGE> 295
payments on the Mortgage Securities and the RS Class have been made. Upon like
surrender, the Holders of the R Class will receive the proceeds of the remaining
assets of the Upper-Tier REMIC Pool (including the Retail Rounding Account)
after all required principal and interest payments on the Regular Classes and
the R Class have been made. In both cases, any remaining assets (other than the
Retail Rounding Account) are not likely to be significant.
PREPAYMENT AND YIELD ANALYSIS
GENERAL
Mortgage Prepayments
The rates of principal payments on the Assets will depend directly, and the
rates of principal payments on the Securities will depend indirectly, on the
rates of principal payments on the related Mortgages. Mortgage principal
payments may be in the form of scheduled amortization or partial or full
prepayments. "Prepayments" include prepayments by the borrower, liquidations
resulting from default, casualty or condemnation and payments made by Freddie
Mac pursuant to its guarantee of principal (other than scheduled amortization)
on PCs. The Mortgages are subject to prepayment at any time without penalty.
Mortgage prepayment rates are likely to fluctuate significantly. In
general, when prevailing mortgage interest rates decline significantly below the
interest rates on the Mortgages, the prepayment rate on the Mortgages is likely
to increase, although a number of other factors also may influence the
prepayment rate. See "Prepayments, Yields and Suitability" in the PC Offering
Circular.
Acceleration of mortgage payments as a result of transfers of mortgaged
properties is an important factor affecting prepayment rates. The Mortgages
generally provide that, in the event of the transfer or prospective transfer of
the underlying mortgaged property, the full unpaid principal balance is due and
payable at the option of the holder. Freddie Mac, in most cases, requires
mortgage servicers to enforce such "due-on-transfer" provisions where permitted
by applicable law. See "Mortgage Purchase and Servicing Standards -- Mortgage
Servicing -- Assumption and Due-on-Transfer Policies" in the PC Offering
Circular.
PSA Model
Prepayments on pools of mortgages are commonly measured relative to a
variety of prepayment models. The particular model used in this Supplement,
"PSA," is the standard prepayment model of The Bond Market Association. This
model assumes that mortgages will prepay at an annual rate of 0.2% in the first
month after origination, that the prepayment rate increases at an annual rate of
0.2% per month up to the 30th month after origination and that the prepayment
rate is constant at 6% per annum in the 30th and later months (this assumption
is called "100% PSA"). For example, at 100% PSA, mortgages with a loan age of
three months (i.e., mortgages in their fourth month after origination) are
assumed to prepay at an annual rate of 0.8%. "0% PSA" assumes no prepayments;
"50% PSA" assumes prepayment rates equal to 0.50 times 100% PSA; "200% PSA"
assumes prepayment rates equal to 2.00 times 100% PSA; and so forth. PSA is not
a description of historical prepayment experience or a prediction of the rate of
prepayment of the Mortgages.
Weighted Average Life
The weighted average life of a security refers to the average amount of
time that will elapse from the date of its issuance until each dollar of
principal has been repaid to the investor. The weighted average lives of the
Classes will depend primarily on the rate at which principal is paid on the
related Mortgages. This Supplement shows weighted average lives under various
Mortgage prepayment assumptions. In each case, Freddie Mac has calculated the
weighted average life by (i) multiplying the assumed net reduction, if any, in
the principal amount on each Payment Date by the number of years from the
Closing Date to such Payment Date, (ii) summing the results and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in principal
amount.
Yield
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Mortgages and the
actual characteristics of the related Mortgages. In the case of a Retail Class,
the yield of a particular Retail Class Unit will also depend upon the date on
which it is retired as
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a result of the priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement. The yield of
each Floating Rate or Inverse Floating Rate Class will also depend on its
sensitivity to the level of LIBOR. This Supplement shows pre-tax yields to
maturity under various scenarios. In each case, Freddie Mac has calculated the
pre-tax yield by (i) determining the monthly discount rate (whether positive or
negative) that, when applied to an assumed stream of cash flows to be paid on
the applicable Class, would cause the discounted present value of such assumed
stream of cash flows to equal an assumed purchase price (including accrued
interest, if any) of that Class and (ii) converting such monthly rate to a
corporate bond equivalent (i.e., semiannual payment) rate. The yield
calculations do not take into account any variations in the interest rates at
which investors may be able to reinvest payments received. Consequently, they do
not reflect the return on any investment when reinvestment rates other than the
discount rate are considered.
Modeling Assumptions
In order to prepare the various tables and other statistical information in
this Supplement, Freddie Mac has made certain assumptions regarding the
underlying Mortgages. Unless otherwise noted, each table is based on the
following assumptions (the "Modeling Assumptions"), among others:
- The Mortgages have the assumed characteristics shown under "Terms
Sheet -- Assumed Mortgage Characteristics" in this Supplement.
- Payments on the Classes and their underlying Assets are always
received on the 15th of the month, whether or not a Business Day.
- Freddie Mac does not make an optional redemption.
- Each Class is held from the Closing Date to retirement and is not
exchanged in whole or in part.
- Principal payments on a Retail Class are not rounded to multiples of
$1,000.
When reading the tables and the related text, investors should bear in mind
that the Modeling Assumptions, like any other stated assumptions, are unlikely
to be entirely consistent with actual experience. For example, most of the
Mortgages do not have the characteristics assumed, many Payment Dates will occur
on the first Business Day after the 15th of the month and Freddie Mac may make
an optional redemption as described under "Payments -- Optional Redemption"
above.
Principal Payment Stability
Mortgages and mortgage securities, such as the Assets and Securities, are
subject to prepayment uncertainty. The rates of principal payments on the Assets
will depend directly, and the rates of principal payments on the Securities will
depend indirectly, on the rates of principal payments on their related
Mortgages. However, within certain limits, some Classes of Securities, such as
the PAC Classes, are expected to exhibit a lower level of prepayment uncertainty
than the related Mortgages and Assets. Such Classes are said to have a degree of
"stability." Stability in one Class or group of Classes is necessarily offset by
instability in other Classes, such as the Support Classes, which are said to
"support" the more stable Classes.
Suitability
The Securities, especially the Inverse Floating Rate, Interest Only,
Principal Only, Support, Accrual, Retail and Residual Classes, are not suitable
investments for all investors. The Securities are not appropriate investments
for any investor that requires a single lump sum payment on a predetermined date
or an otherwise certain payment stream. In addition, although the Underwriter
intends to make a market for the purchase and sale of the Securities after their
initial issuance, it has no obligation to do so. There is no assurance that such
secondary market will develop, that any secondary market will continue, or that
the price at which an investor can sell an investment in any Class will enable
the investor to realize a desired yield on that investment. The market values of
the Classes are likely to fluctuate; such fluctuations may be significant and
could result in significant losses to investors. The secondary markets for
mortgage-related securities have experienced periods of illiquidity and can be
expected to do so in the future. Illiquidity can have a severely adverse effect
on the prices of Classes that are especially sensitive to prepayment or interest
rate risk or that have been structured to meet the investment requirements of
limited categories of investors. Investors are encouraged to consult their own
advisors regarding the financial, legal, tax and other aspects of an investment
in the Securities. The
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flexibility created by the ability to modify and combine certain Classes of
REMIC Certificates and the MACR Classes may affect the liquidity of the Classes
and the prices that potential purchasers are willing to pay in the secondary
market. No investor should purchase Securities of any Class unless the investor
understands and is able to bear the prepayment, yield, liquidity and market
risks associated with that Class.
PREPAYMENT AND WEIGHTED AVERAGE LIFE CONSIDERATIONS
Accretion Directed Classes
Payments of principal on the CV and CW Classes, on the VA, VB and VC
Classes, and on the VE Class are likely to be stable, in varying degrees, under
relatively slow prepayment scenarios because the applicable Accrual Amounts will
be dedicated to making principal payments on those Classes, as described above,
until they have been retired. The weighted average life of such an Accretion
Directed Class cannot exceed its weighted average life as shown in the following
table under any prepayment scenario, even a scenario where there are no
prepayments. Moreover, based on the Modeling Assumptions, each such Accretion
Directed Class would be retired on, but not before, its Final Payment Date if
the related Mortgages prepay at any rate at or below the rate shown for that
Class until its retirement.
ACCRETION DIRECTED CLASSES
<TABLE>
<CAPTION>
MAXIMUM WEIGHTED
AVERAGE LIFE PREPAYMENT RATE
CLASS (IN YEARS) FINAL PAYMENT DATE AT OR BELOW
----- ---------------- ------------------ ---------------
<S> <C> <C> <C>
CV...................................... 3.9 June 15, 2006 342% PSA
CW...................................... 9.0 December 15, 2009 217% PSA
VA...................................... 3.0 November 15, 2004 457% PSA
VB...................................... 8.0 May 15, 2009 241% PSA
VC...................................... 14.7 November 15, 2017 101% PSA
VE...................................... 3.0 November 15, 2004 667% PSA
</TABLE>
The related Mortgages will have characteristics that differ from those of
the Modeling Assumptions. Therefore, even if the Mortgages prepay at a rate at
or somewhat below the rate shown for an Accretion Directed Class, that Class
could be retired before its Final Payment Date and its weighted average life
could be shortened.
The principal payment stability of the Accretion Directed Classes shown
above will be supported primarily by their receipt of the related Accrual
Amounts. The CV and CW Classes will be protected against early retirement by the
CA and CE Classes. The VA, VB and VC Classes will be protected against early
retirement by the A, AB, AC, BA and BC Classes. The VE Class will be protected
against early retirement by the Group 3 Scheduled and Support Classes and most
of the Group 3 PAC Classes. When the applicable Classes are retired, however,
any such Accretion Directed Class, if outstanding, will become sensitive to
Mortgage prepayments and may be retired before its Final Payment Date.
PAC and Scheduled Classes
Principal payments on the PAC and Scheduled Classes are expected to be more
stable than would be the case if they were not entitled to receive such
payments, to the extent of available principal, in accordance with their
schedules. Moreover, these Classes will have cumulative priorities for future
payments if they fall behind their schedules. Based on the Modeling Assumptions,
each such Class has a range of constant Mortgage prepayment rates (an "Effective
Range") at which it would receive scheduled payments. The Effective Range at any
time depends on the actual or assumed characteristics of the underlying
Mortgages at that time. Based on the Modeling Assumptions, each PAC or Scheduled
Class would receive scheduled payments until retirement if the underlying
Mortgages were to prepay at any constant percentage of PSA within its initial
Effective Range shown in the following table.
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<PAGE> 298
INITIAL EFFECTIVE RANGES
<TABLE>
<CAPTION>
CLASS RANGE*
----- -------------------
<S> <C>
Group 1
PAC
PA........................................................ 100% PSA - 434% PSA
PB........................................................ 100% PSA - 325% PSA
PC........................................................ 100% PSA - 296% PSA
PD........................................................ 100% PSA - 257% PSA
PE, PF and QF............................................. 100% PSA - 250% PSA
PG........................................................ 83% PSA - 250% PSA
SCHEDULED
GA and GB................................................. 140% PSA - 190% PSA
GC........................................................ 132% PSA - 190% PSA
Group 3
PAC
DF........................................................ 83% PSA - 250% PSA
TB and UB................................................. 100% PSA - 437% PSA
TE and UE................................................. 100% PSA - 257% PSA
TF, TG, TM, TP, TQ, TS, TU, TV and TX..................... 100% PSA - 250% PSA
TH........................................................ 83% PSA - 250% PSA
TL, TR and TW............................................. 100% PSA - 251% PSA
TN........................................................ 74% PSA - 250% PSA
TZ........................................................ 78% PSA - 250% PSA
UC........................................................ 100% PSA - 326% PSA
UD........................................................ 100% PSA - 296% PSA
VE........................................................ 0% PSA - 667% PSA
R......................................................... 0% PSA - 250% PSA
SCHEDULED
GR and GT................................................. 145% PSA - 215% PSA
GS........................................................ 131% PSA - 215% PSA
</TABLE>
-------------------
* The schedules for the Classes shown were prepared by calculating the
amounts that would be available for principal payments on those
Classes using, among other things, the Modeling Assumptions and the
"structuring ranges" shown under "Terms Sheet -- Allocation of
Principal" in this Supplement.
The underlying Mortgages will have characteristics that differ from those
of the Modeling Assumptions. The initial Effective Ranges, if calculated using
the actual characteristics of the Mortgages, could differ from those shown in
the table. Therefore, even if the Mortgages were to prepay at a constant rate
within the initial Effective Range shown for any Class, but near its upper or
lower end, that Class could fail to receive scheduled payments.
The underlying Mortgages will not prepay at any constant rate. Non-constant
prepayment rates can cause any Class not to receive scheduled payments, even if
such rates remain within its Effective Range shown above. The Effective Ranges
can narrow or "drift" upward or downward over time. Because the underlying
Mortgages will not prepay at the applicable constant rates and will have
characteristics that differ from those assumed, under many scenarios the Classes
shown in the table, especially the Scheduled Classes, would not consistently
receive scheduled payments.
The principal payment stability of the PAC and Scheduled Classes will be
supported by other Classes, as indicated below. When its supporting Classes are
retired, any outstanding PAC or Scheduled Class will become more sensitive to
Mortgage prepayments and its Effective Range will no longer exist. If such a
Scheduled Class supports any other Classes at that time, its principal payment
behavior will become similar to that of a Support Class, as described below.
SUPPORTING CLASSES
<TABLE>
<CAPTION>
CLASSES SUPPORTED BY
------- ------------
<S> <C>
Group 1
PAC......................................... Group 1 Support and Scheduled
Scheduled................................... Group 1 Support
Group 3
PAC......................................... Group 3 Support and Scheduled
Scheduled................................... Group 3 Support
</TABLE>
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<PAGE> 299
If the underlying Mortgages prepay at rates that are generally below the
Effective Range for any Class, the available principal may be insufficient to
produce scheduled payments on that Class and its weighted average life may be
extended, perhaps significantly. If the underlying Mortgages prepay at rates
that are generally above the Effective Range for any Class, its weighted average
life may be shortened, perhaps significantly. However, the weighted average
lives of one or more of the PAC or Scheduled Classes could be extended under
certain scenarios involving Mortgage prepayments at rates that are generally
above their Effective Ranges.
All available principal will be distributed monthly on each Payment Date
and will not be retained for distribution on subsequent Payment Dates. Thus, the
likelihood that the PAC and Scheduled Classes will receive scheduled payments
will not be enhanced by averaging high and low principal payments in different
months.
The DF, GA, GB and GC Classes have also been classified as Accretion
Directed Classes because they are entitled to receive payments from their
related Accrual Amounts, as described above. Such Classes may be somewhat more
stable under slow prepayment scenarios than would be the case if they were not
entitled to receive principal payments from such Accrual Amount. However, they
will not have all of the principal payment characteristics frequently associated
with Accretion Directed Classes.
Support Classes
The Support Classes will support the principal payment stability of the PAC
and Scheduled Classes, as described above. Thus, each Support Class is likely to
be much more sensitive to Mortgage prepayments than is any Class it supports.
The Support Classes may receive no principal payments for extended periods of
time and may receive principal payments that vary widely from period to period.
Relatively fast Mortgage prepayments may significantly shorten, and relatively
slow Mortgage prepayments may significantly extend, the weighted average lives
of the Support Classes.
Sequential Pay Classes
As described above, the Sequential Pay Classes will receive principal
payments from their related Assets in a prescribed sequence. While it is
receiving such principal payments, the sensitivity of each Sequential Pay Class
(other than an Accretion Directed Class) to prepayments on the underlying
Mortgages will be approximately the same as that of its related Assets.
MACR Classes
The payment characteristics of the MACR Classes will reflect the payment
characteristics of their related Classes of REMIC Certificates.
Retail Classes
Principal payments on each Retail Class will depend upon the prepayment
rate on the underlying Mortgages. As a result, it is uncertain when principal
payments on the Retail Classes will begin, at what rate principal payments on
the Retail Classes will be made and when the Retail Classes will be retired.
Some investors' Retail Class Units could be retired on the first Payment Date.
On the other hand, some investors' Retail Class Units could be retired as late
as the Final Payment Date for the Retail Classes.
The amount of principal available for payment on a Retail Class on any
given Payment Date will be limited. Thus, an investor's request for Retail Class
principal payments may not be honored until well after its submission. The
likelihood that any Living Owner's request can be honored within any particular
time after submission will depend in part on the number of Retail Class Units of
the same Class beneficially owned by investors who have a prior right of payment
because they are Deceased Owners and on the number of Retail Class Units of the
same Class owned by other Living Owners who have submitted requests. Conversely,
the amount of principal available for payment on a Retail Class on any given
Payment Date could exceed the amount necessary to honor all requests. In that
case, some investors will receive principal payments they did not request.
When prevailing interest rates are higher than the Class Coupon of a Retail
Class, a greater number of investors in that Class can be expected to request
Retail Class principal payments. At the same time, however,
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<PAGE> 300
Mortgage prepayment rates are likely to decline, reducing the funds available
for Retail Class principal payments. Conversely, Mortgage prepayment rates are
likely to accelerate when prevailing interest rates decline, while investors may
be less likely to request Retail Class principal payments. Investors whose
Retail Class Units are selected for payment under such conditions may not be
able to reinvest their payments at rates as high as the Class Coupon of the
related Retail Class.
The following tables show the amounts that would be available for principal
payments on the Retail Classes during the twelve-month periods indicated at
various constant percentages of PSA. Freddie Mac has prepared these tables based
on the Modeling Assumptions. Because Retail Class investors will receive
principal payments in multiples of $1,000 subject to the priorities, limitations
and allocations described above, there is no assurance that any investor will
receive a principal payment on any particular date.
AMOUNTS AVAILABLE FOR PAYMENT OF PRINCIPAL
TT CLASS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------
MONTHS THROUGH 50% 100% 195% 250% 500%
------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
March 15, 2000.................................... $ 0 $ 0 $ 1,491 $ 3,133 $ 10,637
March 15, 2001.................................... 0 0 3,323 6,912 14,363
March 15, 2002.................................... 0 0 4,009 8,104 0
March 15, 2003.................................... 0 0 3,100 5,967 0
March 15, 2004.................................... 0 0 2,266 884 0
March 15, 2005.................................... 0 0 1,571 0 0
March 15, 2006.................................... 0 0 995 0 0
March 15, 2007.................................... 0 0 522 0 0
March 15, 2008.................................... 0 0 175 0 0
March 15, 2009.................................... 0 0 198 0 0
March 15, 2010.................................... 0 0 273 0 0
March 15, 2011.................................... 0 0 325 0 0
March 15, 2012.................................... 0 0 359 0 0
March 15, 2013.................................... 0 0 379 0 0
March 15, 2014.................................... 0 0 387 0 0
March 15, 2015.................................... 0 0 387 0 0
March 15, 2016.................................... 0 0 380 0 0
March 15, 2017.................................... 0 0 367 0 0
March 15, 2018.................................... 0 0 351 0 0
March 15, 2019.................................... 0 0 333 0 0
March 15, 2020.................................... 0 2,334 312 0 0
March 15, 2021.................................... 0 2,582 291 0 0
March 15, 2022.................................... 0 2,625 337 0 0
March 15, 2023.................................... 0 2,835 563 0 0
March 15, 2024.................................... 0 2,752 507 0 0
March 15, 2025.................................... 3,948 2,663 454 0 0
March 15, 2026.................................... 5,473 2,571 404 0 0
March 15, 2027.................................... 5,565 2,476 357 0 0
March 15, 2028.................................... 5,655 2,381 314 0 0
March 15, 2029.................................... 4,359 1,782 268 0 0
-------- -------- -------- -------- --------
Total*............................................ $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
======== ======== ======== ======== ========
</TABLE>
- ---------------
* Totals may not equal sums of columns due to rounding.
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<PAGE> 301
UU CLASS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------
MONTHS THROUGH 50% 100% 160% 250% 500%
------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
March 15, 2000.................................... $ 0 $ 0 $ 0 $ 967 $ 5,846
March 15, 2001.................................... 0 0 47 4,663 9,154
March 15, 2002.................................... 0 0 1,014 5,472 0
March 15, 2003.................................... 0 0 809 3,898 0
March 15, 2004.................................... 0 0 615 0 0
March 15, 2005.................................... 0 0 449 0 0
March 15, 2006.................................... 0 0 308 0 0
March 15, 2007.................................... 0 0 189 0 0
March 15, 2008.................................... 0 0 89 0 0
March 15, 2009.................................... 0 0 97 0 0
March 15, 2010.................................... 0 0 190 0 0
March 15, 2011.................................... 0 0 262 0 0
March 15, 2012.................................... 0 0 316 0 0
March 15, 2013.................................... 0 0 354 0 0
March 15, 2014.................................... 0 0 381 0 0
March 15, 2015.................................... 0 0 397 0 0
March 15, 2016.................................... 0 0 405 0 0
March 15, 2017.................................... 0 0 571 0 0
March 15, 2018.................................... 0 0 1,021 0 0
March 15, 2019.................................... 0 0 971 0 0
March 15, 2020.................................... 0 137 916 0 0
March 15, 2021.................................... 0 1,912 857 0 0
March 15, 2022.................................... 0 1,866 798 0 0
March 15, 2023.................................... 0 1,814 738 0 0
March 15, 2024.................................... 0 1,756 680 0 0
March 15, 2025.................................... 1,696 1,695 623 0 0
March 15, 2026.................................... 3,474 1,631 568 0 0
March 15, 2027.................................... 3,522 1,567 515 0 0
March 15, 2028.................................... 3,567 1,502 465 0 0
March 15, 2029.................................... 2,741 1,121 355 0 0
-------- -------- -------- -------- --------
Total*............................................ $ 15,000 $ 15,000 $ 15,000 $ 15,000 $ 15,000
======== ======== ======== ======== ========
</TABLE>
- ---------------
* Totals may not equal sums of columns due to rounding.
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<PAGE> 302
VV CLASS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------
MONTHS THROUGH 50% 100% 160% 250% 500%
------------------ --- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
March 15, 2000.................................... $ 0 $ 0 $ 0 $ 1,578 $ 9,536
March 15, 2001.................................... 0 0 76 7,607 14,934
March 15, 2002.................................... 0 0 1,655 8,926 0
March 15, 2003.................................... 0 0 1,320 6,359 0
March 15, 2004.................................... 0 0 1,003 0 0
March 15, 2005.................................... 0 0 733 0 0
March 15, 2006.................................... 0 0 503 0 0
March 15, 2007.................................... 0 0 309 0 0
March 15, 2008.................................... 0 0 145 0 0
March 15, 2009.................................... 0 0 159 0 0
March 15, 2010.................................... 0 0 310 0 0
March 15, 2011.................................... 0 0 427 0 0
March 15, 2012.................................... 0 0 515 0 0
March 15, 2013.................................... 0 0 578 0 0
March 15, 2014.................................... 0 0 621 0 0
March 15, 2015.................................... 0 0 648 0 0
March 15, 2016.................................... 0 0 661 0 0
March 15, 2017.................................... 0 0 931 0 0
March 15, 2018.................................... 0 0 1,666 0 0
March 15, 2019.................................... 0 0 1,584 0 0
March 15, 2020.................................... 0 224 1,494 0 0
March 15, 2021.................................... 0 3,119 1,399 0 0
March 15, 2022.................................... 0 3,045 1,301 0 0
March 15, 2023.................................... 0 2,959 1,204 0 0
March 15, 2024.................................... 0 2,865 1,109 0 0
March 15, 2025.................................... 2,766 2,765 1,016 0 0
March 15, 2026.................................... 5,668 2,661 926 0 0
March 15, 2027.................................... 5,745 2,556 840 0 0
March 15, 2028.................................... 5,819 2,450 759 0 0
March 15, 2029.................................... 4,472 1,828 579 0 0
-------- -------- -------- -------- --------
Total*............................................ $ 24,470 $ 24,470 $ 24,470 $ 24,470 $ 24,470
======== ======== ======== ======== ========
</TABLE>
- ---------------
* Totals may not equal sums of columns due to rounding.
The Mortgages will not prepay at any constant rate until maturity.
Moreover, the Mortgages have characteristics that differ from those of the
Modeling Assumptions. Therefore, the amounts available for payments of principal
on a Retail Class during any twelve-month period are likely to differ in many
cases from the amounts shown in its table.
The weighted average lives of each Retail Class shown in the declining
balances table below apply to that Class as a whole; as a result of the
priorities, limitations and allocations described above, the weighted average
lives of the Retail Class Units owned by individual investors will vary (and may
vary significantly) from the weighted average life of the related Retail Class.
Freddie Mac can give no assurance regarding the weighted average life of a
Retail Class as a whole, much less the weighted average life of any particular
Retail Class Unit.
Declining Balances Table
The following table shows, for the indicated Classes of Securities and the
underlying Assets, (i) the percentages of their original principal amounts (or,
in the case of the Assets, their outstanding principal amounts as of the Closing
Date) that would be outstanding after each of the dates shown at various
constant percentages of PSA and (ii) their corresponding weighted average lives.
Freddie Mac has prepared this table using the Modeling Assumptions. However, for
0% PSA, Freddie Mac has assumed that each Mortgage bears interest at a per annum
rate of 2.5% above that of the related PCs and has a remaining term to maturity
of 360 months and a loan age of 0 months. The Mortgages do not have the
characteristics assumed, and Mortgage
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<PAGE> 303
prepayment rates may differ from the constant rates shown. These differences may
affect the actual payment behavior and weighted average life of any Class or
Asset. For example, because of the diverse remaining terms to maturity, loan
ages and interest rates of the Mortgages, principal payments on any Class or
Asset may be faster or (except at 0% PSA) slower than indicated, even if the
Mortgages were to prepay at the constant rates shown. This may be the case even
if the weighted average remaining term to maturity, weighted average loan age
and weighted average interest rate of the Mortgages are the same as those of
mortgages having the characteristics assumed.
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<PAGE> 304
PERCENTAGES OF ORIGINAL PRINCIPAL AMOUNTS OUTSTANDING* AND WEIGHTED AVERAGE
LIVES
Group 1
<TABLE>
<CAPTION>
FA, K, SA, UU** AND VV** GA
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 160% 250% 500% 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 94 61 96 86 83 83 83
March 15, 2001................ 100 100 100 62 0 92 61 51 51 27
March 15, 2002................ 100 100 93 26 0 91 58 38 38 0
March 15, 2003................ 100 100 88 0 0 91 58 30 30 0
March 15, 2004................ 100 100 83 0 0 90 57 24 11 0
March 15, 2005................ 100 100 80 0 0 90 57 19 0 0
March 15, 2006................ 100 100 78 0 0 89 57 15 0 0
March 15, 2007................ 100 100 77 0 0 89 56 12 0 0
March 15, 2008................ 100 100 77 0 0 88 56 10 0 0
March 15, 2009................ 100 100 76 0 0 88 54 8 0 0
March 15, 2010................ 100 100 75 0 0 87 50 6 0 0
March 15, 2011................ 100 100 73 0 0 87 45 3 0 0
March 15, 2012................ 100 100 71 0 0 86 38 0 0 0
March 15, 2013................ 100 100 68 0 0 86 31 0 0 0
March 15, 2014................ 100 100 66 0 0 85 22 0 0 0
March 15, 2015................ 100 100 63 0 0 84 14 0 0 0
March 15, 2016................ 100 100 61 0 0 83 5 0 0 0
March 15, 2017................ 100 100 57 0 0 83 0 0 0 0
March 15, 2018................ 100 100 50 0 0 82 0 0 0 0
March 15, 2019................ 100 100 43 0 0 81 0 0 0 0
March 15, 2020................ 100 99 37 0 0 80 0 0 0 0
March 15, 2021................ 100 86 32 0 0 79 0 0 0 0
March 15, 2022................ 100 74 26 0 0 78 0 0 0 0
March 15, 2023................ 100 62 21 0 0 76 0 0 0 0
March 15, 2024................ 100 50 17 0 0 75 0 0 0 0
March 15, 2025................ 100 39 13 0 0 49 0 0 0 0
March 15, 2026................ 100 28 9 0 0 15 0 0 0 0
March 15, 2027................ 100 17 5 0 0 0 0 0 0 0
March 15, 2028................ 67 7 2 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 29.3 25.1 16.9 2.3 1.1 22.5 8.5 3.5 2.6 1.6
<CAPTION>
GB GC
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 160% 250% 500% 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 97 88 85 85 85 100 100 100 100 100
March 15, 2001................ 93 66 57 57 36 100 100 100 100 100
March 15, 2002................ 92 63 46 46 0 100 100 100 100 0
March 15, 2003................ 92 63 39 39 0 100 100 100 100 0
March 15, 2004................ 92 63 34 23 0 100 100 100 100 0
March 15, 2005................ 91 62 29 12 0 100 100 100 92 0
March 15, 2006................ 91 62 26 5 0 100 100 100 38 0
March 15, 2007................ 90 62 23 1 0 100 100 100 9 0
March 15, 2008................ 90 61 22 0 0 100 100 100 1 0
March 15, 2009................ 90 60 20 0 0 100 100 100 1 0
March 15, 2010................ 89 56 18 0 0 100 100 100 1 0
March 15, 2011................ 89 52 15 0 0 100 100 100 1 0
March 15, 2012................ 88 46 12 0 0 100 100 98 1 0
March 15, 2013................ 87 39 10 0 0 100 100 77 1 0
March 15, 2014................ 87 32 7 0 0 100 100 55 1 0
March 15, 2015................ 86 25 4 0 0 100 100 35 1 0
March 15, 2016................ 85 17 2 0 0 100 100 14 1 0
March 15, 2017................ 85 9 0 0 0 100 70 0 1 0
March 15, 2018................ 84 1 0 0 0 100 6 0 1 0
March 15, 2019................ 83 0 0 0 0 100 0 0 1 0
March 15, 2020................ 82 0 0 0 0 100 0 0 1 0
March 15, 2021................ 81 0 0 0 0 100 0 0 1 0
March 15, 2022................ 80 0 0 0 0 100 0 0 1 0
March 15, 2023................ 79 0 0 0 0 100 0 0 1 0
March 15, 2024................ 78 0 0 0 0 100 0 0 1 0
March 15, 2025................ 55 0 0 0 0 100 0 0 1 0
March 15, 2026................ 25 0 0 0 0 100 0 0 1 0
March 15, 2027................ 0 0 0 0 0 0 0 0 1 0
March 15, 2028................ 0 0 0 0 0 0 0 0 1 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 23.1 9.8 5.0 3.2 1.7 27.6 18.3 15.3 7.1 2.4
</TABLE>
<TABLE>
<CAPTION>
PA PB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 160% 250% 500% 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100 100 100 100 100 100
March 15, 2002................ 85 0 0 0 0 100 91 91 91 0
March 15, 2003................ 66 0 0 0 0 100 8 8 8 0
March 15, 2004................ 47 0 0 0 0 100 0 0 0 0
March 15, 2005................ 25 0 0 0 0 100 0 0 0 0
March 15, 2006................ 2 0 0 0 0 100 0 0 0 0
March 15, 2007................ 0 0 0 0 0 83 0 0 0 0
March 15, 2008................ 0 0 0 0 0 63 0 0 0 0
March 15, 2009................ 0 0 0 0 0 42 0 0 0 0
March 15, 2010................ 0 0 0 0 0 18 0 0 0 0
March 15, 2011................ 0 0 0 0 0 0 0 0 0 0
March 15, 2012................ 0 0 0 0 0 0 0 0 0 0
March 15, 2013................ 0 0 0 0 0 0 0 0 0 0
March 15, 2014................ 0 0 0 0 0 0 0 0 0 0
March 15, 2015................ 0 0 0 0 0 0 0 0 0 0
March 15, 2016................ 0 0 0 0 0 0 0 0 0 0
March 15, 2017................ 0 0 0 0 0 0 0 0 0 0
March 15, 2018................ 0 0 0 0 0 0 0 0 0 0
March 15, 2019................ 0 0 0 0 0 0 0 0 0 0
March 15, 2020................ 0 0 0 0 0 0 0 0 0 0
March 15, 2021................ 0 0 0 0 0 0 0 0 0 0
March 15, 2022................ 0 0 0 0 0 0 0 0 0 0
March 15, 2023................ 0 0 0 0 0 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 4.7 2.5 2.5 2.5 2.4 9.5 3.5 3.5 3.5 2.8
<CAPTION>
PC
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100
March 15, 2002................ 100 100 100 100 97
March 15, 2003................ 100 100 100 100 0
March 15, 2004................ 100 0 0 0 0
March 15, 2005................ 100 0 0 0 0
March 15, 2006................ 100 0 0 0 0
March 15, 2007................ 100 0 0 0 0
March 15, 2008................ 100 0 0 0 0
March 15, 2009................ 100 0 0 0 0
March 15, 2010................ 100 0 0 0 0
March 15, 2011................ 88 0 0 0 0
March 15, 2012................ 43 0 0 0 0
March 15, 2013................ 0 0 0 0 0
March 15, 2014................ 0 0 0 0 0
March 15, 2015................ 0 0 0 0 0
March 15, 2016................ 0 0 0 0 0
March 15, 2017................ 0 0 0 0 0
March 15, 2018................ 0 0 0 0 0
March 15, 2019................ 0 0 0 0 0
March 15, 2020................ 0 0 0 0 0
March 15, 2021................ 0 0 0 0 0
March 15, 2022................ 0 0 0 0 0
March 15, 2023................ 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 12.8 4.5 4.5 4.5 3.1
</TABLE>
- ---------------
* Rounded to nearest whole percentage.
** The figures shown in the table for each Retail Class apply to that Class as a
whole and are not likely to reflect the experience of any Retail Class
investor. Because Retail Class investors will receive principal payments
subject to the priorities, limitations and allocations described above, the
weighted average lives of Retail Class Units will vary among different
investors.
S-33
<PAGE> 305
<TABLE>
<CAPTION>
PD PE
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 160% 250% 500% 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100 100 100 100 100 100
March 15, 2003................ 100 100 100 100 11 100 100 100 100 100
March 15, 2004................ 100 95 95 95 0 100 100 100 100 0
March 15, 2005................ 100 49 49 49 0 100 100 100 100 0
March 15, 2006................ 100 6 6 6 0 100 100 100 100 0
March 15, 2007................ 100 0 0 0 0 100 49 49 49 0
March 15, 2008................ 100 0 0 0 0 100 0 0 0 0
March 15, 2009................ 100 0 0 0 0 100 0 0 0 0
March 15, 2010................ 100 0 0 0 0 100 0 0 0 0
March 15, 2011................ 100 0 0 0 0 100 0 0 0 0
March 15, 2012................ 100 0 0 0 0 100 0 0 0 0
March 15, 2013................ 98 0 0 0 0 100 0 0 0 0
March 15, 2014................ 77 0 0 0 0 100 0 0 0 0
March 15, 2015................ 55 0 0 0 0 100 0 0 0 0
March 15, 2016................ 31 0 0 0 0 100 0 0 0 0
March 15, 2017................ 5 0 0 0 0 100 0 0 0 0
March 15, 2018................ 0 0 0 0 0 64 0 0 0 0
March 15, 2019................ 0 0 0 0 0 18 0 0 0 0
March 15, 2020................ 0 0 0 0 0 0 0 0 0 0
March 15, 2021................ 0 0 0 0 0 0 0 0 0 0
March 15, 2022................ 0 0 0 0 0 0 0 0 0 0
March 15, 2023................ 0 0 0 0 0 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 16.2 6.0 6.0 6.0 3.7 19.3 8.0 8.0 8.0 4.5
<CAPTION>
PF AND QF
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100
March 15, 2003................ 100 100 100 100 100
March 15, 2004................ 100 100 100 100 93
March 15, 2005................ 100 100 100 100 44
March 15, 2006................ 100 100 100 100 11
March 15, 2007................ 100 100 100 100 0
March 15, 2008................ 100 96 96 96 0
March 15, 2009................ 100 69 69 69 0
March 15, 2010................ 100 46 46 46 0
March 15, 2011................ 100 27 27 27 0
March 15, 2012................ 100 11 11 11 0
March 15, 2013................ 100 0 0 0 0
March 15, 2014................ 100 0 0 0 0
March 15, 2015................ 100 0 0 0 0
March 15, 2016................ 100 0 0 0 0
March 15, 2017................ 100 0 0 0 0
March 15, 2018................ 100 0 0 0 0
March 15, 2019................ 100 0 0 0 0
March 15, 2020................ 83 0 0 0 0
March 15, 2021................ 53 0 0 0 0
March 15, 2022................ 20 0 0 0 0
March 15, 2023................ 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 22.1 11.0 11.0 11.0 6.0
</TABLE>
<TABLE>
<CAPTION>
PG ZB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 160% 250% 500% 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 106 106 68 0 0
March 15, 2001................ 100 100 100 100 100 113 113 0 0 0
March 15, 2002................ 100 100 100 100 100 120 120 0 0 0
March 15, 2003................ 100 100 100 100 100 127 127 0 0 0
March 15, 2004................ 100 100 100 100 100 135 135 0 0 0
March 15, 2005................ 100 100 100 100 100 143 143 0 0 0
March 15, 2006................ 100 100 100 100 100 152 152 0 0 0
March 15, 2007................ 100 100 100 100 80 161 161 0 0 0
March 15, 2008................ 100 100 100 100 55 171 171 0 0 0
March 15, 2009................ 100 100 100 100 38 182 182 0 0 0
March 15, 2010................ 100 100 100 100 26 193 193 0 0 0
March 15, 2011................ 100 100 100 100 17 205 205 0 0 0
March 15, 2012................ 100 100 100 100 12 218 218 0 0 0
March 15, 2013................ 100 97 97 97 8 231 231 0 0 0
March 15, 2014................ 100 79 79 79 5 245 245 0 0 0
March 15, 2015................ 100 64 64 64 4 261 261 0 0 0
March 15, 2016................ 100 52 52 52 2 277 277 0 0 0
March 15, 2017................ 100 42 42 42 2 294 294 0 0 0
March 15, 2018................ 100 34 34 34 1 312 312 0 0 0
March 15, 2019................ 100 27 27 27 1 331 158 0 0 0
March 15, 2020................ 100 21 21 21 0 351 0 0 0 0
March 15, 2021................ 100 16 16 16 0 373 0 0 0 0
March 15, 2022................ 100 12 12 12 0 396 0 0 0 0
March 15, 2023................ 77 9 9 9 0 421 0 0 0 0
March 15, 2024................ 16 6 6 6 0 446 0 0 0 0
March 15, 2025................ 4 4 4 4 0 474 0 0 0 0
March 15, 2026................ 3 3 3 3 0 503 0 0 0 0
March 15, 2027................ 1 1 1 1 0 371 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 24.5 18.2 18.2 18.2 10.0 28.1 20.0 1.2 0.4 0.2
<CAPTION>
GROUP 1 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 160% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 99 97 96 95 90
March 15, 2001................ 98 92 89 84 71
March 15, 2002................ 98 86 79 71 49
March 15, 2003................ 97 79 71 59 34
March 15, 2004................ 95 73 63 50 24
March 15, 2005................ 94 68 56 41 16
March 15, 2006................ 93 63 50 35 11
March 15, 2007................ 92 58 44 29 8
March 15, 2008................ 90 53 39 24 5
March 15, 2009................ 89 49 34 20 4
March 15, 2010................ 87 45 30 17 2
March 15, 2011................ 85 41 27 14 2
March 15, 2012................ 83 37 23 11 1
March 15, 2013................ 81 34 20 9 1
March 15, 2014................ 78 31 18 8 1
March 15, 2015................ 75 28 15 6 0
March 15, 2016................ 72 25 13 5 0
March 15, 2017................ 69 22 11 4 0
March 15, 2018................ 66 20 10 3 0
March 15, 2019................ 62 17 8 3 0
March 15, 2020................ 58 15 7 2 0
March 15, 2021................ 53 13 6 2 0
March 15, 2022................ 49 11 5 1 0
March 15, 2023................ 43 9 4 1 0
March 15, 2024................ 37 7 3 1 0
March 15, 2025................ 31 5 2 0 0
March 15, 2026................ 24 4 1 0 0
March 15, 2027................ 17 2 1 0 0
March 15, 2028................ 9 1 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 20.8 11.3 8.8 6.4 3.7
</TABLE>
S-34
<PAGE> 306
Group 2
<TABLE>
<CAPTION>
A AB AND AC
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 155% 300% 500% 0% 100% 155% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 99 94 92 87 79 99 95 93 87 79
March 15, 2001................ 98 86 80 66 47 98 86 81 67 48
March 15, 2002................ 97 77 68 46 21 97 78 69 47 23
March 15, 2003................ 95 69 57 30 3 95 70 58 32 5
March 15, 2004................ 94 61 47 17 0 94 62 48 19 0
March 15, 2005................ 92 53 38 6 0 92 55 39 9 0
March 15, 2006................ 90 46 29 0 0 91 48 31 1 0
March 15, 2007................ 89 40 22 0 0 89 41 24 0 0
March 15, 2008................ 87 33 15 0 0 87 35 17 0 0
March 15, 2009................ 84 28 9 0 0 85 30 12 0 0
March 15, 2010................ 82 22 4 0 0 82 24 6 0 0
March 15, 2011................ 79 17 0 0 0 80 19 2 0 0
March 15, 2012................ 76 12 0 0 0 77 14 0 0 0
March 15, 2013................ 73 7 0 0 0 74 10 0 0 0
March 15, 2014................ 70 3 0 0 0 71 6 0 0 0
March 15, 2015................ 66 0 0 0 0 67 2 0 0 0
March 15, 2016................ 62 0 0 0 0 63 0 0 0 0
March 15, 2017................ 58 0 0 0 0 59 0 0 0 0
March 15, 2018................ 53 0 0 0 0 54 0 0 0 0
March 15, 2019................ 48 0 0 0 0 49 0 0 0 0
March 15, 2020................ 42 0 0 0 0 44 0 0 0 0
March 15, 2021................ 36 0 0 0 0 38 0 0 0 0
March 15, 2022................ 29 0 0 0 0 31 0 0 0 0
March 15, 2023................ 22 0 0 0 0 24 0 0 0 0
March 15, 2024................ 14 0 0 0 0 16 0 0 0 0
March 15, 2025................ 5 0 0 0 0 8 0 0 0 0
March 15, 2026................ 0 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 17.9 7.0 5.1 3.0 2.0 18.1 7.2 5.3 3.1 2.0
<CAPTION>
BA
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 155% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100
March 15, 2003................ 100 100 100 100 100
March 15, 2004................ 100 100 100 100 0
March 15, 2005................ 100 100 100 100 0
March 15, 2006................ 100 100 100 23 0
March 15, 2007................ 100 100 100 0 0
March 15, 2008................ 100 100 100 0 0
March 15, 2009................ 100 100 100 0 0
March 15, 2010................ 100 100 100 0 0
March 15, 2011................ 100 100 55 0 0
March 15, 2012................ 100 100 0 0 0
March 15, 2013................ 100 100 0 0 0
March 15, 2014................ 100 100 0 0 0
March 15, 2015................ 100 63 0 0 0
March 15, 2016................ 100 0 0 0 0
March 15, 2017................ 100 0 0 0 0
March 15, 2018................ 100 0 0 0 0
March 15, 2019................ 100 0 0 0 0
March 15, 2020................ 100 0 0 0 0
March 15, 2021................ 100 0 0 0 0
March 15, 2022................ 100 0 0 0 0
March 15, 2023................ 100 0 0 0 0
March 15, 2024................ 100 0 0 0 0
March 15, 2025................ 100 0 0 0 0
March 15, 2026................ 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 26.7 16.1 12.0 6.9 4.3
</TABLE>
<TABLE>
<CAPTION>
BC VA
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 155% 300% 500% 0% 100% 155% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 85 85 85 85 85
March 15, 2001................ 100 100 100 100 100 68 68 68 68 68
March 15, 2002................ 100 100 100 100 100 51 51 51 51 51
March 15, 2003................ 100 100 100 100 100 33 33 33 33 33
March 15, 2004................ 100 100 100 100 15 13 13 13 13 13
March 15, 2005................ 100 100 100 100 0 0 0 0 0 0
March 15, 2006................ 100 100 100 100 0 0 0 0 0 0
March 15, 2007................ 100 100 100 23 0 0 0 0 0 0
March 15, 2008................ 100 100 100 0 0 0 0 0 0 0
March 15, 2009................ 100 100 100 0 0 0 0 0 0 0
March 15, 2010................ 100 100 100 0 0 0 0 0 0 0
March 15, 2011................ 100 100 100 0 0 0 0 0 0 0
March 15, 2012................ 100 100 65 0 0 0 0 0 0 0
March 15, 2013................ 100 100 17 0 0 0 0 0 0 0
March 15, 2014................ 100 100 0 0 0 0 0 0 0 0
March 15, 2015................ 100 100 0 0 0 0 0 0 0 0
March 15, 2016................ 100 75 0 0 0 0 0 0 0 0
March 15, 2017................ 100 30 0 0 0 0 0 0 0 0
March 15, 2018................ 100 0 0 0 0 0 0 0 0 0
March 15, 2019................ 100 0 0 0 0 0 0 0 0 0
March 15, 2020................ 100 0 0 0 0 0 0 0 0 0
March 15, 2021................ 100 0 0 0 0 0 0 0 0 0
March 15, 2022................ 100 0 0 0 0 0 0 0 0 0
March 15, 2023................ 100 0 0 0 0 0 0 0 0 0
March 15, 2024................ 100 0 0 0 0 0 0 0 0 0
March 15, 2025................ 100 0 0 0 0 0 0 0 0 0
March 15, 2026................ 85 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 27.3 17.6 13.3 7.7 4.7 3.0 3.0 3.0 3.0 3.0
<CAPTION>
VB
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 155% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100
March 15, 2003................ 100 100 100 100 100
March 15, 2004................ 100 100 100 100 100
March 15, 2005................ 93 93 93 93 0
March 15, 2006................ 73 73 73 73 0
March 15, 2007................ 51 51 51 51 0
March 15, 2008................ 28 28 28 0 0
March 15, 2009................ 3 3 3 0 0
March 15, 2010................ 0 0 0 0 0
March 15, 2011................ 0 0 0 0 0
March 15, 2012................ 0 0 0 0 0
March 15, 2013................ 0 0 0 0 0
March 15, 2014................ 0 0 0 0 0
March 15, 2015................ 0 0 0 0 0
March 15, 2016................ 0 0 0 0 0
March 15, 2017................ 0 0 0 0 0
March 15, 2018................ 0 0 0 0 0
March 15, 2019................ 0 0 0 0 0
March 15, 2020................ 0 0 0 0 0
March 15, 2021................ 0 0 0 0 0
March 15, 2022................ 0 0 0 0 0
March 15, 2023................ 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 8.0 8.0 8.0 7.6 5.3
</TABLE>
S-35
<PAGE> 307
<TABLE>
<CAPTION>
VC Z
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 155% 300% 500% 0% 100% 155% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 106 106 106 106 106
March 15, 2001................ 100 100 100 100 100 113 113 113 113 113
March 15, 2002................ 100 100 100 100 100 120 120 120 120 120
March 15, 2003................ 100 100 100 100 100 127 127 127 127 127
March 15, 2004................ 100 100 100 100 100 135 135 135 135 135
March 15, 2005................ 100 100 100 100 63 143 143 143 143 143
March 15, 2006................ 100 100 100 100 0 152 152 152 152 151
March 15, 2007................ 100 100 100 100 0 161 161 161 161 103
March 15, 2008................ 100 100 100 74 0 171 171 171 171 71
March 15, 2009................ 100 100 100 23 0 182 182 182 182 48
March 15, 2010................ 92 92 92 0 0 193 193 193 167 33
March 15, 2011................ 82 82 82 0 0 205 205 205 133 22
March 15, 2012................ 72 72 72 0 0 218 218 218 106 15
March 15, 2013................ 60 60 60 0 0 231 231 231 84 10
March 15, 2014................ 49 49 28 0 0 245 245 245 66 7
March 15, 2015................ 36 36 0 0 0 261 261 242 52 5
March 15, 2016................ 23 23 0 0 0 277 277 209 40 3
March 15, 2017................ 9 9 0 0 0 294 294 179 31 2
March 15, 2018................ 0 0 0 0 0 304 294 153 24 1
March 15, 2019................ 0 0 0 0 0 304 257 129 18 1
March 15, 2020................ 0 0 0 0 0 304 222 107 14 1
March 15, 2021................ 0 0 0 0 0 304 189 88 10 0
March 15, 2022................ 0 0 0 0 0 304 158 71 7 0
March 15, 2023................ 0 0 0 0 0 304 129 56 5 0
March 15, 2024................ 0 0 0 0 0 304 101 42 4 0
March 15, 2025................ 0 0 0 0 0 304 75 30 2 0
March 15, 2026................ 0 0 0 0 0 304 50 20 1 0
March 15, 2027................ 0 0 0 0 0 267 27 10 1 0
March 15, 2028................ 0 0 0 0 0 139 5 2 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 14.7 14.7 13.8 9.5 6.2 28.9 23.5 20.8 14.6 9.6
<CAPTION>
GROUP 2 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 155% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 99 96 94 90 84
March 15, 2001................ 98 90 86 75 61
March 15, 2002................ 98 83 77 61 42
March 15, 2003................ 97 77 69 49 29
March 15, 2004................ 95 71 61 40 20
March 15, 2005................ 94 66 55 32 14
March 15, 2006................ 93 61 49 26 10
March 15, 2007................ 92 56 43 21 7
March 15, 2008................ 90 52 38 17 4
March 15, 2009................ 89 47 34 13 3
March 15, 2010................ 87 43 30 11 2
March 15, 2011................ 85 40 26 8 1
March 15, 2012................ 83 36 23 7 1
March 15, 2013................ 81 33 20 5 1
March 15, 2014................ 78 30 18 4 0
March 15, 2015................ 75 27 15 3 0
March 15, 2016................ 72 24 13 3 0
March 15, 2017................ 69 21 11 2 0
March 15, 2018................ 66 19 10 2 0
March 15, 2019................ 62 16 8 1 0
March 15, 2020................ 58 14 7 1 0
March 15, 2021................ 53 12 6 1 0
March 15, 2022................ 49 10 5 0 0
March 15, 2023................ 43 8 4 0 0
March 15, 2024................ 37 6 3 0 0
March 15, 2025................ 31 5 2 0 0
March 15, 2026................ 24 3 1 0 0
March 15, 2027................ 17 2 1 0 0
March 15, 2028................ 9 0 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 20.8 11.0 8.6 5.2 3.3
</TABLE>
Group 3
<TABLE>
<CAPTION>
DF FT, ST, T AND TT**
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 100 100 94 87 57
March 15, 2001................ 100 100 100 100 100 100 100 81 60 0
March 15, 2002................ 100 100 100 100 100 100 100 65 27 0
March 15, 2003................ 100 100 100 100 100 100 100 52 4 0
March 15, 2004................ 100 100 100 100 100 100 100 43 0 0
March 15, 2005................ 98 98 98 98 98 100 100 37 0 0
March 15, 2006................ 92 92 92 92 92 100 100 33 0 0
March 15, 2007................ 85 85 85 85 46 100 100 31 0 0
March 15, 2008................ 78 78 78 78 0 100 100 30 0 0
March 15, 2009................ 70 70 70 70 0 100 100 29 0 0
March 15, 2010................ 62 62 62 62 0 100 100 28 0 0
March 15, 2011................ 53 53 53 53 0 100 100 27 0 0
March 15, 2012................ 44 44 44 44 0 100 100 26 0 0
March 15, 2013................ 34 28 28 28 0 100 100 24 0 0
March 15, 2014................ 24 0 0 0 0 100 100 23 0 0
March 15, 2015................ 13 0 0 0 0 100 100 21 0 0
March 15, 2016................ 1 0 0 0 0 100 100 19 0 0
March 15, 2017................ 0 0 0 0 0 100 100 18 0 0
March 15, 2018................ 0 0 0 0 0 100 100 17 0 0
March 15, 2019................ 0 0 0 0 0 100 100 15 0 0
March 15, 2020................ 0 0 0 0 0 100 91 14 0 0
March 15, 2021................ 0 0 0 0 0 100 80 13 0 0
March 15, 2022................ 0 0 0 0 0 100 70 11 0 0
March 15, 2023................ 0 0 0 0 0 100 58 9 0 0
March 15, 2024................ 0 0 0 0 0 100 47 7 0 0
March 15, 2025................ 0 0 0 0 0 100 37 5 0 0
March 15, 2026................ 0 0 0 0 0 100 27 4 0 0
March 15, 2027................ 0 0 0 0 0 100 17 2 0 0
March 15, 2028................ 0 0 0 0 0 65 7 1 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 12.0 11.6 11.6 11.6 7.9 29.2 24.8 8.3 2.3 1.0
<CAPTION>
GR GS
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 97 87 84 84 84 100 100 100 100 100
March 15, 2001................ 93 63 52 52 30 100 100 100 100 100
March 15, 2002................ 93 61 39 39 0 100 100 100 100 0
March 15, 2003................ 93 61 30 30 0 100 100 100 100 0
March 15, 2004................ 93 61 23 15 0 100 100 100 100 0
March 15, 2005................ 93 61 18 2 0 100 100 100 100 0
March 15, 2006................ 93 61 14 0 0 100 100 100 49 0
March 15, 2007................ 93 61 11 0 0 100 100 100 12 0
March 15, 2008................ 93 61 9 0 0 100 100 100 1 0
March 15, 2009................ 93 60 7 0 0 100 100 100 1 0
March 15, 2010................ 93 57 6 0 0 100 100 100 1 0
March 15, 2011................ 93 52 4 0 0 100 100 100 1 0
March 15, 2012................ 93 46 2 0 0 100 100 100 1 0
March 15, 2013................ 93 40 1 0 0 100 100 100 1 0
March 15, 2014................ 93 33 0 0 0 100 100 91 1 0
March 15, 2015................ 93 25 0 0 0 100 100 77 1 0
March 15, 2016................ 93 17 0 0 0 100 100 63 1 0
March 15, 2017................ 93 9 0 0 0 100 100 50 1 0
March 15, 2018................ 93 0 0 0 0 100 100 37 1 0
March 15, 2019................ 93 0 0 0 0 100 32 26 1 0
March 15, 2020................ 93 0 0 0 0 100 16 16 1 0
March 15, 2021................ 93 0 0 0 0 100 7 7 1 0
March 15, 2022................ 93 0 0 0 0 100 0 0 1 0
March 15, 2023................ 93 0 0 0 0 100 0 0 1 0
March 15, 2024................ 93 0 0 0 0 100 0 0 1 0
March 15, 2025................ 73 0 0 0 0 100 0 0 1 0
March 15, 2026................ 40 0 0 0 0 100 0 0 1 0
March 15, 2027................ 4 0 0 0 0 100 0 0 1 0
March 15, 2028................ 0 0 0 0 0 0 0 0 1 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 25.0 9.7 3.5 2.7 1.6 28.3 20.0 18.2 7.4 2.4
</TABLE>
- ---------------
** The figures shown in the table for each Retail Class apply to that Class as a
whole and are not likely to reflect the experience of any Retail Class
investor. Because Retail Class investors will receive principal payments
subject to the priorities, limitations and allocations described above, the
weighted average lives of Retail Class Units will vary among different
investors.
S-36
<PAGE> 308
<TABLE>
<CAPTION>
GT TB AND UB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 97 88 85 85 85 100 100 100 100 100
March 15, 2001................ 94 67 57 57 37 100 100 100 100 100
March 15, 2002................ 94 65 45 45 0 86 0 0 0 0
March 15, 2003................ 94 65 37 37 0 69 0 0 0 0
March 15, 2004................ 94 65 31 23 0 51 0 0 0 0
March 15, 2005................ 94 65 26 12 0 31 0 0 0 0
March 15, 2006................ 94 65 22 5 0 9 0 0 0 0
March 15, 2007................ 94 65 20 1 0 0 0 0 0 0
March 15, 2008................ 94 65 18 0 0 0 0 0 0 0
March 15, 2009................ 94 64 17 0 0 0 0 0 0 0
March 15, 2010................ 94 61 16 0 0 0 0 0 0 0
March 15, 2011................ 94 57 14 0 0 0 0 0 0 0
March 15, 2012................ 94 52 12 0 0 0 0 0 0 0
March 15, 2013................ 94 46 11 0 0 0 0 0 0 0
March 15, 2014................ 94 39 9 0 0 0 0 0 0 0
March 15, 2015................ 94 33 8 0 0 0 0 0 0 0
March 15, 2016................ 94 25 6 0 0 0 0 0 0 0
March 15, 2017................ 94 18 5 0 0 0 0 0 0 0
March 15, 2018................ 94 11 4 0 0 0 0 0 0 0
March 15, 2019................ 94 3 3 0 0 0 0 0 0 0
March 15, 2020................ 94 2 2 0 0 0 0 0 0 0
March 15, 2021................ 94 1 1 0 0 0 0 0 0 0
March 15, 2022................ 94 0 0 0 0 0 0 0 0 0
March 15, 2023................ 94 0 0 0 0 0 0 0 0 0
March 15, 2024................ 94 0 0 0 0 0 0 0 0 0
March 15, 2025................ 75 0 0 0 0 0 0 0 0 0
March 15, 2026................ 46 0 0 0 0 0 0 0 0 0
March 15, 2027................ 14 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 25.3 10.7 5.0 3.2 1.7 5.0 2.5 2.5 2.5 2.4
<CAPTION>
TE AND UE TF, TP AND TU
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100 100 100 100 100 100
March 15, 2003................ 100 100 100 100 11 100 100 100 100 100
March 15, 2004................ 100 95 95 95 0 100 100 100 100 0
March 15, 2005................ 100 49 49 49 0 100 100 100 100 0
March 15, 2006................ 100 6 6 6 0 100 100 100 100 0
March 15, 2007................ 100 0 0 0 0 100 49 49 49 0
March 15, 2008................ 100 0 0 0 0 100 0 0 0 0
March 15, 2009................ 100 0 0 0 0 100 0 0 0 0
March 15, 2010................ 100 0 0 0 0 100 0 0 0 0
March 15, 2011................ 100 0 0 0 0 100 0 0 0 0
March 15, 2012................ 100 0 0 0 0 100 0 0 0 0
March 15, 2013................ 100 0 0 0 0 100 0 0 0 0
March 15, 2014................ 85 0 0 0 0 100 0 0 0 0
March 15, 2015................ 64 0 0 0 0 100 0 0 0 0
March 15, 2016................ 40 0 0 0 0 100 0 0 0 0
March 15, 2017................ 13 0 0 0 0 100 0 0 0 0
March 15, 2018................ 0 0 0 0 0 78 0 0 0 0
March 15, 2019................ 0 0 0 0 0 32 0 0 0 0
March 15, 2020................ 0 0 0 0 0 0 0 0 0 0
March 15, 2021................ 0 0 0 0 0 0 0 0 0 0
March 15, 2022................ 0 0 0 0 0 0 0 0 0 0
March 15, 2023................ 0 0 0 0 0 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 16.5 6.0 6.0 6.0 3.7 19.6 8.0 8.0 8.0 4.5
</TABLE>
<TABLE>
<CAPTION>
TG, TQ AND TV TH
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100 100 100 100 100 100
March 15, 2003................ 100 100 100 100 100 100 100 100 100 100
March 15, 2004................ 100 100 100 100 92 100 100 100 100 100
March 15, 2005................ 100 100 100 100 44 100 100 100 100 100
March 15, 2006................ 100 100 100 100 10 100 100 100 100 100
March 15, 2007................ 100 100 100 100 0 100 100 100 100 80
March 15, 2008................ 100 96 96 96 0 100 100 100 100 55
March 15, 2009................ 100 69 69 69 0 100 100 100 100 37
March 15, 2010................ 100 46 46 46 0 100 100 100 100 26
March 15, 2011................ 100 27 27 27 0 100 100 100 100 17
March 15, 2012................ 100 11 11 11 0 100 100 100 100 12
March 15, 2013................ 100 0 0 0 0 100 97 97 97 8
March 15, 2014................ 100 0 0 0 0 100 79 79 79 5
March 15, 2015................ 100 0 0 0 0 100 64 64 64 4
March 15, 2016................ 100 0 0 0 0 100 52 52 52 2
March 15, 2017................ 100 0 0 0 0 100 42 42 42 2
March 15, 2018................ 100 0 0 0 0 100 34 34 34 1
March 15, 2019................ 100 0 0 0 0 100 27 27 27 1
March 15, 2020................ 90 0 0 0 0 100 21 21 21 0
March 15, 2021................ 60 0 0 0 0 100 16 16 16 0
March 15, 2022................ 28 0 0 0 0 100 12 12 12 0
March 15, 2023................ 0 0 0 0 0 87 9 9 9 0
March 15, 2024................ 0 0 0 0 0 27 7 7 7 0
March 15, 2025................ 0 0 0 0 0 4 4 4 4 0
March 15, 2026................ 0 0 0 0 0 3 3 3 3 0
March 15, 2027................ 0 0 0 0 0 1 1 1 1 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 22.3 11.0 11.0 11.0 5.9 24.7 18.2 18.2 18.2 10.0
<CAPTION>
TL, TR AND TW TM, TS AND TX
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100 100 100 100 100 100
March 15, 2003................ 100 100 100 100 100 100 100 100 100 100
March 15, 2004................ 100 100 100 100 0 100 100 100 100 78
March 15, 2005................ 100 100 100 100 0 100 100 100 100 43
March 15, 2006................ 100 100 100 100 0 100 100 100 100 19
March 15, 2007................ 100 9 9 9 0 100 100 100 100 3
March 15, 2008................ 100 0 0 0 0 100 80 80 80 0
March 15, 2009................ 100 0 0 0 0 100 61 61 61 0
March 15, 2010................ 100 0 0 0 0 100 45 45 45 0
March 15, 2011................ 100 0 0 0 0 100 31 31 31 0
March 15, 2012................ 100 0 0 0 0 100 20 20 20 0
March 15, 2013................ 100 0 0 0 0 100 10 10 10 0
March 15, 2014................ 100 0 0 0 0 100 2 2 2 0
March 15, 2015................ 100 0 0 0 0 100 0 0 0 0
March 15, 2016................ 100 0 0 0 0 100 0 0 0 0
March 15, 2017................ 100 0 0 0 0 100 0 0 0 0
March 15, 2018................ 60 0 0 0 0 100 0 0 0 0
March 15, 2019................ 0 0 0 0 0 95 0 0 0 0
March 15, 2020................ 0 0 0 0 0 76 0 0 0 0
March 15, 2021................ 0 0 0 0 0 55 0 0 0 0
March 15, 2022................ 0 0 0 0 0 32 0 0 0 0
March 15, 2023................ 0 0 0 0 0 6 0 0 0 0
March 15, 2024................ 0 0 0 0 0 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 19.1 7.6 7.6 7.6 4.3 22.1 11.0 11.0 11.0 5.9
</TABLE>
S-37
<PAGE> 309
<TABLE>
<CAPTION>
TN TZ
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 107 107 107 107 107
March 15, 2001................ 100 100 100 100 100 114 114 114 114 114
March 15, 2002................ 100 100 100 100 100 121 121 121 121 121
March 15, 2003................ 100 100 100 100 100 130 130 130 130 130
March 15, 2004................ 100 100 100 100 100 138 138 138 138 138
March 15, 2005................ 100 100 100 100 100 148 148 148 148 148
March 15, 2006................ 100 100 100 100 100 157 157 157 157 157
March 15, 2007................ 100 100 100 100 100 168 168 168 168 168
March 15, 2008................ 100 100 100 100 73 179 179 179 179 165
March 15, 2009................ 100 100 100 100 49 191 191 191 191 113
March 15, 2010................ 100 100 100 100 33 204 204 204 204 77
March 15, 2011................ 100 100 100 100 22 218 218 218 218 53
March 15, 2012................ 100 100 100 100 14 232 232 232 232 36
March 15, 2013................ 100 100 100 100 9 248 248 248 248 24
March 15, 2014................ 100 100 100 100 5 264 239 239 239 16
March 15, 2015................ 100 87 87 87 3 282 195 195 195 11
March 15, 2016................ 100 70 70 70 1 301 158 158 158 7
March 15, 2017................ 100 56 56 56 0 302 127 127 127 5
March 15, 2018................ 100 44 44 44 0 302 102 102 102 3
March 15, 2019................ 100 35 35 35 0 302 81 81 81 2
March 15, 2020................ 100 27 27 27 0 302 63 63 63 1
March 15, 2021................ 100 20 20 20 0 302 49 49 49 1
March 15, 2022................ 100 15 15 15 0 302 37 37 37 1
March 15, 2023................ 100 10 10 10 0 264 28 28 28 0
March 15, 2024................ 35 7 7 7 0 80 20 20 20 0
March 15, 2025................ 4 4 4 4 0 13 13 13 13 0
March 15, 2026................ 2 2 2 2 0 8 8 8 8 0
March 15, 2027................ 0 0 0 0 0 4 4 4 4 0
March 15, 2028................ 0 0 0 0 0 1 1 1 1 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 24.9 19.3 19.3 19.3 10.6 24.7 18.9 18.9 18.9 11.4
<CAPTION>
UC UD
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100 100 100 100 100 100
March 15, 2002................ 100 92 92 92 0 100 100 100 100 99
March 15, 2003................ 100 8 8 8 0 100 100 100 100 0
March 15, 2004................ 100 0 0 0 0 100 0 0 0 0
March 15, 2005................ 100 0 0 0 0 100 0 0 0 0
March 15, 2006................ 100 0 0 0 0 100 0 0 0 0
March 15, 2007................ 89 0 0 0 0 100 0 0 0 0
March 15, 2008................ 71 0 0 0 0 100 0 0 0 0
March 15, 2009................ 50 0 0 0 0 100 0 0 0 0
March 15, 2010................ 27 0 0 0 0 100 0 0 0 0
March 15, 2011................ 3 0 0 0 0 100 0 0 0 0
March 15, 2012................ 0 0 0 0 0 61 0 0 0 0
March 15, 2013................ 0 0 0 0 0 14 0 0 0 0
March 15, 2014................ 0 0 0 0 0 0 0 0 0 0
March 15, 2015................ 0 0 0 0 0 0 0 0 0 0
March 15, 2016................ 0 0 0 0 0 0 0 0 0 0
March 15, 2017................ 0 0 0 0 0 0 0 0 0 0
March 15, 2018................ 0 0 0 0 0 0 0 0 0 0
March 15, 2019................ 0 0 0 0 0 0 0 0 0 0
March 15, 2020................ 0 0 0 0 0 0 0 0 0 0
March 15, 2021................ 0 0 0 0 0 0 0 0 0 0
March 15, 2022................ 0 0 0 0 0 0 0 0 0 0
March 15, 2023................ 0 0 0 0 0 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 9.9 3.5 3.5 3.5 2.8 13.2 4.5 4.5 4.5 3.1
</TABLE>
<TABLE>
<CAPTION>
VE R
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 195% 250% 500% 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 85 85 85 85 85 100 100 100 100 100
March 15, 2001................ 69 69 69 69 69 100 100 100 100 100
March 15, 2002................ 51 51 51 51 51 100 100 100 100 100
March 15, 2003................ 33 33 33 33 33 100 100 100 100 100
March 15, 2004................ 13 13 13 13 13 100 100 100 100 100
March 15, 2005................ 0 0 0 0 0 100 100 100 100 100
March 15, 2006................ 0 0 0 0 0 100 100 100 100 100
March 15, 2007................ 0 0 0 0 0 100 100 100 100 100
March 15, 2008................ 0 0 0 0 0 100 100 100 100 100
March 15, 2009................ 0 0 0 0 0 100 100 100 100 100
March 15, 2010................ 0 0 0 0 0 100 100 100 100 100
March 15, 2011................ 0 0 0 0 0 100 100 100 100 100
March 15, 2012................ 0 0 0 0 0 100 100 100 100 100
March 15, 2013................ 0 0 0 0 0 100 100 100 100 100
March 15, 2014................ 0 0 0 0 0 100 100 100 100 100
March 15, 2015................ 0 0 0 0 0 100 100 100 100 100
March 15, 2016................ 0 0 0 0 0 100 100 100 100 100
March 15, 2017................ 0 0 0 0 0 100 100 100 100 100
March 15, 2018................ 0 0 0 0 0 100 100 100 100 68
March 15, 2019................ 0 0 0 0 0 100 100 100 100 45
March 15, 2020................ 0 0 0 0 0 100 100 100 100 29
March 15, 2021................ 0 0 0 0 0 100 100 100 100 18
March 15, 2022................ 0 0 0 0 0 100 100 100 100 12
March 15, 2023................ 0 0 0 0 0 100 100 100 100 7
March 15, 2024................ 0 0 0 0 0 100 100 100 100 4
March 15, 2025................ 0 0 0 0 0 100 100 100 100 2
March 15, 2026................ 0 0 0 0 0 100 100 100 100 1
March 15, 2027................ 0 0 0 0 0 88 88 88 88 1
March 15, 2028................ 0 0 0 0 0 19 19 19 19 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 3.0 3.0 3.0 3.0 3.0 28.5 28.5 28.5 28.5 20.4
<CAPTION>
GROUP 3 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 195% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 99 97 96 95 90
March 15, 2001................ 99 92 87 84 71
March 15, 2002................ 98 86 76 71 49
March 15, 2003................ 97 80 66 59 34
March 15, 2004................ 96 74 58 50 24
March 15, 2005................ 95 68 50 42 16
March 15, 2006................ 94 63 44 35 11
March 15, 2007................ 92 58 38 29 8
March 15, 2008................ 91 54 33 24 5
March 15, 2009................ 89 49 28 20 4
March 15, 2010................ 88 45 24 17 2
March 15, 2011................ 86 41 21 14 2
March 15, 2012................ 84 38 18 11 1
March 15, 2013................ 82 34 15 9 1
March 15, 2014................ 79 31 13 8 1
March 15, 2015................ 77 28 11 6 0
March 15, 2016................ 74 25 9 5 0
March 15, 2017................ 71 22 8 4 0
March 15, 2018................ 67 20 7 3 0
March 15, 2019................ 64 18 5 3 0
March 15, 2020................ 59 15 4 2 0
March 15, 2021................ 55 13 4 2 0
March 15, 2022................ 50 11 3 1 0
March 15, 2023................ 45 9 2 1 0
March 15, 2024................ 39 7 2 1 0
March 15, 2025................ 32 6 1 0 0
March 15, 2026................ 25 4 1 0 0
March 15, 2027................ 18 2 0 0 0
March 15, 2028................ 9 1 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 21.0 11.4 7.7 6.5 3.7
</TABLE>
S-38
<PAGE> 310
Group 4
<TABLE>
<CAPTION>
CA AND CE CV
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 185% 300% 500% 0% 100% 185% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 99 96 93 90 84 89 89 89 89 89
March 15, 2001................ 98 89 82 72 57 77 77 77 77 77
March 15, 2002................ 97 80 68 53 31 64 64 64 64 64
March 15, 2003................ 96 73 57 38 13 51 51 51 51 51
March 15, 2004................ 95 65 46 26 1 36 36 36 36 36
March 15, 2005................ 93 58 37 15 0 21 21 21 21 0
March 15, 2006................ 92 52 29 7 0 4 4 4 4 0
March 15, 2007................ 90 46 22 0 0 0 0 0 0 0
March 15, 2008................ 89 40 16 0 0 0 0 0 0 0
March 15, 2009................ 87 35 10 0 0 0 0 0 0 0
March 15, 2010................ 84 29 5 0 0 0 0 0 0 0
March 15, 2011................ 82 25 1 0 0 0 0 0 0 0
March 15, 2012................ 80 20 0 0 0 0 0 0 0 0
March 15, 2013................ 77 16 0 0 0 0 0 0 0 0
March 15, 2014................ 74 12 0 0 0 0 0 0 0 0
March 15, 2015................ 70 8 0 0 0 0 0 0 0 0
March 15, 2016................ 67 4 0 0 0 0 0 0 0 0
March 15, 2017................ 63 1 0 0 0 0 0 0 0 0
March 15, 2018................ 58 0 0 0 0 0 0 0 0 0
March 15, 2019................ 54 0 0 0 0 0 0 0 0 0
March 15, 2020................ 48 0 0 0 0 0 0 0 0 0
March 15, 2021................ 43 0 0 0 0 0 0 0 0 0
March 15, 2022................ 36 0 0 0 0 0 0 0 0 0
March 15, 2023................ 30 0 0 0 0 0 0 0 0 0
March 15, 2024................ 22 0 0 0 0 0 0 0 0 0
March 15, 2025................ 14 0 0 0 0 0 0 0 0 0
March 15, 2026................ 5 0 0 0 0 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 18.9 8.0 5.1 3.5 2.4 3.9 3.9 3.9 3.9 3.6
<CAPTION>
CW
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 185% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
March 15, 2000................ 100 100 100 100 100
March 15, 2001................ 100 100 100 100 100
March 15, 2002................ 100 100 100 100 100
March 15, 2003................ 100 100 100 100 100
March 15, 2004................ 100 100 100 100 100
March 15, 2005................ 100 100 100 100 0
March 15, 2006................ 100 100 100 100 0
March 15, 2007................ 80 80 80 80 0
March 15, 2008................ 52 52 52 0 0
March 15, 2009................ 22 22 22 0 0
March 15, 2010................ 0 0 0 0 0
March 15, 2011................ 0 0 0 0 0
March 15, 2012................ 0 0 0 0 0
March 15, 2013................ 0 0 0 0 0
March 15, 2014................ 0 0 0 0 0
March 15, 2015................ 0 0 0 0 0
March 15, 2016................ 0 0 0 0 0
March 15, 2017................ 0 0 0 0 0
March 15, 2018................ 0 0 0 0 0
March 15, 2019................ 0 0 0 0 0
March 15, 2020................ 0 0 0 0 0
March 15, 2021................ 0 0 0 0 0
March 15, 2022................ 0 0 0 0 0
March 15, 2023................ 0 0 0 0 0
March 15, 2024................ 0 0 0 0 0
March 15, 2025................ 0 0 0 0 0
March 15, 2026................ 0 0 0 0 0
March 15, 2027................ 0 0 0 0 0
March 15, 2028................ 0 0 0 0 0
March 15, 2029................ 0 0 0 0 0
Weighted Average
Life (Years)................. 9.0 9.0 9.0 8.2 5.6
</TABLE>
<TABLE>
<CAPTION>
CZ GROUP 4 ASSETS
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 185% 300% 500% 0% 100% 185% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
March 15, 2000................ 107 107 107 107 107 99 97 95 92 88
March 15, 2001................ 114 114 114 114 114 99 91 86 78 66
March 15, 2002................ 121 121 121 121 121 98 85 75 63 46
March 15, 2003................ 130 130 130 130 130 97 78 66 51 32
March 15, 2004................ 138 138 138 138 138 96 73 58 41 22
March 15, 2005................ 148 148 148 148 141 95 67 51 33 15
March 15, 2006................ 157 157 157 157 97 94 62 44 27 10
March 15, 2007................ 168 168 168 168 66 92 57 39 22 7
March 15, 2008................ 179 179 179 163 46 91 53 34 17 5
March 15, 2009................ 191 191 191 131 31 89 49 29 14 3
March 15, 2010................ 200 200 200 105 21 88 45 25 11 2
March 15, 2011................ 200 200 200 84 15 86 41 22 9 2
March 15, 2012................ 200 200 177 66 10 84 37 19 7 1
March 15, 2013................ 200 200 152 53 7 82 34 16 6 1
March 15, 2014................ 200 200 130 42 5 79 31 14 4 0
March 15, 2015................ 200 200 111 33 3 77 28 12 3 0
March 15, 2016................ 200 200 94 26 2 74 25 10 3 0
March 15, 2017................ 200 200 79 20 1 71 22 8 2 0
March 15, 2018................ 200 183 67 15 1 67 20 7 2 0
March 15, 2019................ 200 161 55 12 1 64 17 6 1 0
March 15, 2020................ 200 140 45 9 0 59 15 5 1 0
March 15, 2021................ 200 120 37 7 0 55 13 4 1 0
March 15, 2022................ 200 101 29 5 0 50 11 3 1 0
March 15, 2023................ 200 83 23 4 0 45 9 2 0 0
March 15, 2024................ 200 66 17 2 0 39 7 2 0 0
March 15, 2025................ 200 50 12 2 0 32 5 1 0 0
March 15, 2026................ 200 35 8 1 0 25 4 1 0 0
March 15, 2027................ 165 21 5 1 0 18 2 0 0 0
March 15, 2028................ 86 8 2 0 0 9 1 0 0 0
March 15, 2029................ 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 28.8 23.3 17.7 12.9 8.5 21.0 11.3 7.8 5.4 3.5
</TABLE>
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<PAGE> 311
YIELD CONSIDERATIONS
An investor seeking to maximize yield should make a decision whether to
invest in any Class based on the anticipated yield of that Class resulting from
its purchase price, the investor's own projection of Mortgage prepayment rates
under a variety of scenarios and, in the case of the Floating Rate and Inverse
Floating Rate Classes, the investor's own projection of levels of LIBOR under a
variety of scenarios. Freddie Mac makes no representation regarding Mortgage
prepayment rates, the level of LIBOR or the yield of any Class.
Prepayments: Effect on Yields
The yields to investors will be sensitive in varying degrees to the rate of
prepayments on the underlying Mortgages. In the case of the Interest Only
Classes and any other Classes purchased at a premium over their principal
amounts, faster than anticipated rates of Mortgage principal payments could
result in actual yields to investors that are lower than the anticipated yields.
Investors in the Interest Only Classes should also consider the risk that rapid
rates of Mortgage principal payments could result in the failure of investors to
fully recover their investments. In the case of the Principal Only Classes and
any other Classes purchased at a discount to their principal amounts, slower
than anticipated rates of principal payments could result in actual yields to
investors that are lower than the anticipated yields.
Rapid rates of prepayments on the Mortgages are likely to coincide with
periods of low prevailing interest rates. During such periods, the yields at
which an investor may be able to reinvest amounts received as principal payments
on the investor's Class may be lower than the yield on that Class. Conversely,
slow rates of prepayments on the Mortgages are likely to coincide with periods
of high prevailing interest rates. During such periods, the amount of principal
payments available to an investor for reinvestment at such high rates may be
relatively low.
The Mortgages will not prepay at any constant rate until maturity, nor will
all of the Mortgages prepay at the same rate at any one time. The timing of
changes in the rate of prepayments may affect the actual yield to an investor,
even if the average rate of principal prepayments is consistent with the
investor's expectation. In general, the earlier a prepayment of principal on the
Mortgages, the greater the effect on an investor's yield. As a result, the
effect on an investor's yield of principal prepayments occurring at a rate
higher (or lower) than the rate anticipated by the investor during the period
immediately following the Closing Date is not likely to be offset by a later
equivalent reduction (or increase) in the rate of principal prepayments.
LIBOR: Effect on Yields of the Floating Rate and Inverse Floating Rate
Classes
Investors in the Floating Rate Classes should consider the risk that lower
than anticipated levels of LIBOR could result in actual yields to investors that
are lower than the anticipated yields and the fact that their Class Coupons
cannot exceed their specified maximum rates. Conversely, investors in the
Inverse Floating Rate Classes should consider the risk that higher than
anticipated levels of LIBOR could result in actual yields to investors that are
significantly lower than the anticipated yields and the fact that their Class
Coupons can fall as low as 0%.
Changes in LIBOR may not correlate with changes in mortgage interest rates.
It is possible that lower prevailing mortgage interest rates (which would be
expected to result in faster prepayments) could occur concurrently with a higher
level of LIBOR. Conversely, higher prevailing mortgage interest rates (which
would be expected to result in slower prepayments) could occur concurrently with
a lower level of LIBOR.
LIBOR will not remain constant at any level. The timing of changes in the
level of LIBOR may affect the actual yield to an investor, even if the average
level is consistent with the investor's expectation. In general, the earlier a
change in the level of LIBOR, the greater the effect on an investor's yield. As
a result, the effect on an investor's yield of a LIBOR level that is higher (or
lower) than the rate anticipated by the investor during earlier periods is not
likely to be offset by a later equivalent reduction (or increase).
Payment Delay: Effect on Yields
The effective yield on any interest-bearing Class will be less than the
yield otherwise produced by its Class Coupon and purchase price because (i) on
the first Payment Date 30 days' interest will be payable on
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<PAGE> 312
(or, in the case of an Accrual Class, added to the principal amount of) that
Class even though interest began to accrue approximately 45 days earlier and
(ii) on each subsequent Payment Date the interest payable will accrue during the
related Accrual Period, which will end approximately 15 days earlier.
Yield Tables
The following tables show the pre-tax yields to maturity (corporate bond
equivalent) of the Principal Only, Interest Only and Inverse Floating Rate
Classes (i) at various constant percentages of PSA and (ii) in the case of the
Inverse Floating Rate Classes, at various constant levels of LIBOR. The tables
for the Interest Only Classes also show annual and total interest payments on
those Classes. Freddie Mac has prepared these tables using the Modeling
Assumptions and the assumed purchase prices shown in the table captions. Where
the assumed price is expressed as a dollar amount, it includes accrued interest.
Where the assumed price is expressed as a percentage of original principal
amount, it excludes accrued interest and Freddie Mac has added accrued interest,
if any, in calculating the yields shown. The assumed prices are not necessarily
those at which actual sales will occur.
INTEREST PAYMENTS AND PRE-TAX YIELDS
Group 1
K CLASS
(ASSUMED PRICE: 57.75%)
<TABLE>
<CAPTION>
100% PSA 160% PSA 250% PSA 500% PSA
- -------- -------- -------- --------
<S> <C> <C> <C>
2.2% 3.5% 26.0% 59.2%
</TABLE>
KF CLASS
(ASSUMED PRICE: $1,565,546.15)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 250% 427% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
March 15, 2000.............................................. $ 226 $ 226 $ 226 $ 226
March 15, 2001.............................................. 226 226 226 226
March 15, 2002.............................................. 226 226 226 226
March 15, 2003.............................................. 226 226 226 226
March 15, 2004.............................................. 226 226 226 226
March 15, 2005.............................................. 226 226 219 156
March 15, 2006.............................................. 226 226 140 63
March 15, 2007.............................................. 226 226 64 6
March 15, 2008.............................................. 226 226 10 0
March 15, 2009.............................................. 226 188 0 0
March 15, 2010.............................................. 226 132 0 0
March 15, 2011.............................................. 226 84 0 0
March 15, 2012.............................................. 214 45 0 0
March 15, 2013.............................................. 165 11 0 0
March 15, 2014.............................................. 114 0 0 0
March 15, 2015.............................................. 64 0 0 0
March 15, 2016.............................................. 15 0 0 0
March 15, 2017 and after.................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 3,289 $ 2,498 $ 1,566 $ 1,357
======== ======== ======== ========
Pre-Tax Yield............................................... 12.2% 9.4% 0.0% (4.5)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-41
<PAGE> 313
SA CLASS
(ASSUMED PRICE: 93.0%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 160% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
3.96344%................ 18.5% 18.7% 21.0% 24.5%
4.96344................. 12.4 12.6 15.1 18.7
6.00672................. 6.2 6.4 9.1 12.7
7.05000 and Higher...... 0.3 0.4 3.2 6.8
</TABLE>
Group 3
JF CLASS
(ASSUMED PRICE: $1,451,258.34)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 250% 412% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
March 15, 2000.............................................. $ 273 $ 273 $ 273 $ 273
March 15, 2001.............................................. 273 273 273 273
March 15, 2002.............................................. 273 273 273 273
March 15, 2003.............................................. 273 273 273 273
March 15, 2004.............................................. 273 273 270 140
March 15, 2005.............................................. 273 273 88 0
March 15, 2006.............................................. 273 273 0 0
March 15, 2007.............................................. 273 219 0 0
March 15, 2008.............................................. 273 63 0 0
March 15, 2009.............................................. 273 0 0 0
March 15, 2010.............................................. 215 0 0 0
March 15, 2011.............................................. 99 0 0 0
March 15, 2012.............................................. 8 0 0 0
March 15, 2013 and after.................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 3,055 $ 2,195 $ 1,451 $ 1,233
======== ======== ======== ========
Pre-Tax Yield............................................... 16.1% 11.4% 0.0% (6.9)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-42
<PAGE> 314
JG CLASS
(ASSUMED PRICE: $3,225,745.53)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 250% 465% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
March 15, 2000.............................................. $ 505 $ 505 $ 505 $ 505
March 15, 2001.............................................. 505 505 505 505
March 15, 2002.............................................. 505 505 505 505
March 15, 2003.............................................. 505 505 505 505
March 15, 2004.............................................. 505 505 505 504
March 15, 2005.............................................. 505 505 428 346
March 15, 2006.............................................. 505 505 215 138
March 15, 2007.............................................. 505 505 58 12
March 15, 2008.............................................. 505 504 0 0
March 15, 2009.............................................. 505 420 0 0
March 15, 2010.............................................. 505 294 0 0
March 15, 2011.............................................. 505 188 0 0
March 15, 2012.............................................. 482 99 0 0
March 15, 2013.............................................. 376 25 0 0
March 15, 2014.............................................. 264 0 0 0
March 15, 2015.............................................. 152 0 0 0
March 15, 2016.............................................. 42 0 0 0
March 15, 2017 and after.................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 7,376 $ 5,571 $ 3,226 $ 3,020
======== ======== ======== ========
Pre-Tax Yield............................................... 13.9% 11.2% 0.0% (2.1)%
</TABLE>
JI CLASS
(ASSUMED PRICE: $3,780,574.33)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 257% 392% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
March 15, 2000.............................................. $ 1,067 $ 1,067 $ 1,067 $ 1,067
March 15, 2001.............................................. 1,067 1,067 1,067 1,067
March 15, 2002.............................................. 1,007 968 968 896
March 15, 2003.............................................. 847 679 558 214
March 15, 2004.............................................. 658 377 121 3
March 15, 2005.............................................. 469 185 0 0
March 15, 2006.............................................. 288 73 0 0
March 15, 2007.............................................. 187 2 0 0
March 15, 2008.............................................. 112 0 0 0
March 15, 2009.............................................. 37 0 0 0
March 15, 2010 and after.................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 5,740 $ 4,418 $ 3,782 $ 3,247
======== ======== ======== ========
Pre-Tax Yield............................................... 15.8% 7.2% 0.0% (9.3)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-43
<PAGE> 315
JL CLASS
(ASSUMED PRICE: $390,343.56)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 251% 407% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
March 15, 2000.............................................. $ 76 $ 76 $ 76 $ 76
March 15, 2001.............................................. 76 76 76 76
March 15, 2002.............................................. 76 76 76 76
March 15, 2003.............................................. 76 76 76 76
March 15, 2004.............................................. 76 76 75 26
March 15, 2005.............................................. 76 76 12 0
March 15, 2006.............................................. 76 76 0 0
March 15, 2007.............................................. 76 49 0 0
March 15, 2008.............................................. 76 1 0 0
March 15, 2009.............................................. 76 0 0 0
March 15, 2010.............................................. 47 0 0 0
March 15, 2011.............................................. 3 0 0 0
March 15, 2012 and after.................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 807 $ 579 $ 390 $ 329
======== ======== ======== ========
Pre-Tax Yield............................................... 16.4% 11.4% 0.0% (7.6)%
</TABLE>
JM CLASS
(ASSUMED PRICE: $2,235,886.59)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 250% 466% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
March 15, 2000.............................................. $ 350 $ 350 $ 350 $ 350
March 15, 2001.............................................. 350 350 350 350
March 15, 2002.............................................. 350 350 350 350
March 15, 2003.............................................. 350 350 350 350
March 15, 2004.............................................. 350 350 348 333
March 15, 2005.............................................. 350 350 255 213
March 15, 2006.............................................. 350 350 147 110
March 15, 2007.............................................. 350 350 69 39
March 15, 2008.............................................. 350 321 15 1
March 15, 2009.............................................. 350 249 0 0
March 15, 2010.............................................. 350 187 0 0
March 15, 2011.............................................. 337 134 0 0
March 15, 2012.............................................. 283 91 0 0
March 15, 2013.............................................. 227 54 0 0
March 15, 2014.............................................. 172 23 0 0
March 15, 2015.............................................. 117 2 0 0
March 15, 2016.............................................. 62 0 0 0
March 15, 2017.............................................. 11 0 0 0
March 15, 2018 and after.................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 5,059 $ 3,860 $ 2,234 $ 2,096
======== ======== ======== ========
Pre-Tax Yield............................................... 13.7% 11.1% 0.0% (2.1)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-44
<PAGE> 316
ST CLASS
(ASSUMED PRICE: 89.0%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 195% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
3.96344%................ 15.5% 17.1% 20.1% 26.5%
4.96344................. 10.4 11.9 15.2 21.6
6.00672................. 5.4 6.7 10.2 16.6
7.05000 and Higher...... 0.5 1.5 5.3 11.7
</TABLE>
T CLASS
(ASSUMED PRICE: 63.0%)
<TABLE>
<CAPTION>
100% PSA 195% PSA 250% PSA 500% PSA
- -------- -------- -------- --------
<S> <C> <C> <C>
1.9% 7.5% 22.5% 52.2%
</TABLE>
Group 4
CI CLASS
(ASSUMED PRICE: $295,264.55)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------------------------
MONTHS THROUGH 100% 185% 300% 373% 500%
------------------ ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
March 15, 2000......................................... $ 97 $ 96 $ 94 $ 94 $ 92
March 15, 2001......................................... 91 87 81 77 71
March 15, 2002......................................... 83 74 62 55 44
March 15, 2003......................................... 76 62 45 36 22
March 15, 2004......................................... 68 51 32 21 7
March 15, 2005......................................... 61 41 20 10 0
March 15, 2006......................................... 54 33 11 2 0
March 15, 2007......................................... 48 25 4 0 0
March 15, 2008......................................... 42 19 0 0 0
March 15, 2009......................................... 37 13 0 0 0
March 15, 2010......................................... 32 7 0 0 0
March 15, 2011......................................... 27 3 0 0 0
March 15, 2012......................................... 22 0 0 0 0
March 15, 2013......................................... 18 0 0 0 0
March 15, 2014......................................... 14 0 0 0 0
March 15, 2015......................................... 10 0 0 0 0
March 15, 2016......................................... 6 0 0 0 0
March 15, 2017......................................... 3 0 0 0 0
March 15, 2018 and after............................... 0 0 0 0 0
-------- -------- -------- -------- --------
Total Payments*........................................ $ 789 $ 510 $ 350 $ 295 $ 236
======== ======== ======== ======== ========
Pre-Tax Yield.......................................... 26.7% 19.2% 7.7% 0.0% (13.5)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
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<PAGE> 317
The Mortgages will not prepay at any constant rate until maturity, nor will
LIBOR remain constant at any level. Moreover, the Mortgages have characteristics
that differ from those of the Modeling Assumptions. Therefore, the actual
pre-tax yield of any Class may differ from any of those shown in the table for
that Class, even if purchased at the assumed price shown, and the actual annual
and total payments for the Interest Only Classes may also differ from any of
those shown in the tables for those Classes.
FINAL PAYMENT DATES
The Final Payment Date for each Class is the latest date by which it will
be retired. The assumptions used in calculating the Final Payment Dates are
highly conservative, and the actual retirement of any Class may occur earlier
than its Final Payment Date.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
GENERAL
Subject to the assumptions described in "Certain Federal Income Tax
Consequences -- REMIC Election" in the Offering Circular, the Upper-Tier REMIC
Pool and the Lower-Tier REMIC Pool will each qualify as a REMIC for federal
income tax purposes.
The arrangement pursuant to which the MACR Classes are created, sold and
administered (the "MACR Pool") will be classified as a grantor trust under
subpart E, part I of subchapter J of the Internal Revenue Code. The interests in
the Regular Classes that have been exchanged with Freddie Mac for the MACR
Classes (including any exchanges effective on the Closing Date) will be the
assets of the MACR Pool and the MACR Classes will represent beneficial ownership
of these assets.
REGULAR CLASSES
The Regular Classes will be the "regular interests" in the Upper-Tier REMIC
Pool. The Regular Classes will be treated as debt instruments for federal income
tax purposes and may be issued with original issue discount ("OID") or at a
premium. Based in part on the level of LIBOR as of the date of this Supplement
and assumptions regarding the initial prices at which substantial portions of
the Regular Classes will be sold to the public, Freddie Mac expects to report
income to the Internal Revenue Service and to Holders of the Regular Classes
assuming they are issued as follows:
- OID: BA, BC, CI, CZ, GC, JI, K, KF, QF, SA, ST, T, TN, TZ, VC, Z and
ZB Classes.
- De Minimis OID: A, AB, CW, FA, FT, GA, GB, GR, GS, GT, PE, PF, PG, TH,
TT, UE, UU and VV Classes.
- Premium: CA, CE, CV, DF, PA, PB, PC, PD, TB, TE, TF, TG, TL, TM, UB,
UC, UD, VA, VB and VE Classes.
OID generally will result in recognition of taxable income in advance of the
receipt of cash attributable to such income. The "Prepayment Assumption" used in
determining whether OID is de minimis and in computing the rate of accrual of
OID or the amortization of premium is 160% PSA for the Group 1 Classes, 155% PSA
for the Group 2 Classes, 195% PSA for the Group 3 Classes and 185% PSA for the
Group 4 Classes. See "Certain Federal Income Tax Consequences -- Taxation of
Regular Classes -- Original Issue Discount" and "-- Premium" in the Offering
Circular. With respect to Regular Classes issued with OID, investors may obtain
the information required by Treasury regulation section 1.6049-7(g) by
contacting Freddie Mac's Investor Inquiry Department as shown under "Available
Information" in this Supplement.
Freddie Mac intends to report any original issue or market discount or
premium with respect to the Floating Rate Classes assuming that each variable
rate is a fixed rate equal to the value of the variable rate as of the date of
this Supplement. See "Certain Federal Income Tax Consequences -- Taxation of
Regular Classes -- Floating Rate and Inverse Floating Rate Classes" in the
Offering Circular.
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<PAGE> 318
RESIDUAL CLASSES
The R Class will be the "residual interest" in the Upper-Tier REMIC Pool
and the RS Class will be the "residual interest" in the Lower-Tier REMIC Pool.
Special tax considerations apply to the Residual Classes. The taxation of the
Residual Classes can produce a significantly less favorable after-tax return
than if (i) the Residual Classes were taxable as debt instruments or (ii) no
portion of the taxable income on the Residual Classes were treated as "excess
inclusions." In certain periods, taxable income and the resulting tax liability
on the R Class may exceed any payments on that Class. See "Certain Federal
Income Tax Consequences -- Taxation of Residual Classes" in the Offering
Circular. In addition, a substantial tax may be imposed on certain transferors
of a Residual Class and certain beneficial owners of such a Class that are
"pass-through entities." See "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Disqualified
Organizations" in the Offering Circular. Investors should not purchase a
Residual Class before consulting their tax advisors.
Certain Transfers of Residual Classes
The REMIC Regulations (as defined under "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular) disregard:
- A transfer of a "noneconomic residual" unless no significant purpose
of the transfer is to impede the assessment or collection of tax; and
- Except in certain cases, a transfer of a residual interest to a
foreign investor or a transfer of a residual interest from a foreign
investor to a U.S. investor (accordingly, the Agreement prohibits the
transfer of an interest in a Residual Class to or from a foreign
investor without Freddie Mac's written consent).
In such cases, the transferor would continue to be treated as the owner of the
residual interest and thus would continue to be subject to tax on its allocable
portion of the net income of the REMIC. See "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular.
Residual Classes with Negative Fair Market Values
The federal income tax consequences of any consideration paid to a
transferee on a transfer of a Residual Class are unclear. The REMIC Regulations
do not address whether a residual interest could have a negative basis and a
negative issue price. The preamble indicates that the Internal Revenue Service
is considering the tax treatment of these types of residual interests. Any
transferee receiving consideration should consult its tax advisors.
Reporting and Administrative Matters
Freddie Mac will furnish Holders of the Residual Classes the information it
deems necessary or appropriate to enable them to prepare any reports required
under the Internal Revenue Code or applicable Treasury regulations. Freddie Mac
does not intend to hold the Residual Classes for its account, and applicable law
may not permit Freddie Mac to perform tax administrative functions for the REMIC
Pools. Accordingly, the Holders of a Residual Class may have certain tax
administrative obligations (for which Freddie Mac will act as attorney-in-fact
and agent). See "Certain Federal Income Tax Consequences -- Reporting and
Administrative Matters" in the Offering Circular.
MACR CLASSES
For a discussion of certain federal income tax consequences applicable to
the MACR Classes, see "Certain Federal Income Tax Consequences -- Taxation of
MACR Classes," "-- Exchanges of MACR Classes and Regular Classes" and
"-- Taxation of Certain Foreign Investors" in the Offering Circular.
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<PAGE> 319
LEGAL INVESTMENT CONSIDERATIONS; ERISA CONSIDERATIONS
Investors should consult their legal advisors to determine whether and to
what extent any Classes constitute legal investments for such investors. An
institution under the jurisdiction of the Comptroller of the Currency, the Board
of Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, the Office of Thrift Supervision, the National Credit Union
Administration, the Department of the Treasury or any other federal or state
agency with similar authority should review any applicable regulations, policy
statements and guidelines before purchasing or pledging any Class. See "Legal
Investment Considerations" in the Offering Circular. Fiduciaries of ERISA plans
should review "ERISA Considerations" in the Offering Circular.
PLAN OF DISTRIBUTION
Subject to the terms and conditions of the Purchase Agreement between
Freddie Mac and the Underwriter, Freddie Mac has agreed to sell, and the
Underwriter has agreed to purchase, all of the REMIC Certificates, if any are
sold and purchased.
The Underwriter proposes to offer the Securities directly to the public
from time to time for sale in negotiated transactions at varying prices to be
determined at the time of sale, plus accrued interest, if any, from March 1,
1999. The Securities are offered by the Underwriter, subject to sale by Freddie
Mac and receipt and acceptance by the Underwriter and subject to the
Underwriter's right to reject any order in whole or in part. The Underwriter may
effect such transactions by sales to or through certain securities dealers
(which may include Freddie Mac through its Securities Sales and Trading Group).
Such dealers may receive compensation in the form of discounts, concessions or
commissions from the Underwriter and/or commissions from any purchasers for
which they act as agents.
The TT, UU and VV Classes are Retail Classes; the sales commission charged
to a retail investor will be a higher percentage of the sales price than the
commission charged to an institutional investor in any non-Retail Class.
The Purchase Agreement provides that Freddie Mac will indemnify the
Underwriter against certain liabilities.
It is expected that (i) the Regular Classes (other than the Retail Classes)
and MACR Classes will be available for deposit (in book-entry form) at any
Federal Reserve Bank, (ii) the Retail Classes will be available through the
book-entry facilities of the Retail Depository, and (iii) the Residual Classes
will be available (in certificated form) at the offices of the Underwriter, on
or about the Closing Date.
LEGAL MATTERS
The legality of the Securities will be passed upon for Freddie Mac by Maud
Mater, Esq., Executive Vice President -- General Counsel and Secretary of
Freddie Mac. Certain legal matters relating to the Securities will be passed
upon for the Underwriter by Milbank, Tweed, Hadley & McCloy LLP.
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<PAGE> 320
APPENDIX 1
AVAILABLE COMBINATIONS
<TABLE>
<CAPTION>
REMIC CERTIFICATES MACR CERTIFICATES
- -------------------------------------------------------- ----------------------------------------------------------------
RELATED MAXIMUM ORIGINAL
ORIGINAL PRINCIPAL EXCHANGE MACR PRINCIPAL OR NOTIONAL EXCHANGE PRINCIPAL OR
CLASS AMOUNT PROPORTIONS(1) CLASSES PRINCIPAL AMOUNT(2) PROPORTIONS(1) OTHER TYPE(3)
----- ------------------ -------------- ------- --------------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
COMBINATION 1
A $314,879,000 97.2599227799% AC $323,750,000 100% SEQ
BA 8,871,000 2.7400772201
COMBINATION 2
TF $ 54,647,700 100% JF $ 4,203,669 N/A NTL(PAC)
TP 54,647,700 N/A PAC
TU 54,647,700 N/A PAC
COMBINATION 3
TG $100,990,000 100% JG $ 7,768,461 N/A NTL(PAC)
TQ 100,990,000 N/A PAC
TV 100,990,000 N/A PAC
COMBINATION 4
TL $ 15,137,000 100% JL $ 1,164,384 N/A NTL(PAC)
TR 15,137,000 N/A PAC
TW 15,137,000 N/A PAC
COMBINATION 5
TM $ 70,000,000 100% JM $ 5,384,615 N/A NTL(PAC)
TS 70,000,000 N/A PAC
TX 70,000,000 N/A PAC
<CAPTION>
MACR CERTIFICATES
- ------------------- -----------------------------------------------------------------
CLASS INTEREST CUSIP FINAL PAYMENT WEIGHTED AVERAGE
CLASS COUPON TYPE(3) NUMBER DATE(4) LIFE(5)
----- ------ -------- --------- ----------------- ----------------
<S> <C> <C> <C> <C> <C>
COMBINATION 1
A 6.00% FIX 3133TJ Q 8 9 February 15, 2026 5.3 Yrs
BA
COMBINATION 2
TF 6.50% FIX/IO 3133TJ Q S 5 March 15, 2024 --
6.25 FIX 3133TJ R N 5 March 15, 2024 8.0 Yrs
6.00 FIX 3133TJ R T 2 March 15, 2024 8.0
COMBINATION 3
TG 6.50% FIX/IO 3133TJ Q T 3 July 15, 2027 --
6.25 FIX 3133TJ R P 0 July 15, 2027 11.0 Yrs
6.00 FIX 3133TJ R U 9 July 15, 2027 11.0
COMBINATION 4
TL 6.50% FIX/IO 3133TJ Q V 8 March 15, 2023 --
6.25 FIX 3133TJ R Q 8 March 15, 2023 7.6 Yrs
6.00 FIX 3133TJ R V 7 March 15, 2023 7.6
COMBINATION 5
TM 6.50% FIX/IO 3133TJQW6 January 15, 2028 --
6.25 FIX 3133TJ R R 6 January 15, 2028 11.0 Yrs
6.00 FIX 3133TJ R W 5 January 15, 2028 11.0
</TABLE>
- ---------------
(1) Exchange proportions shown are constant proportions of the original
principal amounts of the Classes of REMIC Certificates or MACR Certificates.
In accordance with the exchange proportions, REMIC Certificates may be
exchanged for MACR Certificates, and vice versa. The exchange proportions
are not applicable to the MACR Certificates of Combinations 2, 3, 4 and 5.
See "MACR Certificates -- Exchanges" in the Offering Circular for the
constraints applicable to exchanges and examples of exchanges of REMIC
Certificates and "ratio-stripping" MACR Classes of the type available in
Combinations 2, 3, 4 and 5.
(2) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(3) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(4) See "Final Payment Dates" in this Supplement.
(5) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 155% PSA for the MACR
Class of Combination 1 and 195% PSA for the MACR Classes of the other
Combinations. Prepayments will not occur at the rates assumed, and the
actual weighted average lives of the MACR Classes may differ significantly
from those shown.
A-1
<PAGE> 321
- ----------------------------------------------------------
- ----------------------------------------------------------
THIS SUPPLEMENT, TOGETHER WITH THE OFFERING CIRCULAR, CONSTITUTES AN OFFER TO
SELL ONLY THE SECURITIES OFFERED HEREBY. FREDDIE MAC HAS NOT AUTHORIZED ANY
BROKER, DEALER OR SALESPERSON, OR ANYONE ELSE, TO MAKE ANY STATEMENTS, WRITTEN
OR ORAL, IN CONNECTION WITH THE OFFER, EXCEPT FOR THOSE CONTAINED IN THIS
SUPPLEMENT AND IN THE OTHER DOCUMENTS AND SOURCES OF INFORMATION PREPARED BY
FREDDIE MAC THAT ARE LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
INVESTORS MUST NOT RELY ON ANY OTHER STATEMENTS AS HAVING BEEN AUTHORIZED BY
EITHER FREDDIE MAC OR THE UNDERWRITER. THIS SUPPLEMENT AND THE OFFERING CIRCULAR
DO NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY THE
SECURITIES BY ANYONE IN ANY JURISDICTION WHERE SUCH AN OFFER OR SOLICITATION
WOULD BE UNLAWFUL, OR WHERE THE PERSON MAKING SUCH AN OFFER OR SOLICITATION
WOULD NOT BE QUALIFIED TO DO SO, OR TO ANYONE TO WHOM IT WOULD BE UNLAWFUL TO
MAKE SUCH AN OFFER OR SOLICITATION. FREDDIE MAC MAKES NO REPRESENTATION THAT THE
STATEMENTS IN THIS SUPPLEMENT OR ANY OTHER DOCUMENT WILL BE CORRECT AT ANY TIME
AFTER THE DATE OF SUCH DOCUMENT, EVEN THOUGH DELIVERY OF THE DOCUMENT AND THE
SALE OF THE SECURITIES TAKE PLACE ON A LATER DATE.
------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
DESCRIPTION PAGE
----------- ----
<S> <C>
OFFERING CIRCULAR SUPPLEMENT
Certain Risk Considerations...................... S-2
Terms Sheet...................................... S-3
Available Information............................ S-9
General Information.............................. S-9
The Agreement................................ S-9
Form of Securities........................... S-9
Holders...................................... S-10
Structure of Transaction..................... S-10
The Mortgages................................ S-11
Payments......................................... S-11
Payment Dates; Record Dates.................. S-11
Method of Payment............................ S-11
Interest..................................... S-11
Principal.................................... S-13
Retail Class Principal Payments.............. S-20
Class Factors................................ S-23
Guarantees................................... S-23
Optional Redemption.......................... S-23
Residual Proceeds............................ S-23
Prepayment and Yield Analysis.................... S-24
General...................................... S-24
Prepayment and Weighted Average Life
Considerations............................. S-26
Yield Considerations......................... S-40
Final Payment Dates.............................. S-46
Certain Federal Income Tax Consequences.......... S-46
General...................................... S-46
Regular Classes.............................. S-46
Residual Classes............................. S-47
MACR Classes................................. S-47
Legal Investment Considerations; ERISA
Considerations................................. S-48
Plan of Distribution............................. S-48
Legal Matters.................................... S-48
Appendix 1 -- Available Combinations............. A-1
OFFERING CIRCULAR
Offering Circular Summary........................ 3
Freddie Mac...................................... 9
Availability of Information and Incorporation by
Reference...................................... 9
Description of Securities........................ 9
MACR Certificates................................ 27
The Agreement.................................... 30
Certain Federal Income Tax Consequences.......... 33
ERISA Considerations............................. 44
Legal Investment Considerations.................. 45
Plan of Distribution............................. 45
Increase in Size of Offering..................... 45
Accounting Considerations........................ 45
Exhibit A -- Index of Terms...................... A-1
</TABLE>
- ----------------------------------------------------------
- ----------------------------------------------------------
- ----------------------------------------------------------
- ----------------------------------------------------------
$2,250,000,000
FREDDIE MAC
MULTICLASS REMIC
CERTIFICATES
AND MODIFIABLE
AND COMBINABLE
REMIC CERTIFICATES,
SERIES 2137
(LOGO)
X
Y
MERRILL LYNCH & CO.
OFFERING CIRCULAR SUPPLEMENT
DATED FEBRUARY 11, 1999
- ----------------------------------------------------------
- ----------------------------------------------------------
<PAGE> 322
ANNEX 1(f)
OFFERING CIRCULAR SUPPLEMENT
DATED MARCH 31, 1999
TO
OFFERING CIRCULAR DATED APRIL 1, 1998
RELATING TO
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES AND MODIFIABLE
AND COMBINABLE REMIC CERTIFICATES,
SERIES 2149
<PAGE> 323
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,587,829,320
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2149
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Four Asset Groups, consisting of one Group of Freddie Mac
6.0% 30-year PCs (Gold PCs and Gold Giant PCs) and three
Groups of Freddie Mac 6.5% 30-year PCs
Payment Dates: Monthly, beginning in June 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Merrill Lynch, Pierce, Fenner & Smith Incorporated
(the "Underwriter")
Closing Date: May 28, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
FG .................. $ 19,544,931 PAC II (5) FLT/DLY 3133TK T 3 4 May 15, 2029 18.1Yrs
FT .................. 115,259,868 SUP (5) FLT/DLY 3133TK T 4 2 May 15, 2029 11.4
GA .................. 137,118,000 PAC II 6.5% FIX 3133TK T 5 9 February 15, 2029 3.5
GR .................. 73,833,000 PAC II 6.5 FIX 3133TK T 6 7 February 15, 2029 3.5
JD .................. 1,231,646 NTL(PAC I) 6.5 FIX/IO 3133TK T 7 5 April 15, 2017 --
QD .................. 16,011,400 PAC I 6.0 FIX 3133TK T L 4 April 15, 2017 4.5
SG .................. 4,510,369 PAC II (5) INV/DLY 3133TK T P 5 May 15, 2029 18.1
ST .................. 26,598,432 SUP (5) INV/DLY 3133TK T Q 3 May 15, 2029 11.4
TB .................. 52,848,600 PAC I 6.5 FIX 3133TK T R 1 December 15, 2008 2.5
TC .................. 26,221,822 PAC I 6.5 FIX 3133TK T S 9 October 15, 2014 3.5
TE .................. 42,250,198 PAC I 6.5 FIX 3133TK T T 7 January 15, 2022 6.0
TF .................. 80,786,400 PAC I 6.5 FIX 3133TK T U 4 May 15, 2024 8.0
TG .................. 151,678,200 PAC I 6.5 FIX 3133TK T V 2 September 15, 2027 11.0
TK .................. 38,250,000 PAC I 6.5 FIX 3133TK T X 8 June 15, 2028 15.0
TL .................. 42,691,300 PAC I 6.5 FIX 3133TK T Y 6 February 15, 2029 18.7
TM................... 15,000,000 PAC I 6.5 FIX 3133TK T Z 3 May 15, 2029 24.6
TP .................. 28,983,485 PAC I 6.5 FIX 3133TK U 2 4 October 15, 2012 3.2
TQ .................. 68,714,252 PAC I 6.5 FIX 3133TK U 3 2 August 15, 2018 4.5
TR .................. 59,199,743 PAC I 6.5 FIX 3133TK U 4 0 January 15, 2022 6.3
GROUP 2
DA .................. 131,485,000 SEQ 6.0 FIX 3133TK S U 5 December 15, 2025 5.0
DB .................. 15,398,000 SEQ 6.0% FIX 3133TK S V 3 February 15, 2027 13.0Yrs
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
DC .................. $ 35,000,000 SEQ 6.0 FIX 3133TK S W 1 May 15, 2029 19.8
DK .................. 125,292,000 SEQ 6.0 FIX 3133TK S X 9 April 15, 2026 5.2
VA .................. 10,121,000 AD/SEQ 6.0 FIX 3133TK U 5 7 November 15, 2006 4.0
VB .................. 14,604,000 AD/SEQ 6.0 FIX 3133TK U 6 5 October 15, 2013 10.9
ZD .................. 18,100,000 SEQ 6.0 FIX/Z 3133TK U B 4 May 15, 2029 18.7
GROUP 3
CA .................. 63,921,429 SEQ 6.25 FIX 3133TK S Q 4 December 15, 2026 5.0
CB .................. 5,000,000 SEQ 6.5 FIX 3133TK S R 2 August 15, 2027 13.0
CD .................. 15,425,000 SEQ 6.5 FIX 3133TK S S 0 May 15, 2029 19.1
FC .................. 10,653,571 SEQ (5) FLT 3133TK T 2 6 December 15, 2026 5.0
SC .................. 10,653,571 NTL(SEQ) (5) INV/IO 3133TK T N 0 December 15, 2026 --
GROUP 4
EA .................. 110,000,000 SEQ 6.5 FIX 3133TK S Y 7 September 15, 2026 5.4
VJ .................. 9,301,000 AD/SEQ 6.5 FIX 3133TK U 8 1 July 15, 2007 4.4
VK .................. 10,028,320 AD/SEQ 6.5 FIX 3133TK U 9 9 February 15, 2013 11.0
ZE .................. 13,500,000 SEQ 6.5 FIX/Z 3133TK U C 2 May 15, 2029 18.6
RESIDUAL
R ................... 500,000 PAC I 6.5 FIX 3133TKTM2 May 15, 2029 29.1
RS .................. 0 NPR 0.0 NPR 3133TK U D 0 May 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 180% PSA for the Group 1
and R Classes, 150% PSA for the Group 2 Classes, 179% PSA for the Group 3
Classes and 170% PSA for the Group 4 Classes. Prepayments will not occur at
the rates assumed, and the actual weighted average lives of the Classes may
differ significantly from those shown.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
MERRILL LYNCH & CO.
THE DATE OF THIS OFFERING CIRCULAR SUPPLEMENT IS MARCH 31, 1999
<PAGE> 324
CERTAIN RISK CONSIDERATIONS
THE SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE SECURITIES OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND
MARKET RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE SECURITIES ARE COMPLEX SECURITIES AND IT IS IMPORTANT THAT EACH
INVESTOR IN ANY CLASS POSSESS, EITHER ALONE OR TOGETHER WITH AN INVESTMENT
ADVISOR, THE EXPERTISE NECESSARY TO EVALUATE THE INFORMATION CONTAINED AND
INCORPORATED IN THIS SUPPLEMENT IN THE CONTEXT OF THAT INVESTOR'S FINANCIAL
SITUATION.
------------------------
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Mortgages and the
actual characteristics of the related Mortgages. The yields of the Floating Rate
and Inverse Floating Rate Classes will also be sensitive to the level of LIBOR.
The Mortgages are subject to prepayment at any time without penalty. Mortgage
prepayment rates are likely to fluctuate significantly from time to time, as is
the level of LIBOR. Investors should consider the associated risks, including:
-Fast prepayment rates on the related Mortgages can reduce the yields
of the Interest Only Classes and any other Classes purchased at a
premium over their principal amounts. Under some prepayment scenarios,
investors in the Interest Only Classes could fail to fully recover
their investments.
-Slow prepayment rates on the related Mortgages can reduce the yields
of any Classes purchased at a discount to their principal amounts.
-Small differences in the characteristics of the Mortgages can have a
significant effect on the weighted average lives and yields of the
related Classes.
-Low levels of LIBOR can reduce the yields of the Floating Rate
Classes. Conversely, high levels of LIBOR can significantly reduce the
yields of the Inverse Floating Rate Classes and (especially in
combination with fast Mortgage prepayment rates) may result in the
failure of investors in the SC Class to fully recover their
investments.
-In general, principal payment rates on the Support Classes are likely
to exhibit a higher sensitivity to prepayments on the related Mortgages
than are principal payment rates on the PAC Classes.
-In general, principal payment rates on the Type II PAC Classes are
likely to exhibit a higher sensitivity to prepayments on the related
Mortgages than are principal payment rates on the Type I PAC Classes.
See "Prepayment and Yield Analysis" in this Supplement.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
SECURITIES AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO. THERE IS
NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT DEVELOPS, THAT
IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL THEIR
SECURITIES READILY OR AT PRICES THAT WILL ENABLE THEM TO REALIZE THEIR DESIRED
YIELD. THE MARKET VALUES OF THE SECURITIES ARE LIKELY TO FLUCTUATE; SUCH
FLUCTUATIONS MAY BE SIGNIFICANT AND COULD RESULT IN SIGNIFICANT LOSSES TO
INVESTORS.
------------------------
THE SECONDARY MARKETS FOR MORTGAGE-RELATED SECURITIES HAVE EXPERIENCED
PERIODS OF ILLIQUIDITY AND CAN BE EXPECTED TO DO SO IN THE FUTURE. ILLIQUIDITY
CAN HAVE A SEVERELY ADVERSE EFFECT ON THE PRICES OF SECURITIES THAT ARE
ESPECIALLY SENSITIVE TO PREPAYMENT OR INTEREST RATE RISK OR THAT HAVE BEEN
STRUCTURED TO MEET THE INVESTMENT REQUIREMENTS OF LIMITED CATEGORIES OF
INVESTORS.
FREDDIE MAC'S MULTICLASS REMIC CERTIFICATES OFFERING CIRCULAR DATED APRIL
1, 1998 (THE "OFFERING CIRCULAR") ACCOMPANIES THIS SUPPLEMENT. CAPITALIZED TERMS
THAT ARE USED IN THIS SUPPLEMENT WITHOUT FURTHER DEFINITION HAVE THE MEANINGS
GIVEN THEM IN THE OFFERING CIRCULAR. INVESTORS SHOULD PURCHASE SECURITIES ONLY
IF THEY HAVE READ AND UNDERSTOOD THIS SUPPLEMENT, THE OFFERING CIRCULAR AND THE
DOCUMENTS LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
S-2
<PAGE> 325
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates or, in some cases, for related MACR Certificates. Appendix 1 to
this Supplement shows the characteristics of the MACR Classes and the
"Combinations" of Classes of REMIC Certificates and MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- -------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
FC................... 5.27625% LIBOR + 0.35% 0.35% 8.0%
FG and FT(3)......... 5.87625 LIBOR + 0.95% 0.95 8.0
SC................... 2.72375 7.65% - LIBOR 0 7.65
SG and ST(3)......... 9.20292 30.549999% - (LIBOR X 4.3333333) 0 30.549999
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- ----------------------------
<S> <C> <C>
REMIC CERTIFICATES
JD $ 1,231,646 QD (Type I PAC Class)
SC $10,653,571 FC (Sequential Pay Class)
MACR CLASSES
JL $ 3,283,946 TL (Type I PAC Class)
JP $ 2,229,498 TP (Type I PAC Class)
JR $ 4,553,826 TR (Type I PAC Class)
KC $ 2,017,063 TC (Type I PAC Class)
KE $ 3,250,015 TE (Type I PAC Class)
KF $ 6,214,338 TF (Type I PAC Class)
KQ $ 5,285,711 TQ (Type I PAC Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-3
<PAGE> 326
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
Group 1
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning July 15, 2001, to the Type I PAC Classes, until reduced to
( their "Aggregate Targeted Balance" for that Payment Date, allocated
( as follows:
TYPE I ( a. To TB, while outstanding
PAC ( b. 35.0000434997% to TC, QD and TE, in that order, and 64.9999565003%
( to TP, TQ and TR, in that order, while outstanding
( c. To TF, TG, TK, TL, TM and R, in that order
( 2. To the Type II PAC Classes, until reduced to their Aggregate
TYPE II ( Targeted Balance for that Payment Date, allocated as follows:
PAC ( (a) To GA and GR, pro rata, while outstanding
( (b) To FG and SG, pro rata
SUPPORT ( 3. To FT and ST, pro rata, until retired
TYPE II ( 4. To the Type II PAC Classes as described above, but without regard to
PAC ( their Aggregate Targeted Balance, until retired
TYPE I ( 5. To the Type I PAC Classes as described above, but without regard to
PAC ( their Aggregate Targeted Balance, until retired
Group 2
ACCRETION (
DIRECTED (- The "ZD Accrual Amount" for that Payment Date to VA and VB, in that
AND ACCRUAL ( order, until retired, and then to ZD
- The "Group 2 Asset Principal Amount" for that Payment Date, allocated
concurrently:
SEQUENTIAL ( (a) 51.9665714286% to DA, DB and DC, in that order, until retired
PAY ( (b) 48.0334285714% to DK, VA, VB and ZD, in that order, until retired
Group 3
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To CA and FC, pro rata, until retired
PAY ( 2. To CB and CD, in that order, until retired
Group 4
ACCRETION (
DIRECTED (- The "ZE Accrual Amount" for that Payment Date to VJ and VK, in that
AND ACCRUAL ( order, until retired, and then to ZE
SEQUENTIAL (- The "Group 4 Asset Principal Amount" for that Payment Date to EA, VJ,
PAY ( VK and ZE, in that order, until retired
</TABLE>
S-4
<PAGE> 327
The Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE
----- -----------------
<S> <C>
Type I PAC.................................................. 100% PSA - 250% PSA
Type II PAC................................................. 145% PSA - 215% PSA
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments (or, in the case
of Combination 9, the net reduction in principal) will be allocated from the
applicable Class or Classes of REMIC Certificates to the related MACR Class that
is entitled to principal or, if there are two or more related MACR Classes
entitled to principal, to such Classes, pro rata.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "General Information -- Structure
of Transaction -- General" in this Supplement and "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
S-5
<PAGE> 328
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 180% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FG and SG..................... 28.3 20.0 18.1 7.4 2.4
FT and ST..................... 29.2 24.8 11.4 2.3 1.0
GA and GR..................... 25.0 9.7 3.5 2.7 1.6
LC, PC and TC................. 9.9 3.5 3.5 3.5 2.8
LE, PE and TE................. 16.5 6.0 6.0 6.0 3.7
LF, PF and TF................. 19.6 8.0 8.0 8.0 4.5
LP, NP and TP................. 9.0 3.2 3.2 3.2 2.7
LQ, PQ and TQ................. 13.1 4.5 4.5 4.5 3.1
LR, PR and TR................. 17.0 6.3 6.3 6.3 3.8
QD............................ 13.2 4.5 4.5 4.5 3.1
QL and TL..................... 24.8 18.7 18.7 18.7 10.1
TB............................ 4.9 2.5 2.5 2.5 2.4
TG............................ 22.3 11.0 11.0 11.0 5.9
TH............................ 24.7 18.1 18.1 18.1 10.0
TK............................ 24.1 15.0 15.0 15.0 8.0
TM............................ 25.8 24.6 24.6 24.6 14.5
R............................. 29.1 29.1 29.1 29.1 22.8
Group 1 Assets................ 21.0 11.4 8.2 6.5 3.7
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 150% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
DA............................ 17.9 6.7 5.0 2.8 1.8
DB............................ 27.1 16.8 13.0 7.2 4.4
DC............................ 28.9 23.0 19.8 12.3 7.5
DK............................ 18.1 7.0 5.2 2.9 1.8
VA............................ 4.0 4.0 4.0 4.0 3.2
VB............................ 11.2 11.2 10.9 7.6 5.0
VC............................ 8.2 8.2 8.1 6.1 4.3
ZD............................ 28.5 21.6 18.7 12.7 8.2
Group 2 Assets................ 20.8 10.7 8.5 5.0 3.1
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 179% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
CA and FC..................... 18.9 7.6 5.0 3.2 2.1
CB............................ 27.8 18.8 13.0 8.3 5.1
CD............................ 29.1 24.0 19.1 13.2 8.1
CE and Group 3 Assets......... 21.0 10.9 7.7 5.1 3.2
</TABLE>
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 170% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
EA............................ 18.7 7.8 5.4 3.5 2.4
EB............................ 28.7 23.0 18.2 12.1 7.6
VJ............................ 4.4 4.4 4.4 4.4 3.7
VK............................ 11.1 11.1 11.0 8.5 5.7
VL............................ 7.9 7.9 7.8 6.5 4.8
ZE............................ 28.7 23.0 18.6 13.4 8.9
Group 4 Assets................ 21.0 11.3 8.4 5.5 3.6
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate, and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-6
<PAGE> 329
THE ASSETS
The Group 1 Assets will consist of $1,000,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 2 Assets will consist of $350,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Assets will consist of $95,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 4 Assets will consist of $142,829,320 of Freddie Mac 6.5% per
annum 30-year PCs.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF MAY 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $1,000,000,000 357 2 7.05% 6.5%
2 350,000,000 343 12 6.828 6.0
3 95,000,000 345 10 7.1 6.5
4 142,829,320 355 4 7.05 6.5
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-7
<PAGE> 330
AVAILABLE INFORMATION
Investors should purchase Securities only if they have read and understood
this Supplement, the Offering Circular and the following documents:
-Freddie Mac's Mortgage Participation Certificates Offering Circular
dated February 1, 1998 (the "PC Offering Circular"), which describes
Gold PCs generally.
-Freddie Mac's Giant Participation Certificates and Other Pass-Through
Participation Certificates Offering Circular dated January 1, 1997 (the
"Giant PC Offering Circular"), which describes Gold Giant PCs and
Stripped Giant PCs generally.
-Freddie Mac's Information Statement dated March 31, 1999, its
Information Statement Supplement dated May 14, 1999 and any other
Information Statement Supplements published by Freddie Mac through the
time of purchase.
This Supplement incorporates by reference the documents listed above.
Investors can order these documents: from Freddie Mac, by writing, calling or
e-mailing its Investor Inquiry Department at 8200 Jones Branch Drive, McLean,
Virginia 22102 (outside Washington, D.C. metropolitan area, phone 800/336-FMPC;
within Washington, D.C. metropolitan area, phone 703/450-3777; e-mail:
[email protected]); or from the Underwriter, by writing or calling
Merrill Lynch, Pierce, Fenner & Smith, Incorporated, Prospectus Department at
44B Colonial Drive, Piscataway, New Jersey 08854 (phone 732/885-2760).
Freddie Mac will publish a Supplemental Statement (which will contain
schedules of the Assets and other information) applicable to this Series shortly
after the Closing Date. Investors can obtain the Supplemental Statement, any
offering materials for specific Assets and historic and current information
concerning specific Assets and the Securities from Freddie Mac's Investor
Inquiry Department.
Freddie Mac's Internet Web-Site (http://www.freddiemac.com) will display
this Supplement, the Supplemental Statement, schedules of the Assets and
information, updated monthly, regarding each Class of this Series.
GENERAL INFORMATION
THE AGREEMENT
Freddie Mac will create the Securities under the Multiclass REMIC
Certificate Agreement, dated as of April 1, 1998, and a Terms Supplement, to be
dated the Closing Date (together, the "Agreement"). Investors can order copies
of the Agreement by contacting the Investor Inquiry Department at Freddie Mac as
shown under "Available Information" in this Supplement. The Agreement is
incorporated by reference in this Supplement.
Holders and anyone having a beneficial interest in the Securities should
refer to the Agreement for a complete description of their rights and
obligations and the rights and obligations of Freddie Mac. Holders and
beneficial owners of Securities will acquire their Securities subject to all
terms and conditions of the Agreement, including the Terms Supplement.
FORM OF SECURITIES
The Regular Classes and the MACR Classes will be issued and may be held of
record and transferred only on the book-entry system of the Federal Reserve
Banks by entities eligible to maintain book-entry accounts with a Federal
Reserve Bank ("Fed Participants"). The Residual Classes will be issued and may
be held of record only in certificated form and will be transferable at Chase
Bank of Texas, National Association or its successor (the "Registrar"). The
Classes will be issued in the denominations specified under "Description of
Securities -- Form of Securities, Holders, Minimum Principal Amounts and
Transfers" in the Offering Circular.
S-8
<PAGE> 331
HOLDERS
The term "Holders" means (i) in the case of a Regular Class or a MACR
Class, the Fed Participants that appear on the book-entry records of a Federal
Reserve Bank as holders of that Class, and (ii) in the case of a Residual Class,
the entities or individuals that appear on the records of the Registrar as the
registered holders of that Class. The beneficial owner of a Security is not
necessarily the Holder.
STRUCTURE OF TRANSACTION
General
This Series will be a "Double-Tier Series." The Regular Classes of REMIC
Certificates and the R Class will represent beneficial ownership interests in
the Upper-Tier REMIC Pool. The Upper-Tier REMIC Pool will consist of the Classes
of "regular interests" in the Lower-Tier REMIC Pool (the "Mortgage Securities").
The RS Class will represent the residual interest in the Lower-Tier REMIC Pool.
The Lower-Tier REMIC Pool will consist of the Assets. The Underwriter
intends to acquire the Assets in privately negotiated transactions before
delivering them to Freddie Mac on the Closing Date. On the Closing Date, Freddie
Mac expects to acquire the Assets from the Underwriter in exchange for the REMIC
Certificates.
The Assets
The Assets are PCs, which may include Gold Mortgage Participation
Certificates ("Gold PCs") and/or Gold Giant Mortgage Participation Certificates
("Gold Giant PCs"). Gold PCs represent undivided interests in discrete pools
consisting of specified Mortgages. Gold Giant PCs represent beneficial ownership
interests in discrete pools consisting of specified Gold PCs (or, in some cases,
other Gold Giant PCs).
THE MORTGAGES
The Mortgages underlying the Assets are fixed-rate, first lien, residential
mortgages and mortgage participations. For purposes of this Supplement, Freddie
Mac has made certain assumptions regarding the remaining terms to maturity, loan
ages and interest rates of the Mortgages underlying the Assets. See "Terms
Sheet -- Assumed Mortgage Characteristics" in this Supplement. However, the
characteristics of most of the Mortgages differ from those assumed, in some
cases significantly. This is the case even if the weighted average
characteristics of the Mortgages are the same as those of mortgages having the
characteristics assumed. Small differences in the characteristics of the
Mortgages can have a significant effect on the weighted average lives and yields
of the related Classes. See "Prepayment and Yield Analysis" in this Supplement.
PAYMENTS
PAYMENT DATES; RECORD DATES
Freddie Mac will make payments of principal and interest on the Securities
to Holders entitled to such payments on the 15th of each month or, if the 15th
is not a "Business Day," on the next Business Day (a "Payment Date"), beginning
in the month following the Closing Date.
On each Payment Date, any payment on a Security will be made to the Holder
of record as of the end of the preceding calendar month (each, a "Record Date").
METHOD OF PAYMENT
A Federal Reserve Bank will credit payments on the Regular Classes and the
MACR Classes to the accounts of Holders of these Classes monthly on each Payment
Date. The Registrar will mail any payments on the Residual Classes by check to
the addresses of the Holders of these Classes as they appear on the Registrar's
records, not later than the applicable Payment Date. A Holder of a Residual
Class will be required to present the Holder's certificate to the Registrar for
payment under the circumstances described under "Description of
Securities -- Form of Securities, Holders, Minimum Principal Amounts and
Transfers" in the
S-9
<PAGE> 332
Offering Circular. A Holder that is not also the beneficial owner of a Security,
and each other financial intermediary in the chain to the beneficial owner, will
be responsible for remitting payments to their customers.
INTEREST
Freddie Mac will pay interest on each Payment Date to the Holders of each
Class of Securities on which interest has accrued, except in the case of the
Accrual Classes, which will receive payments as described under "Accrual
Classes" below.
Categories of Classes
For purposes of interest payments, the Classes of REMIC Certificates will
be categorized as shown under "Interest Type" on the cover page of this
Supplement, and the MACR Classes will be categorized as shown under "Interest
Type" on Appendix 1 to this Supplement. The abbreviations used on the cover page
and Appendix 1 are explained under "Description of Securities -- Standard
Definitions and Abbreviations for Classes" in the Offering Circular.
Accrual Periods
The Accrual Period for the Fixed Rate and Delay Classes will be the
calendar month preceding the related Payment Date. The Accrual Period for the
Floating Rate and Inverse Floating Rate Classes other than the Delay Classes
(the "Non-Delay Classes") will be from the 15th of the month preceding the
related Payment Date to the 15th of the month of that Payment Date. In each
case, interest will be calculated on the basis of a 360-day year consisting of
twelve 30-day months. Interest payable on any Class on any Payment Date will
consist of 30 days' interest on its balance as of the related Record Date.
Fixed Rate Classes
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
Notional Classes
The Notional Classes will not receive principal payments. For convenience
in describing interest payments, the Notional Classes will have notional
principal amounts. The table under "Terms Sheet -- Notional Classes" in this
Supplement shows the original notional principal amounts of the Notional Classes
and the Class with which each Notional Class will reduce proportionately.
Floating Rate and Inverse Floating Rate Classes
The Floating Rate and Inverse Floating Rate Classes will bear interest as
shown under "Terms Sheet -- Class Coupons" in this Supplement. The Class Coupons
for the Floating Rate and Inverse Floating Rate Classes will be based on the
arithmetic mean of the London interbank offered quotations for one-month
Eurodollar deposits ("LIBOR").
For information regarding the manner in which Freddie Mac determines LIBOR
and calculates the Class Coupons for the Floating Rate and Inverse Floating Rate
Classes, see "Description of Securities -- Interest Rate Indices" in the
Offering Circular.
Freddie Mac's determination of LIBOR and its calculation of the Class
Coupons will be final, except in the case of clear error. Investors can get the
LIBOR levels and the Class Coupons for the current and preceding Accrual Periods
from Freddie Mac's Internet Web-Site or by contacting Freddie Mac's Investor
Inquiry Department as shown under "Available Information" in this Supplement.
Accrual Classes
The ZD and ZE Classes will be Accrual Classes. No payments of interest will
be made on the Accrual Classes; rather, interest accrued on each Accrual Class
during each Accrual Period will be added to its
S-10
<PAGE> 333
principal amount on the related Payment Date. Payments of principal on each
Accrual Class (including accrued interest that has been added to its principal
amount) will be made as described under "Terms Sheet -- Allocation of Principal"
in this Supplement.
PRINCIPAL
Freddie Mac will pay principal on each applicable Payment Date to the
Holders of the Classes on which principal is then due. The Holders of each such
Class will receive principal payments on a pro rata basis among the Securities
of that Class.
Categories of Classes
For purposes of principal payments, the Classes of REMIC Certificates will
be categorized as shown under "Principal or Other Type" on the cover page of
this Supplement, and the MACR Classes will be categorized as shown under
"Principal or Other Type" on Appendix 1 to this Supplement. The abbreviations
used on the cover page or Appendix 1 are explained under "Description of
Securities -- Standard Definitions and Abbreviations for Classes" in the
Offering Circular.
Amount of Payments
The total amount of principal payments that will be made on the Securities
on each Payment Date will equal the sum of:
- The amount of interest, if any, accrued on the ZD and ZE Classes
during the related Accrual Period and not payable as interest on that
Payment Date (the "ZD Accrual Amount" and the "ZE Accrual Amount").
- The amount of principal payments required to be made on that Payment
Date on the Group 1, Group 2, Group 3 and Group 4 Assets (the "Group 1
Asset Principal Amount," the "Group 2 Asset Principal Amount" and so
forth).
Allocation of Payments
On each Payment Date, Freddie Mac will pay the Accrual Amounts and the
Asset Principal Amounts as described under "Terms Sheet -- Allocation of
Principal" in this Supplement. Principal that is allocable to the Classes
receiving payments from a particular Asset Group will be allocated only to those
Classes and will not be available for Classes receiving payments from other
Asset Groups.
S-11
<PAGE> 334
Targeted Balances Schedules
The schedules of "Aggregate Targeted Balances" are shown below.
TARGETED BALANCES*
TYPE I PAC CLASSES
<TABLE>
<CAPTION>
PAYMENT DATE
------------
<CAPTION>
TYPE I PAC
(AGGREGATE)
<S> <C>
June 15, 2001
and before........ $623,135,400.00
July 15, 2001....... 617,844,827.52
August 15, 2001..... 612,418,386.93
September 15,
2001.............. 606,858,485.41
October 15, 2001.... 601,326,549.32
November 15, 2001... 595,822,434.40
December 15, 2001... 590,345,997.12
January 15, 2002.... 584,897,094.68
February 15, 2002... 579,475,585.04
March 15, 2002...... 574,081,326.87
April 15, 2002...... 568,714,179.57
May 15, 2002........ 563,374,003.26
June 15, 2002....... 558,060,658.80
July 15, 2002....... 552,774,007.74
August 15, 2002..... 547,513,912.35
September 15,
2002.............. 542,280,235.60
October 15, 2002.... 537,072,841.20
November 15, 2002... 531,891,593.51
December 15, 2002... 526,736,357.62
January 15, 2003.... 521,606,999.31
February 15, 2003... 516,503,385.04
March 15, 2003...... 511,425,381.96
April 15, 2003...... 506,372,857.90
May 15, 2003........ 501,345,681.39
June 15, 2003....... 496,343,721.60
July 15, 2003....... 491,366,848.41
August 15, 2003..... 486,414,932.34
September 15,
2003.............. 481,487,844.59
October 15, 2003.... 476,585,457.02
November 15, 2003... 471,707,642.14
December 15, 2003... 466,854,273.14
January 15, 2004.... 462,025,223.83
February 15, 2004... 457,220,368.69
March 15, 2004...... 452,439,582.83
April 15, 2004...... 447,682,742.02
May 15, 2004........ 442,949,722.66
June 15, 2004....... 438,240,401.78
July 15, 2004....... 433,554,657.04
August 15, 2004..... 428,892,366.75
September 15,
2004.............. 424,253,409.83
October 15, 2004.... 419,637,665.81
November 15, 2004... 415,045,014.87
December 15, 2004... 410,475,337.78
January 15, 2005.... 405,928,515.93
February 15, 2005... 401,404,431.32
March 15, 2005...... 396,902,966.56
April 15, 2005...... 392,424,004.87
May 15, 2005........ 387,967,430.05
June 15, 2005....... 383,533,126.52
July 15, 2005....... 379,120,979.27
August 15, 2005..... 374,730,873.90
September 15,
2005.............. 370,362,696.59
</TABLE>
<TABLE>
<CAPTION>
TYPE I PAC
(AGGREGATE)
CONTINUED
<S> <C>
October 15, 2005.... $366,016,334.12
November 15, 2005... 361,691,673.83
December 15, 2005... 357,388,603.64
January 15, 2006.... 353,107,012.06
February 15, 2006... 348,846,788.18
March 15, 2006...... 344,607,821.63
April 15, 2006...... 340,390,002.64
May 15, 2006........ 336,193,221.98
June 15, 2006....... 332,017,370.99
July 15, 2006....... 327,862,341.58
August 15, 2006..... 323,728,026.19
September 15,
2006.............. 319,614,317.83
October 15, 2006.... 315,521,110.07
November 15, 2006... 311,448,297.00
December 15, 2006... 307,395,773.28
January 15, 2007.... 303,363,434.10
February 15, 2007... 299,351,175.17
March 15, 2007...... 295,358,892.78
April 15, 2007...... 291,386,483.72
May 15, 2007........ 287,433,845.32
June 15, 2007....... 283,500,875.43
July 15, 2007....... 279,587,472.43
August 15, 2007..... 275,693,535.23
September 15,
2007.............. 271,818,963.26
October 15, 2007.... 267,963,656.45
November 15, 2007... 264,127,515.25
December 15, 2007... 260,310,440.64
January 15, 2008.... 256,512,334.08
February 15, 2008... 252,733,097.57
March 15, 2008...... 248,972,633.58
April 15, 2008...... 245,230,845.11
May 15, 2008........ 241,507,635.63
June 15, 2008....... 237,829,622.47
July 15, 2008....... 234,204,337.78
August 15, 2008..... 230,631,047.37
September 15,
2008.............. 227,109,027.11
October 15, 2008.... 223,637,562.79
November 15, 2008... 220,215,950.02
December 15, 2008... 216,843,494.04
January 15, 2009.... 213,519,509.64
February 15, 2009... 210,243,321.01
March 15, 2009...... 207,014,261.61
April 15, 2009...... 203,831,674.05
May 15, 2009........ 200,694,909.96
June 15, 2009....... 197,603,329.86
July 15, 2009....... 194,556,303.06
August 15, 2009..... 191,553,207.54
September 15,
2009.............. 188,593,429.80
October 15, 2009.... 185,676,364.77
November 15, 2009... 182,801,415.70
December 15, 2009... 179,967,994.03
January 15, 2010.... 177,175,519.29
February 15, 2010... 174,423,418.97
</TABLE>
<TABLE>
<CAPTION>
TYPE I PAC
(AGGREGATE)
CONTINUED
<S> <C>
March 15, 2010...... $171,711,128.46
April 15, 2010...... 169,038,090.88
May 15, 2010........ 166,403,757.02
June 15, 2010....... 163,807,585.21
July 15, 2010....... 161,249,041.23
August 15, 2010..... 158,727,598.22
September 15,
2010.............. 156,242,736.54
October 15, 2010.... 153,793,943.72
November 15, 2010... 151,380,714.33
December 15, 2010... 149,002,549.90
January 15, 2011.... 146,658,958.81
February 15, 2011... 144,349,456.21
March 15, 2011...... 142,073,563.93
April 15, 2011...... 139,830,810.37
May 15, 2011........ 137,620,730.43
June 15, 2011....... 135,442,865.41
July 15, 2011....... 133,296,762.94
August 15, 2011..... 131,181,976.87
September 15,
2011.............. 129,098,067.20
October 15, 2011.... 127,044,599.99
November 15, 2011... 125,021,147.27
December 15, 2011... 123,027,286.99
January 15, 2012.... 121,062,602.90
February 15, 2012... 119,126,684.49
March 15, 2012...... 117,219,126.93
April 15, 2012...... 115,339,530.95
May 15, 2012........ 113,487,502.79
June 15, 2012....... 111,662,654.12
July 15, 2012....... 109,864,601.99
August 15, 2012..... 108,092,968.71
September 15,
2012.............. 106,347,381.81
October 15, 2012.... 104,627,473.96
November 15, 2012... 102,932,882.91
December 15, 2012... 101,263,251.40
January 15, 2013.... 99,618,227.10
February 15, 2013... 97,997,462.57
March 15, 2013...... 96,400,615.14
April 15, 2013...... 94,827,346.89
May 15, 2013........ 93,277,324.58
June 15, 2013....... 91,750,219.56
July 15, 2013....... 90,245,707.72
August 15, 2013..... 88,763,469.44
September 15,
2013.............. 87,303,189.52
October 15, 2013.... 85,864,557.11
November 15, 2013... 84,447,265.68
December 15, 2013... 83,051,012.93
January 15, 2014.... 81,675,500.72
February 15, 2014... 80,320,435.07
March 15, 2014...... 78,985,526.06
April 15, 2014...... 77,670,487.78
May 15, 2014........ 76,375,038.27
June 15, 2014....... 75,098,899.49
July 15, 2014....... 73,841,797.25
</TABLE>
- ---------------
* The Aggregate Targeted Balances were calculated using, among other things, the
"structuring ranges" shown under "Terms Sheet -- Allocation of Principal" in
this Supplement. See "Prepayment and Yield Analysis" in this Supplement.
S-12
<PAGE> 335
<TABLE>
<CAPTION>
PAYMENT DATE
------------
TYPE I PAC
(AGGREGATE)
CONTINUED
<S> <C>
August 15, 2014..... $ 72,603,461.15
September 15,
2014.............. 71,383,624.55
October 15, 2014.... 70,182,024.48
November 15, 2014... 68,998,401.65
December 15, 2014... 67,832,500.34
January 15, 2015.... 66,684,068.39
February 15, 2015... 65,552,857.12
March 15, 2015...... 64,438,621.33
April 15, 2015...... 63,341,119.18
May 15, 2015........ 62,260,112.23
June 15, 2015....... 61,195,365.33
July 15, 2015....... 60,146,646.58
August 15, 2015..... 59,113,727.32
September 15,
2015.............. 58,096,382.07
October 15, 2015.... 57,094,388.47
November 15, 2015... 56,107,527.24
December 15, 2015... 55,135,582.18
January 15, 2016.... 54,178,340.06
February 15, 2016... 53,235,590.63
March 15, 2016...... 52,307,126.57
April 15, 2016...... 51,392,743.44
May 15, 2016........ 50,492,239.64
June 15, 2016....... 49,605,416.37
July 15, 2016....... 48,732,077.60
August 15, 2016..... 47,872,030.05
September 15,
2016.............. 47,025,083.09
October 15, 2016.... 46,191,048.79
November 15, 2016... 45,369,741.80
December 15, 2016... 44,560,979.38
January 15, 2017.... 43,764,581.32
February 15, 2017... 42,980,369.92
March 15, 2017...... 42,208,169.97
April 15, 2017...... 41,447,808.70
May 15, 2017........ 40,699,115.75
June 15, 2017....... 39,961,923.12
July 15, 2017....... 39,236,065.18
August 15, 2017..... 38,521,378.60
September 15,
2017.............. 37,817,702.32
October 15, 2017.... 37,124,877.55
November 15, 2017... 36,442,747.71
December 15, 2017... 35,771,158.39
January 15, 2018.... 35,109,957.36
February 15, 2018... 34,458,994.52
March 15, 2018...... 33,818,121.84
April 15, 2018...... 33,187,193.40
May 15, 2018........ 32,566,065.28
June 15, 2018....... 31,954,595.61
July 15, 2018....... 31,352,644.48
August 15, 2018..... 30,760,073.94
September 15,
2018.............. 30,176,747.99
October 15, 2018.... 29,602,532.53
November 15, 2018... 29,037,295.31
December 15, 2018... 28,480,905.98
January 15, 2019.... 27,933,235.97
February 15, 2019... 27,394,158.55
March 15, 2019...... 26,863,548.74
April 15, 2019...... 26,341,283.34
</TABLE>
<TABLE>
<CAPTION>
TYPE I PAC
(AGGREGATE)
CONTINUED
<S> <C>
May 15, 2019........ $ 25,827,240.85
June 15, 2019....... 25,321,301.49
July 15, 2019....... 24,823,347.16
August 15, 2019..... 24,333,261.42
September 15,
2019.............. 23,850,929.47
October 15, 2019.... 23,376,238.11
November 15, 2019... 22,909,075.73
December 15, 2019... 22,449,332.31
January 15, 2020.... 21,996,899.35
February 15, 2020... 21,551,669.91
March 15, 2020...... 21,113,538.51
April 15, 2020...... 20,682,401.19
May 15, 2020........ 20,258,155.44
June 15, 2020....... 19,840,700.19
July 15, 2020....... 19,429,935.81
August 15, 2020..... 19,025,764.06
September 15,
2020.............. 18,628,088.08
October 15, 2020.... 18,236,812.38
November 15, 2020... 17,851,842.83
December 15, 2020... 17,473,086.62
January 15, 2021.... 17,100,452.23
February 15, 2021... 16,733,849.46
March 15, 2021...... 16,373,189.36
April 15, 2021...... 16,018,384.26
May 15, 2021........ 15,669,347.72
June 15, 2021....... 15,325,994.51
July 15, 2021....... 14,988,240.61
August 15, 2021..... 14,656,003.20
September 15,
2021.............. 14,329,200.62
October 15, 2021.... 14,007,752.37
November 15, 2021... 13,691,579.08
December 15, 2021... 13,380,602.52
January 15, 2022.... 13,074,745.56
February 15, 2022... 12,773,932.15
March 15, 2022...... 12,478,087.35
April 15, 2022...... 12,187,137.25
May 15, 2022........ 11,901,009.01
June 15, 2022....... 11,619,630.80
July 15, 2022....... 11,342,931.84
August 15, 2022..... 11,070,842.33
September 15,
2022.............. 10,803,293.48
October 15, 2022.... 10,540,217.46
November 15, 2022... 10,281,547.41
December 15, 2022... 10,027,217.44
January 15, 2023.... 9,777,162.55
February 15, 2023... 9,531,318.72
March 15, 2023...... 9,289,622.81
April 15, 2023...... 9,052,012.58
May 15, 2023........ 8,818,426.68
June 15, 2023....... 8,588,804.65
July 15, 2023....... 8,363,086.86
August 15, 2023..... 8,141,214.55
September 15,
2023.............. 7,923,129.81
October 15, 2023.... 7,708,775.53
November 15, 2023... 7,498,095.43
December 15, 2023... 7,291,034.03
January 15, 2024.... 7,087,536.66
</TABLE>
<TABLE>
<CAPTION>
TYPE I PAC
(AGGREGATE)
CONTINUED
<S> <C>
February 15, 2024... $ 6,887,549.39
March 15, 2024...... 6,691,019.10
April 15, 2024...... 6,497,893.42
May 15, 2024........ 6,308,120.72
June 15, 2024....... 6,121,650.12
July 15, 2024....... 5,938,431.46
August 15, 2024..... 5,758,415.30
September 15,
2024.............. 5,581,552.92
October 15, 2024.... 5,407,796.28
November 15, 2024... 5,237,098.05
December 15, 2024... 5,069,411.55
January 15, 2025.... 4,904,690.81
February 15, 2025... 4,742,890.48
March 15, 2025...... 4,583,965.90
April 15, 2025...... 4,427,873.01
May 15, 2025........ 4,274,568.42
June 15, 2025....... 4,124,009.35
July 15, 2025....... 3,976,153.64
August 15, 2025..... 3,830,959.72
September 15,
2025.............. 3,688,386.64
October 15, 2025.... 3,548,394.03
November 15, 2025... 3,410,942.11
December 15, 2025... 3,275,991.67
January 15, 2026.... 3,143,504.06
February 15, 2026... 3,013,441.20
March 15, 2026...... 2,885,765.54
April 15, 2026...... 2,760,440.09
May 15, 2026........ 2,637,428.40
June 15, 2026....... 2,516,694.53
July 15, 2026....... 2,398,203.08
August 15, 2026..... 2,281,919.13
September 15,
2026.............. 2,167,808.31
October 15, 2026.... 2,055,836.71
November 15, 2026... 1,945,970.94
December 15, 2026... 1,838,178.07
January 15, 2027.... 1,732,425.67
February 15, 2027... 1,628,681.76
March 15, 2027...... 1,526,914.85
April 15, 2027...... 1,427,093.88
May 15, 2027........ 1,329,188.27
June 15, 2027....... 1,233,167.86
July 15, 2027....... 1,139,002.94
August 15, 2027..... 1,046,664.25
September 15,
2027.............. 956,122.92
October 15, 2027.... 867,350.53
November 15, 2027... 780,319.06
December 15, 2027... 695,000.92
January 15, 2028.... 611,368.89
February 15, 2028... 529,396.18
March 15, 2028...... 449,056.37
April 15, 2028...... 370,323.44
May 15, 2028........ 293,171.74
June 15, 2028....... 217,576.02
July 15, 2028....... 143,511.36
August 15, 2028..... 70,953.23
September 15, 2028
and after......... 0.00
</TABLE>
S-13
<PAGE> 336
TYPE II PAC CLASSES
<TABLE>
<CAPTION>
PAYMENT DATE
------------
TYPE II PAC
(AGGREGATE)
<S> <C>
June 15, 1999....... $233,450,939.59
July 15, 1999....... 231,649,100.93
August 15, 1999..... 229,601,372.47
September 15,
1999.............. 227,308,525.89
October 15, 1999.... 224,771,516.09
November 15, 1999... 221,991,480.87
December 15, 1999... 218,969,740.52
January 15, 2000.... 215,707,797.07
February 15, 2000... 212,207,333.37
March 15, 2000...... 208,470,211.92
April 15, 2000...... 204,498,473.50
May 15, 2000........ 200,294,335.53
June 15, 2000....... 195,860,190.23
July 15, 2000....... 191,198,602.57
August 15, 2000..... 186,312,308.00
September 15,
2000.............. 181,204,209.91
October 15, 2000.... 175,877,376.92
November 15, 2000... 170,335,039.97
December 15, 2000... 164,580,589.16
January 15, 2001.... 158,617,570.39
February 15, 2001... 152,449,681.82
March 15, 2001...... 146,080,770.16
April 15, 2001...... 139,514,826.66
May 15, 2001........ 132,755,983.05
June 15, 2001....... 125,808,507.21
July 15, 2001....... 123,967,371.16
August 15, 2001..... 122,082,397.12
September 15,
2001.............. 120,155,826.71
October 15, 2001.... 118,259,352.35
November 15, 2001... 116,392,677.02
December 15, 2001... 114,555,506.28
January 15, 2002.... 112,747,548.26
February 15, 2002... 110,968,513.67
March 15, 2002...... 109,218,115.72
April 15, 2002...... 107,496,070.17
May 15, 2002........ 105,802,095.24
June 15, 2002....... 104,135,911.63
July 15, 2002....... 102,497,242.51
August 15, 2002..... 100,885,813.45
September 15,
2002.............. 99,301,352.46
October 15, 2002.... 97,743,589.92
November 15, 2002... 96,212,258.59
December 15, 2002... 94,707,093.57
January 15, 2003.... 93,227,832.32
February 15, 2003... 91,774,214.57
March 15, 2003...... 90,345,982.38
April 15, 2003...... 88,942,880.08
May 15, 2003........ 87,564,654.22
June 15, 2003....... 86,211,053.64
July 15, 2003....... 84,881,829.36
August 15, 2003..... 83,576,734.62
September 15,
2003.............. 82,295,524.82
October 15, 2003.... 81,037,957.55
November 15, 2003... 79,803,792.52
December 15, 2003... 78,592,791.59
January 15, 2004.... 77,404,718.72
February 15, 2004... 76,239,339.97
March 15, 2004...... 75,096,423.45
April 15, 2004...... 73,975,739.36
May 15, 2004........ 72,877,059.92
June 15, 2004....... 71,800,159.39
July 15, 2004....... 70,744,814.03
August 15, 2004..... 69,710,802.07
September 15,
2004.............. 68,697,903.76
</TABLE>
<TABLE>
<CAPTION>
TYPE II PAC
(AGGREGATE)
CONTINUED
<S> <C>
October 15, 2004.... $ 67,705,901.26
November 15, 2004... 66,734,578.69
December 15, 2004... 65,783,722.11
January 15, 2005.... 64,853,119.47
February 15, 2005... 63,942,560.62
March 15, 2005...... 63,051,837.27
April 15, 2005...... 62,180,743.03
May 15, 2005........ 61,329,073.31
June 15, 2005....... 60,496,625.39
July 15, 2005....... 59,683,198.35
August 15, 2005..... 58,888,593.05
September 15,
2005.............. 58,112,612.17
October 15, 2005.... 57,355,060.14
November 15, 2005... 56,615,743.15
December 15, 2005... 55,894,469.13
January 15, 2006.... 55,191,047.73
February 15, 2006... 54,505,290.33
March 15, 2006...... 53,837,009.99
April 15, 2006...... 53,186,021.46
May 15, 2006........ 52,552,141.15
June 15, 2006....... 51,935,187.15
July 15, 2006....... 51,334,979.16
August 15, 2006..... 50,751,338.52
September 15,
2006.............. 50,184,088.20
October 15, 2006.... 49,633,052.75
November 15, 2006... 49,098,058.31
December 15, 2006... 48,578,932.59
January 15, 2007.... 48,075,504.88
February 15, 2007... 47,587,606.00
March 15, 2007...... 47,115,068.31
April 15, 2007...... 46,657,725.69
May 15, 2007........ 46,215,413.52
June 15, 2007....... 45,787,968.69
July 15, 2007....... 45,375,229.57
August 15, 2007..... 44,977,036.00
September 15,
2007.............. 44,593,229.27
October 15, 2007.... 44,223,652.12
November 15, 2007... 43,868,148.75
December 15, 2007... 43,526,564.73
January 15, 2008.... 43,208,986.12
February 15, 2008... 42,922,626.53
March 15, 2008...... 42,666,993.43
April 15, 2008...... 42,441,600.61
May 15, 2008........ 42,245,968.17
June 15, 2008....... 42,052,909.04
July 15, 2008....... 41,854,327.93
August 15, 2008..... 41,650,402.44
September 15,
2008.............. 41,441,306.57
October 15, 2008.... 41,227,210.78
November 15, 2008... 41,008,282.04
December 15, 2008... 40,784,683.90
January 15, 2009.... 40,556,576.56
February 15, 2009... 40,324,116.89
March 15, 2009...... 40,087,458.56
April 15, 2009...... 39,846,752.01
May 15, 2009........ 39,602,144.56
June 15, 2009....... 39,353,780.45
July 15, 2009....... 39,101,800.91
August 15, 2009..... 38,846,344.18
September 15,
2009.............. 38,587,545.59
October 15, 2009.... 38,325,537.61
November 15, 2009... 38,060,449.87
December 15, 2009... 37,792,409.25
January 15, 2010.... 37,521,539.92
</TABLE>
<TABLE>
<CAPTION>
TYPE II PAC
(AGGREGATE)
CONTINUED
<S> <C>
February 15, 2010... $ 37,247,963.35
March 15, 2010...... 36,971,798.43
April 15, 2010...... 36,693,161.43
May 15, 2010........ 36,412,166.12
June 15, 2010....... 36,128,923.78
July 15, 2010....... 35,843,543.23
August 15, 2010..... 35,556,130.92
September 15,
2010.............. 35,266,790.92
October 15, 2010.... 34,975,625.02
November 15, 2010... 34,682,732.70
December 15, 2010... 34,388,211.25
January 15, 2011.... 34,092,155.74
February 15, 2011... 33,794,659.11
March 15, 2011...... 33,495,812.18
April 15, 2011...... 33,195,703.70
May 15, 2011........ 32,894,420.38
June 15, 2011....... 32,592,046.94
July 15, 2011....... 32,288,666.14
August 15, 2011..... 31,984,358.81
September 15,
2011.............. 31,679,203.89
October 15, 2011.... 31,373,278.46
November 15, 2011... 31,066,657.79
December 15, 2011... 30,759,415.35
January 15, 2012.... 30,451,622.86
February 15, 2012... 30,143,350.32
March 15, 2012...... 29,834,666.03
April 15, 2012...... 29,525,636.65
May 15, 2012........ 29,216,327.19
June 15, 2012....... 28,906,801.07
July 15, 2012....... 28,597,120.16
August 15, 2012..... 28,287,344.75
September 15,
2012.............. 27,977,533.65
October 15, 2012.... 27,667,744.19
November 15, 2012... 27,358,032.23
December 15, 2012... 27,048,452.21
January 15, 2013.... 26,739,057.18
February 15, 2013... 26,429,898.81
March 15, 2013...... 26,121,027.41
April 15, 2013...... 25,812,491.98
May 15, 2013........ 25,504,340.24
June 15, 2013....... 25,196,618.61
July 15, 2013....... 24,889,372.28
August 15, 2013..... 24,582,645.22
September 15,
2013.............. 24,276,480.18
October 15, 2013.... 23,970,918.75
November 15, 2013... 23,666,001.38
December 15, 2013... 23,361,767.35
January 15, 2014.... 23,058,254.87
February 15, 2014... 22,755,501.04
March 15, 2014...... 22,453,541.91
April 15, 2014...... 22,152,412.45
May 15, 2014........ 21,852,146.65
June 15, 2014....... 21,552,777.47
July 15, 2014....... 21,254,336.89
August 15, 2014..... 20,956,855.92
September 15,
2014.............. 20,660,364.64
October 15, 2014.... 20,364,892.18
November 15, 2014... 20,070,466.78
December 15, 2014... 19,777,115.78
January 15, 2015.... 19,484,865.64
February 15, 2015... 19,193,741.99
March 15, 2015...... 18,903,769.60
April 15, 2015...... 18,614,972.42
May 15, 2015........ 18,327,373.61
</TABLE>
S-14
<PAGE> 337
<TABLE>
<CAPTION>
PAYMENT DATE
------------
TYPE II PAC
(AGGREGATE)
CONTINUED
<S> <C>
June 15, 2015....... $ 18,040,995.53
July 15, 2015....... 17,755,859.78
August 15, 2015..... 17,471,987.18
September 15,
2015.............. 17,189,397.84
October 15, 2015.... 16,908,111.12
November 15, 2015... 16,628,145.70
December 15, 2015... 16,349,519.53
January 15, 2016.... 16,072,249.90
February 15, 2016... 15,796,353.43
March 15, 2016...... 15,521,846.09
April 15, 2016...... 15,248,743.20
May 15, 2016........ 14,977,059.48
June 15, 2016....... 14,706,809.00
July 15, 2016....... 14,438,005.26
August 15, 2016..... 14,170,661.18
September 15,
2016.............. 13,904,789.08
October 15, 2016.... 13,640,400.73
November 15, 2016... 13,377,507.36
December 15, 2016... 13,116,119.66
January 15, 2017.... 12,856,247.78
February 15, 2017... 12,597,901.38
March 15, 2017...... 12,341,089.59
April 15, 2017...... 12,085,821.08
May 15, 2017........ 11,832,104.01
June 15, 2017....... 11,579,946.09
July 15, 2017....... 11,329,354.56
August 15, 2017..... 11,080,336.22
September 15,
2017.............. 10,832,897.43
</TABLE>
<TABLE>
<CAPTION>
TYPE II PAC
(AGGREGATE)
CONTINUED
<S> <C>
October 15, 2017.... $ 10,587,044.11
November 15, 2017... 10,342,781.77
December 15, 2017... 10,100,115.51
January 15, 2018.... 9,859,050.03
February 15, 2018... 9,619,589.64
March 15, 2018...... 9,381,738.27
April 15, 2018...... 9,145,499.46
May 15, 2018........ 8,910,876.42
June 15, 2018....... 8,677,871.97
July 15, 2018....... 8,446,488.60
August 15, 2018..... 8,216,728.46
September 15,
2018.............. 7,988,593.38
October 15, 2018.... 7,762,084.84
November 15, 2018... 7,537,204.03
December 15, 2018... 7,313,951.81
January 15, 2019.... 7,092,328.78
February 15, 2019... 6,872,335.20
March 15, 2019...... 6,653,971.08
April 15, 2019...... 6,437,236.13
May 15, 2019........ 6,222,129.81
June 15, 2019....... 6,008,651.29
July 15, 2019....... 5,796,799.52
August 15, 2019..... 5,586,573.16
September 15,
2019.............. 5,377,970.65
October 15, 2019.... 5,170,990.18
November 15, 2019... 4,965,629.73
December 15, 2019... 4,761,887.02
January 15, 2020.... 4,559,759.58
</TABLE>
<TABLE>
<CAPTION>
TYPE II PAC
(AGGREGATE)
CONTINUED
<S> <C>
February 15, 2020... $ 4,359,244.71
March 15, 2020...... 4,160,339.52
April 15, 2020...... 3,963,040.90
May 15, 2020........ 3,767,345.54
June 15, 2020....... 3,573,249.96
July 15, 2020....... 3,380,750.49
August 15, 2020..... 3,189,843.26
September 15,
2020.............. 3,000,524.25
October 15, 2020.... 2,812,789.24
November 15, 2020... 2,626,633.88
December 15, 2020... 2,442,053.63
January 15, 2021.... 2,259,043.82
February 15, 2021... 2,077,599.60
March 15, 2021...... 1,897,715.99
April 15, 2021...... 1,719,387.88
May 15, 2021........ 1,542,609.99
June 15, 2021....... 1,367,376.95
July 15, 2021....... 1,193,683.21
August 15, 2021..... 1,021,523.15
September 15,
2021.............. 850,890.97
October 15, 2021.... 681,780.80
November 15, 2021... 514,186.65
December 15, 2021... 348,102.39
January 15, 2022.... 183,521.82
February 15, 2022... 20,438.62
March 15, 2022
and after......... 0.00
</TABLE>
S-15
<PAGE> 338
CLASS FACTORS
Description of Factors
On or about the first business day of each month after the Closing Date,
Freddie Mac will make available (including on its Internet Web-Site) a Class
Factor for each Class having a principal amount. The Class Factor for any Class
for any month will be a truncated seven-digit decimal which, when multiplied by
the original principal amount of a Security of that Class, will equal its
remaining principal amount, after giving effect to any principal payment to be
made on the Payment Date in the same month. The Class Factor for an Accrual
Class will also reflect any addition to its principal amount to be made on the
same Payment Date. For example, the January 1 Class Factor for any Class will
reflect the remaining principal amount of a Security of that Class, after giving
effect to any principal payment (or addition to principal) to be made on January
15. Freddie Mac will also make available a Class Factor for each Notional Class,
which will reflect the remaining notional principal amount of a Security of that
Class in an analogous manner. The Class Factor for each Class for the month of
the Closing Date is 1.0000000.
Use of Factors
For any Payment Date, investors can calculate the reduction (or for an
Accrual Class, the increase) in the principal amount of a Security of any Class
entitled to principal payments by multiplying the original principal amount of
that Security by the difference between its Class Factors for the preceding and
current months. The amount of interest to be paid on (or added to the principal
amount of) a Security of any Class on each Payment Date will equal 30 days'
interest on its outstanding principal amount (or notional principal amount) as
determined by its Class Factor for the preceding month.
For example, the reduction (or for an Accrual Class, the increase) in the
principal amount of any Security entitled to principal payments on February 15
will reflect the difference between its January 1 and February 1 Class Factors.
The amount of interest to be paid on (or added to the principal amount of) any
Security on February 15 will equal 30 days' interest at its Class Coupon,
accrued during the month of January (in the case of a Fixed Rate or Delay
Class), or from January 15 to February 15 (in the case of a Non-Delay Class), on
the principal amount or notional principal amount of such Security determined by
its January 1 Class Factor. If the outstanding balance of any Fixed Rate or
Delay Class is reduced on the Payment Date that falls within an Accrual Period,
that Class will accrue interest during such Accrual Period on its reduced
balance, even though its balance had been higher for approximately the first 15
days of the Accrual Period. No interest at all will be paid on any Class after
its balance has been reduced to zero.
GUARANTEES
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement. See
"Description of Securities -- Guarantees" in the Offering Circular.
Freddie Mac also guarantees the payment of interest and principal on the
PCs. See "Guarantees" in the PC Offering Circular and "Description of
Pass-Through PCs -- Guarantees" in the Giant PC Offering Circular.
OPTIONAL REDEMPTION
Freddie Mac may redeem the Securities, in whole but not in part, on any
Payment Date when their aggregate outstanding principal amount would be less
than 1% of their aggregate original principal amount. The PCs are not
redeemable. See "Description of Securities -- Optional Redemption" in the
Offering Circular.
RESIDUAL PROCEEDS
Upon surrender of their certificates to the Registrar, the Holders of each
Residual Class will receive the proceeds of the remaining assets of its REMIC
Pool, if any, after all required principal and interest payments on the
Securities have been made. In each case, any such remaining assets are not
likely to be significant.
S-16
<PAGE> 339
PREPAYMENT AND YIELD ANALYSIS
GENERAL
Mortgage Prepayments
The rates of principal payments on the Assets and the Securities will
depend on the rates of principal payments on the related Mortgages. Mortgage
principal payments may be in the form of scheduled amortization or partial or
full prepayments. "Prepayments" include prepayments by the borrower,
liquidations resulting from default, casualty or condemnation and payments made
by Freddie Mac pursuant to its guarantee of principal (other than scheduled
amortization) on PCs. The Mortgages are subject to prepayment at any time
without penalty.
Mortgage prepayment rates are likely to fluctuate significantly. In
general, when prevailing mortgage interest rates decline significantly below the
interest rates on the Mortgages, the prepayment rate on the Mortgages is likely
to increase, although a number of other factors also may influence the
prepayment rate. See "Prepayments, Yields and Suitability" in the PC Offering
Circular.
Acceleration of mortgage payments as a result of transfers of mortgaged
properties is an important factor affecting prepayment rates. The Mortgages
generally provide that, in the event of the transfer or prospective transfer of
the underlying mortgaged property, the full unpaid principal balance is due and
payable at the option of the holder. Freddie Mac, in most cases, requires
mortgage servicers to enforce such "due-on-transfer" provisions where permitted
by applicable law. See "Mortgage Purchase and Servicing Standards -- Mortgage
Servicing -- Assumption and Due-on-Transfer Policies" in the PC Offering
Circular.
PSA Model
Prepayments on pools of mortgages are commonly measured relative to a
variety of prepayment models. The particular model used in this Supplement,
"PSA," is the standard prepayment model of The Bond Market Association. This
model assumes that mortgages will prepay at an annual rate of 0.2% in the first
month after origination, that the prepayment rate increases at an annual rate of
0.2% per month up to the 30th month after origination and that the prepayment
rate is constant at 6% per annum in the 30th and later months (this assumption
is called "100% PSA"). For example, at 100% PSA, mortgages with a loan age of
three months (i.e., mortgages in their fourth month after origination) are
assumed to prepay at an annual rate of 0.8%. "0% PSA" assumes no prepayments;
"50% PSA" assumes prepayment rates equal to 0.50 times 100% PSA; "200% PSA"
assumes prepayment rates equal to 2.00 times 100% PSA; and so forth. PSA is not
a description of historical prepayment experience or a prediction of the rate of
prepayment of the Mortgages.
Weighted Average Life
The weighted average life of a security refers to the average amount of
time that will elapse from the date of its issuance until each dollar of
principal has been repaid to the investor. The weighted average lives of the
Classes will depend primarily on the rate at which principal is paid on the
related Mortgages. This Supplement shows weighted average lives under various
Mortgage prepayment assumptions. In each case, Freddie Mac has calculated the
weighted average life by (i) multiplying the assumed net reduction, if any, in
the principal amount on each Payment Date by the number of years from the
Closing Date to such Payment Date, (ii) summing the results and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in principal
amount.
Yield
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Mortgages and the
actual characteristics of the related Mortgages. The yield of each Floating Rate
or Inverse Floating Rate Class will also depend on its sensitivity to the level
of LIBOR. This Supplement shows pre-tax yields to maturity under various
scenarios. In each case, Freddie Mac has calculated the pre-tax yield by (i)
determining the monthly discount rate (whether positive or negative) that, when
applied to an assumed stream of cash flows to be paid on the applicable Class,
would cause the discounted present value of such assumed stream of cash flows to
equal an assumed purchase price (including
S-17
<PAGE> 340
accrued interest, if any) of that Class and (ii) converting such monthly rate to
a corporate bond equivalent (i.e., semiannual payment) rate. The yield
calculations do not take into account any variations in the interest rates at
which investors may be able to reinvest payments received. Consequently, they do
not reflect the return on any investment when reinvestment rates other than the
discount rate are considered.
Modeling Assumptions
In order to prepare the various tables and other statistical information in
this Supplement, Freddie Mac has made certain assumptions regarding the
underlying Mortgages. Unless otherwise noted, each table is based on the
following assumptions (the "Modeling Assumptions"), among others:
- The Mortgages have the assumed characteristics shown under "Terms
Sheet -- Assumed Mortgage Characteristics" in this Supplement.
- Payments on the Classes and Assets are always received on the 15th of
the month, whether or not a Business Day.
- Freddie Mac does not make an optional redemption.
- Each Class is held from the Closing Date to retirement and is not
exchanged in whole or in part.
When reading the tables and the related text, investors should bear in mind
that the Modeling Assumptions, like any other stated assumptions, are unlikely
to be entirely consistent with actual experience. For example, most of the
Mortgages do not have the characteristics assumed, many Payment Dates will occur
on the first Business Day after the 15th of the month and Freddie Mac may make
an optional redemption as described under "Payments -- Optional Redemption"
above.
Principal Payment Stability
Mortgages and mortgage securities, such as the Assets and Securities, are
subject to prepayment uncertainty. The rates of principal payments on the Assets
will depend directly, and the rates of principal payments on the Securities will
depend indirectly, on the rates of principal payments on their related
Mortgages. However, within certain limits, some Classes of Securities, such as
the PAC Classes, are expected to exhibit a lower level of prepayment uncertainty
than the related Mortgages and Assets. Such Classes are said to have a degree of
"stability." Stability in one Class or group of Classes is necessarily offset by
instability in other Classes, such as the Support Classes, which are said to
"support" the more stable Classes.
Suitability
The Securities, especially the Inverse Floating Rate, Interest Only,
Support, Accrual and Residual Classes, are not suitable investments for all
investors. The Securities are not appropriate investments for any investor that
requires a single lump sum payment on a predetermined date or an otherwise
certain payment stream. In addition, although the Underwriter intends to make a
market for the purchase and sale of the Securities after their initial issuance,
it has no obligation to do so. There is no assurance that such a secondary
market will develop, that any secondary market will continue, or that the price
at which an investor can sell an investment in any Class will enable the
investor to realize a desired yield on that investment. The market values of the
Classes are likely to fluctuate; such fluctuations may be significant and could
result in significant losses to investors. The secondary markets for
mortgage-related securities have experienced periods of illiquidity and can be
expected to do so in the future. Illiquidity can have a severely adverse effect
on the prices of Classes that are especially sensitive to prepayment or interest
rate risk or that have been structured to meet the investment requirements of
limited categories of investors. Investors are encouraged to consult their own
advisors regarding the financial, legal, tax and other aspects of an investment
in the Securities. The flexibility created by the ability to modify and combine
certain Classes of REMIC Certificates and the MACR Classes may affect the
liquidity of the Classes and the prices that potential purchasers are willing to
pay in the secondary market. No investor should purchase Securities of any Class
unless the investor understands and is able to bear the prepayment, yield,
liquidity and market risks associated with that Class.
S-18
<PAGE> 341
PREPAYMENT AND WEIGHTED AVERAGE LIFE CONSIDERATIONS
Accretion Directed Classes
Payments of principal on the VA, VB and VC Classes, and on the VJ, VK and
VL Classes, are likely to be stable, in varying degrees, under relatively slow
prepayment scenarios because the applicable Accrual Amount will be dedicated to
making principal payments on those Classes, as described above, until they have
been retired. The weighted average life of an Accretion Directed Class cannot
exceed its weighted average life as shown in the following table under any
prepayment scenario, even a scenario where there are no prepayments. Moreover,
based on the Modeling Assumptions, each Accretion Directed Class would be
retired on, but not before, its Final Payment Date if the related Mortgages
prepay at any rate at or below the rate shown for that Class until its
retirement.
ACCRETION DIRECTED CLASSES
<TABLE>
<CAPTION>
MAXIMUM WEIGHTED PREPAYMENT
AVERAGE LIFE RATE
CLASS (IN YEARS) FINAL PAYMENT DATE AT OR BELOW
----- ---------------- ------------------ -----------
<S> <C> <C> <C>
VA........................................ 4.0 November 15, 2006 274% PSA
VB........................................ 11.2 October 15, 2013 120% PSA
VC........................................ 8.2 October 15, 2013 120% PSA
VJ........................................ 4.4 July 15, 2007 287% PSA
VK........................................ 11.1 February 15, 2013 150% PSA
VL........................................ 7.9 February 15, 2013 150% PSA
</TABLE>
The related Mortgages will have characteristics that differ from those of
the Modeling Assumptions. Therefore, even if the Mortgages prepay at a rate at
or somewhat below the rate shown for an Accretion Directed Class, that Class
could be retired before its Final Payment Date and its weighted average life
could be shortened.
The principal payment stability of the Accretion Directed Classes will be
supported primarily by their receipt of their related Accrual Amounts. The VA,
VB and VC Classes will be protected against early retirement by the DK Class.
The VJ, VK and VL Classes will be protected against early retirement by the EA
Class. When those Classes are retired, however, any Accretion Directed Class, if
outstanding, will become sensitive to Mortgage prepayments and may be retired
before its Final Payment Date.
PAC Classes
Principal payments on the PAC Classes are expected to be more stable than
would be the case if they were not entitled to receive such payments, to the
extent of available principal, in accordance with their schedules. Moreover,
these Classes will have cumulative priorities for future payments if they fall
behind their schedules. Based on the Modeling Assumptions, each such Class has a
range of constant Mortgage prepayment rates (an "Effective Range") at which it
would receive scheduled payments. The Effective Range at any time depends on the
actual or assumed characteristics of the underlying Mortgages at that time.
Based on the Modeling Assumptions, each PAC Class would receive scheduled
payments until retirement if the underlying Mortgages were to prepay at any
constant percentage of PSA within its initial Effective Range shown in the
following table.
S-19
<PAGE> 342
INITIAL EFFECTIVE RANGES
<TABLE>
<CAPTION>
CLASS RANGE*
----- -------------------
<S> <C>
Type I PAC
LC, PC and TC............................................. 100% PSA - 326% PSA
LE, LR, PE, PR, TE and TR................................. 100% PSA - 257% PSA
LF, PF, TF and TG......................................... 100% PSA - 250% PSA
LQ, PQ and TQ............................................. 100% PSA - 283% PSA
LP, NP and TP............................................. 100% PSA - 357% PSA
QD........................................................ 100% PSA - 296% PSA
QL and TL................................................. 68% PSA - 250% PSA
TB........................................................ 100% PSA - 437% PSA
TH and TK................................................. 83% PSA - 250% PSA
TM........................................................ 23% PSA - 250% PSA
R......................................................... 0% PSA - 250% PSA
Type II PAC
FG and SG................................................. 132% PSA - 215% PSA
GA and GR................................................. 145% PSA - 215% PSA
</TABLE>
--------------------
* The schedules for the Classes shown were prepared by calculating the
amounts that would be available for principal payments on those
Classes using, among other things, the Modeling Assumptions and the
"structuring ranges" shown under "Terms Sheet -- Allocation of
Principal" in this Supplement.
The underlying Mortgages will have characteristics that differ from those
of the Modeling Assumptions. The initial Effective Ranges, if calculated using
the actual characteristics of the Mortgages, could differ from those shown in
the table. Therefore, even if the Mortgages were to prepay at a constant rate
within the initial Effective Range shown for any Class, but near its upper or
lower end, that Class could fail to receive scheduled payments.
The underlying Mortgages will not prepay at any constant rate. Non-constant
prepayment rates can cause any Class not to receive scheduled payments, even if
such rates remain within its Effective Range shown above. The Effective Ranges
can narrow or "drift" upward or downward over time. Because the underlying
Mortgages will not prepay at the applicable constant rates and will have
characteristics that differ from those assumed, under many scenarios the Classes
shown in the table, especially the Type II PAC Classes, would not consistently
receive scheduled payments.
The principal payment stability of the PAC Classes will be supported by
other Classes, as indicated below. When its supporting Classes are retired, any
outstanding PAC Class will become more sensitive to Mortgage prepayments and its
Effective Range will no longer exist. If such a Type II PAC Class supports any
other Classes at that time, its principal payment behavior will become similar
to that of a Support Class, as described below.
SUPPORTING CLASSES
<TABLE>
<CAPTION>
CLASSES SUPPORTED BY
------- ------------
<S> <C>
Type I PAC................................................. Type II PAC and Support
Type II PAC................................................ Support
</TABLE>
If the underlying Mortgages prepay at rates that are generally below the
Effective Range for any Class, the available principal may be insufficient to
produce scheduled payments on that Class and its weighted average life may be
extended, perhaps significantly. If the underlying Mortgages prepay at rates
that are generally above the Effective Range for any Class, its weighted average
life may be shortened, perhaps significantly. However, the weighted average
lives of one or more of the PAC Classes could be extended under certain
scenarios involving Mortgage prepayments at rates that are generally above their
Effective Ranges.
All available principal will be distributed monthly on each Payment Date
and will not be retained for distribution on subsequent Payment Dates. Thus, the
likelihood that the PAC Classes will receive scheduled payments will not be
enhanced by averaging high and low principal payments in different months.
S-20
<PAGE> 343
Support Classes
The Support Classes will support the principal payment stability of the PAC
Classes as described above. Thus, each Support Class is likely to be much more
sensitive to Mortgage prepayments than is any Class it supports. The Support
Classes may receive no principal payments for extended periods of time and may
receive principal payments that vary widely from period to period. Relatively
fast Mortgage prepayments may significantly shorten, and relatively slow
Mortgage prepayments may significantly extend, the weighted average lives of the
Support Classes.
Sequential Pay Classes
As described above, the Sequential Pay Classes will receive principal
payments from their related Assets in a prescribed sequence. While it is
receiving such principal payments, the sensitivity of each Sequential Pay Class
(other than an Accretion Directed Class) to prepayments on the underlying
Mortgages will be approximately the same as that of the related Assets.
Pass-Through Class
If outstanding, the CE Class will receive all or a proportionate part of
the principal payments made on the Group 3 Assets on each Payment Date. The
sensitivity of the CE Class to prepayments on the related Mortgages will be the
same as that of the Group 3 Assets.
MACR Classes
The payment characteristics of the MACR Classes will reflect the payment
characteristics of their related Classes of REMIC Certificates.
Declining Balances Table
The following table shows, for the indicated Classes of Securities and the
underlying Assets, (i) the percentages of their original principal amounts (or,
in the case of the Assets, their outstanding principal amounts as of the Closing
Date) that would be outstanding after each of the dates shown at various
constant percentages of PSA and (ii) their corresponding weighted average lives.
Freddie Mac has prepared this table using the Modeling Assumptions. However, for
0% PSA, Freddie Mac has assumed that each Mortgage bears interest at a per annum
rate of 2.5% above that of the related PCs and has a remaining term to maturity
of 360 months and a loan age of 0 months. The Mortgages do not have the
characteristics assumed, and Mortgage prepayment rates may differ from the
constant rates shown. These differences may affect the actual payment behavior
and weighted average life of any Class or Asset. For example, because of the
diverse remaining terms to maturity, loan ages and interest rates of the
Mortgages, principal payments on any Class or Asset may be faster or (except at
0% PSA) slower than indicated, even if the Mortgages were to prepay at the
constant rates shown. This may be the case even if the weighted average
remaining term to maturity, weighted average loan age and weighted average
interest rate of the Mortgages are the same as those of mortgages having the
characteristics assumed.
S-21
<PAGE> 344
PERCENTAGES OF ORIGINAL PRINCIPAL AMOUNTS OUTSTANDING* AND WEIGHTED AVERAGE
LIVES
Group 1
<TABLE>
<CAPTION>
FG AND SG FT AND ST
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 100 100 96 87 57
May 15, 2001.................. 100 100 100 100 100 100 100 87 60 0
May 15, 2002.................. 100 100 100 100 0 100 100 75 27 0
May 15, 2003.................. 100 100 100 100 0 100 100 66 4 0
May 15, 2004.................. 100 100 100 100 0 100 100 60 0 0
May 15, 2005.................. 100 100 100 100 0 100 100 55 0 0
May 15, 2006.................. 100 100 100 49 0 100 100 52 0 0
May 15, 2007.................. 100 100 100 12 0 100 100 50 0 0
May 15, 2008.................. 100 100 100 1 0 100 100 49 0 0
May 15, 2009.................. 100 100 100 1 0 100 100 48 0 0
May 15, 2010.................. 100 100 100 1 0 100 100 46 0 0
May 15, 2011.................. 100 100 100 1 0 100 100 44 0 0
May 15, 2012.................. 100 100 100 1 0 100 100 42 0 0
May 15, 2013.................. 100 100 100 1 0 100 100 39 0 0
May 15, 2014.................. 100 100 91 1 0 100 100 36 0 0
May 15, 2015.................. 100 100 76 1 0 100 100 34 0 0
May 15, 2016.................. 100 100 62 1 0 100 100 31 0 0
May 15, 2017.................. 100 100 49 1 0 100 100 28 0 0
May 15, 2018.................. 100 100 37 1 0 100 100 26 0 0
May 15, 2019.................. 100 32 26 1 0 100 100 23 0 0
May 15, 2020.................. 100 16 16 1 0 100 91 21 0 0
May 15, 2021.................. 100 6 6 1 0 100 80 19 0 0
May 15, 2022.................. 100 0 0 1 0 100 70 16 0 0
May 15, 2023.................. 100 0 0 1 0 100 58 13 0 0
May 15, 2024.................. 100 0 0 1 0 100 47 10 0 0
May 15, 2025.................. 100 0 0 1 0 100 37 8 0 0
May 15, 2026.................. 100 0 0 1 0 100 27 5 0 0
May 15, 2027.................. 100 0 0 1 0 100 17 3 0 0
May 15, 2028.................. 0 0 0 1 0 65 7 1 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 28.3 20.0 18.1 7.4 2.4 29.2 24.8 11.4 2.3 1.0
<CAPTION>
GA AND GR LC, PC AND TC
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 97 87 84 84 84 100 100 100 100 100
May 15, 2001.................. 93 63 52 52 30 100 100 100 100 100
May 15, 2002.................. 93 61 39 39 0 100 91 91 91 0
May 15, 2003.................. 93 61 30 30 0 100 8 8 8 0
May 15, 2004.................. 93 61 23 15 0 100 0 0 0 0
May 15, 2005.................. 93 61 18 2 0 100 0 0 0 0
May 15, 2006.................. 93 61 14 0 0 100 0 0 0 0
May 15, 2007.................. 93 61 11 0 0 89 0 0 0 0
May 15, 2008.................. 93 61 9 0 0 70 0 0 0 0
May 15, 2009.................. 93 60 7 0 0 49 0 0 0 0
May 15, 2010.................. 93 57 6 0 0 27 0 0 0 0
May 15, 2011.................. 93 52 4 0 0 3 0 0 0 0
May 15, 2012.................. 93 46 2 0 0 0 0 0 0 0
May 15, 2013.................. 93 40 1 0 0 0 0 0 0 0
May 15, 2014.................. 93 33 0 0 0 0 0 0 0 0
May 15, 2015.................. 93 25 0 0 0 0 0 0 0 0
May 15, 2016.................. 93 17 0 0 0 0 0 0 0 0
May 15, 2017.................. 93 9 0 0 0 0 0 0 0 0
May 15, 2018.................. 93 0 0 0 0 0 0 0 0 0
May 15, 2019.................. 93 0 0 0 0 0 0 0 0 0
May 15, 2020.................. 93 0 0 0 0 0 0 0 0 0
May 15, 2021.................. 93 0 0 0 0 0 0 0 0 0
May 15, 2022.................. 93 0 0 0 0 0 0 0 0 0
May 15, 2023.................. 93 0 0 0 0 0 0 0 0 0
May 15, 2024.................. 93 0 0 0 0 0 0 0 0 0
May 15, 2025.................. 73 0 0 0 0 0 0 0 0 0
May 15, 2026.................. 40 0 0 0 0 0 0 0 0 0
May 15, 2027.................. 4 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 25.0 9.7 3.5 2.7 1.6 9.9 3.5 3.5 3.5 2.8
</TABLE>
<TABLE>
<CAPTION>
LE, PE AND TE LF, PF AND TF
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2003.................. 100 100 100 100 11 100 100 100 100 100
May 15, 2004.................. 100 94 94 94 0 100 100 100 100 0
May 15, 2005.................. 100 49 49 49 0 100 100 100 100 0
May 15, 2006.................. 100 6 6 6 0 100 100 100 100 0
May 15, 2007.................. 100 0 0 0 0 100 49 49 49 0
May 15, 2008.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2009.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2010.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2011.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2012.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2013.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2014.................. 85 0 0 0 0 100 0 0 0 0
May 15, 2015.................. 63 0 0 0 0 100 0 0 0 0
May 15, 2016.................. 39 0 0 0 0 100 0 0 0 0
May 15, 2017.................. 13 0 0 0 0 100 0 0 0 0
May 15, 2018.................. 0 0 0 0 0 78 0 0 0 0
May 15, 2019.................. 0 0 0 0 0 31 0 0 0 0
May 15, 2020.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2021.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2022.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2023.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2024.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2025.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 16.5 6.0 6.0 6.0 3.7 19.6 8.0 8.0 8.0 4.5
<CAPTION>
LP, NP AND TP LQ, PQ AND TQ
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2002.................. 100 84 84 84 0 100 100 100 100 71
May 15, 2003.................. 100 0 0 0 0 100 77 77 77 0
May 15, 2004.................. 100 0 0 0 0 100 22 22 22 0
May 15, 2005.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2006.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2007.................. 81 0 0 0 0 100 0 0 0 0
May 15, 2008.................. 49 0 0 0 0 100 0 0 0 0
May 15, 2009.................. 15 0 0 0 0 100 0 0 0 0
May 15, 2010.................. 0 0 0 0 0 90 0 0 0 0
May 15, 2011.................. 0 0 0 0 0 73 0 0 0 0
May 15, 2012.................. 0 0 0 0 0 54 0 0 0 0
May 15, 2013.................. 0 0 0 0 0 33 0 0 0 0
May 15, 2014.................. 0 0 0 0 0 11 0 0 0 0
May 15, 2015.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2016.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2017.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2018.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2019.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2020.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2021.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2022.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2023.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2024.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2025.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 9.0 3.2 3.2 3.2 2.7 13.1 4.5 4.5 4.5 3.1
</TABLE>
- ---------------
* Rounded to nearest whole percentage.
S-22
<PAGE> 345
<TABLE>
<CAPTION>
LR, PR AND TR QD
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100 100 100 100 100 99
May 15, 2003.................. 100 100 100 100 14 100 100 100 100 0
May 15, 2004.................. 100 100 100 100 0 100 0 0 0 0
May 15, 2005.................. 100 65 65 65 0 100 0 0 0 0
May 15, 2006.................. 100 8 8 8 0 100 0 0 0 0
May 15, 2007.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2008.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2009.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2010.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2011.................. 100 0 0 0 0 100 0 0 0 0
May 15, 2012.................. 100 0 0 0 0 60 0 0 0 0
May 15, 2013.................. 100 0 0 0 0 13 0 0 0 0
May 15, 2014.................. 100 0 0 0 0 0 0 0 0 0
May 15, 2015.................. 84 0 0 0 0 0 0 0 0 0
May 15, 2016.................. 52 0 0 0 0 0 0 0 0 0
May 15, 2017.................. 18 0 0 0 0 0 0 0 0 0
May 15, 2018.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2019.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2020.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2021.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2022.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2023.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2024.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2025.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 17.0 6.3 6.3 6.3 3.8 13.2 4.5 4.5 4.5 3.1
<CAPTION>
QL AND TL TB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100 86 0 0 0 0
May 15, 2003.................. 100 100 100 100 100 69 0 0 0 0
May 15, 2004.................. 100 100 100 100 100 50 0 0 0 0
May 15, 2005.................. 100 100 100 100 100 30 0 0 0 0
May 15, 2006.................. 100 100 100 100 100 8 0 0 0 0
May 15, 2007.................. 100 100 100 100 100 0 0 0 0 0
May 15, 2008.................. 100 100 100 100 87 0 0 0 0 0
May 15, 2009.................. 100 100 100 100 48 0 0 0 0 0
May 15, 2010.................. 100 100 100 100 21 0 0 0 0 0
May 15, 2011.................. 100 100 100 100 3 0 0 0 0 0
May 15, 2012.................. 100 100 100 100 0 0 0 0 0 0
May 15, 2013.................. 100 100 100 100 0 0 0 0 0 0
May 15, 2014.................. 100 100 100 100 0 0 0 0 0 0
May 15, 2015.................. 100 100 100 100 0 0 0 0 0 0
May 15, 2016.................. 100 82 82 82 0 0 0 0 0 0
May 15, 2017.................. 100 59 59 59 0 0 0 0 0 0
May 15, 2018.................. 100 40 40 40 0 0 0 0 0 0
May 15, 2019.................. 100 24 24 24 0 0 0 0 0 0
May 15, 2020.................. 100 11 11 11 0 0 0 0 0 0
May 15, 2021.................. 100 0 0 0 0 0 0 0 0 0
May 15, 2022.................. 100 0 0 0 0 0 0 0 0 0
May 15, 2023.................. 100 0 0 0 0 0 0 0 0 0
May 15, 2024.................. 24 0 0 0 0 0 0 0 0 0
May 15, 2025.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 24.8 18.7 18.7 18.7 10.1 4.9 2.5 2.5 2.5 2.4
</TABLE>
<TABLE>
<CAPTION>
TG TH
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2003.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2004.................. 100 100 100 100 92 100 100 100 100 100
May 15, 2005.................. 100 100 100 100 44 100 100 100 100 100
May 15, 2006.................. 100 100 100 100 10 100 100 100 100 100
May 15, 2007.................. 100 100 100 100 0 100 100 100 100 80
May 15, 2008.................. 100 96 96 96 0 100 100 100 100 54
May 15, 2009.................. 100 69 69 69 0 100 100 100 100 37
May 15, 2010.................. 100 46 46 46 0 100 100 100 100 25
May 15, 2011.................. 100 27 27 27 0 100 100 100 100 17
May 15, 2012.................. 100 11 11 11 0 100 100 100 100 11
May 15, 2013.................. 100 0 0 0 0 100 97 97 97 8
May 15, 2014.................. 100 0 0 0 0 100 79 79 79 5
May 15, 2015.................. 100 0 0 0 0 100 64 64 64 3
May 15, 2016.................. 100 0 0 0 0 100 52 52 52 2
May 15, 2017.................. 100 0 0 0 0 100 42 42 42 1
May 15, 2018.................. 100 0 0 0 0 100 33 33 33 1
May 15, 2019.................. 100 0 0 0 0 100 26 26 26 0
May 15, 2020.................. 90 0 0 0 0 100 21 21 21 0
May 15, 2021.................. 60 0 0 0 0 100 16 16 16 0
May 15, 2022.................. 28 0 0 0 0 100 12 12 12 0
May 15, 2023.................. 0 0 0 0 0 88 9 9 9 0
May 15, 2024.................. 0 0 0 0 0 26 6 6 6 0
May 15, 2025.................. 0 0 0 0 0 4 4 4 4 0
May 15, 2026.................. 0 0 0 0 0 2 2 2 2 0
May 15, 2027.................. 0 0 0 0 0 1 1 1 1 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 22.3 11.0 11.0 11.0 5.9 24.7 18.1 18.1 18.1 10.0
<CAPTION>
TK
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100
May 15, 2003.................. 100 100 100 100 100
May 15, 2004.................. 100 100 100 100 100
May 15, 2005.................. 100 100 100 100 100
May 15, 2006.................. 100 100 100 100 100
May 15, 2007.................. 100 100 100 100 49
May 15, 2008.................. 100 100 100 100 0
May 15, 2009.................. 100 100 100 100 0
May 15, 2010.................. 100 100 100 100 0
May 15, 2011.................. 100 100 100 100 0
May 15, 2012.................. 100 100 100 100 0
May 15, 2013.................. 100 92 92 92 0
May 15, 2014.................. 100 48 48 48 0
May 15, 2015.................. 100 11 11 11 0
May 15, 2016.................. 100 0 0 0 0
May 15, 2017.................. 100 0 0 0 0
May 15, 2018.................. 100 0 0 0 0
May 15, 2019.................. 100 0 0 0 0
May 15, 2020.................. 100 0 0 0 0
May 15, 2021.................. 100 0 0 0 0
May 15, 2022.................. 100 0 0 0 0
May 15, 2023.................. 69 0 0 0 0
May 15, 2024.................. 0 0 0 0 0
May 15, 2025.................. 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0
Weighted Average
Life (Years)................. 24.1 15.0 15.0 15.0 8.0
</TABLE>
S-23
<PAGE> 346
<TABLE>
<CAPTION>
TM R
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 180% 250% 500% 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2003.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2004.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2005.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2006.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2007.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2008.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2009.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2010.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2011.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2012.................. 100 100 100 100 73 100 100 100 100 100
May 15, 2013.................. 100 100 100 100 48 100 100 100 100 100
May 15, 2014.................. 100 100 100 100 31 100 100 100 100 100
May 15, 2015.................. 100 100 100 100 20 100 100 100 100 100
May 15, 2016.................. 100 100 100 100 12 100 100 100 100 100
May 15, 2017.................. 100 100 100 100 7 100 100 100 100 100
May 15, 2018.................. 100 100 100 100 4 100 100 100 100 100
May 15, 2019.................. 100 100 100 100 1 100 100 100 100 100
May 15, 2020.................. 100 100 100 100 0 100 100 100 100 87
May 15, 2021.................. 100 100 100 100 0 100 100 100 100 56
May 15, 2022.................. 100 76 76 76 0 100 100 100 100 35
May 15, 2023.................. 100 55 55 55 0 100 100 100 100 22
May 15, 2024.................. 100 39 39 39 0 100 100 100 100 13
May 15, 2025.................. 25 25 25 25 0 100 100 100 100 7
May 15, 2026.................. 14 14 14 14 0 100 100 100 100 4
May 15, 2027.................. 6 6 6 6 0 100 100 100 100 2
May 15, 2028.................. 0 0 0 0 0 59 59 59 59 1
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 25.8 24.6 24.6 24.6 14.5 29.1 29.1 29.1 29.1 22.8
<CAPTION>
GROUP 1 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 180% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
May 15, 2000.................. 99 97 96 95 90
May 15, 2001.................. 99 92 88 84 71
May 15, 2002.................. 98 86 78 71 49
May 15, 2003.................. 97 80 68 59 34
May 15, 2004.................. 96 74 60 50 24
May 15, 2005.................. 95 68 53 42 16
May 15, 2006.................. 94 63 46 35 11
May 15, 2007.................. 92 58 40 29 8
May 15, 2008.................. 91 54 35 24 5
May 15, 2009.................. 89 49 31 20 4
May 15, 2010.................. 88 45 27 17 2
May 15, 2011.................. 86 41 23 14 2
May 15, 2012.................. 84 38 20 11 1
May 15, 2013.................. 82 34 17 9 1
May 15, 2014.................. 79 31 15 8 1
May 15, 2015.................. 77 28 13 6 0
May 15, 2016.................. 74 25 11 5 0
May 15, 2017.................. 71 22 9 4 0
May 15, 2018.................. 67 20 8 3 0
May 15, 2019.................. 64 18 7 3 0
May 15, 2020.................. 59 15 5 2 0
May 15, 2021.................. 55 13 4 2 0
May 15, 2022.................. 50 11 4 1 0
May 15, 2023.................. 45 9 3 1 0
May 15, 2024.................. 39 7 2 1 0
May 15, 2025.................. 32 6 2 0 0
May 15, 2026.................. 25 4 1 0 0
May 15, 2027.................. 18 2 1 0 0
May 15, 2028.................. 9 1 0 0 0
May 15, 2029.................. 0 0 0 0 0
Weighted Average
Life (Years)................. 21.0 11.4 8.2 6.5 3.7
</TABLE>
Group 2
<TABLE>
<CAPTION>
DA DB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 150% 300% 500% 0% 100% 150% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 99 93 91 83 73 100 100 100 100 100
May 15, 2001.................. 98 84 78 61 40 100 100 100 100 100
May 15, 2002.................. 97 75 66 42 16 100 100 100 100 100
May 15, 2003.................. 95 67 55 27 0 100 100 100 100 91
May 15, 2004.................. 94 59 46 14 0 100 100 100 100 0
May 15, 2005.................. 92 51 37 4 0 100 100 100 100 0
May 15, 2006.................. 90 44 29 0 0 100 100 100 62 0
May 15, 2007.................. 89 38 21 0 0 100 100 100 5 0
May 15, 2008.................. 86 32 15 0 0 100 100 100 0 0
May 15, 2009.................. 84 26 9 0 0 100 100 100 0 0
May 15, 2010.................. 82 20 3 0 0 100 100 100 0 0
May 15, 2011.................. 79 15 0 0 0 100 100 86 0 0
May 15, 2012.................. 76 10 0 0 0 100 100 48 0 0
May 15, 2013.................. 73 6 0 0 0 100 100 14 0 0
May 15, 2014.................. 70 1 0 0 0 100 100 0 0 0
May 15, 2015.................. 66 0 0 0 0 100 75 0 0 0
May 15, 2016.................. 62 0 0 0 0 100 42 0 0 0
May 15, 2017.................. 57 0 0 0 0 100 11 0 0 0
May 15, 2018.................. 53 0 0 0 0 100 0 0 0 0
May 15, 2019.................. 47 0 0 0 0 100 0 0 0 0
May 15, 2020.................. 42 0 0 0 0 100 0 0 0 0
May 15, 2021.................. 36 0 0 0 0 100 0 0 0 0
May 15, 2022.................. 29 0 0 0 0 100 0 0 0 0
May 15, 2023.................. 21 0 0 0 0 100 0 0 0 0
May 15, 2024.................. 14 0 0 0 0 100 0 0 0 0
May 15, 2025.................. 5 0 0 0 0 100 0 0 0 0
May 15, 2026.................. 0 0 0 0 0 60 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 17.9 6.7 5.0 2.8 1.8 27.1 16.8 13.0 7.2 4.4
<CAPTION>
DC
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100
May 15, 2003.................. 100 100 100 100 100
May 15, 2004.................. 100 100 100 100 96
May 15, 2005.................. 100 100 100 100 66
May 15, 2006.................. 100 100 100 100 46
May 15, 2007.................. 100 100 100 100 31
May 15, 2008.................. 100 100 100 82 21
May 15, 2009.................. 100 100 100 65 15
May 15, 2010.................. 100 100 100 52 10
May 15, 2011.................. 100 100 100 41 7
May 15, 2012.................. 100 100 100 33 5
May 15, 2013.................. 100 100 100 26 3
May 15, 2014.................. 100 100 93 20 2
May 15, 2015.................. 100 100 80 16 1
May 15, 2016.................. 100 100 69 12 1
May 15, 2017.................. 100 100 59 10 1
May 15, 2018.................. 100 92 50 7 0
May 15, 2019.................. 100 80 42 6 0
May 15, 2020.................. 100 68 35 4 0
May 15, 2021.................. 100 58 29 3 0
May 15, 2022.................. 100 47 23 2 0
May 15, 2023.................. 100 38 18 2 0
May 15, 2024.................. 100 29 13 1 0
May 15, 2025.................. 100 20 9 1 0
May 15, 2026.................. 100 12 5 0 0
May 15, 2027.................. 88 4 2 0 0
May 15, 2028.................. 46 0 0 0 0
May 15, 2029.................. 0 0 0 0 0
Weighted Average
Life (Years)................. 28.9 23.0 19.8 12.3 7.5
</TABLE>
S-24
<PAGE> 347
<TABLE>
<CAPTION>
DK VA
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 150% 300% 500% 0% 100% 150% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 99 94 91 84 74 89 89 89 89 89
May 15, 2001.................. 98 85 79 62 42 77 77 77 77 77
May 15, 2002.................. 97 76 67 44 18 65 65 65 65 65
May 15, 2003.................. 95 68 57 29 2 52 52 52 52 52
May 15, 2004.................. 94 60 47 17 0 38 38 38 38 0
May 15, 2005.................. 92 53 39 7 0 23 23 23 23 0
May 15, 2006.................. 91 46 31 0 0 7 7 7 0 0
May 15, 2007.................. 89 40 24 0 0 0 0 0 0 0
May 15, 2008.................. 87 34 17 0 0 0 0 0 0 0
May 15, 2009.................. 85 28 11 0 0 0 0 0 0 0
May 15, 2010.................. 82 23 6 0 0 0 0 0 0 0
May 15, 2011.................. 80 18 1 0 0 0 0 0 0 0
May 15, 2012.................. 77 13 0 0 0 0 0 0 0 0
May 15, 2013.................. 74 8 0 0 0 0 0 0 0 0
May 15, 2014.................. 71 4 0 0 0 0 0 0 0 0
May 15, 2015.................. 67 0 0 0 0 0 0 0 0 0
May 15, 2016.................. 63 0 0 0 0 0 0 0 0 0
May 15, 2017.................. 59 0 0 0 0 0 0 0 0 0
May 15, 2018.................. 54 0 0 0 0 0 0 0 0 0
May 15, 2019.................. 49 0 0 0 0 0 0 0 0 0
May 15, 2020.................. 44 0 0 0 0 0 0 0 0 0
May 15, 2021.................. 38 0 0 0 0 0 0 0 0 0
May 15, 2022.................. 31 0 0 0 0 0 0 0 0 0
May 15, 2023.................. 24 0 0 0 0 0 0 0 0 0
May 15, 2024.................. 16 0 0 0 0 0 0 0 0 0
May 15, 2025.................. 8 0 0 0 0 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 18.1 7.0 5.2 2.9 1.8 4.0 4.0 4.0 4.0 3.2
<CAPTION>
VB
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100
May 15, 2001.................. 100 100 100 100 100
May 15, 2002.................. 100 100 100 100 100
May 15, 2003.................. 100 100 100 100 100
May 15, 2004.................. 100 100 100 100 46
May 15, 2005.................. 100 100 100 100 0
May 15, 2006.................. 100 100 100 93 0
May 15, 2007.................. 93 93 93 26 0
May 15, 2008.................. 81 81 81 0 0
May 15, 2009.................. 68 68 68 0 0
May 15, 2010.................. 54 54 54 0 0
May 15, 2011.................. 39 39 39 0 0
May 15, 2012.................. 23 23 0 0 0
May 15, 2013.................. 7 7 0 0 0
May 15, 2014.................. 0 0 0 0 0
May 15, 2015.................. 0 0 0 0 0
May 15, 2016.................. 0 0 0 0 0
May 15, 2017.................. 0 0 0 0 0
May 15, 2018.................. 0 0 0 0 0
May 15, 2019.................. 0 0 0 0 0
May 15, 2020.................. 0 0 0 0 0
May 15, 2021.................. 0 0 0 0 0
May 15, 2022.................. 0 0 0 0 0
May 15, 2023.................. 0 0 0 0 0
May 15, 2024.................. 0 0 0 0 0
May 15, 2025.................. 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0
Weighted Average
Life (Years)................. 11.2 11.2 10.9 7.6 5.0
</TABLE>
<TABLE>
<CAPTION>
VC ZD
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 150% 300% 500% 0% 100% 150% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 95 95 95 95 95 106 106 106 106 106
May 15, 2001.................. 91 91 91 91 91 113 113 113 113 113
May 15, 2002.................. 86 86 86 86 86 120 120 120 120 120
May 15, 2003.................. 80 80 80 80 80 127 127 127 127 127
May 15, 2004.................. 74 74 74 74 27 135 135 135 135 135
May 15, 2005.................. 68 68 68 68 0 143 143 143 143 118
May 15, 2006.................. 62 62 62 55 0 152 152 152 152 81
May 15, 2007.................. 55 55 55 16 0 161 161 161 161 56
May 15, 2008.................. 48 48 48 0 0 171 171 171 146 38
May 15, 2009.................. 40 40 40 0 0 182 182 182 117 26
May 15, 2010.................. 32 32 32 0 0 193 193 193 93 18
May 15, 2011.................. 23 23 23 0 0 205 205 205 74 12
May 15, 2012.................. 14 14 0 0 0 218 218 217 59 8
May 15, 2013.................. 4 4 0 0 0 231 231 190 46 5
May 15, 2014.................. 0 0 0 0 0 237 237 166 36 4
May 15, 2015.................. 0 0 0 0 0 237 237 144 28 2
May 15, 2016.................. 0 0 0 0 0 237 212 124 22 2
May 15, 2017.................. 0 0 0 0 0 237 188 106 17 1
May 15, 2018.................. 0 0 0 0 0 237 165 90 13 1
May 15, 2019.................. 0 0 0 0 0 237 143 76 10 0
May 15, 2020.................. 0 0 0 0 0 237 122 63 7 0
May 15, 2021.................. 0 0 0 0 0 237 103 51 5 0
May 15, 2022.................. 0 0 0 0 0 237 85 41 4 0
May 15, 2023.................. 0 0 0 0 0 237 68 31 3 0
May 15, 2024.................. 0 0 0 0 0 237 51 23 2 0
May 15, 2025.................. 0 0 0 0 0 237 36 16 1 0
May 15, 2026.................. 0 0 0 0 0 226 21 9 1 0
May 15, 2027.................. 0 0 0 0 0 157 8 3 0 0
May 15, 2028.................. 0 0 0 0 0 82 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 8.2 8.2 8.1 6.1 4.3 28.5 21.6 18.7 12.7 8.2
<CAPTION>
GROUP 2 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 150% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
May 15, 2000.................. 99 95 93 88 80
May 15, 2001.................. 98 89 84 72 57
May 15, 2002.................. 98 82 76 58 39
May 15, 2003.................. 97 76 68 47 27
May 15, 2004.................. 95 70 61 38 19
May 15, 2005.................. 94 65 54 30 13
May 15, 2006.................. 93 60 48 24 9
May 15, 2007.................. 92 55 43 20 6
May 15, 2008.................. 90 51 38 16 4
May 15, 2009.................. 89 46 34 13 3
May 15, 2010.................. 87 42 30 10 2
May 15, 2011.................. 85 39 27 8 1
May 15, 2012.................. 83 35 23 6 1
May 15, 2013.................. 81 32 20 5 1
May 15, 2014.................. 78 29 18 4 0
May 15, 2015.................. 75 26 15 3 0
May 15, 2016.................. 72 23 13 2 0
May 15, 2017.................. 69 20 11 2 0
May 15, 2018.................. 66 18 10 1 0
May 15, 2019.................. 62 15 8 1 0
May 15, 2020.................. 58 13 7 1 0
May 15, 2021.................. 53 11 6 1 0
May 15, 2022.................. 49 9 4 0 0
May 15, 2023.................. 43 7 3 0 0
May 15, 2024.................. 37 6 2 0 0
May 15, 2025.................. 31 4 2 0 0
May 15, 2026.................. 24 2 1 0 0
May 15, 2027.................. 17 1 0 0 0
May 15, 2028.................. 9 0 0 0 0
May 15, 2029.................. 0 0 0 0 0
Weighted Average
Life (Years)................. 20.8 10.7 8.5 5.0 3.1
</TABLE>
S-25
<PAGE> 348
Group 3
<TABLE>
<CAPTION>
CA AND FC CB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 179% 300% 500% 0% 100% 179% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 99 94 91 86 78 100 100 100 100 100
May 15, 2001.................. 98 86 78 66 48 100 100 100 100 100
May 15, 2002.................. 97 78 66 48 24 100 100 100 100 100
May 15, 2003.................. 96 70 54 34 8 100 100 100 100 100
May 15, 2004.................. 95 63 44 22 0 100 100 100 100 59
May 15, 2005.................. 93 56 36 12 0 100 100 100 100 0
May 15, 2006.................. 92 50 28 5 0 100 100 100 100 0
May 15, 2007.................. 90 44 21 0 0 100 100 100 76 0
May 15, 2008.................. 88 38 15 0 0 100 100 100 0 0
May 15, 2009.................. 87 33 9 0 0 100 100 100 0 0
May 15, 2010.................. 84 27 5 0 0 100 100 100 0 0
May 15, 2011.................. 82 23 0 0 0 100 100 100 0 0
May 15, 2012.................. 80 18 0 0 0 100 100 48 0 0
May 15, 2013.................. 77 14 0 0 0 100 100 0 0 0
May 15, 2014.................. 74 10 0 0 0 100 100 0 0 0
May 15, 2015.................. 70 6 0 0 0 100 100 0 0 0
May 15, 2016.................. 67 2 0 0 0 100 100 0 0 0
May 15, 2017.................. 63 0 0 0 0 100 87 0 0 0
May 15, 2018.................. 58 0 0 0 0 100 39 0 0 0
May 15, 2019.................. 54 0 0 0 0 100 0 0 0 0
May 15, 2020.................. 48 0 0 0 0 100 0 0 0 0
May 15, 2021.................. 43 0 0 0 0 100 0 0 0 0
May 15, 2022.................. 36 0 0 0 0 100 0 0 0 0
May 15, 2023.................. 29 0 0 0 0 100 0 0 0 0
May 15, 2024.................. 22 0 0 0 0 100 0 0 0 0
May 15, 2025.................. 14 0 0 0 0 100 0 0 0 0
May 15, 2026.................. 5 0 0 0 0 100 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 26 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 18.9 7.6 5.0 3.2 2.1 27.8 18.8 13.0 8.3 5.1
<CAPTION>
CD CE AND GROUP 3 ASSETS
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 179% 300% 500% 0% 100% 179% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 100 100 100 100 100 99 96 93 89 83
May 15, 2001.................. 100 100 100 100 100 99 89 83 73 59
May 15, 2002.................. 100 100 100 100 100 98 83 73 59 41
May 15, 2003.................. 100 100 100 100 100 97 77 64 48 28
May 15, 2004.................. 100 100 100 100 100 96 71 56 39 19
May 15, 2005.................. 100 100 100 100 82 95 66 50 31 13
May 15, 2006.................. 100 100 100 100 56 94 61 43 25 9
May 15, 2007.................. 100 100 100 100 39 92 56 38 20 6
May 15, 2008.................. 100 100 100 100 26 91 51 33 16 4
May 15, 2009.................. 100 100 100 80 18 89 47 29 13 3
May 15, 2010.................. 100 100 100 64 12 88 43 25 10 2
May 15, 2011.................. 100 100 100 51 8 86 39 22 8 1
May 15, 2012.................. 100 100 100 40 6 84 36 19 7 1
May 15, 2013.................. 100 100 100 32 4 82 32 16 5 1
May 15, 2014.................. 100 100 85 25 3 79 29 14 4 0
May 15, 2015.................. 100 100 73 20 2 77 26 12 3 0
May 15, 2016.................. 100 100 62 15 1 74 23 10 2 0
May 15, 2017.................. 100 100 52 12 1 71 21 8 2 0
May 15, 2018.................. 100 100 43 9 0 67 18 7 1 0
May 15, 2019.................. 100 98 36 7 0 64 16 6 1 0
May 15, 2020.................. 100 84 29 5 0 59 14 5 1 0
May 15, 2021.................. 100 71 24 4 0 55 12 4 1 0
May 15, 2022.................. 100 59 18 3 0 50 10 3 0 0
May 15, 2023.................. 100 47 14 2 0 45 8 2 0 0
May 15, 2024.................. 100 36 10 1 0 39 6 2 0 0
May 15, 2025.................. 100 26 7 1 0 32 4 1 0 0
May 15, 2026.................. 100 16 4 0 0 25 3 1 0 0
May 15, 2027.................. 100 7 2 0 0 18 1 0 0 0
May 15, 2028.................. 57 0 0 0 0 9 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 29.1 24.0 19.1 13.2 8.1 21.0 10.9 7.7 5.1 3.2
</TABLE>
Group 4
<TABLE>
<CAPTION>
EA EB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 170% 300% 500% 0% 100% 170% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 99 96 94 91 85 100 100 100 100 100
May 15, 2001.................. 98 89 83 73 58 100 100 100 100 100
May 15, 2002.................. 97 80 71 54 31 100 100 100 100 100
May 15, 2003.................. 96 72 59 38 12 100 100 100 100 100
May 15, 2004.................. 95 65 49 25 0 100 100 100 100 97
May 15, 2005.................. 93 58 40 14 0 100 100 100 100 67
May 15, 2006.................. 92 51 32 6 0 100 100 100 100 46
May 15, 2007.................. 90 45 24 0 0 100 100 100 96 32
May 15, 2008.................. 88 39 18 0 0 100 100 100 77 22
May 15, 2009.................. 86 33 12 0 0 100 100 100 62 15
May 15, 2010.................. 84 28 7 0 0 100 100 100 49 10
May 15, 2011.................. 82 23 2 0 0 100 100 100 39 7
May 15, 2012.................. 79 19 0 0 0 100 100 93 31 5
May 15, 2013.................. 76 14 0 0 0 100 100 81 25 3
May 15, 2014.................. 73 10 0 0 0 100 100 70 20 2
May 15, 2015.................. 70 6 0 0 0 100 100 60 15 1
May 15, 2016.................. 66 2 0 0 0 100 100 52 12 1
May 15, 2017.................. 62 0 0 0 0 100 96 44 9 1
May 15, 2018.................. 58 0 0 0 0 100 85 37 7 0
May 15, 2019.................. 53 0 0 0 0 100 75 31 6 0
May 15, 2020.................. 47 0 0 0 0 100 65 26 4 0
May 15, 2021.................. 41 0 0 0 0 100 56 21 3 0
May 15, 2022.................. 35 0 0 0 0 100 47 17 2 0
May 15, 2023.................. 28 0 0 0 0 100 39 13 2 0
May 15, 2024.................. 20 0 0 0 0 100 31 10 1 0
May 15, 2025.................. 12 0 0 0 0 100 23 7 1 0
May 15, 2026.................. 3 0 0 0 0 100 16 5 0 0
May 15, 2027.................. 0 0 0 0 0 77 10 3 0 0
May 15, 2028.................. 0 0 0 0 0 40 4 1 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 18.7 7.8 5.4 3.5 2.4 28.7 23.0 18.2 12.1 7.6
<CAPTION>
VJ VK
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 170% 300% 500% 0% 100% 170% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 90 90 90 90 90 100 100 100 100 100
May 15, 2001.................. 80 80 80 80 80 100 100 100 100 100
May 15, 2002.................. 69 69 69 69 69 100 100 100 100 100
May 15, 2003.................. 57 57 57 57 57 100 100 100 100 100
May 15, 2004.................. 44 44 44 44 35 100 100 100 100 100
May 15, 2005.................. 31 31 31 31 0 100 100 100 100 21
May 15, 2006.................. 17 17 17 17 0 100 100 100 100 0
May 15, 2007.................. 1 1 1 0 0 100 100 100 87 0
May 15, 2008.................. 0 0 0 0 0 86 86 86 10 0
May 15, 2009.................. 0 0 0 0 0 70 70 70 0 0
May 15, 2010.................. 0 0 0 0 0 53 53 53 0 0
May 15, 2011.................. 0 0 0 0 0 34 34 34 0 0
May 15, 2012.................. 0 0 0 0 0 15 15 0 0 0
May 15, 2013.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2014.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2015.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2016.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2017.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2018.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2019.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2020.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2021.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2022.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2023.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2024.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2025.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2026.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2027.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2028.................. 0 0 0 0 0 0 0 0 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 4.4 4.4 4.4 4.4 3.7 11.1 11.1 11.0 8.5 5.7
</TABLE>
S-26
<PAGE> 349
<TABLE>
<CAPTION>
VL ZE
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 170% 300% 500% 0% 100% 170% 300% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
May 15, 2000.................. 95 95 95 95 95 107 107 107 107 107
May 15, 2001.................. 90 90 90 90 90 114 114 114 114 114
May 15, 2002.................. 85 85 85 85 85 121 121 121 121 121
May 15, 2003.................. 79 79 79 79 79 130 130 130 130 130
May 15, 2004.................. 73 73 73 73 69 138 138 138 138 138
May 15, 2005.................. 67 67 67 67 11 148 148 148 148 148
May 15, 2006.................. 60 60 60 60 0 157 157 157 157 112
May 15, 2007.................. 53 53 53 45 0 168 168 168 168 77
May 15, 2008.................. 45 45 45 5 0 179 179 179 179 53
May 15, 2009.................. 36 36 36 0 0 191 191 191 150 36
May 15, 2010.................. 27 27 27 0 0 204 204 204 120 25
May 15, 2011.................. 18 18 18 0 0 218 218 218 96 17
May 15, 2012.................. 8 8 0 0 0 232 232 227 76 11
May 15, 2013.................. 0 0 0 0 0 243 243 197 60 8
May 15, 2014.................. 0 0 0 0 0 243 243 171 48 5
May 15, 2015.................. 0 0 0 0 0 243 243 147 37 3
May 15, 2016.................. 0 0 0 0 0 243 243 126 29 2
May 15, 2017.................. 0 0 0 0 0 243 234 107 23 2
May 15, 2018.................. 0 0 0 0 0 243 207 91 18 1
May 15, 2019.................. 0 0 0 0 0 243 182 76 13 1
May 15, 2020.................. 0 0 0 0 0 243 158 63 10 0
May 15, 2021.................. 0 0 0 0 0 243 136 52 8 0
May 15, 2022.................. 0 0 0 0 0 243 114 42 6 0
May 15, 2023.................. 0 0 0 0 0 243 94 33 4 0
May 15, 2024.................. 0 0 0 0 0 243 75 25 3 0
May 15, 2025.................. 0 0 0 0 0 243 57 18 2 0
May 15, 2026.................. 0 0 0 0 0 243 40 12 1 0
May 15, 2027.................. 0 0 0 0 0 186 24 7 1 0
May 15, 2028.................. 0 0 0 0 0 97 9 2 0 0
May 15, 2029.................. 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 7.9 7.9 7.8 6.5 4.8 28.7 23.0 18.6 13.4 8.9
<CAPTION>
GROUP 4 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 170% 300% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
May 15, 2000.................. 99 97 95 93 89
May 15, 2001.................. 99 91 87 79 68
May 15, 2002.................. 98 85 77 64 47
May 15, 2003.................. 97 79 68 52 32
May 15, 2004.................. 96 73 61 42 22
May 15, 2005.................. 95 68 54 34 15
May 15, 2006.................. 94 62 47 27 11
May 15, 2007.................. 92 58 42 22 7
May 15, 2008.................. 91 53 37 18 5
May 15, 2009.................. 89 49 32 14 3
May 15, 2010.................. 88 45 28 11 2
May 15, 2011.................. 86 41 25 9 2
May 15, 2012.................. 84 37 21 7 1
May 15, 2013.................. 82 34 19 6 1
May 15, 2014.................. 79 31 16 5 0
May 15, 2015.................. 77 28 14 4 0
May 15, 2016.................. 74 25 12 3 0
May 15, 2017.................. 71 22 10 2 0
May 15, 2018.................. 67 20 9 2 0
May 15, 2019.................. 64 17 7 1 0
May 15, 2020.................. 59 15 6 1 0
May 15, 2021.................. 55 13 5 1 0
May 15, 2022.................. 50 11 4 1 0
May 15, 2023.................. 45 9 3 0 0
May 15, 2024.................. 39 7 2 0 0
May 15, 2025.................. 32 5 2 0 0
May 15, 2026.................. 25 4 1 0 0
May 15, 2027.................. 18 2 1 0 0
May 15, 2028.................. 9 1 0 0 0
May 15, 2029.................. 0 0 0 0 0
Weighted Average
Life (Years)................. 21.0 11.3 8.4 5.5 3.6
</TABLE>
S-27
<PAGE> 350
YIELD CONSIDERATIONS
An investor seeking to maximize yield should make a decision whether to
invest in any Class based on the anticipated yield of that Class resulting from
its purchase price, the investor's own projection of Mortgage prepayment rates
under a variety of scenarios and, in the case of the Floating Rate and Inverse
Floating Rate Classes, the investor's own projection of levels of LIBOR under a
variety of scenarios. Freddie Mac makes no representation regarding Mortgage
prepayment rates, the level of LIBOR or the yield of any Class.
Prepayments: Effect on Yields
The yields to investors will be sensitive in varying degrees to the rate of
prepayments on the underlying Mortgages. In the case of the Interest Only
Classes and any other Classes purchased at a premium over their principal
amounts, faster than anticipated rates of Mortgage principal payments could
result in actual yields to investors that are lower than the anticipated yields.
Investors in the Interest Only Classes should also consider the risk that rapid
rates of Mortgage principal payments could result in the failure of investors to
fully recover their investments. In the case of any Classes purchased at a
discount to their principal amounts, slower than anticipated rates of principal
payments could result in actual yields to investors that are lower than the
anticipated yields.
Rapid rates of prepayments on the Mortgages are likely to coincide with
periods of low prevailing interest rates. During such periods, the yields at
which an investor may be able to reinvest amounts received as principal payments
on the investor's Class may be lower than the yield on that Class. Conversely,
slow rates of prepayments on the Mortgages are likely to coincide with periods
of high prevailing interest rates. During such periods, the amount of principal
payments available to an investor for reinvestment at such high rates may be
relatively low.
The Mortgages will not prepay at any constant rate until maturity, nor will
all of the Mortgages prepay at the same rate at any one time. The timing of
changes in the rate of prepayments may affect the actual yield to an investor,
even if the average rate of principal prepayments is consistent with the
investor's expectation. In general, the earlier a prepayment of principal on the
Mortgages, the greater the effect on an investor's yield. As a result, the
effect on an investor's yield of principal prepayments occurring at a rate
higher (or lower) than the rate anticipated by the investor during the period
immediately following the Closing Date is not likely to be offset by a later
equivalent reduction (or increase) in the rate of principal prepayments.
LIBOR: Effect on Yields of the Floating Rate and Inverse Floating Rate
Classes
Investors in the Floating Rate Classes should consider the risk that lower
than anticipated levels of LIBOR could result in actual yields to investors that
are lower than the anticipated yields and the fact that their Class Coupons
cannot exceed their specified maximum rates. Conversely, investors in the
Inverse Floating Rate Classes should consider the risk that higher than
anticipated levels of LIBOR could result in actual yields to investors that are
significantly lower than the anticipated yields and the fact that their Class
Coupons can fall as low as 0%. Further, high levels of LIBOR (especially in
combination with fast Mortgage prepayment rates) may result in the failure of
investors in the SC Class to fully recover their investments.
Changes in LIBOR may not correlate with changes in mortgage interest rates.
It is possible that lower prevailing mortgage interest rates (which would be
expected to result in faster prepayments) could occur concurrently with a higher
level of LIBOR. Conversely, higher prevailing mortgage interest rates (which
would be expected to result in slower prepayments) could occur concurrently with
a lower level of LIBOR.
LIBOR will not remain constant at any level. The timing of changes in the
level of LIBOR may affect the actual yield to an investor, even if the average
level is consistent with the investor's expectation. In general, the earlier a
change in the level of LIBOR, the greater the effect on an investor's yield. As
a result, the effect on an investor's yield of a LIBOR level that is higher (or
lower) than the rate anticipated by the investor during earlier periods is not
likely to be offset by a later equivalent reduction (or increase).
S-28
<PAGE> 351
Payment Delay: Effect on Yields of Fixed Rate and Delay Classes
The effective yield on any Fixed Rate or Delay Class will be less than the
yield otherwise produced by its Class Coupon and purchase price because (i) on
the first Payment Date 30 days' interest will be payable on (or, in the case of
an Accrual Class, added to the principal amount of) that Class even though
interest began to accrue approximately 45 days earlier and (ii) on each
subsequent Payment Date the interest payable will accrue during the related
Accrual Period, which will end approximately 15 days earlier.
Yield Tables
The following tables show the pre-tax yields to maturity (corporate bond
equivalent) of the Interest Only and Inverse Floating Rate Classes (i) at
various constant percentages of PSA and (ii) in the case of the Inverse Floating
Rate Classes, at various constant levels of LIBOR. The tables for the Interest
Only Classes also show annual and total interest payments on those Classes.
Freddie Mac has prepared these tables using the Modeling Assumptions and the
assumed purchase prices shown in the table captions. Where the assumed price is
expressed as a dollar amount, it includes accrued interest. Where the assumed
price is expressed as a percentage of original principal amount, it excludes
accrued interest and Freddie Mac has added accrued interest in calculating the
yields shown. The assumed prices are not necessarily those at which actual sales
will occur.
INTEREST PAYMENTS AND PRE-TAX YIELDS
Group 1
JD CLASS
(ASSUMED PRICE: $270,808.16)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 296% 456% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 80 $ 80 $ 80 $ 80
May 15, 2001................................................ 80 80 80 80
May 15, 2002................................................ 80 80 80 80
May 15, 2003................................................ 80 80 31 14
May 15, 2004................................................ 80 42 0 0
May 15, 2005................................................ 69 0 0 0
May 15, 2006................................................ 14 0 0 0
May 15, 2007 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 483 $ 363 $ 271 $ 254
======== ======== ======== ========
Pre-Tax Yield............................................... 22.6% 14.0% 0.0% (4.0)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-29
<PAGE> 352
JL CLASS
(ASSUMED PRICE: $1,373,715.66)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
68%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 250% 500% 778%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 213 $ 213 $ 213 $ 213
May 15, 2001................................................ 213 213 213 213
May 15, 2002................................................ 213 213 213 213
May 15, 2003................................................ 213 213 213 213
May 15, 2004................................................ 213 213 213 213
May 15, 2005................................................ 213 213 213 202
May 15, 2006................................................ 213 213 213 91
May 15, 2007................................................ 213 213 213 13
May 15, 2008................................................ 213 213 211 0
May 15, 2009................................................ 213 213 145 0
May 15, 2010................................................ 213 213 75 0
May 15, 2011................................................ 213 213 27 0
May 15, 2012................................................ 213 213 1 0
May 15, 2013................................................ 213 213 0 0
May 15, 2014................................................ 213 213 0 0
May 15, 2015................................................ 213 213 0 0
May 15, 2016................................................ 213 202 0 0
May 15, 2017................................................ 213 152 0 0
May 15, 2018................................................ 143 107 0 0
May 15, 2019................................................ 69 69 0 0
May 15, 2020................................................ 38 38 0 0
May 15, 2021................................................ 13 13 0 0
May 15, 2022 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 4,106 $ 3,996 $ 2,167 $ 1,374
======== ======== ======== ========
Pre-Tax Yield............................................... 15.1% 15.0% 9.9% 0.0%
</TABLE>
JP CLASS
(ASSUMED PRICE: $378,387.61)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 357% 500% 547%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 145 $ 145 $ 145 $ 145
May 15, 2001................................................ 145 145 145 145
May 15, 2002................................................ 145 144 111 89
May 15, 2003................................................ 127 42 0 0
May 15, 2004................................................ 24 0 0 0
May 15, 2005 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 586 $ 476 $ 401 $ 379
======== ======== ======== ========
Pre-Tax Yield............................................... 24.7% 15.0% 4.2% 0.0%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-30
<PAGE> 353
JR CLASS
(ASSUMED PRICE: $1,221,136.90)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 257% 451% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 296 $ 296 $ 296 $ 296
May 15, 2001................................................ 296 296 296 296
May 15, 2002................................................ 296 296 296 296
May 15, 2003................................................ 296 296 284 233
May 15, 2004................................................ 296 296 49 4
May 15, 2005................................................ 296 269 0 0
May 15, 2006................................................ 296 114 0 0
May 15, 2007................................................ 279 3 0 0
May 15, 2008................................................ 174 0 0 0
May 15, 2009................................................ 59 0 0 0
May 15, 2010 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 2,584 $ 1,866 $ 1,221 $ 1,126
======== ======== ======== ========
Pre-Tax Yield............................................... 20.9% 15.0% 0.0% (4.2)%
</TABLE>
KC CLASS
(ASSUMED PRICE: $361,558.54)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 326% 500% 524%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 131 $ 131 $ 131 $ 131
May 15, 2001................................................ 131 131 131 131
May 15, 2002................................................ 131 131 110 99
May 15, 2003................................................ 122 69 0 0
May 15, 2004................................................ 62 1 0 0
May 15, 2005................................................ 6 0 0 0
May 15, 2006 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 582 $ 463 $ 373 $ 362
======== ======== ======== ========
Pre-Tax Yield............................................... 24.6% 15.0% 2.1% 0.0%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-31
<PAGE> 354
KE CLASS
(ASSUMED PRICE: $846,628.91)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 257% 452% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 211 $ 211 $ 211 $ 211
May 15, 2001................................................ 211 211 211 211
May 15, 2002................................................ 211 211 211 211
May 15, 2003................................................ 211 211 187 146
May 15, 2004................................................ 211 211 25 2
May 15, 2005................................................ 211 155 0 0
May 15, 2006................................................ 207 61 0 0
May 15, 2007................................................ 157 2 0 0
May 15, 2008................................................ 94 0 0 0
May 15, 2009................................................ 32 0 0 0
May 15, 2010 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 1,757 $ 1,274 $ 846 $ 782
======== ======== ======== ========
Pre-Tax Yield............................................... 21.2% 15.0% 0.0% (4.1)%
</TABLE>
KF CLASS
(ASSUMED PRICE: $1,914,016.10)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 250% 471% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 404 $ 404 $ 404 $ 404
May 15, 2001................................................ 404 404 404 404
May 15, 2002................................................ 404 404 404 404
May 15, 2003................................................ 404 404 404 404
May 15, 2004................................................ 404 404 293 206
May 15, 2005................................................ 404 404 6 0
May 15, 2006................................................ 404 404 0 0
May 15, 2007................................................ 404 323 0 0
May 15, 2008................................................ 404 91 0 0
May 15, 2009................................................ 404 0 0 0
May 15, 2010................................................ 318 0 0 0
May 15, 2011................................................ 145 0 0 0
May 15, 2012................................................ 10 0 0 0
May 15, 2013 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 4,513 $ 3,242 $ 1,915 $ 1,821
======== ======== ======== ========
Pre-Tax Yield............................................... 19.2% 15.0% 0.0% (2.2)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
S-32
<PAGE> 355
KQ CLASS
(ASSUMED PRICE: $1,137,418.94)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
--------------------------------------------
100%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 50% 283% 471% 500%
------------------ --- ------- ---- ----
<S> <C> <C> <C> <C>
May 15, 2000................................................ $ 344 $ 344 $ 344 $ 344
May 15, 2001................................................ 344 344 344 344
May 15, 2002................................................ 344 344 344 339
May 15, 2003................................................ 344 331 106 63
May 15, 2004................................................ 335 176 0 0
May 15, 2005................................................ 236 18 0 0
May 15, 2006................................................ 115 0 0 0
May 15, 2007................................................ 13 0 0 0
May 15, 2008 and after...................................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............................................. $ 2,073 $ 1,556 $ 1,137 $ 1,090
======== ======== ======== ========
Pre-Tax Yield............................................... 23.3% 15.0% 0.0% (2.6)%
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
SG CLASS
(ASSUMED PRICE: 77.640625%)
<TABLE>
<CAPTION>
132% PSA
THROUGH
LIBOR 100% PSA 215% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
3.90125%.......................... 18.3% 18.3% 20.1% 27.3%
4.90125........................... 12.6 12.7 14.7 21.9
5.97563........................... 6.8 6.9 9.0 16.3
7.05000 and Higher................ 1.3 1.4 3.5 10.8
</TABLE>
ST CLASS
(ASSUMED PRICE: 83.125%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 180% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
3.90125%.......................... 16.9% 18.6% 24.5% 35.0%
4.90125........................... 11.6 13.1 19.3 29.8
5.97563........................... 6.0 7.3 13.8 24.3
7.05000 and Higher................ 0.8 1.7 8.5 18.9
</TABLE>
S-33
<PAGE> 356
Group 3
SC CLASS
(ASSUMED PRICE: $636,375.90)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
3.90250% LIBOR 4.90250% LIBOR 6.27625% LIBOR
-------------------------------------- -------------------------------------- ------------------
PSA PREPAYMENT PSA PREPAYMENT PSA PREPAYMENT
ASSUMPTION ASSUMPTION ASSUMPTION
TWELVE CONSECUTIVE -------------------------------------- -------------------------------------- ------------------
MONTHS THROUGH 100% 179% 300% 500% 100% 179% 300% 500% 100% 179%
------------------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
May 15, 2000.................. $ 381 $ 376 $ 367 $ 354 $ 286 $ 282 $ 276 $ 266 $ 155 $ 153
May 15, 2001.................. 363 341 308 255 266 250 226 187 133 125
May 15, 2002.................. 329 288 230 145 242 211 169 106 121 106
May 15, 2003.................. 298 241 165 66 218 177 121 49 109 88
May 15, 2004.................. 267 199 113 13 196 146 82 10 98 73
May 15, 2005.................. 239 161 70 0 175 118 51 0 88 59
May 15, 2006.................. 213 128 35 0 156 94 26 0 78 47
May 15, 2007.................. 187 98 7 0 137 72 5 0 69 36
May 15, 2008.................. 164 72 0 0 120 53 0 0 60 26
May 15, 2009.................. 142 49 0 0 104 36 0 0 52 18
May 15, 2010.................. 121 28 0 0 88 21 0 0 44 10
May 15, 2011.................. 101 10 0 0 74 8 0 0 37 4
May 15, 2012.................. 82 0 0 0 60 0 0 0 30 0
May 15, 2013.................. 65 0 0 0 47 0 0 0 24 0
May 15, 2014.................. 48 0 0 0 35 0 0 0 18 0
May 15, 2015.................. 32 0 0 0 24 0 0 0 12 0
May 15, 2016.................. 18 0 0 0 13 0 0 0 6 0
May 15, 2017.................. 4 0 0 0 3 0 0 0 1 0
May 15, 2018 and after........ 0 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total Payments*............... $ 3,053 $ 1,992 $ 1,295 $ 833 $ 2,245 $ 1,467 $ 956 $ 617 $ 1,135 $ 746
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Pre-Tax Yield................. 62.1% 55.2% 43.5% 21.5% 41.4% 34.2% 21.5% (2.1)% 13.6% 4.8%
<CAPTION>
7.65000% LIBOR
6.27625% LIBOR AND HIGHER
------------------ --------------------------------------
PSA PREPAYMENT PSA PREPAYMENT
ASSUMPTION ASSUMPTION
TWELVE CONSECUTIVE ------------------ --------------------------------------
MONTHS THROUGH 300% 500% 100% 179% 300% 500%
------------------ ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
May 15, 2000.................. $ 150 $ 145 $ 24 $ 24 $ 24 $ 24
May 15, 2001.................. 113 94 0 0 0 0
May 15, 2002.................. 84 53 0 0 0 0
May 15, 2003.................. 61 24 0 0 0 0
May 15, 2004.................. 41 5 0 0 0 0
May 15, 2005.................. 26 0 0 0 0 0
May 15, 2006.................. 13 0 0 0 0 0
May 15, 2007.................. 3 0 0 0 0 0
May 15, 2008.................. 0 0 0 0 0 0
May 15, 2009.................. 0 0 0 0 0 0
May 15, 2010.................. 0 0 0 0 0 0
May 15, 2011.................. 0 0 0 0 0 0
May 15, 2012.................. 0 0 0 0 0 0
May 15, 2013.................. 0 0 0 0 0 0
May 15, 2014.................. 0 0 0 0 0 0
May 15, 2015.................. 0 0 0 0 0 0
May 15, 2016.................. 0 0 0 0 0 0
May 15, 2017.................. 0 0 0 0 0 0
May 15, 2018 and after........ 0 0 0 0 0 0
-------- -------- -------- -------- -------- --------
Total Payments*............... $ 490 $ 321 $ 24 $ 24 $ 24 $ 24
======== ======== ======== ======== ======== ========
Pre-Tax Yield................. (10.7)% (38.1)% ** ** ** **
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
** Less than (99.9)%.
S-34
<PAGE> 357
The Mortgages will not prepay at any constant rate until maturity, nor will
LIBOR remain constant at any level. Moreover, the Mortgages have characteristics
that differ from those of the Modeling Assumptions. Therefore, the actual
pre-tax yield of any Class may differ from any of those shown in the table for
that Class, even if purchased at the assumed price shown, and the actual annual
and total payments for the Interest Only Classes may also differ from any of
those shown in the tables for those Classes.
FINAL PAYMENT DATES
The Final Payment Date for each Class is the latest date by which it will
be retired. The assumptions used in calculating the Final Payment Dates are
highly conservative, and the actual retirement of any Class may occur earlier
than its Final Payment Date.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
GENERAL
Subject to the assumptions described in "Certain Federal Income Tax
Consequences -- REMIC Election" in the Offering Circular, the Upper-Tier REMIC
Pool and the Lower-Tier REMIC Pool will each qualify as a REMIC for federal
income tax purposes.
The arrangement pursuant to which the MACR Classes are created, sold and
administered (the "MACR Pool") will be classified as a grantor trust under
subpart E, part I of subchapter J of the Internal Revenue Code. The interests in
the Regular Classes that have been exchanged with Freddie Mac for the MACR
Classes (including any exchanges effective on the Closing Date) will be the
assets of the MACR Pool and the MACR Classes will represent beneficial ownership
of these assets.
REGULAR CLASSES
The Regular Classes will be the "regular interests" in the Upper-Tier REMIC
Pool. The Regular Classes will be treated as debt instruments for federal income
tax purposes and may be issued with original issue discount ("OID") or at a
premium. Based in part on the level of LIBOR as of the date of this Supplement
and assumptions regarding the initial prices at which substantial portions of
the Regular Classes will be sold to the public, Freddie Mac expects to report
income to the Internal Revenue Service and to Holders of the Regular Classes
assuming they are issued as follows:
- OID: DB, DC, DK, JD, SC, SG, ST, ZD and ZE Classes.
- De Minimis OID: CB, CD, DA, FC, FG, FT, GA, GR, TG, TK, TL, TM, VB and
VK Classes.
- Premium: CA, EA, QD, TB, TC, TE, TF, TP, TQ, TR, VA and VJ Classes.
OID generally will result in recognition of taxable income in advance of the
receipt of cash attributable to such income. The "Prepayment Assumption" used in
determining whether OID is de minimis and in computing the rate of accrual of
OID or the amortization of premium is 180% PSA for the Group 1 Classes, 150% PSA
for the Group 2 Classes, 179% PSA for the Group 3 Classes and 170% PSA for the
Group 4 Classes. See "Certain Federal Income Tax Consequences -- Taxation of
Regular Classes -- Original Issue Discount" and "-- Premium" in the Offering
Circular. With respect to Regular Classes issued with OID, investors may obtain
the information required by Treasury regulation section 1.6049-7(g) by
contacting Freddie Mac's Investor Inquiry Department as shown under "Available
Information" in this Supplement.
Freddie Mac intends to report any original issue or market discount or
premium with respect to the Floating Rate Classes assuming that each variable
rate is a fixed rate equal to the value of the variable rate as of the date of
this Supplement. See "Certain Federal Income Tax Consequences -- Taxation of
Regular Classes -- Floating Rate and Inverse Floating Rate Classes" in the
Offering Circular.
RESIDUAL CLASSES
The R Class will be the "residual interest" in the Upper-Tier REMIC Pool
and the RS Class will be the "residual interest" in the Lower-Tier REMIC Pool.
Special tax considerations apply to the Residual Classes. The taxation of the
Residual Classes can produce a significantly less favorable after-tax return
than if (i) the Residual Classes were taxable as debt instruments or (ii) no
portion of the taxable income on the
S-35
<PAGE> 358
Residual Classes were treated as "excess inclusions." In certain periods,
taxable income and the resulting tax liability on the R Class may exceed any
payments on that Class. See "Certain Federal Income Tax Consequences -- Taxation
of Residual Classes" in the Offering Circular. In addition, a substantial tax
may be imposed on certain transferors of a Residual Class and certain beneficial
owners of such a Class that are "pass-through entities." See "Certain Federal
Income Tax Consequences -- Transfers of Interests in a Residual
Class -- Disqualified Organizations" in the Offering Circular. Investors should
not purchase a Residual Class before consulting their tax advisors.
Certain Transfers of Residual Classes
The REMIC Regulations (as defined under "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular) disregard:
- A transfer of a "noneconomic residual" unless no significant purpose
of the transfer is to impede the assessment or collection of tax; and
- Except in certain cases, a transfer of a residual interest to a
foreign investor or a transfer of a residual interest from a foreign
investor to a U.S. investor (accordingly, the Agreement prohibits the
transfer of an interest in a Residual Class to or from a foreign
investor without Freddie Mac's written consent).
In such cases, the transferor would continue to be treated as the owner of the
residual interest and thus would continue to be subject to tax on its allocable
portion of the net income of the REMIC. See "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular.
Residual Classes with Negative Fair Market Values
The federal income tax consequences of any consideration paid to a
transferee on a transfer of a Residual Class are unclear. The REMIC Regulations
do not address whether a residual interest could have a negative basis and a
negative issue price. The preamble indicates that the Internal Revenue Service
is considering the tax treatment of these types of residual interests. Any
transferee receiving consideration should consult its tax advisors.
Reporting and Administrative Matters
Freddie Mac will furnish Holders of the Residual Classes the information it
deems necessary or appropriate to enable them to prepare any reports required
under the Internal Revenue Code or applicable Treasury regulations. Freddie Mac
does not intend to hold the Residual Classes for its account, and applicable law
may not permit Freddie Mac to perform tax administrative functions for the REMIC
Pools. Accordingly, the Holders of a Residual Class may have certain tax
administrative obligations (for which Freddie Mac will act as attorney-in-fact
and agent). See "Certain Federal Income Tax Consequences -- Reporting and
Administrative Matters" in the Offering Circular.
MACR CLASSES
For a discussion of certain federal income tax consequences applicable to
the MACR Classes, see "Certain Federal Income Tax Consequences -- Taxation of
MACR Classes," "-- Exchanges of MACR Classes and Regular Classes" and
"-- Taxation of Certain Foreign Investors" in the Offering Circular.
NEW WITHHOLDING REGULATIONS
The Treasury Department has issued new regulations which make certain
modifications to the withholding and backup withholding rules. The new
regulations generally are effective for payments made after December 31, 2000.
Investors should consult their tax advisors regarding such regulations.
S-36
<PAGE> 359
LEGAL INVESTMENT CONSIDERATIONS; ERISA CONSIDERATIONS
Investors should consult their legal advisors to determine whether and to
what extent any Classes constitute legal investments for such investors. An
institution under the jurisdiction of the Comptroller of the Currency, the Board
of Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, the Office of Thrift Supervision, the National Credit Union
Administration, the Department of the Treasury or any other federal or state
agency with similar authority should review any applicable regulations, policy
statements and guidelines before purchasing or pledging any Class. See "Legal
Investment Considerations" in the Offering Circular. Fiduciaries of ERISA plans
should review "ERISA Considerations" in the Offering Circular.
PLAN OF DISTRIBUTION
Subject to the terms and conditions of the Purchase Agreement between
Freddie Mac and the Underwriter, Freddie Mac has agreed to sell, and the
Underwriter has agreed to purchase, all of the REMIC Certificates, if any are
sold and purchased.
The Underwriter proposes to offer the Securities directly to the public
from time to time for sale in negotiated transactions at varying prices to be
determined at the time of sale, plus accrued interest from May 1, 1999 on the
Fixed Rate and Delay Classes and from May 15, 1999 on the Non-Delay Classes. The
Securities are offered by the Underwriter, subject to sale by Freddie Mac and
receipt and acceptance by the Underwriter and subject to the Underwriter's right
to reject any order in whole or in part. The Underwriter may effect such
transactions by sales to or through certain securities dealers (which may
include Freddie Mac through its Securities Sales and Trading Group). Such
dealers may receive compensation in the form of discounts, concessions or
commissions from the Underwriter and/or commissions from any purchasers for
which they act as agents.
The Purchase Agreement provides that Freddie Mac will indemnify the
Underwriter against certain liabilities.
It is expected that (i) the Regular Classes and the MACR Classes will be
available (in book-entry form) for deposit at any Federal Reserve Bank and (ii)
the Residual Classes will be available (in certificated form) at the offices of
the Underwriter, on or about the Closing Date.
LEGAL MATTERS
The legality of the Securities will be passed upon for Freddie Mac by Maud
Mater, Esq., Executive Vice President -- General Counsel and Secretary of
Freddie Mac. Certain legal matters relating to the Securities will be passed
upon for the Underwriter by Milbank, Tweed, Hadley & McCloy LLP.
S-37
<PAGE> 360
APPENDIX 1
AVAILABLE COMBINATIONS
<TABLE>
<CAPTION>
REMIC CERTIFICATES MACR CERTIFICATES
- ---------------------------------------------------- ------------------------------------------------------------------------
MAXIMUM ORIGINAL
ORIGINAL PRINCIPAL RELATED PRINCIPAL OR
OR NOTIONAL EXCHANGE MACR NOTIONAL PRINCIPAL EXCHANGE PRINCIPAL OR CLASS
CLASS PRINCIPAL AMOUNT PROPORTIONS(1) CLASSES AMOUNT(2) PROPORTIONS(1) OTHER TYPE(3) COUPON
----- ------------------- -------------- -------- --------------------- -------------- ------------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
COMBINATION 1
TC $26,221,822 100% KC $ 2,017,063 N/A NTL(PAC I) 6.50%
LC 26,221,822 N/A PAC I 6.00
PC 26,221,822 N/A PAC I 6.25
COMBINATION 2
TE $42,250,198 100% KE $ 3,250,015 N/A NTL(PAC I) 6.50%
LE 42,250,198 N/A PAC I 6.00
PE 42,250,198 N/A PAC I 6.25
COMBINATION 3
TF $80,786,400 100% KF $ 6,214,338 N/A NTL(PAC I) 6.50%
LF 80,786,400 N/A PAC I 6.00
PF 80,786,400 N/A PAC I 6.25
COMBINATION 4
TQ $68,714,252 100% KQ $ 5,285,711 N/A NTL(PAC I) 6.50%
LQ 68,714,252 N/A PAC I 6.00
PQ 68,714,252 N/A PAC I 6.25
COMBINATION 5
TK $38,250,000 39.8681276989% TH $95,941,300 100% PAC I 6.50%
TL 42,691,300 44.4973124192
TM 15,000,000 15.6345598819
COMBINATION 6
VA $10,121,000 40.9342770475% VC $24,725,000 100% AD/SEQ 6.00%
VB 14,604,000 59.0657229525
COMBINATION 7
CA $63,921,429 67.2857147368% CE $95,000,000 100% PT 6.50%
CB 5,000,000 5.2631578947
CD 15,425,000 16.2368421053
FC 10,653,571 11.2142852632
SC 10,653,571 (6)
COMBINATION 8
VJ $ 9,301,000 48.1186094493% VL $19,329,320 100% AD/SEQ 6.50%
VK 10,028,320 51.8813905507
COMBINATION 9
VJ $ 9,301,000 28.3313818258% EB $32,829,320 100% SEQ 6.50%
VK 10,028,320 30.5468404462
ZE 13,500,000 41.1217777280
COMBINATION 10
TL $42,691,300 100% JL $ 3,283,946 (7) NTL(PAC I) 6.50%
QL 42,691,300 100% PAC I 6.00
<CAPTION>
MACR CERTIFICATES
- -------------- ------------------------------------------------------
WEIGHTED
INTEREST CUSIP AVERAGE
CLASS TYPE(3) NUMBER FINAL PAYMENT DATE(4) LIFE(5)
----- -------- --------- --------------------- --------
<S> <C> <C> <C> <C>
COMBINATION 1
TC FIX/IO 3133TK T 8 3 October 15, 2014 --
FIX 3133TK T C 4 October 15, 2014 3.5Yrs
FIX 3133TK T G 5 October 15, 2014 3.5
COMBINATION 2
TE FIX/IO 3133TK T 9 1 January 15, 2022 --
FIX 3133TK T D 2 January 15, 2022 6.0Yrs
FIX 3133TK T H 3 January 15, 2022 6.0
COMBINATION 3
TF FIX/IO 3133TK T A 8 May 15, 2024 --
FIX 3133TK T E 0 May 15, 2024 8.0Yrs
FIX 3133TK T J 9 May 15, 2024 8.0
COMBINATION 4
TQ FIX/IO 3133TK T B 6 August 15, 2018 --
FIX 3133TK T F 7 August 15, 2018 4.5Yrs
FIX 3133TK T K 6 August 15, 2018 4.5
COMBINATION 5
TK FIX 3133TKTW0 May 15, 2029 18.1Yrs
TL
TM
COMBINATION 6
VA FIX 3133TK U 7 3 October 15, 2013 8.1Yrs
VB
COMBINATION 7
CA FIX 3133TK S T 8 May 15, 2029 7.7Yrs
CB
CD
FC
SC
COMBINATION 8
VJ FIX 3133TK U A 6 February 15, 2013 7.8Yrs
VK
COMBINATION 9
VJ FIX 3133TK S Z 4 May 15, 2029 18.2Yrs
VK
ZE
COMBINATION 10
TL FIX/IO 3133TK U E 8 February 15, 2029 --
FIX 3133TK U F 5 February 15, 2029 18.7Yrs
</TABLE>
A-1
<PAGE> 361
<TABLE>
<CAPTION>
REMIC CERTIFICATES MACR CERTIFICATES
- ---------------------------------------------------- ------------------------------------------------------------------------
MAXIMUM ORIGINAL
ORIGINAL PRINCIPAL RELATED PRINCIPAL OR
OR NOTIONAL EXCHANGE MACR NOTIONAL PRINCIPAL EXCHANGE PRINCIPAL OR CLASS
CLASS PRINCIPAL AMOUNT PROPORTIONS(1) CLASSES AMOUNT(2) PROPORTIONS(1) OTHER TYPE(3) COUPON
----- ------------------- -------------- -------- --------------------- -------------- ------------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
COMBINATION 11
TP $28,983,485 100% JP $ 2,229,498 N/A NTL(PAC I) 6.50%
LP 28,983,485 N/A PAC I 6.00
NP 28,983,485 N/A PAC I 6.25
COMBINATION 12
TR $59,199,743 100% JR $ 4,553,826 N/A NTL(PAC I) 6.50%
LR 59,199,743 N/A PAC I 6.00
PR 59,199,743 N/A PAC I 6.25
<CAPTION>
MACR CERTIFICATES
- -------------- ------------------------------------------------------
WEIGHTED
INTEREST CUSIP AVERAGE
CLASS TYPE(3) NUMBER FINAL PAYMENT DATE(4) LIFE(5)
----- -------- --------- --------------------- --------
<S> <C> <C> <C> <C>
COMBINATION 11
TP FIX/IO 3133TK Z H 6 October 15, 2012 --
FIX 3133TK Z K 9 October 15, 2012 3.2Yrs
FIX 3133TK Z M 5 October 15, 2012 3.2
COMBINATION 12
TR FIX/IO 3133TK Z J 2 January 15, 2022 --
FIX 3133TK Z L 7 January 15, 2022 6.3Yrs
FIX 3133TK Z N 3 January 15, 2022 6.3
</TABLE>
- ---------------
(1) Exchange proportions shown are constant proportions of the original
principal amounts of the Classes of REMIC Certificates or MACR Certificates.
In accordance with the exchange proportions, REMIC Certificates may be
exchanged for MACR Certificates, and vice versa. The exchange proportions
are not applicable to Combinations 1, 2, 3, 4, 11 and 12. See "MACR
Certificates -- Exchanges" in the Offering Circular for the constraints
applicable to exchanges and examples of exchanges of REMIC Certificates and
"ratio-stripping" MACR Classes of the type available in those Combinations.
(2) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(3) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(4) See "Final Payment Dates" in this Supplement.
(5) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted Average Lives are calculated at 180% PSA for the MACR
Classes of Combinations 1 through 5 and 10 through 12, 150% PSA for the VC
Class, 179% PSA for the CE Class and 170% PSA for the MACR Classes of
Combinations 8 and 9. Prepayments will not occur at the rates assumed, and
the actual weighted average lives of the MACR Classes may differ
significantly from those shown.
(6) The original notional principal amount of the SC Class being exchanged
equals the original principal amount of the FC Class being exchanged.
(7) The original notional principal amount of the JL Class being exchanged
equals 1/13th of the original principal amount of the QL Class being
exchanged.
A-2
<PAGE> 362
- ----------------------------------------------------------
- ----------------------------------------------------------
THIS SUPPLEMENT, TOGETHER WITH THE OFFERING CIRCULAR, CONSTITUTES AN OFFER TO
SELL ONLY THE SECURITIES OFFERED HEREBY. FREDDIE MAC HAS NOT AUTHORIZED ANY
BROKER, DEALER OR SALESPERSON, OR ANYONE ELSE, TO MAKE ANY STATEMENTS, WRITTEN
OR ORAL, IN CONNECTION WITH THE OFFER, EXCEPT FOR THOSE CONTAINED IN THIS
SUPPLEMENT AND IN THE OTHER DOCUMENTS AND SOURCES OF INFORMATION PREPARED BY
FREDDIE MAC THAT ARE LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
INVESTORS MUST NOT RELY ON ANY OTHER STATEMENTS AS HAVING BEEN AUTHORIZED BY
EITHER FREDDIE MAC OR THE UNDERWRITER. THIS SUPPLEMENT AND THE OFFERING CIRCULAR
DO NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY THE
SECURITIES BY ANYONE IN ANY JURISDICTION WHERE SUCH AN OFFER OR SOLICITATION
WOULD BE UNLAWFUL, OR WHERE THE PERSON MAKING SUCH AN OFFER OR SOLICITATION
WOULD NOT BE QUALIFIED TO DO SO, OR TO ANYONE TO WHOM IT WOULD BE UNLAWFUL TO
MAKE SUCH AN OFFER OR SOLICITATION. FREDDIE MAC MAKES NO REPRESENTATION THAT THE
STATEMENTS IN THIS SUPPLEMENT OR ANY OTHER DOCUMENT WILL BE CORRECT AT ANY TIME
AFTER THE DATE OF SUCH DOCUMENT, EVEN THOUGH DELIVERY OF THE DOCUMENT AND THE
SALE OF THE SECURITIES TAKE PLACE ON A LATER DATE.
------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
DESCRIPTION PAGE
----------- ----
<S> <C>
OFFERING CIRCULAR SUPPLEMENT
Certain Risk Considerations......................... S-2
Terms Sheet......................................... S-3
Available Information............................... S-8
General Information................................. S-8
The Agreement................................... S-8
Form of Securities.............................. S-8
Holders......................................... S-9
Structure of Transaction........................ S-9
The Mortgages................................... S-9
Payments............................................ S-9
Payment Dates; Record Dates..................... S-9
Method of Payment............................... S-9
Interest........................................ S-10
Principal....................................... S-11
Class Factors................................... S-16
Guarantees...................................... S-16
Optional Redemption............................. S-16
Residual Proceeds............................... S-16
Prepayment and Yield Analysis....................... S-17
General......................................... S-17
Prepayment and Weighted Average Life
Considerations................................ S-19
Yield Considerations............................ S-28
Final Payment Dates................................. S-35
Certain Federal Income Tax Consequences............. S-35
General......................................... S-35
Regular Classes................................. S-35
Residual Classes................................ S-35
MACR Classes.................................... S-36
New Withholding Regulations..................... S-36
Legal Investment Considerations; ERISA
Considerations.................................... S-37
Plan of Distribution................................ S-37
Legal Matters....................................... S-37
Appendix 1 -- Available Combinations................ A-1
OFFERING CIRCULAR
Offering Circular Summary........................... 3
Freddie Mac......................................... 9
Availability of Information and Incorporation by
Reference......................................... 9
Description of Securities........................... 9
MACR Certificates................................... 27
The Agreement....................................... 30
Certain Federal Income Tax Consequences............. 33
ERISA Considerations................................ 44
Legal Investment Considerations..................... 45
Plan of Distribution................................ 45
Increase in Size of Offering........................ 45
Accounting Considerations........................... 45
Exhibit A -- Index of Terms......................... A-1
</TABLE>
- ----------------------------------------------------------
- ----------------------------------------------------------
- ----------------------------------------------------------
- ----------------------------------------------------------
$1,587,829,320
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE
AND COMBINABLE
REMIC CERTIFICATES,
SERIES 2149
(FREDDIE MAC LOGO)
X
Y
MERRILL LYNCH & CO.
OFFERING CIRCULAR SUPPLEMENT
DATED MARCH 31, 1999
- ----------------------------------------------------------
- ----------------------------------------------------------
<PAGE> 363
ANNEX 1(g)
OFFERING CIRCULAR SUPPLEMENT
DATED NOVEMBER 8, 1999
TO
OFFERING CIRCULAR DATED APRIL 1, 1998
RELATING TO
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES AND MODIFIABLE
AND COMBINABLE REMIC CERTIFICATES,
SERIES 2203
<PAGE> 364
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,002,242,310
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2203
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Single-Tier)
Underlying Assets: Nine Groups of Freddie Mac Multiclass PCs and MACR
Certificates
Payment Dates: Monthly, beginning in December 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Class (R): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Merrill Lynch, Pierce, Fenner & Smith,
Incorporated (the "Underwriter")
Closing Date: November 30, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT OTHER TYPE(1) COUPON TYPE(1) NUMBER DATE(2) LIFE(3)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
ND................... $ 52,668,000 SC/PAC 5.7% FIX 3133TM L E 4 February 15, 2025 3.9Yrs
PK .................. 51,222,600 SC/PAC 5.7 FIX 3133TM L S 3 February 15, 2025 1.2
PL .................. 23,274,400 SC/PAC 5.7 FIX 3133TM L T 1 February 15, 2025 2.5
GROUP 2
NF .................. 61,957,000 SC/PAC 5.5 FIX 3133TM L G 9 November 15, 2024 3.9
PT .................. 8,972,000 SC/PAC 5.5 FIX 3133TM L X 2 November 15, 2024 0.6
PU .................. 41,201,000 SC/PAC 5.5 FIX 3133TM L Y 0 November 15, 2024 1.6
PV .................. 8,291,000 SC/PAC 5.5 FIX 3133TM L Z 7 November 15, 2024 2.5
GROUP 3
NE .................. 46,498,000 SC/PAC 6.0 FIX 3133TM L F 1 June 15, 2010 3.9
PM .................. 4,142,000 SC/PAC 6.0 FIX 3133TM L U 8 June 15, 2010 0.3
PN .................. 48,647,000 SC/PAC 6.0 FIX 3133TM L V 6 June 15, 2010 1.2
PQ .................. 34,203,000 SC/PAC 6.0 FIX 3133TMLW4 June 15, 2010 2.5
GROUP 4
NC .................. 180,318,000 SC/PAC 6.0 FIX 3133TM L D 6 September 15, 2022 3.9
PF .................. 6,214,600 SC/PAC 6.0 FIX 3133TM L N 4 September 15, 2022 0.1
PG .................. 25,987,800 SC/PAC 6.0 FIX 3133TM L P 9 September 15, 2022 0.4
PH .................. 130,118,100 SC/PAC 6.0 FIX 3133TM L Q 7 September 15, 2022 1.6
PJ .................. 11,034,500 SC/PAC 6.0 FIX 3133TM L R 5 September 15, 2022 2.5
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT OTHER TYPE(1) COUPON TYPE(1) NUMBER DATE(2) LIFE(3)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 5
NA................... $ 37,240,000 SC/PAC 6.0% FIX 3133TM L B 0 July 15, 2018 3.9Yrs
PA .................. 3,924,000 SC/PAC 6.0 FIX 3133TM L H 7 July 15, 2018 1.2
PB .................. 14,561,000 SC/PAC 6.0 FIX 3133TM L J 3 July 15, 2018 1.5
PC .................. 44,275,000 SC/PAC 6.0 FIX 3133TM L K 0 July 15, 2018 2.5
GROUP 6
NB .................. 34,489,000 SC/PAC 6.0 FIX 3133TM L C 8 May 15, 2009 3.9
PD .................. 27,104,000 SC/PAC 6.0 FIX 3133TM L L 8 May 15, 2009 1.3
PE .................. 38,407,000 SC/PAC 6.0 FIX 3133TM L M 6 May 15, 2009 2.5
GROUP 7
FT .................. 16,172,656 SC/PT (4) FLT/DLY 3133TM L 3 8 March 15, 2029 20.7
ST .................. 5,390,886 SC/PT (4) INV/DLY 3133TM M 8 6 March 15, 2029 20.7
GROUP 8
FA .................. 16,037,837 SC/PAC (4) FLT/DLY 3133TM K Z 8 May 15, 2029 17.6
SA .................. 3,007,094 SC/PAC (4) FLT/INV/DLY 3133TM M 4 5 May 15, 2029 17.6
GROUP 9
FJ .................. 22,639,863 SC/PT (4) FLT/DLY 3133TM L 2 0 June 15, 2029 19.8
SJ .................. 4,244,974 SC/PT (4) FLT/INV/DLY 3133TM M 6 0 June 15, 2029 19.8
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TM M 2 9 June 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The Group 1 through Group 6 and Group 8
Classes are designated as PAC Classes because the Assets underlying these
Classes consist of PAC Classes.
(2) See "Final Payment Dates" in this Supplement.
(3) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 138% PSA for the Group 1
and Group 4 Classes, 157% PSA for the Group 2 Classes, 151% PSA for the
Group 3 Classes, 122% PSA for the Group 5 Classes, 142% PSA for the Group 6
Classes 140% PSA for the Group 7 Classes, 143% PSA for the Group 8 Classes
and 125% PSA for the Group 9 Classes. Prepayments will not occur at the
rates assumed, and the actual weighted average lives of the Classes may
differ significantly from those shown.
(4) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
MERRILL LYNCH & CO.
THE DATE OF THIS OFFERING CIRCULAR SUPPLEMENT IS NOVEMBER 8, 1999
<PAGE> 365
CERTAIN RISK CONSIDERATIONS
THE SECURITIES ARE NOT SUITABLE INVESTMENTS FOR ALL INVESTORS. IN
PARTICULAR, NO INVESTOR SHOULD PURCHASE SECURITIES OF ANY CLASS UNLESS THE
INVESTOR UNDERSTANDS AND IS ABLE TO BEAR THE PREPAYMENT, YIELD, LIQUIDITY AND
MARKET RISKS ASSOCIATED WITH THAT CLASS.
------------------------
THE SECURITIES ARE COMPLEX SECURITIES AND IT IS IMPORTANT THAT EACH
INVESTOR IN ANY CLASS POSSESS, EITHER ALONE OR TOGETHER WITH AN INVESTMENT
ADVISOR, THE EXPERTISE NECESSARY TO EVALUATE THE INFORMATION CONTAINED AND
INCORPORATED IN THIS SUPPLEMENT IN THE CONTEXT OF THAT INVESTOR'S FINANCIAL
SITUATION.
------------------------
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Asset or Assets
(which will be sensitive to the rate of principal payments on the related
Mortgages) and the actual characteristics of the related Mortgages. The yields
of the Floating Rate and Inverse Floating Rate Classes will also be sensitive to
the level of LIBOR. The Mortgages are subject to prepayment at any time without
penalty. Mortgage prepayment rates are likely to fluctuate significantly from
time to time, as is the level of LIBOR. In addition, principal payments on the
Mortgages underlying the Assets will be allocated among the various classes of
their underlying Series, and such allocations will affect the sensitivity of
each related Class of this Series to Mortgage prepayment rates generally.
Investors should consider the associated risks, including:
- Fast prepayment rates on the related Mortgages can reduce the yields
of the Interest Only Classes and any other Classes purchased at a
premium over their principal amounts. Under some prepayment scenarios,
investors in the Interest Only Classes could fail to fully recover
their investments.
- Slow prepayment rates on the related Mortgages can reduce the yields
of the Principal Only Classes and any other Classes purchased at a
discount to their principal amounts.
- Small differences in the characteristics of the Mortgages can have a
significant effect on the weighted average lives and yields of the
related Classes.
- Low levels of LIBOR can reduce the yields of the Floating Rate Classes
(including the SA, SB, SJ and SK Classes). Conversely, high levels of
LIBOR can significantly reduce the yields of the Inverse Floating Rate
Classes (including the SA, SB, SJ and SK Classes) and (especially in
combination with fast Mortgage prepayment rates) may result in the
failure of investors in the SB and SK Classes to fully recover their
investments.
- The Assets other than the Group 7 and Group 9 Assets were structured
to receive payments (or reduce) in accordance with schedules. However,
there is no assurance such Classes will receive payments (or reduce) in
accordance with their schedules.
- The Group 7 and Group 9 Assets are Support Classes. In general,
principal payment rates on the Group 7 and Group 9 Assets (and,
therefore, on the related Classes of this Series) are likely to exhibit
a high degree of sensitivity to Mortgage prepayments.
See "Prepayment and Yield Analysis" in this Supplement.
------------------------
THE UNDERWRITER INTENDS TO MAKE A MARKET FOR THE PURCHASE AND SALE OF THE
SECURITIES AFTER THEIR INITIAL ISSUANCE BUT HAS NO OBLIGATION TO DO SO. THERE IS
NO ASSURANCE THAT SUCH A SECONDARY MARKET WILL DEVELOP OR, IF IT DEVELOPS, THAT
IT WILL CONTINUE. CONSEQUENTLY, INVESTORS MAY NOT BE ABLE TO SELL THEIR
SECURITIES READILY OR AT PRICES THAT WILL ENABLE THEM TO REALIZE THEIR DESIRED
YIELD. THE MARKET VALUES OF THE SECURITIES ARE LIKELY TO FLUCTUATE; SUCH
FLUCTUATIONS MAY BE SIGNIFICANT AND COULD RESULT IN SIGNIFICANT LOSSES TO
INVESTORS.
------------------------
THE SECONDARY MARKETS FOR MORTGAGE-RELATED SECURITIES HAVE EXPERIENCED
PERIODS OF ILLIQUIDITY AND CAN BE EXPECTED TO DO SO IN THE FUTURE. ILLIQUIDITY
CAN HAVE A SEVERELY ADVERSE EFFECT ON THE PRICES OF SECURITIES THAT ARE
ESPECIALLY SENSITIVE TO PREPAYMENT OR INTEREST RATE RISK OR THAT HAVE BEEN
STRUCTURED TO MEET THE INVESTMENT REQUIREMENTS OF LIMITED CATEGORIES OF
INVESTORS.
FREDDIE MAC'S MULTICLASS REMIC CERTIFICATES OFFERING CIRCULAR DATED APRIL
1, 1998 (THE "OFFERING CIRCULAR") ACCOMPANIES THIS SUPPLEMENT. CAPITALIZED TERMS
THAT ARE USED IN THIS SUPPLEMENT WITHOUT FURTHER DEFINITION HAVE THE MEANINGS
GIVEN THEM IN THE OFFERING CIRCULAR. INVESTORS SHOULD PURCHASE SECURITIES ONLY
IF THEY HAVE READ AND UNDERSTOOD THIS SUPPLEMENT, THE OFFERING CIRCULAR AND THE
DOCUMENTS LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
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<PAGE> 366
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Classes and the "Combinations" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The B and K Classes will be Principal Only Classes and will not bear
interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ----------------------------------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
REMIC CERTIFICATES
FA(3)................ 6.16% LIBOR + 0.75% 0.75% 9.5%
FJ(3)................ 6.21 LIBOR + 0.8% 0.8 9.5
FT(3)................ 6.39375 LIBOR + 0.95% 0.95 9.0
SA(3)................ 7.426667 When LIBOR equals 7.05% or Lower: LIBOR + 2.016667% 0 9.066667
When LIBOR exceeds 7.05%: 46.6666666% - (LIBOR X 5.3333333)
SJ(3)................ 7.16 When LIBOR equals 7.05% or Lower: LIBOR + 1.75% 0 8.8
When LIBOR exceeds 7.05%: 46.4% - (LIBOR X 5.3333333)
ST(3)................ 7.81875 24.15% - (LIBOR X 3.0) 0 24.15
MACR CLASSES
SB(3)................ 7.426667% When LIBOR equals 7.05% or Lower: LIBOR + 2.016667% 0% 9.066667%
When LIBOR exceeds 7.05%: 46.6666666% - (LIBOR X 5.3333333)
SK(3)................ 7.16 When LIBOR equals 7.05% or Lower: LIBOR + 1.75% 0 8.8
When LIBOR exceeds 7.05%: 46.4% - (LIBOR X 5.3333333)
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- ----------------------------
<S> <C> <C>
SB $3,007,094 SA (Pass-Through Class)
SK $4,244,974 SJ (Pass-Through Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-3
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ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
GROUP 1
PAC ( - The "Group 1 Asset Principal Amount" for that Payment Date to PK, PL
( and ND, in that order, until retired
GROUP 2
PAC ( - The "Group 2 Asset Principal Amount" for that Payment Date to PT, PU,
( PV and NF, in that order, until retired
GROUP 3
PAC ( - The "Group 3 Asset Principal Amount" for that Payment Date to PM, PN,
( PQ and NE, in that order, until retired
GROUP 4
PAC ( - The "Group 4 Asset Principal Amount" for that Payment Date to PF, PG,
( PH, PJ and NC, in that order, until retired
GROUP 5
PAC ( - The "Group 5 Asset Principal Amount" for that Payment Date to PA, PB,
( PC and NA, in that order, until retired
GROUP 6
PAC ( - The "Group 6 Asset Principal Amount" for that Payment Date to PD, PE
( and NB, in that order, until retired
GROUP 7
PASS- ( - The "Group 7 Asset Principal Amount" for that Payment Date to FT and
THROUGH ( ST, pro rata, until retired
GROUP 8
PAC ( - The "Group 8 Asset Principal Amount" for that Payment Date to FA and
( SA, pro rata, until retired
GROUP 9
PASS- ( - The "Group 9 Asset Principal Amount" for that Payment Date to FJ and
THROUGH ( SJ, pro rata, until retired
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments will be allocated
from the applicable Class or Classes of REMIC Certificates to the related MACR
Class that is entitled to principal.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form a single "REMIC Pool" for this Series. An election
will be made to treat the REMIC Pool as a "real estate mortgage investment
conduit" ("REMIC") pursuant to the Internal Revenue
S-4
<PAGE> 368
Code. The R Class will be the "Residual Class" and the other Classes of REMIC
Certificates will be "Regular Classes." The R Class will be subject to transfer
restrictions. See "General Information -- Structure of Transaction -- General"
in this Supplement and "Certain Federal Income Tax Consequences" in this
Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 138% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
MD............................ 7.1 1.7 1.6 1.6 1.3
ND............................ 13.8 4.3 3.9 3.9 2.1
PK............................ 5.6 1.3 1.2 1.2 1.1
PL............................ 10.4 2.7 2.5 2.5 1.7
Group 1 Asset................. 9.9 2.8 2.6 2.6 1.6
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 157% 400% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
MF............................ 5.9 1.8 1.6 1.6 1.5
NF............................ 13.3 4.7 3.9 3.9 3.3
PT............................ 1.5 0.6 0.6 0.6 0.6
PU............................ 6.1 1.8 1.6 1.6 1.6
PV............................ 9.7 2.9 2.5 2.5 2.4
Group 2 Assets................ 9.7 3.3 2.8 2.8 2.4
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 151% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
ME............................ 3.1 1.7 1.7 1.7 1.3
NE............................ 6.5 4.1 3.9 3.8 2.5
PM............................ 0.4 0.3 0.3 0.3 0.3
PN............................ 2.2 1.2 1.2 1.2 1.0
PQ............................ 4.6 2.6 2.5 2.5 1.7
Group 3 Assets................ 4.3 2.6 2.4 2.4 1.7
</TABLE>
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 138% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
MC............................ 5.6 1.5 1.4 1.4 1.3
NC............................ 13.3 4.2 3.9 3.9 2.4
PF............................ 0.3 0.1 0.1 0.1 0.1
PG............................ 1.6 0.5 0.4 0.4 0.4
PH............................ 6.3 1.7 1.6 1.6 1.4
PJ............................ 9.8 2.7 2.5 2.5 1.9
Group 4 Assets................ 9.5 2.9 2.7 2.7 1.8
</TABLE>
Group 5
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 122% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
MA............................ 5.7 2.2 2.2 2.2 1.9
NA............................ 11.2 3.9 3.9 3.9 2.6
PA............................ 1.5 1.2 1.2 1.2 1.2
PB............................ 3.0 1.6 1.5 1.5 1.5
PC............................ 6.9 2.5 2.5 2.5 2.1
Group 5 Assets................ 7.7 2.9 2.8 2.8 2.1
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-5
<PAGE> 369
Group 6
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 142% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
MB............................ 3.5 2.0 2.0 2.0 1.6
NB............................ 6.4 3.9 3.9 3.9 2.4
PD............................ 2.3 1.3 1.3 1.3 1.2
PE............................ 4.3 2.5 2.5 2.5 1.8
Group 6 Asset................. 4.5 2.7 2.7 2.7 1.8
</TABLE>
Group 7
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 140% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FT, ST and Group 7 Asset...... 28.1 24.5 20.7 1.7 0.6
</TABLE>
Group 8
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 143% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
B, FA, SA and Group 8 Asset... 27.2 19.7 17.6 7.7 2.1
</TABLE>
Group 9
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 125% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FJ, K, SJ and Group 9 Asset... 26.9 22.6 19.8 1.3 0.5
</TABLE>
THE ASSETS
Assets will have the following characteristics:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
ASSET PERCENTAGE OF CLASS IN REMIC POOL AS NOVEMBER 1999 CLASS PRINCIPAL TYPE/
GROUP CLASS REMIC POOL OF CLOSING DATE CLASS FACTOR COUPON INTEREST TYPE(1) FINAL PAYMENT DATE
- ----- ---------- ------------------- ---------------- -------------- ------ ---------------- ------------------
<C> <S> <C> <C> <C> <C> <C> <C>
1 2097-PB(2) 100% $127,165,000 1.0000000 5.7% SC/PAC/FIX February 15, 2025
2 ( 2095-TA 96.7959500809% 60,421,000 1.0000000 5.5 PAC I/FIX November 15, 2024
( 2116-TA(3) 36.1421833493% 60,000,000 1.0000000 5.5 PAC/FIX June 15, 2023
3 ( 2078-PJ 70.5672118740% 50,349,000 1.0000000 6.0 PAC/FIX January 15, 2009
( 2119-GA 100% 83,141,000 1.0000000 6.0 PAC/FIX June 15, 2010
4 ( 2085-PG 77.5% 46,500,000 1.0000000 6.0 PAC I/FIX December 15, 2020
( 2081-PA(3) 10.1329201995% 64,882,000 1.0000000 6.0 PAC/FIX March 15, 2021
( 2102-PA 68.9327485380% 75,440,000 1.0000000 6.0 PAC/FIX September 15, 2022
( 2102-PJ 100% 166,851,000 1.0000000 6.0 PAC/FIX March 15, 2021
5 ( 2136-PJ 100% 50,000,000 1.0000000 6.0 PAC/FIX July 15, 2018
( 2131-PB 75.4521090374% 50,000,000 1.0000000 6.0 PAC/FIX March 15, 2017
6 2117-PK 100% 100,000,000 1.0000000 6.0 PAC/FIX May 15, 2009
7 2137-TT 100% 21,563,542(4) 0.8625417 6.75 SUP/RTL/FIX March 15, 2029
8 2149-FG 97.4417919408% 19,044,931 1.0000000 (5) PAC II/FLT/DLY May 15, 2029
9 2162-FH 100% 26,884,837 0.9283278 (5) SUP/FLT/DLY June 15, 2029
</TABLE>
- ---------------
(1) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
(2) The Group 1 Asset is backed by the 2083-A Class, which is a SEQ/FIX Class.
(3) MACR Class.
(4) Includes a cash deposit of approximately $542 that will be paid as principal
on the first Payment Date. The terms of the 2137-TT Class will be amended,
so that beginning in December 1999 principal payments will not be rounded to
multiples of $1,000, as is currently the case.
(5) Calculated as described in the applicable Asset Offering Circular.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement and Exhibits I through XIV to this
Supplement.
S-6
<PAGE> 370
MORTGAGE CHARACTERISTICS (AS OF NOVEMBER 1, 1999)
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE
REMAINING TERM WEIGHTED AVERAGE WEIGHTED AVERAGE PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP SERIES (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- --------- -------------- ---------------- ---------------- --------------
<S> <C> <C> <C> <C> <C>
1 2083/2097 337 18 7.167% 6.5%
2 2095 313 37 7.591 7.0
2 2116 334 20 7.517 7.0
3 2078 159 16 6.959 6.5
3 2119 160 15 6.996 6.5
4 2081 337 17 7.155 6.5
4 2085 339 16 7.109 6.5
4 2102 343 12 7.025 6.5
5 2131 348 9 6.723 6.0
5 2136 344 12 6.693 6.0
6 2117 164 11 6.570 6.0
7 2137 346 10 7.033 6.5
8 2149 351 7 7.035 6.5
9 2162 335 18 6.880 6.0
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-7
<PAGE> 371
AVAILABLE INFORMATION
Investors should purchase Securities only if they have read and understood
this Supplement, the Offering Circular and the following documents:
- Freddie Mac's Offering Circular Supplements (each, an "Asset Offering
Circular") for its Series 2097, 2095, 2116, 2078, 2119, 2102, 2085,
2081, 2136, 2131, 2117, 2137, 2149 and 2162 REMIC Certificates, the
cover pages, Terms Sheets and (in the case of Series 2116 and 2081) the
MACR Tables from which are attached to this Supplement.
- Freddie Mac's Mortgage Participation Certificates Offering Circular
dated February 1, 1998 (the "PC Offering Circular"), which describes
Gold PCs generally.
- Freddie Mac's Giant Participation Certificates and Other Pass-Through
Participation Certificates Offering Circular dated January 1, 1997 (the
"Giant PC Offering Circular"), which describes Gold Giant PCs
generally.
- Freddie Mac's Information Statement dated March 31, 1999, its
Information Statement Supplements dated May 14, 1999, August 13, 1999
and November 15, 1999 and any other Information Statement Supplements
published by Freddie Mac through the time of purchase.
This Supplement incorporates by reference the documents listed above.
Investors can order these documents: from Freddie Mac, by writing, calling or
e-mailing its Investor Inquiry Department at 8200 Jones Branch Drive, McLean,
Virginia 22102 (outside Washington, D.C. metropolitan area, phone 800/336-FMPC;
within Washington, D.C. metropolitan area, phone 703/450-3777; e-mail:
[email protected]); or from the Underwriter, by writing or calling
Merrill Lynch, Pierce, Fenner & Smith Incorporated, Prospectus Department, 44B
Colonial Drive, Piscataway, New Jersey 08854 (phone 732/885-2760).
Freddie Mac will publish a Supplemental Statement (which will contain
schedules of the Assets and other information) applicable to this Series shortly
after the Closing Date. Investors can obtain the Supplemental Statement, any
offering materials for specific Assets and historic and current information
concerning specific Assets and the Securities from Freddie Mac's Investor
Inquiry Department.
Freddie Mac's Internet Web-Site (http://www.freddiemac.com) will display
this Supplement, the Supplemental Statement, schedules of the Assets and
information, updated monthly, regarding each Class of this Series.
GENERAL INFORMATION
THE AGREEMENT
Freddie Mac will create the Securities under the Multiclass REMIC
Certificate Agreement, dated as of April 1, 1998, and a Terms Supplement, to be
dated the Closing Date (together, the "Agreement"). Investors can order copies
of the Agreement by contacting the Investor Inquiry Department at Freddie Mac as
shown under "Available Information" in this Supplement. The Agreement is
incorporated by reference in this Supplement.
Holders and anyone having a beneficial interest in the Securities should
refer to the Agreement for a complete description of their rights and
obligations and the rights and obligations of Freddie Mac. Holders and
beneficial owners of Securities will acquire their Securities subject to all
terms and conditions of the Agreement, including the Terms Supplement.
FORM OF SECURITIES
The Regular Classes and the MACR Classes will be issued and may be held of
record and transferred only on the book-entry system of the Federal Reserve
Banks by entities eligible to maintain book-entry accounts with a Federal
Reserve Bank ("Fed Participants").
The R Class will be issued and may be held of record only in certificated
form and will be transferable at Chase Bank of Texas, National Association or
its successor (the "Registrar").
S-8
<PAGE> 372
The Classes will be issued in the denominations specified under
"Description of Securities -- Form of Securities, Holders, Minimum Principal
Amounts and Transfers" in the Offering Circular.
HOLDERS
The term "Holders" means (i) in the case of a Regular Class or a MACR
Class, the Fed Participants that appear on the book-entry records of a Federal
Reserve Bank as holders of that Class and (ii) in the case of the R Class, the
entities or individuals that appear on the records of the Registrar as the
registered holders of that Class. The beneficial owner of a Security is not
necessarily the Holder.
STRUCTURE OF TRANSACTION
General
This Series will be a "Single-Tier Series." Each Class will represent a
beneficial ownership interest in the REMIC Pool. The REMIC Pool will consist of
the Assets. The Underwriter intends to acquire the Assets in privately
negotiated transactions before delivering them to Freddie Mac on the Closing
Date. On the Closing Date, Freddie Mac expects to acquire the Assets from the
Underwriter in exchange for the REMIC Certificates.
The Assets
The Assets consist of Classes of Freddie Mac Multiclass PCs and MACR
Certificates. The Assets are backed directly or indirectly by PCs which may
include Gold Mortgage Participation Certificates ("Gold PCs") and/or Gold Giant
Mortgage Participation Certificates ("Gold Giant PCs"). Gold PCs represent
undivided interests in discrete pools consisting of specified Mortgages. Gold
Giant PCs represent beneficial ownership interests in discrete pools consisting
of specified Gold PCs (or, in some cases, other Gold Giant PCs).
The Assets are described generally under "Terms Sheet -- The Assets" in
this Supplement. For additional information about the Assets, see the Asset
Offering Circulars and "Prepayment and Yield Analysis -- Prepayment and Weighted
Average Life Considerations -- The Assets" in this Supplement. The cover pages,
Terms Sheets, and, in the case of Series 2116 and 2081, MACR Tables from the
Asset Offering Circulars are reproduced as Exhibits I through XIV to this
Supplement.
It should be noted that there have been material changes in facts and
circumstances since the dates of the Asset Offering Circulars, including changes
in prepayment rates, prevailing interest rates and other economic factors, which
may limit the usefulness of, and be directly contrary to the assumptions used in
preparing the information set forth in, such documents.
THE MORTGAGES
The Mortgages underlying the Assets are fixed-rate, first lien, residential
mortgages and mortgage participations. The weighted average remaining terms to
maturity, weighted average loan ages and weighted average interest rates of the
Mortgages, as of November 1, 1999, are shown under "Terms Sheet -- Mortgage
Characteristics" in this Supplement. However, the characteristics of most of the
Mortgages differ from those shown, in some cases significantly. This is the case
even if the weighted average characteristics of the Mortgages are the same as
those of mortgages having the characteristics shown. Small differences in the
characteristics of the Mortgages underlying each Asset Group can have a
significant effect on the payment behavior of the related Assets and the
weighted average lives and yields of the related Classes. See "Prepayment and
Yield Analysis" in this Supplement.
S-9
<PAGE> 373
PAYMENTS
PAYMENT DATES; RECORD DATES
Freddie Mac will make payments of principal and interest on the Securities
to Holders entitled to such payments on the 15th of each month or, if the 15th
is not a "Business Day," the next Business Day (each, a "Payment Date"),
beginning in the month following the Closing Date.
On each Payment Date, any payment on a Security will be made to the Holder
of record as of the end of the preceding calendar month (each, a "Record Date").
METHOD OF PAYMENT
A Federal Reserve Bank will credit payments on the Regular Classes and the
MACR Classes to the accounts of Holders of these Classes monthly on each Payment
Date.
The Registrar will mail any payments on the R Class by check to the
addresses of the Holders of that Class as they appear on the Registrar's
records, not later than the applicable Payment Date. A Holder of the R Class
will be required to present the Holder's certificate to the Registrar for
payment under the circumstances described under "Description of
Securities -- Form of Securities, Holders, Minimum Principal Amounts and
Transfers" in the Offering Circular.
A Holder that is not also the beneficial owner of a Security, and each
other financial intermediary in the chain to the beneficial owner, will be
responsible for remitting payments to their customers.
INTEREST
Freddie Mac will pay interest on each Payment Date to the Holders of each
Class of Securities on which interest has accrued, except in the case of the
Accrual Classes, which will receive payments as described under "Accrual
Classes" below.
Categories of Classes
For purposes of interest payments, the Classes of REMIC Certificates will
be categorized as shown under "Interest Type" on the cover page of this
Supplement, and the MACR Classes will be categorized as shown under "Interest
Type" on Appendix 1 to this Supplement. The abbreviations used on the cover page
and Appendix 1 are explained under "Description of Securities -- Standard
Definitions and Abbreviations for Classes" in the Offering Circular.
Accrual Period
The Accrual Period for each interest bearing Class will be the calendar
month preceding the related Payment Date. In each case, interest will be
calculated on the basis of a 360-day year consisting of twelve 30-day months.
Interest payable on any Class on any Payment Date will consist of 30 days'
interest on its balance as of the related Record Date.
Fixed Rate Classes
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
Principal Only Classes
The B and K Classes will be Principal Only Classes and will not bear
interest.
Notional Classes
The Notional Classes will not receive principal payments. For convenience
in describing interest payments, the Notional Classes will have notional
principal amounts. The table under "Terms Sheet --
S-10
<PAGE> 374
Notional Classes" in this Supplement shows the original notional principal
amounts of the Notional Classes and the manner in which each Notional Class will
reduce.
Floating Rate and Inverse Floating Rate Classes
The Floating Rate and Inverse Floating Rate Classes will bear interest as
shown under "Terms Sheet -- Class Coupons" in this Supplement. The Class Coupons
for the Floating Rate and Inverse Floating Rate Classes will be based on the
arithmetic mean of the London interbank offered quotations for one-month
Eurodollar deposits ("LIBOR").
For information regarding the manner in which Freddie Mac determines LIBOR
and calculates the Class Coupons for the Floating Rate and Inverse Floating Rate
Classes, see "Description of Securities -- Interest Rate Indices" in the
Offering Circular.
Freddie Mac's determination of LIBOR and its calculation of the Class
Coupons will be final, except in the case of clear error. Investors can get the
LIBOR levels and the Class Coupons for the current and preceding Accrual Periods
from Freddie Mac's Internet Web-Site or by contacting Freddie Mac's Investor
Inquiry Department as shown under "Available Information" in this Supplement.
PRINCIPAL
Freddie Mac will pay principal on each applicable Payment Date to the
Holders of the Classes on which principal is then due. The Holders of each such
Class will receive principal payments on a pro rata basis among the Securities
of that Class.
Categories of Classes
For purposes of principal payments, the Classes of REMIC Certificates will
be categorized as shown under "Principal or Other Type" on the cover page of
this Supplement, and the MACR Classes will be categorized as shown under
"Principal or Other Type" on Appendix 1 to this Supplement. The abbreviations
used on the cover page or Appendix 1 are explained under "Description of
Securities -- Standard Definitions and Abbreviations for Classes" in the
Offering Circular.
Amount of Payments
The total amount of principal payments that will be made on the Securities
on each Payment Date will equal the amount of principal payments required to be
made on that Payment Date on the Group 1, Group 2, Group 3, Group 4, Group 5,
Group 6, Group 7, Group 8 and Group 9 Assets (the "Group 1 Asset Principal
Amount," the "Group 2 Asset Principal Amount" and so forth).
Allocation of Payments
On each Payment Date, Freddie Mac will pay the Asset Principal Amounts as
described under "Terms Sheet -- Allocation of Principal" in this Supplement.
Principal that is allocable to the Classes receiving payments from a particular
Asset Group will be allocated only to those Classes and will not be available
for Classes receiving payments from other Asset Groups.
S-11
<PAGE> 375
CLASS FACTORS
Description of Factors
On or about the first business day of each month after the Closing Date,
Freddie Mac will make available (including on its Internet Web-Site) a Class
Factor for each Class. The Class Factor for any Class for any month will be a
truncated seven-digit decimal which, when multiplied by the original principal
amount of a Security of that Class, will equal its remaining principal amount,
after giving effect to any principal payment to be made on the Payment Date in
the same month. For example, the January 1 Class Factor for any Class will
reflect the remaining principal amount of a Security of that Class, after giving
effect to any principal payment to be made on January 15. Freddie Mac will also
make available a Class Factor for each Notional Class, which will reflect the
remaining notional principal amount of a Security of that Class in an analogous
manner. The Class Factor for each Class for the month of the Closing Date is
1.0000000.
Use of Factors
For any Payment Date, investors can calculate the reduction in the
principal amount of a Security of any Class entitled to principal payments by
multiplying the original principal amount of that Security by the difference
between its Class Factors for the preceding and current months. The amount of
interest to be paid on a Security of any Class on each Payment Date will equal
30 days' interest on its outstanding principal amount (or notional principal
amount) as determined by its Class Factor for the preceding month.
For example, the reduction in the principal amount of any Security entitled
to principal payments on February 15 will reflect the difference between its
January 1 and February 1 Class Factors. The amount of interest to be paid on any
Security on February 15 will equal 30 days' interest at its Class Coupon,
accrued during the month of January, on the principal amount or notional
principal amount of such Security determined by its January 1 Class Factor. If
the outstanding balance of any interest bearing Class is reduced on the Payment
Date that falls within an Accrual Period, that Class will accrue interest during
such Accrual Period on its reduced balance, even though its balance had been
higher for approximately the first 15 days of the Accrual Period. No interest at
all will be paid on any Class after its balance has been reduced to zero.
GUARANTEES
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement. See
"Description of Securities -- Guarantees" in the Offering Circular.
Freddie Mac also guarantees the payment of interest and principal on the
Assets and PCs. See "Guarantees" in the PC Offering Circular and "Description of
Pass-Through PCs -- Guarantees" in the Giant PC Offering Circular.
OPTIONAL REDEMPTION
Freddie Mac may redeem the Securities, in whole but not in part, on any
Payment Date when their aggregate outstanding principal amount would be less
than 1% of their aggregate original principal amount. Any such redemption will
result in the retirement of all outstanding Classes, including any outstanding
MACR Classes. The Group 1, 7, 8 and 9 Assets may become subject to similar
optional redemption provisions applicable to their Series. The other Assets and
the PCs are not redeemable. See "Description of Securities -- Optional
Redemption" in the Offering Circular.
RESIDUAL PROCEEDS
Upon surrender of their certificates to the Registrar, the Holders of the R
Class will receive the proceeds of the remaining assets of the REMIC Pool, if
any, after all required principal and interest payments on the Regular Classes
have been made. Any such remaining assets are not likely to be significant.
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<PAGE> 376
PREPAYMENT AND YIELD ANALYSIS
GENERAL
Mortgage Prepayments
The rates of principal payments on the Assets and the Securities will
depend on the rates of principal payments on the related Mortgages. Mortgage
principal payments may be in the form of scheduled amortization or partial or
full prepayments. "Prepayments" include prepayments by the borrower,
liquidations resulting from default, casualty or condemnation and payments made
by Freddie Mac pursuant to its guarantee of principal (other than scheduled
amortization) on PCs. The Mortgages are subject to prepayment at any time
without penalty.
Mortgage prepayment rates are likely to fluctuate significantly. In
general, when prevailing mortgage interest rates decline significantly below the
interest rates on the Mortgages, the prepayment rate on the Mortgages is likely
to increase, although a number of other factors also may influence the
prepayment rate. See "Prepayments, Yields and Suitability" in the PC Offering
Circular.
Acceleration of mortgage payments as a result of transfers of mortgaged
properties is an important factor affecting prepayment rates. The Mortgages
generally provide that, in the event of the transfer or prospective transfer of
the underlying mortgaged property, the full unpaid principal balance is due and
payable at the option of the holder. Freddie Mac, in most cases, requires
mortgage servicers to enforce such "due-on-transfer" provisions where permitted
by applicable law. See "Mortgage Purchase and Servicing Standards -- Mortgage
Servicing -- Assumption and Due-on-Transfer Policies" in the PC Offering
Circular.
PSA Model
Prepayments on pools of mortgages are commonly measured relative to a
variety of prepayment models. The particular model used in this Supplement,
"PSA," is the standard prepayment model of The Bond Market Association. This
model assumes that mortgages will prepay at an annual rate of 0.2% in the first
month after origination, that the prepayment rate increases at an annual rate of
0.2% per month up to the 30th month after origination and that the prepayment
rate is constant at 6% per annum in the 30th and later months (this assumption
is called "100% PSA"). For example, at 100% PSA, mortgages with a loan age of
three months (i.e., mortgages in their fourth month after origination) are
assumed to prepay at an annual rate of 0.8%. "0% PSA" assumes no prepayments;
"50% PSA" assumes prepayment rates equal to 0.50 times 100% PSA; "200% PSA"
assumes prepayment rates equal to 2.00 times 100% PSA; and so forth. PSA is not
a description of historical prepayment experience or a prediction of the rate of
prepayment of the Mortgages.
Weighted Average Life
The weighted average life of a security refers to the average amount of
time that will elapse from the date of its issuance until each dollar of
principal has been repaid to the investor. The weighted average lives of the
Classes will depend primarily on the rate at which principal is paid on the
related Mortgages. This Supplement shows weighted average lives under various
Mortgage prepayment assumptions. In each case, Freddie Mac has calculated the
weighted average life by (i) multiplying the assumed net reduction, if any, in
the principal amount on each Payment Date by the number of years from the
Closing Date to such Payment Date, (ii) summing the results and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in principal
amount.
Yield
The yield of each Class will depend upon its purchase price, its
sensitivity to the rate of principal payments on the related Asset or Assets
(which will be sensitive to the rate of principal payments on the related
Mortgages), the manner in which payments are allocated to the related Asset or
Assets and the actual characteristics of the related Mortgages. The yield of
each Floating Rate or Inverse Floating Rate Class will also depend on its
sensitivity to the level of LIBOR. This Supplement shows pre-tax yields to
maturity under various scenarios. In each case, Freddie Mac has calculated the
pre-tax yield by (i) determining the monthly discount rate (whether positive or
negative) that, when applied to an assumed stream of cash flows to be paid
S-13
<PAGE> 377
on the applicable Class, would cause the discounted present value of such
assumed stream of cash flows to equal an assumed purchase price (including
accrued interest, if any) of that Class and (ii) converting such monthly rate to
a corporate bond equivalent (i.e., semiannual payment) rate. The yield
calculations do not take into account any variations in the interest rates at
which investors may be able to reinvest payments received. Consequently, they do
not reflect the return on any investment when reinvestment rates other than the
discount rate are considered.
Modeling Assumptions
In order to prepare the various tables and other statistical information in
this Supplement, Freddie Mac has made certain assumptions regarding the
underlying Mortgages. Unless otherwise noted, each table is based on the
following assumptions (the "Modeling Assumptions"), among others:
- As of November 1, 1999, each Mortgage underlying the Assets has a
remaining term to maturity equal to the weighted average term to
maturity, a loan age equal to the weighted average loan age, and an
interest rate equal to the weighted average interest rate, of all the
Mortgages underlying the same PC.
- As of the Closing Date, the Assets have the principal balances shown
under "Terms Sheet -- the Assets" in this Supplement.
- Payments on the Assets are made as described in the Asset Offering
Circulars, except that payments on the Group 7 Asset are made without
regard to the procedures for rounding principal payments to a multiple
of $1,000.
- Payments on the Classes and Assets are always received on the 15th of
the month, whether or not a Business Day.
- Freddie Mac does not make an optional redemption.
- Each Class is held from the Closing Date to retirement and is not
exchanged in whole or in part.
When reading the tables and the related text, investors should bear in mind
that the Modeling Assumptions, like any other stated assumptions, are unlikely
to be entirely consistent with actual experience. For example, most of the
Mortgages do not have the characteristics assumed, many Payment Dates will occur
on the first Business Day after the 15th of the month and Freddie Mac may make
an optional redemption as described under "Payments -- Optional Redemption"
above.
Principal Payment Uncertainty
Mortgages and mortgage securities, such as the Assets and Securities, are
subject to prepayment uncertainty. The rates of payments on the Assets and the
Securities will depend indirectly on the rates of principal payments on their
related Mortgages.
Suitability
The Securities, especially the Inverse Floating Rate, Interest Only,
Principal Only and Residual Classes, are not suitable investments for all
investors. The Securities are not appropriate investments for any investor that
requires a single lump sum payment on a predetermined date or an otherwise
certain payment stream. In addition, although the Underwriter intends to make a
market for the purchase and sale of the Securities after their initial issuance,
it has no obligation to do so. There is no assurance that such a secondary
market will develop, that any secondary market will continue, or that the price
at which an investor can sell an investment in any Class will enable the
investor to realize a desired yield on that investment. The market values of the
Classes are likely to fluctuate; such fluctuations may be significant and could
result in significant losses to investors. The secondary markets for
mortgage-related securities have experienced periods of illiquidity and can be
expected to do so in the future. Illiquidity can have a severely adverse effect
on the prices of Classes that are especially sensitive to prepayment or interest
rate risk or that have been structured to meet the
S-14
<PAGE> 378
investment requirements of limited categories of investors. Investors are
encouraged to consult their own advisors regarding the financial, legal, tax and
other aspects of an investment in the Securities. The flexibility created by the
ability to modify and combine certain Classes of REMIC Certificates and related
MACR Classes may affect the liquidity of the Classes and the prices that
potential purchasers are willing to pay in the secondary market. No investor
should purchase Securities of any Class unless the investor understands and is
able to bear the prepayment, yield, liquidity and market risks associated with
that Class.
PREPAYMENT AND WEIGHTED AVERAGE LIFE CONSIDERATIONS
PAC Classes
As described above, the PAC Classes will receive principal payments from
their related Assets in a prescribed sequence. The Group 1 through Group 6 and
Group 8 Classes are designated as PAC Classes because the underlying Assets
consist of PAC Classes. While it is receiving such principal payments, the
sensitivity of each PAC Class of this Series to prepayments on the underlying
Mortgages will be approximately the same as that of its related Assets.
Pass-Through Classes
Each Pass-Through Class will receive a specified portion of the principal
payments made on its related Assets on each Payment Date. The sensitivity of
each Pass-Through Class to prepayments on the related Mortgages will be the same
as that of its related Assets.
MACR Classes
The payment characteristics of the MACR Classes will reflect the payment
characteristics of their related Classes of REMIC Certificates.
The Assets
The Assets, other than the Group 7 and Group 9 Assets, were structured as
PAC Classes.
The following table sets forth the current "Effective Range" (as defined in
the related Asset Offering Circulars) for the Assets other than the Group 7 and
Group 9 Assets based on the Modeling Assumptions for this Series.
<TABLE>
<CAPTION>
ASSET GROUP CLASS EFFECTIVE RANGE
- ----------- ----- ---------------
<C> <S> <C>
1 2097-PB......................................... 118% PSA - 251% PSA
2 ( 2095-TA......................................... 177% PSA - 375% PSA
( 2116-TA......................................... 129% PSA - 402% PSA
3 ( 2078-PJ......................................... 153% PSA - 226% PSA
( 2119-GA......................................... 146% PSA - 262% PSA
4 ( 2102-PA......................................... 120% PSA - 258% PSA
( 2102-PJ......................................... 120% PSA - 273% PSA
( 2085-PG......................................... 116% PSA - 252% PSA
( 2081-PA......................................... 118% PSA - 253% PSA
5 ( 2136-PJ......................................... 105% PSA - 280% PSA
( 2131-PB......................................... 109% PSA - 295% PSA
6 2117-PM......................................... 108% PSA - 246% PSA
8 2149-FG......................................... 134% PSA - 215% PSA
</TABLE>
The principal payment stability of each such Asset is supported by certain
other classes in its related Series. When those other classes are retired, such
Asset, if outstanding, will become more sensitive to Mortgage prepayments and
will no longer have an Effective Range. There can be no assurance that any Asset
will receive principal payments in accordance with its schedule.
The Group 7 and Group 9 Assets are Support Classes which support certain
other classes of their related Series. Consequently, the Group 7 and Group 9
Assets are likely to be much more sensitive to Mortgage
2
S-15
<PAGE> 379
prepayments than the classes in their Series that they support. The Group 7 and
Group 9 Assets may receive no principal payments for extended periods of time
and may receive principal payments that vary widely from period to period.
See "Prepayment and Yield Analysis -- Prepayment and Weighted Average Life
Considerations" in the Asset Offering Circulars.
Declining Balances Table
The following table shows, for the indicated Classes of Securities and the
underlying Assets, (i) the percentages of their original principal amounts (or,
in the case of the Assets, their outstanding principal amounts as of the Closing
Date) that would be outstanding after each of the dates shown at various
constant percentages of PSA and (ii) their corresponding weighted average lives.
Freddie Mac has prepared this table using the Modeling Assumptions. The
Mortgages do not have the characteristics assumed, and Mortgage prepayment rates
may differ from the constant rates shown. These differences may affect the
actual payment behavior and weighted average life of any Class or Asset. For
example, because of the diverse remaining terms to maturity, loan ages and
interest rates of the Mortgages, principal payments on any Class or Asset may be
faster or slower than indicated, even if the Mortgages were to prepay at the
constant rates shown. This may be the case even if the weighted average
remaining term to maturity, weighted average loan age and weighted average
interest rate of the Mortgages are the same as those of mortgages having the
characteristics assumed.
S-16
<PAGE> 380
PERCENTAGES OF ORIGINAL PRINCIPAL AMOUNTS OUTSTANDING* AND WEIGHTED AVERAGE
LIVES
Group 1
<TABLE>
<CAPTION>
MD ND
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 138% 250% 500% 0% 100% 138% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 77 75 75 75 100 100 100 100 100
November 15, 2001............. 96 40 34 34 0 100 100 100 100 69
November 15, 2002............. 89 5 0 0 0 100 100 95 95 0
November 15, 2003............. 81 0 0 0 0 100 61 45 45 0
November 15, 2004............. 73 0 0 0 0 100 17 0 0 0
November 15, 2005............. 64 0 0 0 0 100 0 0 0 0
November 15, 2006............. 54 0 0 0 0 100 0 0 0 0
November 15, 2007............. 44 0 0 0 0 100 0 0 0 0
November 15, 2008............. 32 0 0 0 0 100 0 0 0 0
November 15, 2009............. 20 0 0 0 0 100 0 0 0 0
November 15, 2010............. 7 0 0 0 0 100 0 0 0 0
November 15, 2011............. 0 0 0 0 0 91 0 0 0 0
November 15, 2012............. 0 0 0 0 0 70 0 0 0 0
November 15, 2013............. 0 0 0 0 0 47 0 0 0 0
November 15, 2014............. 0 0 0 0 0 23 0 0 0 0
November 15, 2015 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 7.1 1.7 1.6 1.6 1.3 13.8 4.3 3.9 3.9 2.1
<CAPTION>
PK
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 138% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 100 67 63 63 63
November 15, 2001............. 95 13 5 5 0
November 15, 2002............. 84 0 0 0 0
November 15, 2003............. 73 0 0 0 0
November 15, 2004............. 61 0 0 0 0
November 15, 2005............. 47 0 0 0 0
November 15, 2006............. 33 0 0 0 0
November 15, 2007............. 18 0 0 0 0
November 15, 2008............. 2 0 0 0 0
November 15, 2009............. 0 0 0 0 0
November 15, 2010............. 0 0 0 0 0
November 15, 2011............. 0 0 0 0 0
November 15, 2012............. 0 0 0 0 0
November 15, 2013............. 0 0 0 0 0
November 15, 2014............. 0 0 0 0 0
November 15, 2015 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 5.6 1.3 1.2 1.2 1.1
</TABLE>
<TABLE>
<CAPTION>
PL GROUP 1 ASSET
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 138% 250% 500% 0% 100% 138% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 100 100 100 100 100 87 85 85 85
November 15, 2001............. 100 100 100 100 0 98 65 62 62 29
November 15, 2002............. 100 17 0 0 0 94 45 39 39 0
November 15, 2003............. 100 0 0 0 0 89 25 18 18 0
November 15, 2004............. 100 0 0 0 0 84 7 0 0 0
November 15, 2005............. 100 0 0 0 0 79 0 0 0 0
November 15, 2006............. 100 0 0 0 0 73 0 0 0 0
November 15, 2007............. 100 0 0 0 0 67 0 0 0 0
November 15, 2008............. 100 0 0 0 0 60 0 0 0 0
November 15, 2009............. 65 0 0 0 0 53 0 0 0 0
November 15, 2010............. 24 0 0 0 0 46 0 0 0 0
November 15, 2011............. 0 0 0 0 0 38 0 0 0 0
November 15, 2012............. 0 0 0 0 0 29 0 0 0 0
November 15, 2013............. 0 0 0 0 0 20 0 0 0 0
November 15, 2014............. 0 0 0 0 0 9 0 0 0 0
November 15, 2015 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 10.4 2.7 2.5 2.5 1.7 9.9 2.8 2.6 2.6 1.6
</TABLE>
Group 2
<TABLE>
<CAPTION>
MF NF
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 157% 400% 500% 0% 100% 157% 400% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 97 81 77 77 77 100 100 100 100 100
November 15, 2001............. 89 41 29 29 29 100 100 100 100 100
November 15, 2002............. 81 3 0 0 0 100 100 85 85 68
November 15, 2003............. 72 0 0 0 0 100 69 45 45 7
November 15, 2004............. 62 0 0 0 0 100 37 8 8 0
November 15, 2005............. 52 0 0 0 0 100 11 0 0 0
November 15, 2006............. 41 0 0 0 0 100 0 0 0 0
November 15, 2007............. 29 0 0 0 0 100 0 0 0 0
November 15, 2008............. 16 0 0 0 0 100 0 0 0 0
November 15, 2009............. 2 0 0 0 0 100 0 0 0 0
November 15, 2010............. 0 0 0 0 0 88 0 0 0 0
November 15, 2011............. 0 0 0 0 0 73 0 0 0 0
November 15, 2012............. 0 0 0 0 0 56 0 0 0 0
November 15, 2013............. 0 0 0 0 0 39 0 0 0 0
November 15, 2014............. 0 0 0 0 0 20 0 0 0 0
November 15, 2015............. 0 0 0 0 0 5 0 0 0 0
November 15, 2016 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 5.9 1.8 1.6 1.6 1.5 13.3 4.7 3.9 3.9 3.3
<CAPTION>
PT
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 157% 400% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 77 0 0 0 0
November 15, 2001............. 28 0 0 0 0
November 15, 2002............. 0 0 0 0 0
November 15, 2003............. 0 0 0 0 0
November 15, 2004............. 0 0 0 0 0
November 15, 2005............. 0 0 0 0 0
November 15, 2006............. 0 0 0 0 0
November 15, 2007............. 0 0 0 0 0
November 15, 2008............. 0 0 0 0 0
November 15, 2009............. 0 0 0 0 0
November 15, 2010............. 0 0 0 0 0
November 15, 2011............. 0 0 0 0 0
November 15, 2012............. 0 0 0 0 0
November 15, 2013............. 0 0 0 0 0
November 15, 2014............. 0 0 0 0 0
November 15, 2015............. 0 0 0 0 0
November 15, 2016 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 1.5 0.6 0.6 0.6 0.6
</TABLE>
- ---------------
* Rounded to nearest whole percentage.
S-17
<PAGE> 381
<TABLE>
<CAPTION>
PU PV
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 157% 400% 500% 0% 100% 157% 400% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 94 89 89 89 100 100 100 100 100
November 15, 2001............. 100 38 22 22 22 100 100 100 100 100
November 15, 2002............. 94 0 0 0 0 100 20 0 0 0
November 15, 2003............. 82 0 0 0 0 100 0 0 0 0
November 15, 2004............. 68 0 0 0 0 100 0 0 0 0
November 15, 2005............. 54 0 0 0 0 100 0 0 0 0
November 15, 2006............. 38 0 0 0 0 100 0 0 0 0
November 15, 2007............. 21 0 0 0 0 100 0 0 0 0
November 15, 2008............. 3 0 0 0 0 100 0 0 0 0
November 15, 2009............. 0 0 0 0 0 17 0 0 0 0
November 15, 2010............. 0 0 0 0 0 0 0 0 0 0
November 15, 2011............. 0 0 0 0 0 0 0 0 0 0
November 15, 2012............. 0 0 0 0 0 0 0 0 0 0
November 15, 2013............. 0 0 0 0 0 0 0 0 0 0
November 15, 2014............. 0 0 0 0 0 0 0 0 0 0
November 15, 2015............. 0 0 0 0 0 0 0 0 0 0
November 15, 2016 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 6.1 1.8 1.6 1.6 1.6 9.7 2.9 2.5 2.5 2.4
<CAPTION>
GROUP 2 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 157% 400% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 98 91 89 89 89
November 15, 2001............. 95 71 66 66 66
November 15, 2002............. 91 53 44 44 35
November 15, 2003............. 86 35 23 23 4
November 15, 2004............. 82 19 4 4 0
November 15, 2005............. 77 6 0 0 0
November 15, 2006............. 71 0 0 0 0
November 15, 2007............. 66 0 0 0 0
November 15, 2008............. 59 0 0 0 0
November 15, 2009............. 53 0 0 0 0
November 15, 2010............. 45 0 0 0 0
November 15, 2011............. 37 0 0 0 0
November 15, 2012............. 29 0 0 0 0
November 15, 2013............. 20 0 0 0 0
November 15, 2014............. 10 0 0 0 0
November 15, 2015............. 3 0 0 0 0
November 15, 2016 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 9.7 3.3 2.8 2.8 2.4
</TABLE>
Group 3
<TABLE>
<CAPTION>
ME NE
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 151% 250% 500% 0% 100% 151% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 90 76 75 75 70 100 100 100 100 100
November 15, 2001............. 72 41 37 37 0 100 100 100 100 92
November 15, 2002............. 53 8 2 0 0 100 100 100 100 13
November 15, 2003............. 32 0 0 0 0 100 55 40 36 0
November 15, 2004............. 10 0 0 0 0 100 9 2 2 0
November 15, 2005............. 0 0 0 0 0 74 0 0 0 0
November 15, 2006............. 0 0 0 0 0 26 0 0 0 0
November 15, 2007 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 3.1 1.7 1.7 1.7 1.3 6.5 4.1 3.9 3.8 2.5
<CAPTION>
PM
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 151% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 0 0 0 0 0
November 15, 2001............. 0 0 0 0 0
November 15, 2002............. 0 0 0 0 0
November 15, 2003............. 0 0 0 0 0
November 15, 2004............. 0 0 0 0 0
November 15, 2005............. 0 0 0 0 0
November 15, 2006............. 0 0 0 0 0
November 15, 2007 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 0.4 0.3 0.3 0.3 0.3
</TABLE>
<TABLE>
<CAPTION>
PN PQ
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 151% 250% 500% 0% 100% 151% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 90 66 63 63 55 100 100 100 100 100
November 15, 2001............. 58 3 0 0 0 100 100 95 95 0
November 15, 2002............. 24 0 0 0 0 100 19 4 0 0
November 15, 2003............. 0 0 0 0 0 81 0 0 0 0
November 15, 2004............. 0 0 0 0 0 25 0 0 0 0
November 15, 2005............. 0 0 0 0 0 0 0 0 0 0
November 15, 2006............. 0 0 0 0 0 0 0 0 0 0
November 15, 2007 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 2.2 1.2 1.2 1.2 1.0 4.6 2.6 2.5 2.5 1.7
<CAPTION>
GROUP 3 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 151% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 93 85 84 84 81
November 15, 2001............. 82 62 59 59 32
November 15, 2002............. 69 40 36 35 4
November 15, 2003............. 56 19 14 12 0
November 15, 2004............. 41 3 1 1 0
November 15, 2005............. 26 0 0 0 0
November 15, 2006............. 9 0 0 0 0
November 15, 2007 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 4.3 2.6 2.4 2.4 1.7
</TABLE>
S-18
<PAGE> 382
Group 4
<TABLE>
<CAPTION>
MC NC
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 138% 250% 500% 0% 100% 138% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 94 72 69 69 69 100 100 100 100 100
November 15, 2001............. 86 30 24 24 0 100 100 100 100 91
November 15, 2002............. 78 0 0 0 0 100 90 82 82 4
November 15, 2003............. 69 0 0 0 0 100 53 44 44 0
November 15, 2004............. 59 0 0 0 0 100 20 11 11 0
November 15, 2005............. 49 0 0 0 0 100 2 0 0 0
November 15, 2006............. 38 0 0 0 0 100 0 0 0 0
November 15, 2007............. 26 0 0 0 0 100 0 0 0 0
November 15, 2008............. 13 0 0 0 0 100 0 0 0 0
November 15, 2009............. 0 0 0 0 0 100 0 0 0 0
November 15, 2010............. 0 0 0 0 0 86 0 0 0 0
November 15, 2011............. 0 0 0 0 0 71 0 0 0 0
November 15, 2012............. 0 0 0 0 0 55 0 0 0 0
November 15, 2013............. 0 0 0 0 0 39 0 0 0 0
November 15, 2014............. 0 0 0 0 0 22 0 0 0 0
November 15, 2015............. 0 0 0 0 0 7 0 0 0 0
November 15, 2016............. 0 0 0 0 0 1 0 0 0 0
November 15, 2017 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 5.6 1.5 1.4 1.4 1.3 13.3 4.2 3.9 3.9 2.4
<CAPTION>
PF PG
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 138% 250% 500% 0% 100% 138% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 0 0 0 0 0 82 0 0 0 0
November 15, 2001............. 0 0 0 0 0 30 0 0 0 0
November 15, 2002............. 0 0 0 0 0 0 0 0 0 0
November 15, 2003............. 0 0 0 0 0 0 0 0 0 0
November 15, 2004............. 0 0 0 0 0 0 0 0 0 0
November 15, 2005............. 0 0 0 0 0 0 0 0 0 0
November 15, 2006............. 0 0 0 0 0 0 0 0 0 0
November 15, 2007............. 0 0 0 0 0 0 0 0 0 0
November 15, 2008............. 0 0 0 0 0 0 0 0 0 0
November 15, 2009............. 0 0 0 0 0 0 0 0 0 0
November 15, 2010............. 0 0 0 0 0 0 0 0 0 0
November 15, 2011............. 0 0 0 0 0 0 0 0 0 0
November 15, 2012............. 0 0 0 0 0 0 0 0 0 0
November 15, 2013............. 0 0 0 0 0 0 0 0 0 0
November 15, 2014............. 0 0 0 0 0 0 0 0 0 0
November 15, 2015............. 0 0 0 0 0 0 0 0 0 0
November 15, 2016............. 0 0 0 0 0 0 0 0 0 0
November 15, 2017 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 0.3 0.1 0.1 0.1 0.1 1.6 0.5 0.4 0.4 0.4
</TABLE>
<TABLE>
<CAPTION>
PH PJ
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 138% 250% 500% 0% 100% 138% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 88 83 83 83 100 100 100 100 100
November 15, 2001............. 100 32 24 24 0 100 100 100 100 0
November 15, 2002............. 95 0 0 0 0 100 0 0 0 0
November 15, 2003............. 83 0 0 0 0 100 0 0 0 0
November 15, 2004............. 70 0 0 0 0 100 0 0 0 0
November 15, 2005............. 57 0 0 0 0 100 0 0 0 0
November 15, 2006............. 42 0 0 0 0 100 0 0 0 0
November 15, 2007............. 26 0 0 0 0 100 0 0 0 0
November 15, 2008............. 9 0 0 0 0 100 0 0 0 0
November 15, 2009............. 0 0 0 0 0 0 0 0 0 0
November 15, 2010............. 0 0 0 0 0 0 0 0 0 0
November 15, 2011............. 0 0 0 0 0 0 0 0 0 0
November 15, 2012............. 0 0 0 0 0 0 0 0 0 0
November 15, 2013............. 0 0 0 0 0 0 0 0 0 0
November 15, 2014............. 0 0 0 0 0 0 0 0 0 0
November 15, 2015............. 0 0 0 0 0 0 0 0 0 0
November 15, 2016............. 0 0 0 0 0 0 0 0 0 0
November 15, 2017 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 6.3 1.7 1.6 1.6 1.4 9.8 2.7 2.5 2.5 1.9
<CAPTION>
GROUP 4 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 138% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 97 86 85 85 85
November 15, 2001............. 93 66 63 63 46
November 15, 2002............. 89 46 42 42 2
November 15, 2003............. 85 27 23 23 0
November 15, 2004............. 80 10 6 6 0
November 15, 2005............. 75 1 0 0 0
November 15, 2006............. 70 0 0 0 0
November 15, 2007............. 64 0 0 0 0
November 15, 2008............. 58 0 0 0 0
November 15, 2009............. 51 0 0 0 0
November 15, 2010............. 44 0 0 0 0
November 15, 2011............. 36 0 0 0 0
November 15, 2012............. 28 0 0 0 0
November 15, 2013............. 20 0 0 0 0
November 15, 2014............. 11 0 0 0 0
November 15, 2015............. 4 0 0 0 0
November 15, 2016............. 1 0 0 0 0
November 15, 2017 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 9.5 2.9 2.7 2.7 1.8
</TABLE>
Group 5
<TABLE>
<CAPTION>
MA NA
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 122% 250% 500% 0% 100% 122% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 100 100 100 100 100 100 100 100 100
November 15, 2001............. 92 60 59 59 50 100 100 100 100 100
November 15, 2002............. 82 12 11 11 0 100 100 100 100 0
November 15, 2003............. 72 0 0 0 0 100 45 42 42 0
November 15, 2004............. 61 0 0 0 0 100 0 0 0 0
November 15, 2005............. 48 0 0 0 0 100 0 0 0 0
November 15, 2006............. 36 0 0 0 0 100 0 0 0 0
November 15, 2007............. 22 0 0 0 0 100 0 0 0 0
November 15, 2008............. 7 0 0 0 0 100 0 0 0 0
November 15, 2009............. 0 0 0 0 0 85 0 0 0 0
November 15, 2010............. 0 0 0 0 0 57 0 0 0 0
November 15, 2011............. 0 0 0 0 0 26 0 0 0 0
November 15, 2012............. 0 0 0 0 0 2 0 0 0 0
November 15, 2013 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 5.7 2.2 2.2 2.2 1.9 11.2 3.9 3.9 3.9 2.6
<CAPTION>
PA
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 122% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 100 100 100 100 100
November 15, 2001............. 0 0 0 0 0
November 15, 2002............. 0 0 0 0 0
November 15, 2003............. 0 0 0 0 0
November 15, 2004............. 0 0 0 0 0
November 15, 2005............. 0 0 0 0 0
November 15, 2006............. 0 0 0 0 0
November 15, 2007............. 0 0 0 0 0
November 15, 2008............. 0 0 0 0 0
November 15, 2009............. 0 0 0 0 0
November 15, 2010............. 0 0 0 0 0
November 15, 2011............. 0 0 0 0 0
November 15, 2012............. 0 0 0 0 0
November 15, 2013 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 1.5 1.2 1.2 1.2 1.2
</TABLE>
S-19
<PAGE> 383
<TABLE>
<CAPTION>
PB PC
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 122% 250% 500% 0% 100% 122% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 100 100 100 100 100 100 100 100 100
November 15, 2001............. 94 0 0 0 0 100 85 84 84 70
November 15, 2002............. 51 0 0 0 0 100 17 15 15 0
November 15, 2003............. 6 0 0 0 0 100 0 0 0 0
November 15, 2004............. 0 0 0 0 0 86 0 0 0 0
November 15, 2005............. 0 0 0 0 0 69 0 0 0 0
November 15, 2006............. 0 0 0 0 0 50 0 0 0 0
November 15, 2007............. 0 0 0 0 0 31 0 0 0 0
November 15, 2008............. 0 0 0 0 0 10 0 0 0 0
November 15, 2009............. 0 0 0 0 0 0 0 0 0 0
November 15, 2010............. 0 0 0 0 0 0 0 0 0 0
November 15, 2011............. 0 0 0 0 0 0 0 0 0 0
November 15, 2012............. 0 0 0 0 0 0 0 0 0 0
November 15, 2013 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 3.0 1.6 1.5 1.5 1.5 6.9 2.5 2.5 2.5 2.1
<CAPTION>
GROUP 5 ASSETS
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 122% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 100 100 100 100 100
November 15, 2001............. 95 75 74 74 68
November 15, 2002............. 89 45 44 44 0
November 15, 2003............. 82 17 16 16 0
November 15, 2004............. 75 0 0 0 0
November 15, 2005............. 68 0 0 0 0
November 15, 2006............. 60 0 0 0 0
November 15, 2007............. 51 0 0 0 0
November 15, 2008............. 42 0 0 0 0
November 15, 2009............. 32 0 0 0 0
November 15, 2010............. 21 0 0 0 0
November 15, 2011............. 10 0 0 0 0
November 15, 2012............. 1 0 0 0 0
November 15, 2013 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 7.7 2.9 2.8 2.8 2.1
</TABLE>
Group 6
<TABLE>
<CAPTION>
MB NB
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 142% 250% 500% 0% 100% 142% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 92 92 92 92 100 100 100 100 100
November 15, 2001............. 85 50 50 50 7 100 100 100 100 100
November 15, 2002............. 63 10 8 8 0 100 100 100 100 0
November 15, 2003............. 38 0 0 0 0 100 46 43 43 0
November 15, 2004............. 12 0 0 0 0 100 0 0 0 0
November 15, 2005............. 0 0 0 0 0 70 0 0 0 0
November 15, 2006............. 0 0 0 0 0 14 0 0 0 0
November 15, 2007 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 3.5 2.0 2.0 2.0 1.6 6.4 3.9 3.9 3.9 2.4
<CAPTION>
PD
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 142% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 100 81 80 80 80
November 15, 2001............. 65 0 0 0 0
November 15, 2002............. 9 0 0 0 0
November 15, 2003............. 0 0 0 0 0
November 15, 2004............. 0 0 0 0 0
November 15, 2005............. 0 0 0 0 0
November 15, 2006............. 0 0 0 0 0
November 15, 2007 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 2.3 1.3 1.3 1.3 1.2
</TABLE>
<TABLE>
<CAPTION>
PE GROUP 6 ASSET
------------------------------------- -------------------------------------
PSA PREPAYMENT ASSUMPTION PSA PREPAYMENT ASSUMPTION
------------------------------------- -------------------------------------
DATE 0% 100% 142% 250% 500% 0% 100% 142% 250% 500%
- ------------------------------ ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100 100 100 100 100 100
November 15, 2000............. 100 100 100 100 100 100 95 95 95 95
November 15, 2001............. 100 86 85 85 12 90 67 67 67 39
November 15, 2002............. 100 17 14 14 0 75 41 40 40 0
November 15, 2003............. 65 0 0 0 0 59 16 15 15 0
November 15, 2004............. 21 0 0 0 0 42 0 0 0 0
November 15, 2005............. 0 0 0 0 0 24 0 0 0 0
November 15, 2006............. 0 0 0 0 0 5 0 0 0 0
November 15, 2007 and after... 0 0 0 0 0 0 0 0 0 0
Weighted Average
Life (Years)................. 4.3 2.5 2.5 2.5 1.8 4.5 2.7 2.7 2.7 1.8
</TABLE>
S-20
<PAGE> 384
Group 7
<TABLE>
<CAPTION>
FT, ST AND GROUP 7 ASSET
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 140% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 100 100 100 75 11
November 15, 2001............. 100 100 100 38 0
November 15, 2002............. 100 100 100 8 0
November 15, 2003............. 100 100 100 0 0
November 15, 2004............. 100 100 100 0 0
November 15, 2005............. 100 100 100 0 0
November 15, 2006............. 100 100 100 0 0
November 15, 2007............. 100 100 100 0 0
November 15, 2008............. 100 100 100 0 0
November 15, 2009............. 100 100 100 0 0
November 15, 2010............. 100 100 100 0 0
November 15, 2011............. 100 100 100 0 0
November 15, 2012............. 100 100 100 0 0
November 15, 2013............. 100 100 95 0 0
November 15, 2014............. 100 100 88 0 0
November 15, 2015............. 100 100 81 0 0
November 15, 2016............. 100 100 75 0 0
November 15, 2017............. 100 100 68 0 0
November 15, 2018............. 100 100 61 0 0
November 15, 2019............. 100 100 54 0 0
November 15, 2020............. 100 93 48 0 0
November 15, 2021............. 100 81 42 0 0
November 15, 2022............. 100 68 35 0 0
November 15, 2023............. 100 56 28 0 0
November 15, 2024............. 100 43 21 0 0
November 15, 2025............. 100 32 15 0 0
November 15, 2026............. 100 20 10 0 0
November 15, 2027............. 53 9 4 0 0
November 15, 2028............. 2 0 0 0 0
November 15, 2029............. 0 0 0 0 0
Weighted Average
Life (Years)................. 28.1 24.5 20.7 1.7 0.6
</TABLE>
Group 8
<TABLE>
<CAPTION>
B, FA, SA AND GROUP 8 ASSET
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 143% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 100 100 100 100 100
November 15, 2001............. 100 100 100 100 92
November 15, 2002............. 100 100 100 100 0
November 15, 2003............. 100 100 100 100 0
November 15, 2004............. 100 100 100 100 0
November 15, 2005............. 100 100 100 95 0
November 15, 2006............. 100 100 100 40 0
November 15, 2007............. 100 100 100 14 0
November 15, 2008............. 100 100 100 10 0
November 15, 2009............. 100 100 100 9 0
November 15, 2010............. 100 100 100 7 0
November 15, 2011............. 100 100 100 6 0
November 15, 2012............. 100 100 100 5 0
November 15, 2013............. 100 100 98 4 0
November 15, 2014............. 100 100 83 4 0
November 15, 2015............. 100 100 69 3 0
November 15, 2016............. 100 100 56 3 0
November 15, 2017............. 100 100 43 3 0
November 15, 2018............. 100 87 31 2 0
November 15, 2019............. 100 21 21 2 0
November 15, 2020............. 100 11 11 2 0
November 15, 2021............. 100 2 2 2 0
November 15, 2022............. 100 0 0 2 0
November 15, 2023............. 100 0 0 2 0
November 15, 2024............. 100 0 0 1 0
November 15, 2025............. 100 0 0 1 0
November 15, 2026............. 100 0 0 1 0
November 15, 2027............. 0 0 0 1 0
November 15, 2028............. 0 0 0 1 0
November 15, 2029............. 0 0 0 0 0
Weighted Average
Life (Years)................. 27.2 19.7 17.6 7.7 2.1
</TABLE>
S-21
<PAGE> 385
Group 9
<TABLE>
<CAPTION>
FJ, K, SJ AND GROUP 9 ASSET
-------------------------------------
PSA PREPAYMENT ASSUMPTION
-------------------------------------
DATE 0% 100% 125% 250% 500%
- ------------------------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Closing Date.................. 100 100 100 100 100
November 15, 2000............. 100 100 98 61 0
November 15, 2001............. 100 100 97 24 0
November 15, 2002............. 100 100 97 0 0
November 15, 2003............. 100 100 96 0 0
November 15, 2004............. 100 100 96 0 0
November 15, 2005............. 100 100 96 0 0
November 15, 2006............. 100 100 96 0 0
November 15, 2007............. 100 100 96 0 0
November 15, 2008............. 100 100 96 0 0
November 15, 2009............. 100 100 96 0 0
November 15, 2010............. 100 100 95 0 0
November 15, 2011............. 100 100 94 0 0
November 15, 2012............. 100 100 93 0 0
November 15, 2013............. 100 100 91 0 0
November 15, 2014............. 100 100 89 0 0
November 15, 2015............. 100 100 86 0 0
November 15, 2016............. 100 100 77 0 0
November 15, 2017............. 100 97 68 0 0
November 15, 2018............. 100 87 60 0 0
November 15, 2019............. 100 76 52 0 0
November 15, 2020............. 100 65 44 0 0
November 15, 2021............. 100 55 37 0 0
November 15, 2022............. 100 45 30 0 0
November 15, 2023............. 100 35 23 0 0
November 15, 2024............. 100 26 17 0 0
November 15, 2025............. 88 17 11 0 0
November 15, 2026............. 44 8 5 0 0
November 15, 2027 and after... 0 0 0 0 0
Weighted Average
Life (Years)................. 26.9 22.6 19.8 1.3 0.5
</TABLE>
S-22
<PAGE> 386
YIELD CONSIDERATIONS
An investor seeking to maximize yield should make a decision whether to
invest in any Class based on the anticipated yield of that Class resulting from
its purchase price, the investor's own projection of Mortgage prepayment rates
and Asset payment rates under a variety of scenarios and, in the case of the
Floating Rate and Inverse Floating Rate Classes, the investor's own projection
of levels of LIBOR under a variety of scenarios. Freddie Mac makes no
representation regarding Mortgage prepayment rates, Asset payment rates, the
level of LIBOR or the yield of any Class.
Prepayments: Effect on Yields
The yields to investors will be sensitive in varying degrees to the rate of
prepayments on the underlying Mortgages. In the case of the Interest Only
Classes and any other Classes purchased at a premium over their principal
amounts, faster than anticipated rates of Mortgage principal payments could
result in actual yields to investors that are lower than the anticipated yields.
Investors in the Interest Only Classes should also consider the risk that rapid
rates of Mortgage principal payments could result in the failure of investors to
fully recover their investments. In the case of the Principal Only Classes and
any other Classes purchased at a discount to their principal amounts, slower
than anticipated rates of principal payments could result in actual yields to
investors that are lower than the anticipated yields.
Rapid rates of prepayments on the Mortgages are likely to coincide with
periods of low prevailing interest rates. During such periods, the yields at
which an investor may be able to reinvest amounts received as principal payments
on the investor's Class may be lower than the yield on that Class. Conversely,
slow rates of prepayments on the Mortgages are likely to coincide with periods
of high prevailing interest rates. During such periods, the amount of principal
payments available to an investor for reinvestment at such high rates may be
relatively low.
The Mortgages will not prepay at any constant rate until maturity, nor will
all of the Mortgages prepay at the same rate at any one time. The timing of
changes in the rate of prepayments may affect the actual yield to an investor,
even if the average rate of principal prepayments is consistent with the
investor's expectation. In general, the earlier a prepayment of principal on the
Mortgages, the greater the effect on an investor's yield. As a result, the
effect on an investor's yield of principal prepayments occurring at a rate
higher (or lower) than the rate anticipated by the investor during the period
immediately following the Closing Date is not likely to be offset by a later
equivalent reduction (or increase) in the rate of principal prepayments.
LIBOR: Effect on Yields of the Floating Rate and Inverse Floating Rate
Classes
Investors in the Floating Rate Classes (including the SA, SB, SJ and SK
Classes) should consider the risk that lower than anticipated levels of LIBOR
could result in actual yields to investors that are lower than the anticipated
yields and the fact that their Class Coupons cannot exceed their specified
maximum rates. Conversely, investors in the Inverse Floating Rate Classes
(including the SA, SB, SJ and SK Classes) should consider the risk that higher
than anticipated levels of LIBOR could result in actual yields to investors that
are significantly lower than the anticipated yields and the fact that their
Class Coupons can fall as low as 0%. Further, high levels of LIBOR (especially
in combination with fast Mortgage prepayment rates) may result in the failure of
investors in the SB and SK Classes to fully recover their investments.
Changes in LIBOR may not correlate with changes in mortgage interest rates.
It is possible that lower prevailing mortgage interest rates (which would be
expected to result in faster prepayments) could occur concurrently with a higher
level of LIBOR. Conversely, higher prevailing mortgage interest rates (which
would be expected to result in slower prepayments) could occur concurrently with
a lower level of LIBOR.
LIBOR will not remain constant at any level. The timing of changes in the
level of LIBOR may affect the actual yield to an investor, even if the average
level is consistent with the investor's expectation. In general, the earlier a
change in the level of LIBOR, the greater the effect on an investor's yield. As
a result, the effect on an investor's yield of a LIBOR level that is higher (or
lower) than the rate anticipated by the investor during earlier periods is not
likely to be offset by a later equivalent reduction (or increase).
S-23
<PAGE> 387
Payment Delay: Effect on Yields
The effective yield on any interest bearing Class will be less than the
yield otherwise produced by its Class Coupon and purchase price because (i) on
the first Payment Date 30 days' interest will be payable on that Class even
though interest began to accrue approximately 45 days earlier and (ii) on each
subsequent Payment Date the interest payable will accrue during the related
Accrual Period, which will end approximately 15 days earlier.
Yield Tables
The following tables show the pre-tax yields to maturity (corporate bond
equivalent) of the Interest Only, Principal Only and Inverse Floating Rate
Classes (i) at various constant percentages of PSA and (ii) in the case of the
Inverse Floating Rate Classes, at various constant levels of LIBOR. The tables
for the Interest Only Classes also show annual and total interest payments on
those Classes. Freddie Mac has prepared these tables using the Modeling
Assumptions and the assumed purchase prices shown in the table captions. Where
the assumed price is expressed as a dollar amount, it includes accrued interest.
Where the assumed price is expressed as a percentage of original principal
amount, it excludes accrued interest and Freddie Mac has added accrued interest,
if any, in calculating the yields shown. The assumed prices are not necessarily
those at which actual sales will occur.
INTEREST PAYMENTS AND PRE-TAX YIELDS
Group 7
ST CLASS
(ASSUMED PRICE: 72.375%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 140% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
4.41%............................. 15.6% 15.8% 35.8% 80.8%
5.41.............................. 11.5 11.7 31.7 76.2
6.73.............................. 6.2 6.5 26.3 70.3
8.05 and Higher................... 1.3 1.6 21.0 64.4
</TABLE>
Group 8
B CLASS
(ASSUMED PRICE: 50.5%)
<TABLE>
<CAPTION>
134% PSA
THROUGH
50% PSA 100% PSA 215% PSA 250% PSA 500% PSA
- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
2.8% 3.5% 3.9% 9.6% 36.0%
</TABLE>
S-24
<PAGE> 388
SA CLASS
(ASSUMED PRICE: 84.25%)
<TABLE>
<CAPTION>
134% PSA
THROUGH
LIBOR 100% PSA 215% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
4.41%............................. 8.1% 8.2% 9.5% 15.7%
5.41.............................. 9.3 9.4 10.7 16.9
6.41.............................. 10.5 10.6 11.9 18.0
7.05.............................. 11.2 11.3 12.6 18.7
8.05.............................. 5.0 5.1 6.5 12.7
8.75 and Higher................... 0.9 1.0 2.3 8.5
</TABLE>
SB CLASS
(ASSUMED PRICE: $1,047,919.92)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
4.4100% LIBOR 5.4100% LIBOR 6.4100% LIBOR
-------------------------------------- -------------------------------------- ------------------
PSA PREPAYMENT PSA PREPAYMENT PSA PREPAYMENT
ASSUMPTION ASSUMPTION ASSUMPTION
-------------------------------------- -------------------------------------- ------------------
134% 134% 134%
TWELVE CONSECUTIVE THROUGH THROUGH THROUGH
MONTHS THROUGH 100% 215% 250% 500% 100% 215% 250% 500% 100% 215%
------------------ ---- ------- ---- ---- ---- ------- ---- ---- ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
November 15, 2000............. $ 196 $ 196 $ 196 $ 196 $ 223 $ 223 $ 223 $ 223 $ 251 $ 251
November 15, 2001............. 193 193 193 193 223 223 223 223 253 253
November 15, 2002............. 193 193 193 21 223 223 223 24 253 253
November 15, 2003............. 193 193 193 0 223 223 223 0 253 253
November 15, 2004............. 193 193 193 0 223 223 223 0 253 253
November 15, 2005............. 193 193 193 0 223 223 223 0 253 253
November 15, 2006............. 193 193 129 0 223 223 150 0 253 253
November 15, 2007............. 193 193 50 0 223 223 58 0 253 253
November 15, 2008............. 193 193 22 0 223 223 26 0 253 253
November 15, 2009............. 193 193 18 0 223 223 21 0 253 253
November 15, 2010............. 193 193 15 0 223 223 18 0 253 253
November 15, 2011............. 193 193 13 0 223 223 15 0 253 253
November 15, 2012............. 193 193 11 0 223 223 13 0 253 253
November 15, 2013............. 193 193 9 0 223 223 11 0 253 253
November 15, 2014............. 193 177 8 0 223 204 9 0 253 232
November 15, 2015............. 193 148 7 0 223 172 8 0 253 195
November 15, 2016............. 193 121 6 0 223 140 7 0 253 159
November 15, 2017............. 193 96 5 0 223 111 6 0 253 126
November 15, 2018............. 192 73 5 0 222 84 5 0 252 95
November 15, 2019............. 105 51 4 0 121 59 5 0 138 67
November 15, 2020............. 31 31 4 0 36 36 4 0 41 41
November 15, 2021............. 13 13 4 0 15 15 4 0 17 17
November 15, 2022............. 1 1 3 0 1 1 4 0 1 1
November 15, 2023............. 0 0 3 0 0 0 4 0 0 0
November 15, 2024............. 0 0 3 0 0 0 3 0 0 0
November 15, 2025............. 0 0 3 0 0 0 3 0 0 0
November 15, 2026............. 0 0 3 0 0 0 3 0 0 0
November 15, 2027............. 0 0 3 0 0 0 3 0 0 0
November 15, 2028............. 0 0 2 0 0 0 3 0 0 0
November 15, 2029............. 0 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total Payments*............... $ 3,823 $ 3,419 $ 1,494 $ 410 $ 4,415 $ 3,949 $ 1,723 $ 471 $ 5,007 $ 4,478
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Pre-Tax Yield................. 18.8% 18.4% 9.1% (65.1)% 22.1% 21.8% 13.5% (57.6)% 25.4% 25.2%
<CAPTION>
6.4100% LIBOR 7.0500% LIBOR 8.0500% LIBOR
------------------ -------------------------------------- --------------------------------------
PSA PREPAYMENT PSA PREPAYMENT PSA PREPAYMENT
ASSUMPTION ASSUMPTION ASSUMPTION
------------------ -------------------------------------- --------------------------------------
134% 134%
TWELVE CONSECUTIVE THROUGH THROUGH
MONTHS THROUGH 250% 500% 100% 215% 250% 500% 100% 215% 250% 500%
------------------ ---- ---- ---- ------- ---- ---- ---- ------- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
November 15, 2000............. $ 251 $ 251 $ 269 $ 269 $ 269 $ 269 $ 122 $ 122 $ 122 $ 122
November 15, 2001............. 253 253 273 273 273 273 112 112 112 112
November 15, 2002............. 253 27 273 273 273 29 112 112 112 12
November 15, 2003............. 253 0 273 273 273 0 112 112 112 0
November 15, 2004............. 253 0 273 273 273 0 112 112 112 0
November 15, 2005............. 253 0 273 273 273 0 112 112 112 0
November 15, 2006............. 170 0 273 273 183 0 112 112 75 0
November 15, 2007............. 66 0 273 273 71 0 112 112 29 0
November 15, 2008............. 29 0 273 273 32 0 112 112 13 0
November 15, 2009............. 24 0 273 273 25 0 112 112 10 0
November 15, 2010............. 20 0 273 273 22 0 112 112 9 0
November 15, 2011............. 17 0 273 273 18 0 112 112 8 0
November 15, 2012............. 14 0 273 273 16 0 112 112 6 0
November 15, 2013............. 12 0 273 273 13 0 112 112 5 0
November 15, 2014............. 11 0 273 249 11 0 112 103 5 0
November 15, 2015............. 9 0 273 209 10 0 112 86 4 0
November 15, 2016............. 8 0 273 171 9 0 112 71 4 0
November 15, 2017............. 7 0 273 136 8 0 112 56 3 0
November 15, 2018............. 6 0 271 102 7 0 112 42 3 0
November 15, 2019............. 6 0 148 72 6 0 61 30 2 0
November 15, 2020............. 5 0 44 44 5 0 18 18 2 0
November 15, 2021............. 5 0 19 19 5 0 8 8 2 0
November 15, 2022............. 4 0 1 1 5 0 0 0 2 0
November 15, 2023............. 4 0 0 0 4 0 0 0 2 0
November 15, 2024............. 4 0 0 0 4 0 0 0 2 0
November 15, 2025............. 4 0 0 0 4 0 0 0 2 0
November 15, 2026............. 3 0 0 0 4 0 0 0 2 0
November 15, 2027............. 3 0 0 0 4 0 0 0 1 0
November 15, 2028............. 3 0 0 0 4 0 0 0 1 0
November 15, 2029............. 0 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total Payments*............... $ 1,953 $ 532 $ 5,386 $ 4,817 $ 2,099 $ 571 $ 2,229 $ 1,994 $ 875 $ 246
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Pre-Tax Yield................. 17.8% (50.5)% 27.5% 27.3% 20.5% (46.2)% 9.2% 8.4% (3.6)% (88.7)%
<CAPTION>
8.7500% LIBOR
AND HIGHER
-----------------------------------------
PSA PREPAYMENT
ASSUMPTION
-----------------------------------------
134%
TWELVE CONSECUTIVE THROUGH
MONTHS THROUGH 100% 215% 250% 500%
------------------ ---- ------- ---- ----
<S> <C> <C> <C> <C>
November 15, 2000............. $ 19 $ 19 $ 19 $ 19
November 15, 2001............. 0 0 0 0
November 15, 2002............. 0 0 0 0
November 15, 2003............. 0 0 0 0
November 15, 2004............. 0 0 0 0
November 15, 2005............. 0 0 0 0
November 15, 2006............. 0 0 0 0
November 15, 2007............. 0 0 0 0
November 15, 2008............. 0 0 0 0
November 15, 2009............. 0 0 0 0
November 15, 2010............. 0 0 0 0
November 15, 2011............. 0 0 0 0
November 15, 2012............. 0 0 0 0
November 15, 2013............. 0 0 0 0
November 15, 2014............. 0 0 0 0
November 15, 2015............. 0 0 0 0
November 15, 2016............. 0 0 0 0
November 15, 2017............. 0 0 0 0
November 15, 2018............. 0 0 0 0
November 15, 2019............. 0 0 0 0
November 15, 2020............. 0 0 0 0
November 15, 2021............. 0 0 0 0
November 15, 2022............. 0 0 0 0
November 15, 2023............. 0 0 0 0
November 15, 2024............. 0 0 0 0
November 15, 2025............. 0 0 0 0
November 15, 2026............. 0 0 0 0
November 15, 2027............. 0 0 0 0
November 15, 2028............. 0 0 0 0
November 15, 2029............. 0 0 0 0
-------- -------- -------- --------
Total Payments*............... $ 19 $ 19 $ 19 $ 19
======== ======== ======== ========
Pre-Tax Yield................. ** ** ** **
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
** Less than (99.9)%.
Group 9
K CLASS
(ASSUMED PRICE: 50.5%)
<TABLE>
<CAPTION>
50% PSA 100% PSA 125% PSA 250% PSA 500% PSA
------- -------- -------- -------- --------
<S> <C> <C> <C> <C>
2.7% 3.1% 3.6% 68.7% 268.2%
</TABLE>
S-25
<PAGE> 389
SJ CLASS
(ASSUMED PRICE: 75.9375%)
<TABLE>
<CAPTION>
LIBOR 100% PSA 125% PSA 250% PSA 500% PSA
----- -------- -------- -------- --------
<S> <C> <C> <C> <C>
4.41%............................. 8.7% 9.0% 31.0% 83.4%
5.41.............................. 10.0 10.2 32.4 84.8
6.41.............................. 11.3 11.5 33.7 86.3
7.05.............................. 12.1 12.4 34.6 87.3
8.05.............................. 5.4 5.6 27.5 79.4
8.70 and Higher................... 1.2 1.4 23.0 74.4
</TABLE>
SK CLASS
(ASSUMED PRICE: $1,125,524.20)
(PAYMENTS IN THOUSANDS)
<TABLE>
<CAPTION>
4.4100% LIBOR 5.4100% LIBOR 6.4100% LIBOR
-------------------------------------- -------------------------------------- ------------------
PSA PREPAYMENT PSA PREPAYMENT PSA PREPAYMENT
ASSUMPTION ASSUMPTION ASSUMPTION
TWELVE CONSECUTIVE -------------------------------------- -------------------------------------- ------------------
MONTHS THROUGH 100% 125% 250% 500% 100% 125% 250% 500% 100% 125%
------------------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
November 15, 2000............. $ 265 $ 263 $ 221 $ 134 $ 304 $ 302 $ 252 $ 151 $ 343 $ 340
November 15, 2001............. 261 256 113 0 304 297 132 0 346 339
November 15, 2002............. 261 254 30 0 304 295 35 0 346 336
November 15, 2003............. 261 252 0 0 304 293 0 0 346 334
November 15, 2004............. 261 251 0 0 304 292 0 0 346 332
November 15, 2005............. 261 250 0 0 304 291 0 0 346 332
November 15, 2006............. 261 250 0 0 304 291 0 0 346 331
November 15, 2007............. 261 250 0 0 304 291 0 0 346 331
November 15, 2008............. 261 250 0 0 304 291 0 0 346 331
November 15, 2009............. 261 250 0 0 304 291 0 0 346 331
November 15, 2010............. 261 250 0 0 304 290 0 0 346 331
November 15, 2011............. 261 248 0 0 304 288 0 0 346 328
November 15, 2012............. 261 244 0 0 304 284 0 0 346 324
November 15, 2013............. 261 240 0 0 304 279 0 0 346 318
November 15, 2014............. 261 235 0 0 304 274 0 0 346 312
November 15, 2015............. 261 230 0 0 304 267 0 0 346 304
November 15, 2016............. 261 213 0 0 304 248 0 0 346 283
November 15, 2017............. 261 191 0 0 303 222 0 0 346 253
November 15, 2018............. 242 169 0 0 281 196 0 0 320 223
November 15, 2019............. 214 147 0 0 248 171 0 0 283 195
November 15, 2020............. 186 126 0 0 216 147 0 0 246 167
November 15, 2021............. 158 106 0 0 184 124 0 0 210 141
November 15, 2022............. 132 87 0 0 153 102 0 0 175 116
November 15, 2023............. 106 69 0 0 123 81 0 0 140 92
November 15, 2024............. 81 52 0 0 94 61 0 0 107 69
November 15, 2025............. 57 36 0 0 66 42 0 0 75 48
November 15, 2026............. 33 21 0 0 39 25 0 0 44 28
November 15, 2027............. 11 7 0 0 13 8 0 0 15 9
November 15, 2028
and after.................... 0 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total Payments*............... $ 5,929 $ 5,200 $ 364 $ 134 $ 6,887 $ 6,040 $ 418 $ 151 $ 7,846 $ 6,880
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Pre-Tax Yield................. 24.5% 23.6% (77.4)% ** 28.8% 27.8% (70.7)% ** 33.1% 32.1%
<CAPTION>
6.4100% LIBOR 7.0500% LIBOR 8.0500% LIBOR
------------------ -------------------------------------- --------------------------------------
PSA PREPAYMENT PSA PREPAYMENT PSA PREPAYMENT
ASSUMPTION ASSUMPTION ASSUMPTION
TWELVE CONSECUTIVE ------------------ -------------------------------------- --------------------------------------
MONTHS THROUGH 250% 500% 100% 125% 250% 500% 100% 125% 250% 500%
------------------ ---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
November 15, 2000............. $ 284 $ 169 $ 368 $ 365 $ 304 $ 180 $ 160 $ 159 $ 135 $ 86
November 15, 2001............. 150 0 374 366 162 0 147 144 64 0
November 15, 2002............. 40 0 374 362 43 0 147 143 17 0
November 15, 2003............. 0 0 374 360 0 0 147 142 0 0
November 15, 2004............. 0 0 374 358 0 0 147 141 0 0
November 15, 2005............. 0 0 374 358 0 0 147 141 0 0
November 15, 2006............. 0 0 374 357 0 0 147 141 0 0
November 15, 2007............. 0 0 374 357 0 0 147 141 0 0
November 15, 2008............. 0 0 374 357 0 0 147 141 0 0
November 15, 2009............. 0 0 374 357 0 0 147 141 0 0
November 15, 2010............. 0 0 374 357 0 0 147 141 0 0
November 15, 2011............. 0 0 374 354 0 0 147 139 0 0
November 15, 2012............. 0 0 374 349 0 0 147 138 0 0
November 15, 2013............. 0 0 374 343 0 0 147 135 0 0
November 15, 2014............. 0 0 374 336 0 0 147 132 0 0
November 15, 2015............. 0 0 374 328 0 0 147 129 0 0
November 15, 2016............. 0 0 374 305 0 0 147 120 0 0
November 15, 2017............. 0 0 373 273 0 0 147 107 0 0
November 15, 2018............. 0 0 345 241 0 0 136 95 0 0
November 15, 2019............. 0 0 305 210 0 0 120 83 0 0
November 15, 2020............. 0 0 265 181 0 0 105 71 0 0
November 15, 2021............. 0 0 226 152 0 0 89 60 0 0
November 15, 2022............. 0 0 188 125 0 0 74 49 0 0
November 15, 2023............. 0 0 151 99 0 0 60 39 0 0
November 15, 2024............. 0 0 116 75 0 0 46 29 0 0
November 15, 2025............. 0 0 81 52 0 0 32 20 0 0
November 15, 2026............. 0 0 48 30 0 0 19 12 0 0
November 15, 2027............. 0 0 16 10 0 0 6 4 0 0
November 15, 2028
and after.................... 0 0 0 0 0 0 0 0 0 0
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total Payments*............... $ 473 $ 169 $ 8,459 $ 7,418 $ 509 $ 180 $ 3,348 $ 2,937 $ 216 $ 86
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Pre-Tax Yield................. (64.4)% ** 35.9% 34.8% (60.5)% ** 12.8% 11.8% (98.2)% **
<CAPTION>
8.7000% LIBOR
AND HIGHER
--------------------------------------
PSA PREPAYMENT
ASSUMPTION
TWELVE CONSECUTIVE --------------------------------------
MONTHS THROUGH 100% 125% 250% 500%
------------------ ---- ---- ---- ----
<S> <C> <C> <C> <C>
November 15, 2000............. $ 25 $ 25 $ 25 $ 25
November 15, 2001............. 0 0 0 0
November 15, 2002............. 0 0 0 0
November 15, 2003............. 0 0 0 0
November 15, 2004............. 0 0 0 0
November 15, 2005............. 0 0 0 0
November 15, 2006............. 0 0 0 0
November 15, 2007............. 0 0 0 0
November 15, 2008............. 0 0 0 0
November 15, 2009............. 0 0 0 0
November 15, 2010............. 0 0 0 0
November 15, 2011............. 0 0 0 0
November 15, 2012............. 0 0 0 0
November 15, 2013............. 0 0 0 0
November 15, 2014............. 0 0 0 0
November 15, 2015............. 0 0 0 0
November 15, 2016............. 0 0 0 0
November 15, 2017............. 0 0 0 0
November 15, 2018............. 0 0 0 0
November 15, 2019............. 0 0 0 0
November 15, 2020............. 0 0 0 0
November 15, 2021............. 0 0 0 0
November 15, 2022............. 0 0 0 0
November 15, 2023............. 0 0 0 0
November 15, 2024............. 0 0 0 0
November 15, 2025............. 0 0 0 0
November 15, 2026............. 0 0 0 0
November 15, 2027............. 0 0 0 0
November 15, 2028
and after.................... 0 0 0 0
-------- -------- -------- --------
Total Payments*............... $ 25 $ 25 $ 25 $ 25
======== ======== ======== ========
Pre-Tax Yield................. ** ** ** **
</TABLE>
- ---------------
* Total payments may not equal sums of columns due to rounding.
** Less than (99.9)%.
S-26
<PAGE> 390
The Mortgages will not prepay at any constant rate until maturity, nor will
LIBOR remain constant at any level. Moreover, the Mortgages have characteristics
that differ from those of the Modeling Assumptions. Therefore, the actual
pre-tax yield of any Class may differ from any of those shown in the table for
that Class, even if purchased at the assumed price shown, and the actual annual
and total payments for the Interest Only Classes may also differ from any of
those shown in the tables for those Classes.
FINAL PAYMENT DATES
The Final Payment Date for each Class is the latest date by which it will
be retired. The assumptions used in calculating the Final Payment Dates are
highly conservative, and the actual retirement of any Class may occur earlier
than its Final Payment Date.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
GENERAL
Subject to the assumptions described in "Certain Federal Income Tax
Consequences -- REMIC Election" in the Offering Circular, the REMIC Pool will
qualify as a REMIC for federal income tax purposes.
The arrangement pursuant to which the MACR Classes are created, sold and
administered (the "MACR Pool") will be classified as a grantor trust under
subpart E, part I of subchapter J of the Internal Revenue Code. The interests in
the Regular Classes that have been exchanged with Freddie Mac for the MACR
Classes (including any exchanges effective on the Closing Date) will be the
assets of the MACR Pool and the MACR Classes will represent beneficial ownership
of these assets.
REGULAR CLASSES
The Regular Classes will be the "regular interests" in the REMIC Pool. The
Regular Classes will be treated as debt instruments for federal income tax
purposes and may be issued with original issue discount ("OID") or at a premium.
Based in part on the level of LIBOR as of the date of this Supplement and
assumptions regarding the initial prices at which substantial portions of the
Regular Classes will be sold to the public, Freddie Mac expects to report income
to the Internal Revenue Service and to Holders of the Regular Classes assuming
they are issued as follows:
- OID: NA, NB, NC, ND, NE, PC, PE, PK, PL, PQ, PT, PU, PV, SA, SJ and ST
Classes.
- De Minimis OID: PA, PB, PD, PH and PN Classes.
- Premium: FA, FJ, FT, NF, PF, PG, PJ and PM Classes.
OID generally will result in recognition of taxable income in advance of the
receipt of cash attributable to such income. The "Prepayment Assumption" used in
determining whether OID is de minimis and in computing the rate of accrual of
OID or the amortization of premium is 138% PSA for the Group 1 and Group 4
Classes, 157% PSA for the Group 2 Classes, 151% PSA for the Group 3 Classes,
122% PSA for the Group 5 Classes, 142% PSA for the Group 6 Classes, 140% PSA for
the Group 7 Classes, 143% PSA for the Group 8 Classes and 125% PSA for the Group
9 Classes. See "Certain Federal Income Tax Consequences -- Taxation of Regular
Classes -- Original Issue Discount" and "-- Premium" in the Offering Circular.
With respect to Regular Classes issued with OID, investors may obtain the
information required by Treasury regulation section 1.6049-7(g) by contacting
Freddie Mac's Investor Inquiry Department as shown under "Available Information"
in this Supplement.
Freddie Mac intends to report any original issue or market discount or
premium with respect to the Floating Rate Classes (other than the SA and SJ
Classes) assuming that each variable rate is a fixed rate equal to the value of
the variable rate as of the date of this Supplement. See "Certain Federal Income
Tax Consequences -- Taxation of Regular Classes -- Floating Rate and Inverse
Floating Rate Classes" in the Offering Circular.
RESIDUAL CLASS
The R Class will be the "residual interest" in the REMIC Pool. Special tax
considerations apply to the R Class. The taxation of the R Class can produce a
significantly less favorable after-tax return than if (i) the
S-27
<PAGE> 391
R Class were taxable as a debt instrument or (ii) no portion of the taxable
income on the R Class were treated as "excess inclusions." In certain periods,
taxable income and the resulting tax liability on the R Class may exceed any
payments on that Class. See "Certain Federal Income Tax Consequences -- Taxation
of Residual Classes" in the Offering Circular. In addition, a substantial tax
may be imposed on certain transferors of the R Class and certain beneficial
owners of that Class that are "pass-through entities." See "Certain Federal
Income Tax Consequences -- Transfers of Interests in a Residual
Class -- Disqualified Organizations" in the Offering Circular. Investors should
not purchase the R Class before consulting their tax advisors.
Freddie Mac intends to report accruals of OID and market discount and to
amortize premium with respect to the Assets using the applicable Prepayment
Assumptions set forth above rather than the prepayment assumptions used in their
respective Series.
Certain Transfers of Residual Class
The REMIC Regulations (as defined under "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular) disregard:
- A transfer of a "noneconomic residual" unless no significant purpose
of the transfer is to impede the assessment or collection of tax; and
- Except in certain cases, a transfer of a residual interest to a
foreign investor or a transfer of a residual interest from a foreign
investor to a U.S. investor (accordingly, the Agreement prohibits the
transfer of an interest in the R Class to or from a foreign investor
without Freddie Mac's written consent).
In such cases, the transferor would continue to be treated as the owner of the
residual interest and thus would continue to be subject to tax on its allocable
portion of the net income of the REMIC. See "Certain Federal Income Tax
Consequences -- Transfers of Interests in a Residual Class -- Additional
Transfer Restrictions" in the Offering Circular.
Residual Class with Negative Fair Market Value
The federal income tax consequences of any consideration paid to a
transferee on a transfer of the R Class are unclear. The REMIC Regulations do
not address whether a residual interest could have a negative basis and a
negative issue price. The preamble indicates that the Internal Revenue Service
is considering the tax treatment of these types of residual interests. Any
transferee receiving consideration should consult its tax advisors.
Reporting and Administrative Matters
Freddie Mac will furnish Holders of the R Class the information it deems
necessary or appropriate to enable them to prepare any reports required under
the Internal Revenue Code or applicable Treasury regulations. Freddie Mac does
not intend to hold the R Class for its account, and applicable law may not
permit Freddie Mac to perform tax administrative functions for the REMIC Pool.
Accordingly, the Holders of the R Class may have certain tax administrative
obligations (for which Freddie Mac will act as attorney-in-fact and agent). See
"Certain Federal Income Tax Consequences -- Reporting and Administrative
Matters" in the Offering Circular.
MACR CLASSES
For a discussion of certain federal income tax consequences applicable to
the MACR Classes, see "Certain Federal Income Tax Consequences -- Taxation of
MACR Classes," "-- Exchanges of MACR Classes and Regular Classes" and
"-- Taxation of Certain Foreign Investors" in the Offering Circular.
NEW WITHHOLDING REGULATIONS
The Treasury Department has issued new regulations which make certain
modifications to the withholding and backup withholding rules. The new
regulations generally are effective for payments made after December 31, 2000.
Investors should consult their tax advisors regarding such regulations.
S-28
<PAGE> 392
LEGAL INVESTMENT CONSIDERATIONS; ERISA CONSIDERATIONS
Investors should consult their legal advisors to determine whether and to
what extent any Classes constitute legal investments for such investors. An
institution under the jurisdiction of the Comptroller of the Currency, the Board
of Governors of the Federal Reserve System, the Federal Deposit Insurance
Corporation, the Office of Thrift Supervision, the National Credit Union
Administration, the Department of the Treasury or any other federal or state
agency with similar authority should review any applicable regulations, policy
statements and guidelines before purchasing or pledging any Class. See "Legal
Investment Considerations" in the Offering Circular. Fiduciaries of ERISA plans
should review "ERISA Considerations" in the Offering Circular.
PLAN OF DISTRIBUTION
Subject to the terms and conditions of the Purchase Agreement between
Freddie Mac and the Underwriter, Freddie Mac has agreed to sell, and the
Underwriter has agreed to purchase, all of the REMIC Certificates, if any are
sold and purchased.
The Underwriter proposes to offer the Securities directly to the public
from time to time for sale in negotiated transactions at varying prices to be
determined at the time of sale, plus accrued interest, if any, from November 1,
1999. The Securities are offered by the Underwriter, subject to sale by Freddie
Mac and receipt and acceptance by the Underwriter and subject to the
Underwriter's right to reject any order in whole or in part. The Underwriter may
effect such transactions by sales to or through certain securities dealers
(which may include Freddie Mac through its Securities Sales and Trading Group).
Such dealers may receive compensation in the form of discounts, concessions or
commissions from the Underwriter and/or commissions from any purchasers for
which they act as agents.
The Purchase Agreement provides that Freddie Mac will indemnify the
Underwriter against certain liabilities.
It is expected that the Regular Classes and MACR Classes will be available
(in book-entry form) for deposit at any Federal Reserve Bank and the Residual
Class will be available (in certificated form) at the offices of the
Underwriter, on or about the Closing Date.
LEGAL MATTERS
The legality of the Securities will be passed upon for Freddie Mac by Maud
Mater, Esq., Executive Vice President -- General Counsel and Secretary of
Freddie Mac. Certain legal matters relating to the Securities will be passed
upon for the Underwriter by Milbank, Tweed, Hadley & McCloy LLP.
S-29
<PAGE> 393
EXHIBIT I -- SERIES 2097 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,329,737,837
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES AND
MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2097
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Four Asset Groups, consisting of one Group of Freddie Mac
Multiclass PCs, two Groups of Freddie Mac 6.0% PCs (Gold
PCs and Gold Giant PCs) and one Group of Freddie Mac 8.0%
PCs
Payment Dates: Monthly, beginning December 15, 1998
Form of Securities: Regular (non-Retail) and MACR Classes: Book-entry (Federal
Reserve Banks)
Retail Class (UU): Book-entry (Depository Trust Company);
issued in $1,000 Retail Class Units
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Lehman Brothers Inc. (the "Underwriter")
Closing Date: November 30, 1998
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ORIGINAL WEIGHTED
CLASS OF PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
REMIC CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
A ................... $100,000,000 SC/TAC/AD 6.125% FIX 3133TG P S 2 February 15, 2025 4.0Yrs
AC .................. 20,000,000 SC/TAC/AD 6.25 FIX 3133TG P T 0 February 15, 2025 4.0
AG .................. 11,750,000 SC/TAC/AD 6.5 FIX 3133TG P U 7 February 15, 2025 4.0
AI .................. 6,538,461 SC/NTL(TAC/AD) 6.5 FIX/IO 3133TG P V 5 February 15, 2025 --
J ................... 1,829,837 SC/SUP 6.5 FIX 3133TG Q 8 5 February 15, 2025 3.7
PA .................. 8,830,000 SC/PAC 6.5 FIX 3133TG Q A 0 February 15, 2025 1.1
PB .................. 127,165,000 SC/PAC 5.7 FIX 3133TG Q B 8 February 15, 2025 3.6
PC .................. 40,618,000 SC/PAC 5.9 FIX 3133TG Q C 6 February 15, 2025 6.8
PI .................. 19,400,430 SC/NTL(PAC) 6.5 FIX/IO 3133TG Q G 7 February 15, 2025 --
Z ................... 15,000,000 SC/SUP 6.5 FIX/Z 3133TG R 7 6 February 15, 2025 0.8
GROUP 2
B ................... 100,000,000 SCH/AD 6.0 FIX 3133TG P W 3 November 15, 2028 3.6
CA .................. 2,500,000 SUP 6.5 FIX 3133TG P X 1 November 15, 2028 19.4
CB .................. 834,000 SUP 0.0 PO 3133TG P Y 9 November 15, 2028 19.4
FC .................. 17,712,000 SUP (5) FLT/DLY 3133TG Q 3 6 November 15, 2028 19.4
FE .................. 13,893,000 SUP (5) FLT/DLY 3133TG Q 5 1 November 15, 2028 19.4
PE .................. 69,165,000 PAC 5.5 FIX 3133TG Q E 2 August 15, 2018 3.6
PH .................. 103,260,000 PAC 6.0 FIX 3133TG Q F 9 October 15, 2027 11.0
PJ .................. 28,554,000 PAC 6.0 FIX 3133TG Q H 5 November 15, 2028 20.0
PK .................. 10,915,625 NTL(PAC) 6.0 FIX/IO 3133TG Q J 1 December 15, 2019 --
PL .................. 41,215,000 PAC 5.25 FIX 3133TG Q K 8 December 15, 2019 3.9
PM .................. 48,811,000 PAC 6.0 FIX 3133TG Q L 6 August 15, 2022 6.8
SC .................. 7,380,000 SUP (5) INV/DLY 3133TG Q Z 5 November 15, 2028 19.4
SE .................. 4,631,000 SUP (5) INV/DLY 3133TG R 3 5 November 15, 2028 19.4
UU................... 7,500,000 SUP/RTL 6.5 FIX 3133TG R 6 8 November 15, 2028 19.4
ZB .................. 9,090,000 TAC 6.0% FIX/Z 3133TG R 8 4 November 15, 2028 1.1Yrs
</TABLE>
<TABLE>
ORIGINAL WEIGHTED
CLASS OF PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
REMIC CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 3
F ................... $100,457,000 PAC (5) FLT 3133TG Q 2 8 October 15, 2028 3.5
FD .................. 147,951,000 SUP (5) FLT 3133TG Q 4 4 November 15, 2028 1.7
PD .................. 1,592,000 PAC 8.0 FIX 3133TG Q D 4 November 15, 2028 13.1
SB .................. 100,457,000 NTL(PAC) (5) INV/IO 3133TG Q Y 8 October 15, 2028 --
SD .................. 147,951,000 NTL(SUP) (5) INV/IO 3133TG R 2 7 November 15, 2028 --
ST .................. 100,457,000 NTL(PAC) (5) INV/IO 3133TG R 5 0 October 15, 2028 --
GROUP 4
D ................... 29,750,000 SCH/AD 6.0 FIX 3133TG P Z 6 November 15, 2028 4.0
FK .................. 23,064,000 SUP (5) FLT/DLY 3133TG Q 6 9 November 15, 2028 20.4
G ................... 39,836,000 SCH/AD 6.0 FIX 3133TG Q 7 7 November 15, 2028 5.0
PN .................. 24,501,000 PAC 6.0 FIX 3133TGQM4 August 15, 2022 7.0
PR .................. 80,000,000 PAC 5.5 FIX 3133TG Q N 2 December 15, 2019 3.9
6.0 September 15,
PV .................. 6,580,000 PAC/AD FIX 3133TG Q Q 5 2009 6.0
PW .................. 4,984,000 PAC/AD 6.0 FIX 3133TG Q R 3 November 15, 2014 13.5
PX .................. 68,758,000 PAC 6.0 FIX 3133TG Q S 1 October 15, 2027 11.0
PY .................. 6,666,666 NTL(PAC) 6.0 FIX/IO 3133TG Q T 9 December 15, 2019 --
PZ .................. 7,240,000 PAC 6.0 FIX/Z 3133TG Q U 6 November 15, 2028 20.0
SK .................. 7,688,000 SUP (5) INV/DLY 3133TG R 4 3 November 15, 2028 20.4
ZD .................. 7,599,000 CPT/TAC 6.0 FIX/Z 3133TG R 9 2 November 15, 2028 1.2
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TG Q V 4 November 15, 2028 --
RS .................. 0 NPR 0.0 NPR 3133TGQW2 November 15, 2028 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 215% PSA for the Group 1
Classes, 166% PSA for the Group 2 Classes, 550% PSA for the Group 3 Classes
and 165% PSA for the Group 4 Classes. Prepayments will not occur at the
rates assumed, and the actual weighted average lives of the Classes may
differ significantly from those shown. Because Retail Class investors will
receive principal payments subject to the priorities, limitations and
allocations described in this Supplement, the weighted average lives of
Retail Class Units will vary among different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
LEHMAN BROTHERS
OFFERING CIRCULAR SUPPLEMENT DATED OCTOBER 20, 1998
(LOGO)
S-30
<PAGE> 394
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Certificates and the "Combinations" of Classes of REMIC Certificates and
MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with an exchange involving Combination 1 will equal 2/32 of 1%
of the outstanding notional principal amount of the Securities submitted for
exchange (but not less than $5,000 or more than $60,000). The fee payable to
Freddie Mac in connection with an exchange involving Combination 2 or 3 will
equal 2/32 of 1% of the outstanding principal amount (exclusive of any notional
principal amount) of the Securities submitted for exchange (but not less than
$5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The CB Class will be a Principal Only Class and will not bear interest
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
---------------------------
CLASS INITIAL RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- --------------- --------------------- ------------ ------------
<S> <C> <C> <C> <C>
REMIC CERTIFICATES
F.................... 5.55% LIBOR + 0.35% 0.35% 8.0%
FC(3)................ 5.9687 LIBOR + 0.75% 0.75 8.5
FD................... 5.7 LIBOR + 0.50% 0.50 8.0
FE(3)................ 6.1187 LIBOR + 0.90% 0.90 8.0
FK(3)................ 6.1187 LIBOR + 0.90% 0.90 8.0
SB................... 2.3 7.5% - LIBOR 0 7.5
SC(3)................ 6.07512 18.6% - (LIBOR X 2.4) 0 18.6
SD................... 2.3 7.5% - LIBOR 0 7.5
SE(3)................ 5.6439 21.3% - (LIBOR X 3) 0 21.3
SK(3)................ 5.6439 21.3% - (LIBOR X 3) 0 21.3
ST................... 0.15 7.65% - LIBOR 0 0.15
MACR CLASS
S.................... 2.3% 7.5% - LIBOR 0% 7.5%
</TABLE>
-------------------------
(1) Initial Rate will be in effect during the first Accrual Period;
Class Coupon will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description
of Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
S-31
<PAGE> 395
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- ---------------------------------
<S> <C> <C>
REMIC CERTIFICATES
AI ( $ 5,769,231 A (TAC/Accretion Directed Class)
( 769,230 AC (TAC/Accretion Directed Class)
( ------------
( $ 6,538,461
============
PI ( $ 15,651,077 PB (PAC Class)
( 3,749,353 PC (PAC Class)
( ------------
( $ 19,400,430
============
PK ( $ 5,763,750 PE (PAC Class)
( 5,151,875 PL (PAC Class)
( ------------
( $ 10,915,625
============
PY $ 6,666,666 PR (PAC Class)
SB $100,457,000 F (PAC Class)
SD $147,951,000 FD (Support Class)
ST $100,457,000 F (PAC Class)
MACR CLASS
S ( $100,457,000 F (PAC Class)
( 147,951,000 FD (Support Class)
( ------------
( $248,408,000
============
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
COMPONENTS
<TABLE>
<CAPTION>
ORIGINAL
DESIGNATION PRINCIPAL AMOUNT PRINCIPAL TYPE*
- ----------- ---------------- ---------------
<S> <C> <C>
ZD-1 $ 3,554,000 TAC
ZD-2 4,045,000 TAC
-----------
$ 7,599,000
===========
</TABLE>
---------------------------------
* See "Description of Securities -- Standard Definitions and
Abbreviations for Classes" in the Offering Circular.
See "Payments -- Principal -- Component Class" in this Supplement.
S-32
<PAGE> 396
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
ACCRETION ( - The "Z Accrual Amount" for that Payment Date to A, AC and AG, pro
DIRECTED ( rata, until reduced to their "Aggregate Targeted Balance" for that
AND ( Payment Date, and then to Z
ACCRUAL (
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
PAC ( 1. Beginning November 15, 1999, to PA, PB and PC, in that order, until
( reduced to their Aggregate Targeted Balance for that Payment Date
2. Concurrently:
(a) 98.7684486422% as follows:
TAC ( (i) To A, AC and AG, pro rata, until reduced to their Aggregate
( Targeted Balance for that Payment Date
SUPPORT ( (ii) To Z, until retired
TAC ( (iii) To A, AC and AG, pro rata, until retired
SUPPORT ( (b) 1.2315513578% to J, until retired
PAC 3. To PA, PB and PC, in that order, until retired
ACCRETION ( - The "ZB Accrual Amount" for that Payment Date to B, until reduced to
DIRECTED ( its "Higher Targeted Balance" for that Payment Date, and then to ZB
AND (
ACCRUAL (
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning September 15, 2000, to the Group 2 PAC Classes, until
( reduced to their Aggregate Targeted Balance for that Payment Date,
( allocated as follows:
(
( (a) Concurrently:
PAC (
( (i) 65.9591308554% to PE and PM, in that order, while outstanding
(
( (ii) 34.0408691446% to PL and PM, in that order, while outstanding
(
( (b) To PH and PJ, in that order
SCHEDULED ( 2. To B, until reduced to its Higher Targeted Balance for that Payment
( Date
TAC ( 3. To ZB, until reduced to its "Targeted Balance" for that Payment Date
SCHEDULED ( 4. To B, until reduced to its "Lower Targeted Balance" for that Payment
( Date
SUPPORT ( 5. To CA, CB, FC, FE, SC, SE and UU, pro rata, until retired
TAC ( 6. To ZB, until retired
SCHEDULED ( 7. To B, until retired
PAC ( 8. To the Group 2 PAC Classes as described in step 1 above, but without
regard to their Aggregate Targeted Balance, until retired
</TABLE>
S-33
<PAGE> 397
<TABLE>
<S> <C>
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
PAC ( 1. To F and PD, in that order, until reduced to their Aggregate
( Targeted Balance for that Payment Date
SUPPORT ( 2. To FD, until retired
PAC ( 3. To F and PD, in that order, until retired
ACCRETION ( - The "PZ Accrual Amount" for that Payment Date to PV and PW, in that
DIRECTED ( order, until retired, and then to PZ
AND (
ACCRUAL (
ACCRETION ( - The "ZD-1 Accrual Amount" for that Payment Date to D, until reduced to
DIRECTED ( its Higher Targeted Balance for that Payment Date, and then to ZD-1
AND
ACCRUAL
ACCRETION ( - The "ZD-2 Accrual Amount" for that Payment Date to G, until reduced to
DIRECTED ( its Higher Targeted Balance for that Payment Date, and then to ZD-2
AND (
ACCRUAL (
- The "Group 4 Asset Principal Amount" for that Payment Date to the
Classes and Components shown below in the following order of priority:
PAC ( 1. Beginning September 15, 2000, to PR, PN, PX, PV, PW and PZ, in that
( order, until reduced to their Aggregate Targeted Balance for that
( Payment Date
2. Concurrently:
(a) 45.2486172490% as follows:
SCHEDULED ( (i) To D, until reduced to its Higher Targeted Balance for that
( Payment Date
TAC ( (ii) To ZD-1, until reduced to its Targeted Balance for that Payment
( Date
SCHEDULED ( (iii) To D, until reduced to its Lower Targeted Balance for that
( Payment Date
SUPPORT ( (iv) To FK and SK, pro rata, until $15,536,000 has been paid
( pursuant to this clause
TAC ( (v) To ZD-1, until retired
SCHEDULED ( (vi) To D, until retired
(b) 54.7513827510% as follows:
SCHEDULED ( (i) To G, until reduced to its Higher Targeted Balance for that
( Payment Date
TAC ( (ii) To ZD-2, until reduced to its Targeted Balance for that Payment
( Date
SCHEDULED ( (iii) To G, until reduced to its Lower Targeted Balance for that
( Payment Date
SUPPORT ( (iv) To FK and SK, pro rata, until $15,216,000 has been paid
( pursuant to this clause
TAC ( (v) To ZD-2, until retired
SCHEDULED ( (vi) To G, until retired
PAC ( 3. To PR, PN, PX, PV, PW and PZ, in that order, until retired
</TABLE>
S-34
<PAGE> 398
The Aggregate Targeted Balances and Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges or rates:
<TABLE>
<CAPTION>
CLASS OR COMPONENT STRUCTURING RANGE OR RATE
------------------ -------------------------
<S> <C>
GROUP 1
PAC
PA, PB and PC............................................. 100% PSA - 250% PSA
TAC
A, AC and AG.............................................. 119% PSA
GROUP 2
PAC
PE, PH, PJ, PL and PM..................................... 100% PSA - 250% PSA
Scheduled
B (Higher)................................................ 116% PSA
B (Lower)................................................. 166% PSA
TAC
ZB........................................................ 225% PSA
GROUP 3
PAC
F and PD.................................................. 100% PSA - 600% PSA
GROUP 4
PAC
PN, PR, PV, PW, PX and PZ................................. 100% PSA - 250% PSA
Scheduled
D (Higher)................................................ 112% PSA
D (Lower)................................................. 165% PSA
G (Higher)................................................ 113% PSA
G (Lower)................................................. 164% PSA
TAC
ZD-1...................................................... 225% PSA
ZD-2...................................................... 225% PSA
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments will be allocated from
the applicable Class or Classes of REMIC Certificates to the related MACR Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASS
The UU Class will be a Retail Class. Investors in the Retail Class will
receive principal payments in $1,000 "Retail Class Units," subject to the
priorities, limitations and allocations described under "Payments -- Retail
Class Principal Payments" in this Supplement. Also see "Prepayment and Yield
Analysis -- Prepayment and Weighted Average Life Considerations -- Retail Class"
in this Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to
S-35
<PAGE> 399
transfer restrictions. See "Certain Federal Income Tax Consequences" in this
Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 215% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A, AC and AG.................. 17.5 8.7 4.0 3.0 1.3
J............................. 21.5 10.2 3.7 2.7 1.2
PA............................ 1.8 1.1 1.1 1.1 1.1
PB............................ 10.5 3.6 3.6 3.6 2.6
PC............................ 17.5 6.8 6.8 6.8 3.8
Z............................. 23.9 14.1 0.8 0.6 0.3
Group 1 Asset................. 16.2 6.9 4.0 3.5 2.1
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 166% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
B............................. 21.3 9.7 3.6 3.2 1.6
CA, CB, FC, FE, SC, SE and
UU**........................ 29.3 25.5 19.4 2.4 1.0
PE............................ 10.2 3.6 3.6 3.6 2.7
PH............................ 22.2 11.0 11.0 11.0 5.9
PJ............................ 25.1 20.0 20.0 20.0 11.0
PL............................ 11.1 3.9 3.9 3.9 2.9
PM............................ 18.0 6.8 6.8 6.8 3.9
ZB............................ 28.0 19.8 1.1 0.6 0.6
Group 2 Assets................ 20.8 11.3 8.5 6.4 3.6
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
----------------------------------
0% 100% 550% 600% 1,110%
-- ---- ---- ---- ------
<S> <C> <C> <C> <C> <C>
F............................. 14.8 3.5 3.5 3.5 1.7
FD............................ 26.6 15.5 1.7 1.3 0.5
PD............................ 21.9 13.1 13.1 13.1 5.6
Group 3 Assets................ 21.8 10.7 2.5 2.3 1.0
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate, and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
** The weighted average lives shown in the table for the Retail Class
apply to that Class as a whole and are not likely to reflect the
experience of any Retail Class investor. Because Retail Class
investors will receive principal payments subject to the
priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among
different investors.
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 165% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
D............................. 20.2 9.3 4.0 3.3 1.6
FK, K and SK.................. 29.4 26.0 20.4 2.2 0.9
G............................. 21.1 10.2 5.0 3.3 1.6
PN............................ 18.4 7.0 7.0 7.0 4.0
PR and PT..................... 11.1 3.9 3.9 3.9 2.9
PV............................ 6.0 6.0 6.0 6.0 5.7
PW............................ 13.5 13.5 13.5 13.5 9.1
PX............................ 22.1 11.0 11.0 11.0 5.9
PZ............................ 25.1 20.0 20.0 20.0 12.1
ZD............................ 28.0 20.5 1.2 0.7 0.7
Group 4 Assets................ 20.8 11.3 8.5 6.4 3.6
</TABLE>
S-36
<PAGE> 400
THE ASSETS
The Group 1 Asset will have the following characteristics:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT IN
PERCENTAGE OF CLASS LOWER-TIER
IN LOWER-TIER REMIC POOL NOVEMBER 1998 CLASS PRINCIPAL TYPE/ FINAL PAYMENT
CLASS REMIC POOL AS OF CLOSING DATE CLASS FACTOR COUPON INTEREST TYPE(1) DATE
- ----- ------------------- ------------------- ------------- ------ ---------------- -------------
<S> <C> <C> <C> <C> <C> <C>
2083-A 58.6788487412 % $325,192,837 0.9746672 6.5% SEQ/FIX February 15, 2025
</TABLE>
- ---------------
(1) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
The Group 2 Assets will consist of $454,545,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Assets will consist of $250,000,000 of Freddie Mac 8.0% per
annum 30-year PCs.
The Group 4 Assets will consist of $300,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The assets of this Series will also include a non-interest bearing cash
deposit of $999.99 to be used for principal payments on the Retail Class as
described in this Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement and Exhibit I to this Supplement.
MORTGAGE CHARACTERISTICS (AS OF NOVEMBER 1, 1998)
GROUP 1 -- MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
WEIGHTED AVERAGE
REMAINING TERM WEIGHTED AVERAGE WEIGHTED AVERAGE PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE OF
(IN MONTHS) (IN MONTHS) INTEREST RATE RELATED PCS
- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
352 6 7.172% 6.5%
</TABLE>
GROUP 2, GROUP 3 AND GROUP 4 -- ASSUMED MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
ASSET TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
2 $454,545,000 357 3 6.75% 6.0%
3 250,000,000 335 22 8.5 8.0
4 300,000,000 357 3 6.75 6.0
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-37
<PAGE> 401
EXHIBIT II -- SERIES 2095 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,241,500,000
FREDDIE MAC (FREDDIE MAC LOGO)
MULTICLASS REMIC CERTIFICATES AND MODIFIABLE AND
COMBINABLE REMIC CERTIFICATES, SERIES 2095
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Class shown on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: One Group of Freddie Mac 6.0% PCs (Gold PCs and Gold Giant
PCs), one Group of Freddie Mac 6.5% Stripped Giant PCs and
one Group of Freddie Mac 6.5% PCs and 6.25% Stripped Giant
PCs
Payment Dates: Monthly, beginning December 15, 1998
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Credit Suisse First Boston Corporation (the
"Underwriter")
Closing Date: November 30, 1998
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ORIGINAL WEIGHTED
PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CLASS AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
----- --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
A ................... $232,266,000 SCH/AD 6.0% FIX 3133TG V Y 2 September 15, 2026 4.5Yrs
F ................... 24,655,764 TAC/AD (5) FLT 3133TG W 4 7 November 15, 2026 6.5
FA .................. 18,000,000 SUP/AD (5) FLT 3133TG W 5 4 September 15, 2026 4.2
FM................... 2,025,000 SUP/AD (5) FLT/DLY 3133TG W 6 2 November 15, 2026 14.6
J ................... 1,992,888 SUP/AD 6.75 FIX 3133TG W 8 8 November 15, 2026 14.6
PA .................. 68,444,000 PAC 5.5 FIX 3133TG W 9 6 January 15, 2010 2.5
PB .................. 46,764,000 PAC 5.5 FIX 3133TG W A 3 October 15, 2013 3.5
PD .................. 187,504,000 PAC 6.0 FIX 3133TG W B 1 August 15, 2027 10.9
PG .................. 83,844,000 PAC 6.0 FIX 3133TG W D 7 May 15, 2019 4.9
PI .................. 9,600,666 NTL(PAC) 6.0 FIX/IO 3133TG W E 5 October 15, 2013 --
PK .................. 6,461,000 PAC 6.0 FIX 3133TG W F 2 September 15, 2015 4.2
PL .................. 48,827,000 PAC 6.0 FIX 3133TG W G 0 September 15, 2020 6.0
PM................... 59,631,000 PAC 6.0 FIX 3133TG W H 8 October 15, 2022 7.4
PO .................. 3,549,112 SUP/AD 0.0 PO 3133TG W J 4 November 15, 2026 5.8
PZ .................. 26,593,000 PAC 6.0 FIX/Z 3133TG W K 1 November 15, 2028 19.4
S ................... 10,273,236 TAC/AD (5) INV 3133TG W N 5 November 15, 2026 6.5
SA .................. 2,100,000 SUP/AD (5) INV 3133TG W P 0 September 15, 2026 4.2
SB .................. 857,142 SUP/AD (5) INV 3133TG W Q 8 September 15, 2026 4.2
SC .................. 3,042,858 SUP/AD (5) INV 3133TG W R 6 September 15, 2026 4.2
</TABLE>
<TABLE>
<CAPTION>
ORIGINAL WEIGHTED
PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CLASS AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
----- --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
SM................... $ 375,000 SUP/AD (5) INV/DLY 3133TG W S 4 November 15, 2026 14.6Yrs
VA .................. 10,364,000 AD 6.0% FIX 3133TGWW5 May 15, 2004 2.9
VB .................. 28,631,000 AD 6.0 FIX 3133TG W X 3 December 15, 2013 10.7
Z ................... 5,000,000 SUP 6.0 FIX/Z 3133TG W Y 1 November 15, 2026 1.0
ZA .................. 28,800,000 SUP 6.0 FIX/Z 3133TG W Z 8 November 15, 2028 21.0
GROUP 2
G ................... 89,789,000 PAC II/AD 6.5 FIX 3133TG W 7 0 November 15, 2028 2.8
TA .................. 62,421,000 PAC I 5.5 FIX 3133TG W T 2 November 15, 2024 3.7
TB .................. 31,978,000 PAC I 6.5 FIX 3133TG W U 9 November 15, 2028 9.0
TI .................. 8,917,285 NTL(PAC I) 7.0 FIX/IO 3133TG W V 7 November 15, 2024 --
ZC .................. 10,812,000 SUP 6.5 FIX/Z 3133TG X 2 0 May 15, 2024 0.9
ZD .................. 10,000,000 SUP 6.5 FIX/Z 3133TG X 3 8 April 15, 2027 5.7
ZE .................. 5,000,000 SUP 6.5 FIX/Z 3133TG X 4 6 November 15, 2028 17.1
GROUP 3
CA .................. 100,000,000 SEQ 6.25 FIX 3133TG V Z 9 February 15, 2026 4.1
CB .................. 31,500,000 SEQ 6.25 FIX 3133TG W 2 1 November 15, 2028 15.3
CI .................. 2,326,923 NTL(PT) 6.5 FIX/IO 3133TG W 3 9 November 15, 2028 --
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TG W L 9 November 15, 2028 --
RS .................. 0 NPR 0.0 NPR 3133TG W M 7 November 15, 2028 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which the PI and
TI Classes will reduce is indicated in parentheses. The CI Class will reduce
with certain of the Group 3 Assets.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 175% PSA for the Group 1
Classes, 300% PSA for the Group 2 Classes and 210% PSA for the Group 3
Classes. Prepayments will not occur at the rates assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
----------------------------
CREDIT SUISSE FIRST BOSTON
OFFERING CIRCULAR SUPPLEMENT DATED OCTOBER 20, 1998
S-38
<PAGE> 402
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of a Class (the "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Class and the "Combination" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount of the Securities submitted for exchange (but not less than
$5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The PO Class will be a Principal Only Class and will not bear interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
---------------------------
CLASS INITIAL RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- --------------- -------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
F........................... 5.975% LIBOR + 0.60% 0.60% 8.5%
FA.......................... 5.7 LIBOR + 0.45% 0.45 9.0
FM(3)....................... 6.1697 LIBOR + 0.95% 0.95 8.0
S........................... 6.060 18.96% - (LIBOR X 2.4) 0 18.96
SA.......................... 9.0 73.285714% - (LIBOR X 8.5714286) 0 9.0
SB.......................... 10.5 157.5% - (LIBOR X 21) 0 10.5
SC.......................... 10.3521 41.408439% - (LIBOR X 5.9154913) 0 41.408439
SM(3)....................... 9.88362 38.07% - (LIBOR X 5.4) 0 38.07
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- -----------------------------------------
<S> <C> <C>
CI $2,326,923 Group 3 Assets that are 6.5% PCs
PI $9,600,666 PA and PB, in the aggregate (PAC Classes)
TI $8,917,285 TA (Type I PAC Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-39
<PAGE> 403
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
ACCRETION ( - The "PZ Accrual Amount" for that Payment Date to VA and VB, in that
DIRECTED ( order, until retired, and then to PZ
AND (
ACCRUAL ( - The "Z Accrual Amount" for that Payment Date to F and S, pro rata,
( until reduced to their "Targeted Balances" for that Payment Date, and
( then to Z
- The "ZA Accrual Amount" for that Payment Date to the Classes shown
below in the following order of priority:
( 1. To A, until reduced to its Targeted Balance for that Payment Date
(
( 2. Concurrently:
(
( (a) 55.5564831434% as follows:
(
( (i) To F and S, pro rata, until reduced to their Targeted Balances
ACCRETION ( for that Payment Date
DIRECTED (
( (ii) To Z, until retired
(
( (iii) To F and S, pro rata, until retired
(
( (b) 4.9381697764% to PO, until retired
(
( (c) 39.5053470802% as follows:
(
( (i) To FA, SA, SB and SC, pro rata, until retired
(
( (ii) To FM, J and SM, pro rata, until retired
(
( 3. To A, until retired
ACCRUAL ( 4. To ZA
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning November 15, 2000, to the PAC Classes, until reduced to
( their Targeted Balances for that Payment Date, allocated as follows:
(
( (a) To PA and PB, in that order
PAC (
( (b) Concurrently, 79.1600970571% to PG and 20.8399029429% to PK and
( PL, in that order, while PG is outstanding
(
( (c) To PL and PM, in that order
(
( (d) To PD and PZ, in that order
SCHEDULED ( 2. To A, until reduced to its Targeted Balance for that Payment Date
3. Concurrently:
(a) 55.5564831434% as follows:
TAC ( (i) To F and S, pro rata, until reduced to their Targeted Balances
( for that Payment Date
SUPPORT ( (ii) To Z, until retired
TAC ( (iii) To F and S, pro rata, until retired
</TABLE>
S-40
<PAGE> 404
<TABLE>
<S> <C>
( (b) 4.9381697764% to PO, until retired
(
( (c) 39.5053470802% as follows:
SUPPORT (
( (i) To FA, SA, SB and SC, pro rata, until retired
(
( (ii) To FM, J and SM, pro rata, until retired
SCHEDULED ( 4. To A, until retired
SUPPORT ( 5. To ZA, until retired
PAC AND ( 6. To the PAC Classes as described in step 1 above, but without regard
ACCRETION ( to their Targeted Balances, until PD is retired
DIRECTED (
( 7. To VA, VB and PZ, in that order, until retired
- The "ZC/ZD/ZE Accrual Amount" for that Payment Date to the Classes
shown below in the following order of priority:
ACCRETION ( 1. To G, until reduced to its Targeted Balance for that Payment Date
DIRECTED (
ACCRUAL ( 2. To ZC and ZD, in that order, until retired
(
( 3. To ZE
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
TYPE I ( 1. Beginning March 15, 2000, to TA and TB, in that order, until reduced
PAC ( to their Targeted Balances for that Payment Date
TYPE II ( 2. To G, until reduced to its Targeted Balance for that Payment Date
PAC (
SUPPORT ( 3. To ZC, ZD and ZE, in that order, until retired
TYPE II ( 4. To G, until retired
PAC (
TYPE I ( 5. To TA and TB, in that order, until retired
PAC (
SEQUENTIAL ( - The "Group 3 Asset Principal Amount" for that Payment Date to CA and
PAY ( CB, in that order, until retired
</TABLE>
The Targeted Balances (shown under "Payments -- Principal -- Targeted
Balances Schedules" in this Supplement) were structured using, among other
things, the following structuring ranges and rate:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE OR RATE
----- -------------------------
<S> <C>
GROUP 1
PAC
PA, PB, PD, PG, PK, PL, PM and PZ...................... 100% PSA - 250% PSA
Scheduled
A...................................................... 145% PSA - 175% PSA
TAC
F and S................................................ 150% PSA
GROUP 2
Type I PAC
TA and TB.............................................. 100% PSA - 400% PSA
Type II PAC
G...................................................... 255% PSA - 330% PSA
</TABLE>
S-41
<PAGE> 405
MACR CLASS
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, the net reduction in the aggregate
principal amount of the applicable Classes of REMIC Certificates will be
allocated to the MACR Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 175% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 20.1 9.7 4.5 2.5 1.5
F and S....................... 21.3 16.9 6.5 1.6 0.7
FA, SA, SB and SC............. 27.4 19.8 4.2 1.3 0.6
FM, J and SM.................. 27.9 21.5 14.6 2.3 1.1
PA............................ 5.6 2.5 2.5 2.5 2.4
PB............................ 10.2 3.5 3.5 3.5 2.7
PD............................ 22.0 10.9 10.9 10.9 5.9
PE............................ 24.9 19.4 19.4 19.4 10.7
PG............................ 14.2 4.9 4.9 4.9 3.2
PK............................ 12.5 4.2 4.2 4.2 3.0
PL............................ 16.4 6.0 6.0 6.0 3.6
PM............................ 18.7 7.4 7.4 7.4 4.2
PO............................ 27.5 20.0 5.8 1.5 0.7
PZ............................ 24.9 19.4 19.4 19.4 11.6
VA............................ 2.9 2.9 2.9 2.9 2.9
VB............................ 10.7 10.7 10.7 10.7 8.2
Z............................. 27.7 21.0 1.0 0.4 0.2
ZA............................ 29.0 25.6 21.0 6.4 2.3
Group 1 Assets................ 20.8 11.3 8.2 6.4 3.6
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-42
<PAGE> 406
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 300% 400% 600%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
G............................. 13.9 7.6 2.8 2.2 1.0
TA............................ 12.3 3.7 3.7 3.7 2.7
TB............................ 20.7 9.0 9.0 9.0 6.3
ZC............................ 24.1 15.5 0.9 0.3 0.1
ZD............................ 27.0 19.5 5.7 0.9 0.4
ZE............................ 29.2 24.6 17.1 1.5 0.5
Group 2 Assets................ 21.3 10.3 4.7 3.5 2.2
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 210% 350% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
CA............................ 18.6 7.3 4.1 2.7 1.9
CB............................ 28.7 22.2 15.3 10.0 7.0
Group 3 Assets................ 21.0 10.9 6.8 4.4 3.2
</TABLE>
THE ASSETS
The Group 1 Assets will consist of $900,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $210,000,000 of Freddie Mac Stripped
Giant Mortgage Participation Certificates ("Stripped Giant PCs") with a weighted
average interest rate of 6.5% at all times, backed by Freddie Mac 7.0% PCs. Of
such Stripped Giant PCs, approximately $70,000,000 will be from Freddie Mac's
Gold MACS (Modifiable And Combinable Securities), Series 177 ("Series 177"), or
will be equivalent Stripped Giant PCs from another Series, and approximately
$140,000,000 will be from Freddie Mac's Gold MACS, Series 183 ("Series 183"), or
will be equivalent Stripped Giant PCs from another Series. In any event, the
Stripped Giant PCs will total $210,000,000.
The Group 3 Assets will consist of $60,500,000 of Freddie Mac 6.5% per
annum 30-year PCs and $71,000,000 of Stripped Giant PCs, with a weighted average
interest rate of 6.25% at all times, backed by Freddie Mac 6.5% PCs. Such
Stripped Giant PCs will be issued as part of Freddie Mac's Gold MACS, Series 192
("Series 192"), or will be equivalent Stripped Giant PCs from another Series.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF NOVEMBER 1, 1998)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
PRINCIPAL TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ------------ -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $900,000,000 357 3 6.82% 6.0%
2 ( $ 70,000,000 321 31 7.544 7.0*
( 140,000,000 332 21 7.638 7.0*
( ------------
( $210,000,000
============
3 ( $ 60,500,000 345 11 7.237 6.5
( 71,000,000 345 11 7.237 6.5**
( ------------
( $131,500,000
============
</TABLE>
-----------------------
* The Stripped Giant PCs constituting the Group 2 Assets have a weighted
average interest rate of 6.5%.
** The Stripped Giant PCs included in the Group 3 Assets have a weighted
average interest rate of 6.25%.
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-43
<PAGE> 407
EXHIBIT III -- SERIES 2116 OFFERING CIRCULAR SUPPLEMENT COVER PAGE, TERMS SHEET
AND MACR TABLE
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$2,818,500,000
FREDDIE MAC (FREDDIE MAC LOGO)
MULTICLASS REMIC CERTIFICATES AND MODIFIABLE AND
COMBINABLE REMIC CERTIFICATES, SERIES 2116
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: One Group of Freddie Mac 6.0% PCs (Gold PCs and Gold Giant
PCs), one Group of Freddie Mac 7.0% PCs and/or Freddie Mac
7.0% Stripped Giant PCs and one Group of Freddie Mac 6.5%
PCs
Payment Dates: Monthly, beginning in February 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Credit Suisse First Boston Corporation (the
"Underwriter")
Closing Date: January 29, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
A ................... $1,162,362,000 SEQ 5.75% FIX 3133TH S V 0 April 15, 2023 3.9Yrs
AI .................. 48,431,750 NTL(SEQ) 6.0 FIX/IO 3133TH S W 8 April 15, 2023 --
B ................... 212,190,000 SEQ 6.0 FIX 3133TH S X 6 January 15, 2025 9.2
D ................... 207,650,000 SEQ 6.0 FIX 3133TH S Y 4 July 15, 2026 11.8
VA .................. 132,000,000 AD/SEQ 6.0 FIX 3133TH T F 4 January 15, 2009 5.5
VB .................. 74,000,000 AD/SEQ 6.0 FIX 3133TH T G 2 October 15, 2012 11.9
VC .................. 49,798,000 AD/SEQ 6.0 FIX 3133TH T H 0 November 15, 2014 13.8
Z ................... 12,000,000 SEQ 6.0 FIX/Z 3133TH T L 1 March 15, 2016 14.3
ZA .................. 150,000,000 SEQ 6.0 FIX/Z 3133THTM9 January 15, 2029 19.9
GROUP 2
G ................... 183,000,000 SCH/AD 6.25 FIX 3133TH S Z 1 January 15, 2029 3.9
GA .................. 64,421,000 SCH/AD 6.15 FIX 3133TH T 2 3 January 15, 2029 3.9
GI .................. 920,300 NTL(SCH/AD) 7.0 FIX/IO 3133TH Z R 1 January 15, 2029 --
IO .................. 68,625,000 NTL(PT) 7.0 FIX/IO 3133TH T 3 1 January 15, 2029 --
MA................... 105,706,000 PAC 5.5 FIX 3133TH T 8 0 May 15, 2019 2.9
MB .................. 60,305,000 PAC 5.5 FIX 3133TH T 9 8 June 15, 2023 5.1
TB .................. 132,878,000 PAC 6.25 FIX 3133TH T D 9 January 15, 2029 8.8Yrs
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
TI .................. $ 17,786,892 NTL(PAC) 7.0% FIX/IO 3133TH T E 7 June 15, 2023 --
ZB .................. 23,590,000 SUP 6.25 FIX/Z 3133TH T N 7 September 15, 2022 0.9
ZC .................. 23,000,000 SCH 6.25 FIX/Z 3133TH T P 2 January 15, 2029 3.4
ZD .................. 24,600,000 SUP 6.25 FIX/Z 3133TH T Q 0 January 15, 2029 18.0
ZF .................. 23,000,000 SCH 6.25 FIX/Z 3133TH T R 8 January 15, 2029 3.4
GROUP 3
J ................... 125,000,000 SEQ 6.0 FIX 3133TH T 4 9 June 15, 2025 4.4
JI .................. 9,615,384 NTL(SEQ) 6.5 FIX/IO 3133TH T 5 6 June 15, 2025 --
K ................... 17,400,000 SEQ 6.5 FIX 3133TH T 6 4 October 15, 2026 10.7
VD .................. 6,810,000 AD/SEQ 6.5 FIX 3133TH T J 6 June 15, 2005 3.4
VE .................. 15,440,000 AD/SEQ 6.5 FIX 3133TH T K 3 March 15, 2014 10.7
ZG .................. 13,350,000 SEQ 6.5 FIX/Z 3133TH T S 6 January 15, 2029 18.2
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TH T A 5 January 15, 2029 --
RS .................. 0 NPR 0.0 NPR 3133TH T B 3 January 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class (other than the IO Class) will reduce is indicated in parentheses. The
IO Class will reduce with the Group 2 Assets.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 165% PSA for the Group 1
Classes, 290% PSA for the Group 2 Classes and 200% PSA for the Group 3
Classes. Prepayments will not occur at the rates assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown.
------------------------
CREDIT SUISSE FIRST BOSTON
OFFERING CIRCULAR SUPPLEMENT DATED DECEMBER 10, 1998
S-44
<PAGE> 408
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Classes and the "Combinations" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount of the Securities submitted for exchange (but not less than
$5,000).
CLASS COUPONS
The Classes will bear interest at the Class Coupons shown on the cover page
of this Supplement and on Appendix 1 to this Supplement.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- -----------------------------------------
<S> <C> <C>
AI $48,431,750 A (Sequential Pay Class)
GI $ 920,300 GA (Scheduled/Accretion Directed Class)
IO $68,625,000 Group 2 Assets
JI $ 9,615,384 J (Sequential Pay Class)
TI $17,786,892 MA and MB, in the aggregate (PAC Classes)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
ACCRETION ( - The "Z Accrual Amount" for that Payment Date to VA, VB and VC, in that
DIRECTED ( order, until retired, and then to Z
AND ACCRUAL ( - The "ZA Accrual Amount" for that Payment Date to VA, VB, VC and Z, in
( that order, until retired, and then to ZA
SEQUENTIAL ( - The "Group 1 Asset Principal Amount" for that Payment Date to A, B, D,
PAY ( VC, VA, VB, Z and ZA, in that order, until retired
</TABLE>
S-45
<PAGE> 409
<TABLE>
<S> <C>
- The "ZB Accrual Amount," "ZC Accrual Amount," "ZD Accrual Amount" and
"ZF Accrual Amount" for that Payment Date to the Classes shown below in
the following order of priority:
( 1. To G and GA, pro rata, until reduced to their "Targeted Balances"
ACCRETION ( for that Payment Date
DIRECTED ( 2. To ZB, until retired
AND ACCRUAL ( 3. To ZC and ZF, pro rata, until retired
( 4. To ZD
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
PAC ( 1. Beginning September 15, 2000, to MA, MB and TB, in that order, until
reduced to their Targeted Balances for that Payment Date
SCHEDULED ( 2. To G and GA, pro rata, until reduced to their Targeted Balances for
( that Payment Date
SUPPORT ( 3. To ZB, until retired
SCHEDULED ( 4. To ZC and ZF, pro rata, until reduced to their Targeted Balances for
( that Payment Date
SUPPORT ( 5. To ZD, until retired
( 6. To ZC and ZF, pro rata, until retired
SCHEDULED (
( 7. To G and GA, pro rata, until retired
PAC ( 8. To MA, MB and TB, in that order, until retired
ACCRETION ( - The "ZG Accrual Amount" for that Payment Date to VD and VE, in that
DIRECTED ( order, until retired, and then to ZG
AND ACCRUAL (
SEQUENTIAL ( - The "Group 3 Asset Principal Amount" for that Payment Date to J, K,
PAY ( VD, VE and ZG, in that order, until retired
</TABLE>
The Targeted Balances (shown under "Payments -- Principal -- Targeted
Balances Schedules" in this Supplement) were structured using, among other
things, the following structuring ranges:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE
----- -----------------
<S> <C>
PAC Classes................................................. 100% PSA - 400% PSA
G and GA.................................................... 230% PSA - 290% PSA
ZC and ZF................................................... *
</TABLE>
-------------------------
* The ZC and ZF Classes were not structured at any constant percentage
of PSA and do not adhere to their schedules at any constant
percentage of PSA. See "Prepayment and Yield Analysis -- Prepayment
and Weighted Average Life Considerations -- PAC and Scheduled
Classes" in this Supplement.
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments (or, in the case of
Combination 2, the net reduction in the aggregate principal amount) will be
allocated from the applicable Classes of REMIC Certificates to the related MACR
Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
S-46
<PAGE> 410
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 165% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 16.0 5.6 3.9 2.6 1.8
B............................. 25.1 13.1 9.2 5.6 3.7
D............................. 26.8 16.5 11.8 7.2 4.6
VA............................ 5.5 5.5 5.5 5.4 4.4
VB............................ 11.9 11.9 11.9 9.4 6.3
VC............................ 14.8 14.8 13.8 8.5 5.3
Z............................. 16.5 16.5 14.3 10.0 6.7
ZA............................ 28.8 23.4 19.9 14.3 9.5
Group 1 Assets................ 20.8 11.2 8.5 5.5 3.6
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 290% 400% 600%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
G and GA...................... 12.0 7.8 3.9 3.3 1.8
MA............................ 9.1 2.9 2.9 2.9 2.7
MB............................ 16.0 5.1 5.1 5.1 3.9
TA............................ 11.6 3.7 3.7 3.7 3.2
TB............................ 20.5 8.8 8.8 8.8 6.5
ZB............................ 22.4 14.7 0.9 0.5 0.3
ZC and ZF..................... 25.7 18.4 3.4 1.4 0.9
ZD............................ 28.9 25.2 18.0 2.3 1.3
Group 2 Assets................ 21.3 11.4 5.6 4.3 3.0
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 200% 350% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
J............................. 18.0 7.1 4.4 2.9 2.3
K............................. 27.1 17.2 10.7 6.7 4.9
L............................. 28.9 23.9 17.4 11.3 8.1
VD............................ 3.4 3.4 3.4 3.4 3.3
VE............................ 11.2 11.2 10.7 8.1 6.2
ZG............................ 28.9 23.9 18.2 12.8 9.5
Group 3 Assets................ 21.0 11.5 7.6 5.0 3.7
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-47
<PAGE> 411
THE ASSETS
The Group 1 Assets will consist of $2,000,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $640,500,000 of (i) Freddie Mac 7.0% per
annum 30-year PCs and/or (ii) Freddie Mac 7.0% Stripped Giant Mortgage
Participation Certificates ("Stripped Giant PCs"), backed by Freddie Mac 7.0%
PCs. Any Stripped Giant PCs will be from Freddie Mac's Gold MACS (Modifiable And
Combinable Securities), Series 198 ("Series 198") or a similar Series.
The Group 3 Assets will consist of $178,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF JANUARY 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
PRINCIPAL TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- -------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $2,000,000,000 355 4 6.75% 6.0%
2 640,500,000 355 5 7.53 7.0
3 178,000,000 357 2 7.15 6.5
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-48
<PAGE> 412
APPENDIX 1
AVAILABLE COMBINATIONS
<TABLE>
<CAPTION>
REMIC CERTIFICATES MACR CERTIFICATES
- ----------------------------------------------------------- -----------------------------------------------------------------
ORIGINAL PRINCIPAL MACR MAXIMUM ORIGINAL EXCHANGE PRINCIPAL OR CLASS
CLASS AMOUNT EXCHANGE PROPORTIONS(1) CLASS PRINCIPAL AMOUNT PROPORTIONS(1) OTHER TYPE(2) COUPON
----- ------------------ ----------------------- ----- ---------------- -------------- ------------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
COMBINATION 1
MA $105,706,000 63.6740938853% TA $166,011,000 100% PAC 5.5%
MB 60,305,000 36.3259061147
COMBINATION 2
VD $ 6,810,000 19.1292134831% L $ 35,600,000 100% SEQ 6.5%
VE 15,440,000 43.3707865169
ZG 13,350,000 37.5000000000
<CAPTION>
MACR CERTIFICATES
- ------------- -------------------------------------------------------------
INTEREST CUSIP WEIGHTED AVERAGE
CLASS TYPE(2) NUMBER FINAL PAYMENT DATE(3) LIFE(4)
----- -------- --------- --------------------- ----------------
<S> <C> <C> <C> <C>
COMBINATION 1
MA FIX 3133THTC1 June 15, 2023 3.7Yrs
MB
COMBINATION 2
VD FIX 3133THT 7 2 January 15, 2029 17.4Yrs
VE
ZG
</TABLE>
- ---------------
(1) Exchange proportions shown are constant proportions of the original
principal amounts of the Classes of REMIC Certificates or MACR Certificates.
In accordance with the exchange proportions, REMIC Certificates may be
exchanged for MACR Certificates, and vice versa.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 290% PSA for the TA Class
and 200% PSA for the L Class. Prepayments will not occur at the rates
assumed, and the actual weighted average lives of the MACR Classes may
differ significantly from those shown.
S-49
<PAGE> 413
EXHIBIT IV -- SERIES 2078 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,784,841,502
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2078
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Seven Asset Groups, consisting of one Group of Freddie Mac
6.5% 15-year PCs (Gold PCs and Gold Giant PCs), two Groups
of Freddie Mac 6.5% 30-year PCs, one Group of Freddie Mac
Stripped Giant PCs with a weighted average interest rate
of 6.592236%, two Groups of Freddie Mac Multiclass PCs and
one Group of Freddie Mac 6.25% 30-year PCs backed by
Relocation Mortgages
Payment Dates: Monthly, beginning September 15, 1998
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through PaineWebber Incorporated (the "Underwriter")
Closing Date: August 28, 1998
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
C ................... $ 89,094,504 SEG 6.5% FIX 3133TE X 8 2 August 15, 2013 3.5Yrs
CA .................. 357,496 SEG/LIQ 6.5 FIX 3133TE X 9 0 January 15, 2000 0.4
CB .................. 2,000,000 SEG 6.5 FIX 3133TE X A 7 August 15, 2013 4.1
PI .................. 11,021,769 NTL(PAC) 6.5 FIX/IO 3133TE Y B 4 June 15, 2012 --
PJ .................. 71,349,000 PAC 6.0 FIX 3133TE Y C 2 January 15, 2009 3.5
PK .................. 25,613,000 PAC 6.0 FIX 3133TE Y D 0 April 15, 2010 6.0
PL .................. 38,422,000 PAC 6.25 FIX 3133TE Y E 8 June 15, 2012 8.0
PM .................. 34,054,000 PAC 6.5 FIX 3133TE Y F 5 August 15, 2013 11.8
PQ .................. 20,000,000 PAC 6.0 FIX 3133TE Y H 1 July 15, 2007 3.0
PR .................. 7,110,000 PAC 6.0 FIX 3133TE Y J 7 January 15, 2009 4.9
PS .................. 12,000,000 PAC 6.5 FIX 3133TE Y K 4 June 15, 2012 8.0
GROUP 2
D ................... 105,000,000 SEQ 6.5 FIX 3133TE X B 5 February 15, 2025 4.8
DB .................. 5,223,888 SEQ 8.5 FIX 3133TE X C 3 February 15, 2025 4.8
DC .................. 41,791,112 SEQ 6.25 FIX 3133TE X D 1 February 15, 2025 4.8
E ................... 20,000,000 SEQ 6.5 FIX 3133TE X E 9 May 15, 2026 12.1
VA .................. 31,932,053 AD/SEQ 6.5 FIX 3133TE Z 9 8 December 15, 2019 11.4
Z ................... 10,737,361 SEQ 6.5 FIX/Z 3133TE Z A 5 August 15, 2028 20.9
GROUP 3
F ................... 44,176,447 SCH/SEG (5) FLT 3133TE X F 6 August 15, 2028 7.4
FI .................. 14,911,232 CPT/PAC II/SEG (5) FLT/DLY 3133TE X G 4 August 15, 2028 23.4
FV .................. 18,925,900 CPT/SCH/SEG (5) FLT/DLY 3133TEXM1 August 15, 2028 14.7
J ................... 39,303,600 CPT/TAC/SEG 6.5 FIX 3133TE X P 4 August 15, 2028 4.3
L ................... 80,000,000 CPT/TAC/SEG 6.5 FIX 3133TE X Y 5 August 15, 2028 3.9
N ................... 16,500,000 SCH/SEG 6.5 FIX 3133TE X Z 2 August 15, 2028 6.0
NA .................. 35,935,096 TAC/AD/SEG 6.5 FIX 3133TE Y 2 4 August 15, 2028 4.5
PA .................. 157,499,393 PAC I 6.0 FIX 3133TE Y 4 0 December 15, 2018 3.5
PB .................. 77,140,486 PAC I 6.0 FIX 3133TE Y 5 7 November 15, 2021 6.0
PC .................. 84,143,578 PAC I 6.25 FIX 3133TE Y 6 5 May 15, 2024 8.0
PD .................. 68,074,794 PAC I 6.25 FIX 3133TE Y 7 3 December 15, 2026 11.0
PE .................. 85,600,336 PAC I 6.5 FIX 3133TE Y 8 1 August 15, 2028 17.9
PF .................. 18,049,221 NTL(PAC I) 6.5 FIX/IO 3133TE Y 9 9 November 15, 2021 --
PG .................. 5,854,552 NTL(PAC I) 6.5 FIX/IO 3133TE Y A 6 December 15, 2026 --
PT .................. 40,311,000 PAC I 6.5 FIX 3133TE Y L 2 December 15, 2026 11.0
SA .................. 9,121,800 SCH/SEG (5) INV 3133TE Y U 2 August 15, 2028 4.6
SB .................. 4,470,953 SCH/SEG (5) INV 3133TE Y V 0 August 15, 2028 13.1
SI .................. 3,441,054 CPT/PAC II/SEG (5) INV/DLY 3133TEYW8 August 15, 2028 23.4
SV .................. 4,367,515 CPT/SCH/SEG (5) INV/DLY 3133TE Z 5 6 August 15, 2028 14.7
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
ZB .................. $ 4,950,000 SUP/SEG 6.5% FIX/Z 3133TE Z B 3 August 15, 2028 23.0Yrs
ZC .................. 1,800,000 SUP/SEG 6.5 FIX/Z 3133TE Z C 1 August 15, 2028 1.0
ZD .................. 8,951,335 SUP/SEG 6.5 FIX/Z 3133TE Z D 9 August 15, 2028 21.5
ZE .................. 6,754,960 SUP/SEG 6.5 FIX/Z 3133TE Z E 7 August 15, 2028 1.1
ZN .................. 242,493 TAC/SEG 6.5 FIX/Z 3133TE Z J 6 August 15, 2028 0.4
GROUP 4
FY .................. 7,572,856 SCH/SEG (5) FLT 3133TE X N 9 August 15, 2028 3.2
P ................... 5,330,849 CPT/TAC/SEG 7.0 FIX 3133TE Y 3 2 August 15, 2028 2.6
Q ................... 58,280,950 SCH/SEG 6.5 FIX 3133TEYM0 August 15, 2028 4.4
QJ .................. 8,667,441 NTL(PAC) 7.0 FIX/IO 3133TE Y N 8 August 15, 2028 --
QK .................. 84,654,000 PAC 6.0 FIX 3133TE Y P 3 February 15, 2021 3.7
QM................... 108,444,000 PAC 6.5 FIX 3133TE Y Q 1 May 15, 2028 10.9
QN .................. 5,795,000 PAC 6.5 FIX 3133TE Y R 9 August 15, 2028 24.3
SY .................. 2,330,110 SCH/SEG (5) INV 3133TE Z 7 2 August 15, 2028 3.2
U ................... 10,000,000 TAC/AD/SEG 7.0 FIX 3133TE Z 8 0 August 15, 2028 4.9
ZJ .................. 1,106,802 SUP 7.0 FIX/Z 3133TE Z F 4 August 15, 2028 19.2
ZK .................. 1,475,795 TAC/SEG 7.0 FIX/Z 3133TE Z G 2 August 15, 2028 1.4
ZL .................. 737,885 SCH/SEG 7.0 FIX/Z 3133TE Z H 0 August 15, 2028 1.0
ZO .................. 5,708,701 SUP 6.5 FIX/Z 3133TE Z K 3 August 15, 2028 19.6
ZP .................. 8,563,052 TAC/SEG 6.5 FIX/Z 3133TE Z L 1 August 15, 2028 1.2
GROUP 5
FQ .................. 6,198,165 SC/PT (5) FLT 3133TE X L 3 November 15, 2023 12.3
PO .................. 6,051,237 SC/PT 0.0 PO 3133TE Y G 3 November 15, 2023 12.3
SQ .................. 6,198,165 SC/NTL(PT) (5) INV/IO 3133TE Z 3 1 November 15, 2023 --
ST .................. 10,406,004 SC/NTL(PT) (5) INV/IO 3133TE Z 4 9 November 15, 2023 --
GROUP 6
FJ .................. 18,000,000 SC/SUP (5) FLT/DLY 3133TE X H 2 July 15, 2023 8.7
FK .................. 18,558,357 SC/SUP (5) FLT/DLY 3133TE X J 8 July 15, 2023 15.8
KC .................. 7,833,934 SC/SUP 0.0 PO 3133TE X T 6 July 15, 2023 12.3
KD .................. 28,893,423 SC/SCH 7.0 FIX 3133TE X U 3 July 15, 2023 15.8
SJ .................. 18,000,000 SC/NTL(SUP) (5) INV/IO/DLY 3133TE Y X 6 July 15, 2023 --
SK .................. 18,558,357 SC/NTL(SUP) (5) INV/IO/DLY 3133TE Y Y 4 July 15, 2023 --
GROUP 7
BA .................. 73,244,000 SEQ 6.25 FIX 3133TE X 6 6 December 15, 2027 4.5
BD .................. 4,756,000 SEQ 6.25 FIX 3133TE X 7 4 August 15, 2028 16.5
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TE Y S 7 August 15, 2028 --
RS .................. 0 NPR 0.0 NPR 3133TE Y T 5 August 15, 2028 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class (other than the SQ and ST Classes) will reduce is indicated in
parentheses. The SQ Class will reduce with two, and the ST Class will reduce
with one, of the Group 5 Assets.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 204% PSA for the Group 1
Classes, 168% PSA for the Group 2 Classes, 166% PSA for the Group 3 Classes,
209% PSA for the Group 4 Classes, 195% PSA for the Group 5 Classes, 210% PSA
for the Group 6 Classes and 325% PSA for the Group 7 Classes. Prepayments
will not occur at the rates assumed, and the actual weighted average lives
of the Classes may differ significantly from those shown.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
----------------------------
PAINEWEBBER INCORPORATED
JULY 14, 1998
S-50
<PAGE> 414
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates or, in some cases, for other related MACR Certificates. Appendix 1
to this Supplement shows the characteristics of the MACR Classes and the
"Combinations" of Classes of REMIC Certificates and MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange involving Combination 1, 2, 4, 5 or 6 will
equal 2/32 of 1% of the outstanding principal amount (exclusive of any notional
principal amount) of the Securities submitted for exchange (but not less than
$5,000). The fee payable to Freddie Mac in connection with each exchange
involving Combination 3 will equal 2/32 of 1% of the outstanding notional
principal amount of the Securities submitted for exchange (but not less than
$5,000 or more than $60,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement or Appendix 1 to this Supplement.
The PO and KC Classes will be Principal Only Classes and will not bear
interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
REMIC CERTIFICATES
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
F.................... 6.025% LIBOR + 0.40% 0.40% 8.5%
FI(3) and FV(3)...... 6.525 LIBOR + 0.90% 0.90 8.0
FJ(3) and FK(3)...... 6.35625 LIBOR + 0.70% 0.70 8.5
FQ and FY............ 6.125 LIBOR + 0.50% 0.50 8.5
SA and SB............ 8.04375 26.325% - (LIBOR X 3.25) 0 26.325
SI(3) and SV(3)...... 6.391667 30.766667% - (LIBOR X 4.333333) 0 30.766667
SJ(3) and SK(3)...... 2.14375 7.8% - LIBOR 0 7.8
SQ................... 2.375 8.0% - LIBOR 0 8.0
ST................... 1.3125 7.0% - LIBOR 0 7.0
SY................... 7.71875 26.0% - (LIBOR X 3.25) 0 26.0
</TABLE>
MACR CLASSES
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
FL(3)................ 6.35625% LIBOR + 0.70% 0.70% 8.5%
SL(3)................ 2.14375 7.8% - LIBOR 0 7.8
SM(3)................ 6.9671875 25.35% - (LIBOR X 3.25) 0 25.35
SX(3)................ 5.8953125 21.45% - (LIBOR X 2.75) 0 21.45
</TABLE>
-----------------------
(1) Initial Rate will be in effect during the first Accrual Period;
Class Coupon will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method" for the Classes
other than the ST Class and using the "LIBO Method" for the ST
Class. See "Description of Securities -- Interest Rate Indices" in
the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
S-51
<PAGE> 415
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- -------------------------------------------------
<S> <C> <C>
REMIC CERTIFICATES
( $ 9,544,000 PJ, PK, PQ and PR, in the aggregate (PAC Classes)
( 1,477,769 PL (PAC Class)
PI ( -----------
( $11,021,769
( ===========
</TABLE>
<TABLE>
<S> <C> <C>
PF $18,049,221 PA and PB, in the aggregate (Type I PAC Classes)
PG $ 5,854,552 PC and PD, in the aggregate (Type I PAC Classes)
( $ 7,162,163 QK (PAC Class)
( 1,505,278 QM and QN, in the aggregate (PAC Classes)
QJ ( -----------
( $ 8,667,441
( ===========
</TABLE>
<TABLE>
<S> <C> <C>
SJ $18,000,000 FJ (Support Class)
SK $18,558,357 FK (Support Class)
SQ $ 6,198,165 Group 5A Assets (1642-FE and 1642-SE Classes)
ST $10,406,004 Group 5B Assets (1642-SA Class)
MACR CLASSES
KB... $ 4,127,631 KD (Scheduled Class)
SL $36,558,357 FJ and FK, in the aggregate
(Support Classes)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
COMPONENTS
<TABLE>
<CAPTION>
ORIGINAL
DESIGNATION PRINCIPAL AMOUNT PRINCIPAL TYPE*
- ----------- ---------------- ---------------
<S> <C> <C>
FI-1 $ 4,442,100 PAC II
FI-2 10,469,132 PAC II
-----------
$14,911,232
===========
FV-1 $14,923,529 SCH/SEG
FV-2 4,002,371 SCH/SEG
-----------
$18,925,900
===========
J-1 $ 9,372,600 PAC I
J-2 29,931,000 TAC/AD/SEG
-----------
$39,303,600
===========
L-1 $15,827,884 PAC I
L-2 64,172,116 TAC/AD/SEG
-----------
$80,000,000
===========
P-1 $ 2,260,879 PAC
P-2 3,069,970 TAC/AD/SEG
-----------
$ 5,330,849
===========
SI-1 $ 1,025,100 PAC II
SI-2 2,415,954 PAC II
-----------
$ 3,441,054
===========
SV-1 $ 3,443,891 SCH/SEG
SV-2 923,624 SCH/SEG
-----------
$ 4,367,515
===========
</TABLE>
------------------------------
* See "Description of Securities -- Standard
Definitions and Abbreviations for Classes" in
the Offering Circular.
See "Payments -- Principal -- Component Classes" in this Supplement.
S-52
<PAGE> 416
SEGMENTS
Certain of the Classes, Components and Segments will be apportioned into
"Segments" as follows:
<TABLE>
<CAPTION>
ORIGINAL RELATED CLASSES,
PRINCIPAL PRINCIPAL COMPONENTS
SEGMENT TYPE* AMOUNT AND SEGMENTS
- ------- --------- --------- ----------------
<C> <C> <C> <S>
Group 1:
1 PAC $30,326,000 ) C, CA and CB
2 SUP $61,126,000 )
</TABLE>
<TABLE>
<C> <C> <C> <S>
Group 3:
3 PAC I $11,731,800 ) F, SA and SB
4 TAC/AD/SEG $46,037,400 )
</TABLE>
<TABLE>
<C> <C> <C> <S>
5 PAC I $19,811,959 ) N, FV-1, FV-2, SV-1, SV-2 and Segment 11
6 TAC/AD/SEG $56,159,045 )
</TABLE>
<TABLE>
<C> <C> <C> <S>
7 SUP $31,731,000 J-2 and ZC
8 SUP $56,454,600 FI-1, SI-1, ZB and Segment 4
9 SUP $70,927,076 L-2 and ZE
10 SUP $77,995,466 FI-2, SI-2, ZD and Segment 6
11 TAC/SEG $36,177,589 NA and ZN
Group 4:
12 PAC $ 9,995,121 ) Q, FY and SY
13 TAC/AD/SEG $58,188,795 )
</TABLE>
<TABLE>
<C> <C> <C> <S>
14 TAC/AD $66,751,847 ZP and Segment 13
15 TAC/AD $15,283,650 P-2, ZK and Segment 16
16 SCH/SEG $10,737,885 U and ZL
</TABLE>
-------------------
* See "Description of Securities -- Standard Definitions and
Abbreviations for Classes" in the Offering Circular.
Payments on the Segments will be made as provided under "Allocation of
Principal" below. See "Payments -- Principal -- Segment Classes, Components and
Segments" in this Supplement.
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes and Segments shown below in the following order of priority:
( 1. To the following PAC Classes and Segment, until reduced to
( their "Aggregate Targeted Balance" for that Payment Date,
( allocated:
( (a) To Segment 1, while outstanding
( (b) Concurrently (i) 72.4656963812% to PJ and (ii)
PAC ( 27.5343036188% to PQ and PR, in that order, while
( outstanding
( (c) To PK, while outstanding
( (d) To PL and PS, pro rata, while outstanding
( (e) To PM, while outstanding
SUPPORT ( 2. To Segment 2, until retired
( 3. To the PAC Classes and Segment as described in step 1 above,
PAC ( but without regard to their Aggregate Targeted Balance, until
( retired
ACCRETION
DIRECTED ( - The "Z Accrual Amount" for that Payment Date to VA, until
AND ( retired, and then to Z
ACCRUAL
- The "Group 2 Asset Principal Amount" for that Payment Date to
the Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To D, DB and DC, pro rata, until retired
PAY ( 2. To E, VA and Z, in that order, until retired
S-53
<PAGE> 417
<TABLE>
<S> <C>
( - The "ZB Accrual Amount" for that Payment Date to Segment 4, until
( reduced to its "Targeted Balance" for that Payment Date, and then to
( ZB
(
( - The "ZC Accrual Amount" for that Payment Date to J-2, until reduced to
( its Targeted Balance for that Payment Date, and then to ZC
ACCRETION (
DIRECTED ( - The "ZD Accrual Amount" for that Payment Date to Segment 6, until
AND ( reduced to its Targeted Balance for that Payment Date, and then to ZD
ACCRUAL (
( - The "ZE Accrual Amount" for that Payment Date to L-2, until reduced to
( its Targeted Balance for that Payment Date, and then to ZE
(
( - The "ZN Accrual Amount" for that Payment Date to NA, until reduced to
( its Targeted Balance for that Payment Date, and then to ZN
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes, Components and Segments shown below in the following order of
priority:
( 1. To the Type I PAC Classes, Components and Segments, until reduced to
( their Aggregate Targeted Balance for that Payment Date, allocated as
( follows:
(
TYPE I ( (a) To Segment 3 and Segment 5, pro rata, while outstanding
PAC ( (b) To J-1 and L-1, pro rata, while outstanding
( (c) To PA, PB and PC, in that order, while outstanding
( (d) To PD and PT, pro rata, while outstanding
( (e) To PE, while outstanding
2. Concurrently:
( (a) 37.1921433217% as follows:
(
( (i) To Segment 7, until reduced to its "Higher Targeted Balance"
( for that Payment Date
( (ii) To Segment 8, until reduced to its Targeted Balance for
( that Payment Date
( (iii) To Segment 7, until reduced to its "Lower Targeted Balance"
( for that Payment Date
( (iv) To Segment 8, until retired
( (v) To Segment 7, until retired
SUPPORT (
( (b) 62.8078566783% as follows:
(
( (i) To Segment 9, until reduced to its Higher Targeted Balance
( for that Payment Date
( (ii) To Segment 10, until reduced to its Targeted Balance for
( that Payment Date
( (iii) To Segment 9, until reduced to its Lower Targeted Balance
( for that Payment Date
( (iv) To Segment 10, until retired
( (v) To Segment 9, until retired
TYPE I ( 3. To the Type I PAC Classes, Components and Segments as described in
PAC ( step 1 above, but without regard to their Aggregate Targeted
( Balance, until retired
( - The "ZJ Accrual Amount" for that Payment Date to Segment 15, until
( reduced to its Targeted Balance for that Payment Date, and then to ZJ
(
( - The "ZK Accrual Amount" for that Payment Date to P-2, until reduced to
( its Targeted Balance for that Payment Date, and then to ZK
ACCRETION (
DIRECTED ( - The "ZL Accrual Amount" for that Payment Date to U, until reduced to
AND ( its Targeted Balance for that Payment Date, and then to ZL
ACCRUAL (
( - The "ZO Accrual Amount" for that Payment Date to Segment 14, until
( reduced to its Targeted Balance for that Payment Date, and then to ZO
(
( - The "ZP Accrual Amount" for that Payment Date to Segment 13, until
( reduced to its Targeted Balance for that Payment Date, and then to ZP
</TABLE>
S-54
<PAGE> 418
<TABLE>
<S> <C>
- The "Group 4 Asset Principal Amount" for that Payment Date to the
Classes, Component and Segments shown below in the following order of
priority:
( 1. To the following PAC Classes, Component and Segment, until reduced
( to their Aggregate Targeted Balance for that Payment Date, allocated
PAC ( as follows:
( (a) To P-1 and Segment 12, pro rata, while outstanding
( (b) To QK, QM and QN, in that order, while outstanding
2. Concurrently:
(a) 81.5528784144% as follows:
TAC ( (i) To Segment 14, until reduced to its Targeted Balance for
( that Payment Date
SUPPORT ( (ii) To ZO, until retired
TAC ( (iii) To Segment 14, until retired
(b) 18.4471215856% as follows:
TAC ( (i) To Segment 15, until reduced to its Targeted Balance for
( that Payment Date
SUPPORT ( (ii) To ZJ, until retired
TAC ( (iii) To Segment 15, until retired
( 3. To the PAC Classes, Component and Segment as described in step 1
PAC ( above, but without regard to their Aggregate Targeted Balance, until
( retired
( - The "Group 5A Asset Principal Amount" for that Payment Date, allocated
PASS- ( concurrently (1) 70.5882332844% to FQ and (2) 29.4117667156% to PO,
THROUGH ( until retired
( - The "Group 5B Asset Principal Amount" for that Payment Date to PO,
( until retired
- The "Group 6 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SCHEDULED ( 1. Beginning July 15, 2010, to KD, until reduced to its Targeted
( Balance for that Payment Date
SUPPORT ( 2. Concurrently (a) 17.6470594861% to KC and (b) 82.3529405139% to FJ
( and FK, in that order, until retired
SCHEDULED ( 3. To KD, until retired
SEQUENTIAL ( - The "Group 7 Asset Principal Amount" for that Payment Date to BA and
PAY ( BD, in that order, until retired
</TABLE>
S-55
<PAGE> 419
The Targeted Balances and Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges and
rates:
<TABLE>
<CAPTION>
CLASS, COMPONENT OR SEGMENT STRUCTURING RANGE OR RATE
--------------------------- -------------------------
<S> <C>
GROUP 1
PAC................................................... 100% PSA - 250% PSA
GROUP 3
Type I PAC............................................ 100% PSA - 250% PSA
Type II PAC (FI-1 and SI-1)........................... 100% PSA - 220% PSA
Type II PAC (FI-2 and SI-2)........................... 100% PSA - 200% PSA
Scheduled (N)......................................... 153% PSA and 170% PSA(1)
Scheduled (SA)........................................ 148% PSA - 190% PSA
TAC (J-2, L-2 and NA)................................. 116% PSA
TAC (Segment 4)....................................... 169% PSA
TAC (Segments 6 and 11)............................... 166% PSA
Support (Segments 7 through 10)....................... (2)
GROUP 4
PAC................................................... 100% PSA - 250% PSA
Scheduled (Q)......................................... 182% PSA and 211% PSA(3)
Scheduled (Segment 16)................................ 165% PSA - 210% PSA
TAC (P-2)............................................. 122% PSA
TAC (U)............................................... 125% PSA
TAC (Segment 13)...................................... 127% PSA
TAC (Segment 14)...................................... 205% PSA
TAC (Segment 15)...................................... 209% PSA
GROUP 6
Scheduled (KD and related MACR Classes)............... (4)
</TABLE>
-------------------------
(1) The N Class was structured at 153% PSA and 170% PSA, but it does
not adhere to its Targeted Balances schedule at certain
percentages of PSA between such rates. See "Prepayment and Yield
Analysis -- Prepayment and Weighted Average Life
Considerations -- PAC, Scheduled and TAC Classes, Segments and
Components" in this Supplement.
(2) Segment 7 and Segment 9 were not structured at any constant
percentage of PSA and do not adhere to their Higher or Lower
Targeted Balances schedules at any constant percentage of PSA.
Segment 8 and Segment 10 were not structured at any constant
percentage of PSA and do not adhere to their schedules at any
constant percentage of PSA. See "Prepayment and Yield
Analysis -- Prepayment and Weighted Average Life
Considerations -- Support Classes and Segments" in this
Supplement.
(3) The Q Class was structured at 182% PSA and 211% PSA, but it does
not adhere to its Targeted Balances schedule at certain
percentages of PSA between such rates. See "Prepayment and Yield
Analysis -- Prepayment and Weighted Average Life
Considerations -- PAC, Scheduled and TAC Classes, Segments and
Components" in this Supplement.
(4) KD and its related MACR Classes were not structured at any
constant percentage of PSA and do not adhere to their schedule at
any constant percentage of PSA. See "Prepayment and Yield
Analysis -- Prepayment and Weighted Average Life
Considerations -- PAC, Scheduled and TAC Classes, Segments and
Components" in this Supplement.
ALLOCATION OF SEGMENT PRINCIPAL PAYMENTS
On each Payment Date, any principal payments allocated to the Segments will
be allocated as follows:
Group 1
<TABLE>
<S> <C>
SEGMENT ( - Payments allocated to Segment 1 and Segment 2 will be aggregated and
CLASSES ( allocated concurrently (1) 97.4221493242% to C and (2) 2.5778506758%
( to CA and CB, in that order, until retired
</TABLE>
Group 3
<TABLE>
<S> <C>
- Payments allocated to Segment 3 and Segment 4 will be aggregated and
allocated to the Classes shown below concurrently:
( 1. 76.4705881335% to F, until retired
(
( 2. 23.5294118665% in the following order of priority:
(
SCHEDULED ( (a) To SA, until reduced to its Targeted Balance for that Payment
( Date
(
( (b) To SB, until retired
(
( (c) To SA, until retired
</TABLE>
S-56
<PAGE> 420
<TABLE>
<S> <C>
- Payments allocated to Segment 5 and Segment 6 will be aggregated and
allocated to the Class, Components and Segment shown below
concurrently:
1. 71.7971411830% in the following order of priority:
TAC ( (a) To Segment 11, until reduced to its Targeted Balance for that
( Payment Date
SCHEDULED ( (b) To FV-1 and SV-1, pro rata, until retired
TAC ( (c) To Segment 11, until retired
2. 28.2028588170% in the following order of priority:
( (a) To N, until reduced to its Targeted Balance for that Payment Date
(
SCHEDULED ( (b) To FV-2 and SV-2, pro rata, until retired
(
( (c) To N, until retired
- Payments allocated to Segment 7 will be allocated to J-2 and ZC in the
following order of priority:
TAC ( 1. To J-2, until reduced to its Targeted Balance for that Payment Date
SUPPORT ( 2. To ZC, until retired
TAC ( 3. To J-2, until retired
- Payments allocated to Segment 8 will be allocated to the Class,
Components and Segment shown below in the following order of priority:
TYPE II ( 1. Beginning June 15, 2016, to FI-1 and SI-1, pro rata, until reduced
PAC ( to their Aggregate Targeted Balance for that Payment Date
TAC ( 2. To Segment 4, until reduced to its Targeted Balance for that Payment
( Date
SUPPORT ( 3. To ZB, until retired
TAC ( 4. To Segment 4, until retired
TYPE II ( 5. To FI-1 and SI-1, pro rata, until retired
PAC
- Payments allocated to Segment 9 will be allocated to L-2 and ZE in the
following order of priority:
TAC ( 1. To L-2, until reduced to its Targeted Balance for that Payment Date
SUPPORT ( 2. To ZE, until retired
TAC ( 3. To L-2, until retired
- Payments allocated to Segment 10 will be allocated to the Class,
Components and Segment shown below in the following order of priority:
TYPE II ( 1. Beginning June 15, 2018, to FI-2 and SI-2, pro rata, until reduced
PAC ( to their Aggregate Targeted Balance for that Payment Date
TAC ( 2. To Segment 6, until reduced to its Targeted Balance for that Payment
( Date
SUPPORT ( 3. To ZD, until retired
</TABLE>
S-57
<PAGE> 421
<TABLE>
<S> <C>
TAC ( 4. To Segment 6, until retired
TYPE II ( 5. To FI-2 and SI-2, pro rata, until retired
PAC
- Payments allocated to Segment 11 will be allocated to NA and ZN in the
following order of priority:
( 1. To NA, until reduced to its Targeted Balance for that Payment Date
TAC ( 2. To ZN, until retired
( 3. To NA, until retired
Group 4
- Payments allocated to Segment 12 and Segment 13 will be aggregated and
allocated to the Classes shown below in the following order of
priority:
( 1. To Q, until reduced to its Targeted Balance for that Payment Date
SCHEDULED ( 2. To FY and SY, pro rata, until retired
( 3. To Q, until retired
- Payments allocated to Segment 14 will be allocated to ZP and Segment
13 in the following order of priority:
( 1. To Segment 13, until reduced to its Targeted Balance for that
Payment Date
TAC ( 2. To ZP, until retired
( 3. To Segment 13, until retired
- Payments allocated to Segment 15 will be allocated to P-2, ZK and
Segment 16 in the following order of priority:
SCHEDULED ( 1. To Segment 16, until reduced to its Targeted Balance for that
Payment Date
( 2. To P-2, until reduced to its Targeted Balance for that Payment Date
TAC ( 3. To ZK, until retired
( 4. To P-2, until retired
SCHEDULED ( 5. To Segment 16, until retired
- Payments allocated to Segment 16 will be allocated to U and ZL in the
following order of priority:
TAC ( 1. To U, until reduced to its Targeted Balance for that Payment Date
SCHEDULED ( 2. To ZL, until retired
TAC ( 3. To U, until retired
</TABLE>
S-58
<PAGE> 422
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments will be allocated
from the applicable Class or Classes of REMIC Certificates to the related MACR
Class that is entitled to principal or, if there are two or more related MACR
Classes that are entitled to principal, to such Classes, pro rata.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat both REMIC Pools as "real
estate mortgage investment conduits" ("REMICs") pursuant to the Internal Revenue
Code. The R and RS Classes will be "Residual Classes" and the other Classes of
REMIC Certificates will be "Regular Classes." The Residual Classes will be
subject to transfer restrictions. See "Certain Federal Income Tax Consequences"
in this Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 204% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
C............................. 9.9 8.0 3.5 2.0 1.2
CA............................ 0.7 0.5 0.4 0.4 0.3
CB............................ 11.5 9.3 4.1 2.3 1.3
PJ............................ 6.1 3.5 3.5 3.5 2.6
PK............................ 9.5 6.0 6.0 6.0 3.8
PL and PS..................... 11.1 8.0 8.0 8.0 5.1
PM............................ 12.8 11.8 11.8 11.8 8.3
PQ............................ 5.4 3.0 3.0 3.0 2.4
PR............................ 8.3 4.9 4.9 4.9 3.3
Group 1 Assets................ 9.1 6.8 5.4 5.0 3.3
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 168% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
D, DB and DC.................. 18.0 7.0 4.8 3.1 2.1
E............................. 27.1 17.1 12.1 7.5 4.7
VA............................ 13.0 12.9 11.4 8.5 5.8
Z............................. 28.9 24.1 20.9 15.4 10.3
Group 2 Assets................ 21.0 11.2 8.4 5.4 3.5
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-59
<PAGE> 423
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 166% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
F............................. 18.6 14.9 7.4 2.4 1.2
FI and SI..................... 28.3 23.4 23.4 5.2 1.8
FV and SV..................... 27.0 22.1 14.7 2.0 0.9
J............................. 19.9 10.6 4.3 3.6 2.0
L............................. 18.9 11.0 3.9 3.7 2.0
N............................. 11.7 10.5 6.0 2.2 1.2
NA............................ 9.3 8.5 4.5 2.2 1.2
PA............................ 13.0 3.5 3.5 3.5 2.8
PB............................ 18.6 6.0 6.0 6.0 3.7
PC............................ 21.2 8.0 8.0 8.0 4.5
PD and PT..................... 23.6 11.0 11.0 11.0 6.0
PE............................ 25.7 17.9 17.9 17.9 9.8
SA............................ 13.8 11.3 4.6 2.5 1.3
SB............................ 28.5 22.4 13.1 2.2 1.0
ZB............................ 29.4 26.8 23.0 0.8 0.3
ZC............................ 27.6 17.3 1.0 0.9 0.9
ZD............................ 29.4 26.5 21.5 0.8 0.3
ZE............................ 27.8 18.6 1.1 1.1 1.1
ZN............................ 22.6 20.5 0.4 0.4 0.4
Group 3 Assets................ 21.0 11.5 8.7 6.5 3.8
</TABLE>
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 209% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FY and SY..................... 24.0 17.2 3.2 2.4 1.1
P............................. 6.7 5.8 2.6 1.9 1.0
Q............................. 12.2 9.6 4.4 3.4 1.6
QK............................ 13.8 3.7 3.7 3.7 2.7
QM............................ 23.2 10.9 10.9 10.9 5.9
QN............................ 26.7 24.3 24.3 24.3 14.1
U............................. 17.2 12.5 4.9 4.0 1.8
ZJ............................ 29.2 26.2 19.2 1.2 0.3
ZK............................ 28.0 21.2 1.4 1.4 0.7
ZL............................ 27.0 18.5 1.0 1.0 0.9
ZO............................ 29.2 26.1 19.6 1.3 0.3
ZP............................ 27.4 20.4 1.2 1.2 0.7
Group 4 Assets................ 21.3 11.4 7.3 6.4 3.6
</TABLE>
Group 5
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 195% 350% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FQ............................ 22.2 17.9 12.3 5.6 2.1
PO............................ 22.2 17.9 12.3 5.0 1.9
Group 5 Assets................ 22.2 17.9 12.3 5.3 2.0
</TABLE>
Group 6
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 210% 350% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FJ and JA..................... 22.4 18.9 8.7 1.8 0.9
FK............................ 23.3 21.9 15.8 2.7 1.3
FL, KC, SM and SX............. 22.9 20.4 12.3 2.3 1.1
KA, KD, KE, KG and KH......... 19.2 15.8 15.8 12.9 9.1
Group 6 Assets................ 21.4 18.6 13.7 6.4 4.3
</TABLE>
S-60
<PAGE> 424
Group 7
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
----------------------------------------
0% 100% 325% 425% 500% 700%
-- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
BA............................ 20.3 10.3 4.5 3.6 3.1 2.4
BD............................ 29.7 27.6 16.5 13.0 11.1 7.8
Group 7 Assets................ 20.9 11.3 5.2 4.2 3.6 2.7
</TABLE>
THE ASSETS
The Group 1 Assets will consist of $300,000,000 of Freddie Mac 6.5% per
annum 15-year PCs.
The Group 2 Assets will consist of $214,684,414 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 3 Assets will consist of $806,621,972 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 4 Assets will consist of $300,000,000 of Freddie Mac Stripped
Giant Mortgage Participation Certificates ("Stripped Giant PCs") with a weighted
average interest rate of 6.592236% at all times, backed by Freddie Mac 7.0% PCs.
The Underwriter expects such Stripped Giant PCs to be from Freddie Mac's Gold
MACs (Modifiable And Combinable Securities), Series 198 ("Series 198").
The Group 5 and Group 6 Assets will have the following characteristics:
<TABLE>
<CAPTION>
PERCENTAGE OF CLASS PRINCIPAL AMOUNT IN
ASSET IN LOWER-TIER LOWER-TIER REMIC AUGUST 1998 CLASS PRINCIPAL TYPE/
GROUP CLASS REMIC POOL POOL AS OF CLOSING DATE CLASS FACTOR COUPON INTEREST TYPE(1) FINAL PAYMENT DATE
- ----- ----- ------------------- ----------------------- ------------ ------ ---------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C>
5A 1642-FE 37.4804626446% $ 5,853,823 0.9764509 (2) SUP/FLT/DLY November 15, 2023
5A 1642-SE 37.4804626446 2,926,911 0.9764509 (2) SUP/INV/DLY November 15, 2023
5B 1642-SA 46.2567179103 3,468,668 0.9372248 (2) SUP/INV November 15, 2023
( 1541-L 51.2804997182% $54,000,000 1.0000000 (2) CPT/FLT/DLY July 15, 2023
6 ( 1541-M 51.2804981852 13,760,133 1.0000000 (2) CPT/INV/DLY July 15, 2023
( 1541-N 51.2805042835 5,525,581 1.0000000 (2) CPT/INV/DLY July 15, 2023
</TABLE>
- ---------------
(1) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
(2) Calculated as described in the applicable Asset Offering Circular. See
Exhibits I and II to this Supplement.
The Group 7 Assets will consist of $78,000,000 of Freddie Mac 6.25% per
annum 30-year PCs backed by Relocation Mortgages.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement and Exhibits I and II to this Supplement.
S-61
<PAGE> 425
MORTGAGE CHARACTERISTICS (AS OF AUGUST 1, 1998)
GROUPS 1, 2, 3, 4 AND 7 -- ASSUMED MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
( $100,000,003 179 0 6.95% 6.5%
( 124,999,999 178 1 7.00 6.5
( 49,999,999 176 3 7.05 6.5
1 ( 24,999,999 172 5 7.10 6.5
( ------------
( $300,000,000 178* 1* 7.00%*
( ============
( $107,342,207 357 2 7.05% 6.5%
( 107,342,207 350 8 7.15 6.5
2 ( ------------
( $214,684,414 354* 5* 7.10%*
( ============
( $ 48,397,320 360 0 7.1% 6.5%
( 129,059,515 357 1 7.1 6.5
( 129,059,515 356 2 7.1 6.5
3 ( 112,927,076 355 2 7.1 6.5
( 387,178,546 358 1 7.1 6.5
( ------------
( $806,621,972 357* 1*
( ============
4 $300,000,000 355 3 7.43% 7.0%**
7 $ 78,000,000 357 3 6.83% 6.25%
</TABLE>
--------------------
* Weighted average by principal balance.
** The weighted average interest rate of the Group 4 Assets will be
6.592236% at all times.
GROUPS 5 AND 6 -- MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
WEIGHTED
WEIGHTED AVERAGE AVERAGE WEIGHTED AVERAGE
REMAINING TERM TO LOAN AGE PER ANNUM PER ANNUM INTEREST
ASSET GROUP SERIES MATURITY (IN MONTHS) (IN MONTHS) INTEREST RATE RATE OF RELATED PCS
- ----------- ------ -------------------- ----------- ---------------- -------------------
<S> <C> <C> <C> <C> <C>
5 1642 288 59 7.516% 7.0%
6 1541 283 62 7.565 7.0
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-62
<PAGE> 426
EXHIBIT V -- SERIES 2119 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$300,000,000
FREDDIE MAC (FREDDIE MAC LOGO)
MULTICLASS REMIC CERTIFICATES AND MODIFIABLE AND
COMBINABLE REMIC CERTIFICATES, SERIES 2119
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Class shown on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Freddie Mac 6.5% 15-year PCs (Gold PCs and Gold Giant PCs)
Payment Dates: Monthly, beginning in February 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Freddie Mac's Securities Sales & Trading Group
(the "Underwriter")
Closing Date: January 29, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED AVERAGE
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT LIFE AT
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) 250% PSA(4)
------------ --------- ------------- ------ -------- ------ ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
AC .......................... $95,256,000 SUP 6.5% FIX 3133THX 2 8 December 15, 2012 3.0Yrs
B .......................... 39,999,000 SEQ 6.5 FIX 3133THX 3 6 January 15, 2014 11.2
GA .......................... 83,141,000 PAC 6.0 FIX 3133THX 4 4 June 15, 2010 3.4
GB .......................... 40,033,500 PAC 6.25 FIX 3133THX 5 1 May 15, 2012 6.9
GK .......................... 15,781,000 PAC 5.75 FIX 3133THX 7 7 June 15, 2010 4.9
GL .......................... 25,789,500 PAC 5.75 FIX 3133THX 8 5 July 15, 2007 2.5
I .......................... 12,731,807 NTL(PAC) 6.5 FIX/IO 3133THX 9 3 May 15, 2012 --
R .......................... 0 NPR 0.0 NPR 3133THXA0 January 15, 2014 --
RS .......................... 0 NPR 0.0 NPR 3133THX B 8 January 15, 2014 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for the Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which the Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the rate assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown.
Freddie Mac's
Securities Sales & Trading Group
SS&TG
OFFERING CIRCULAR SUPPLEMENT DATED DECEMBER 16, 1998
S-63
<PAGE> 427
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of a Class (the "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Class and the "Combination" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount of the Securities submitted for exchange (but not less than
$5,000).
NOTIONAL CLASS
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- ---------------------------------------------
<S> <C> <C>
( $11,192,057 GA, GK and GL, in the aggregate (PAC Classes)
( 1,539,750 GB (PAC Class)
I ( -----------
( $12,731,807
( ===========
</TABLE>
See "Payments -- Interest -- Notional Class" in this Supplement.
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay the "Asset Principal Amount" for
that Payment Date to the Classes shown below in the following order of priority:
<TABLE>
<S> <C>
( 1. Beginning February 15, 2000, to the PAC Classes, until reduced to
( their "Targeted Balances" for that Payment Date, allocated:
(
PAC ( a. Concurrently, 2/3 to GA and 1/3 to GL and GK, in that order
(
( b. To GB
SUPPORT ( 2. To AC, until retired
PAC ( 3. To the PAC Classes as shown in step 1, but without regard to their
( Targeted Balances, until retired
SEQUENTIAL ( 4. To B, until retired
PAY (
</TABLE>
The Targeted Balances (shown under "Payments -- Principal -- Targeted
Balances Schedules" in this Supplement) were structured using, among other
things, the following structuring range:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE
----- -----------------
<S> <C>
PAC Classes................................................. 100% PSA - 300% PSA
</TABLE>
S-64
<PAGE> 428
MACR CLASS
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments will be allocated from
the applicable Classes of REMIC Certificates to the MACR Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 250% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
AC............................ 11.2 7.9 3.0 2.0 1.2
B............................. 14.4 13.2 11.2 10.5 7.8
GA and GC..................... 5.6 3.4 3.4 3.4 2.7
GB............................ 10.0 6.9 6.9 6.9 4.8
GK............................ 8.0 4.9 4.9 4.9 3.5
GL............................ 4.1 2.5 2.5 2.5 2.2
Underlying Assets............. 9.1 6.6 4.8 4.4 3.2
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
THE ASSETS
The Assets will consist of $300,000,000 of Freddie Mac 6.5% per annum
15-year PCs.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF JANUARY 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF PCS
- ----------------- -------------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
$300,000,000 174 4 7.1% 6.5%
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-65
<PAGE> 429
EXHIBIT VI -- SERIES 2102 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$3,059,100,000
FREDDIE MAC (FREDDIE MAC LOGO)
MULTICLASS REMIC CERTIFICATES AND
MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2102
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Class shown on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Six Asset Groups, consisting of two Groups of Freddie Mac
6.0% 30-year PCs (Gold PCs and Gold Giant PCs), one Group
of Freddie Mac 6.5% 30-year PCs, one Group of Freddie Mac
6.5% Stripped Giant PCs and 7.0% 30-year PCs and two
Groups of Freddie Mac 6.0% 15-year PCs
Payment Dates: Monthly, beginning in January 1999
Form of Securities: Regular (non-Retail) and MACR Classes: Book-entry (Federal
Reserve Banks)
Retail Classes (UU and WW): Book-entry (Depository Trust
Company); issued in $1,000 Retail Class Units
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Lehman Brothers Inc. (the "Underwriter")
Closing Date: December 30, 1998
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
A ................... $ 200,000,000 SEQ 6.25% FIX 3133TH E R 4 December 15, 2026 6.0Yrs
AB .................. 45,050,000 SEQ 5.5 FIX 3133TH E S 2 December 15, 2026 6.0
EA .................. 50,000,000 SEQ 5.5 FIX 3133TH E Z 6 December 15, 2025 5.3
EB .................. 4,950,000 SEQ 5.5 FIX 3133TH F 2 8 December 15, 2026 13.3
GB .................. 189,800,000 SEQ 6.0 FIX 3133TH F 5 1 July 15, 2025 5.0
GC .................. 1,700,000 SEQ 6.0 FIX 3133TH F 6 9 January 15, 2004 0.5
GD .................. 25,000,000 SEQ 6.0 FIX 3133TH F 7 7 July 15, 2025 5.3
GE .................. 31,364,000 SEQ 6.0 FIX 3133TH F 8 5 December 15, 2026 12.8
VA .................. 43,598,000 AD/SEQ 6.0 FIX 3133TH H A 8 October 15, 2009 6.0
VB .................. 23,676,000 AD/SEQ 6.0 FIX 3133TH H B 6 August 15, 2013 12.8
Z ................... 47,862,000 SEQ 6.0 FIX/Z 3133TH H D 2 December 15, 2028 20.0
GROUP 2
B ................... 2,645,000 SUP 6.5 FIX 3133TH E U 7 December 15, 2028 18.1
C ................... 11,500,000 SCH/AD 6.5 FIX 3133TH E V 5 December 15, 2028 4.9
FG .................. 19,638,125 SUP (5) FLT/DLY 3133TH F 3 6 December 15, 2028 19.5
FH .................. 22,449,000 SUP (5) FLT 3133TH F 4 4 December 15, 2028 20.0
HA .................. 1,118,800 SUP 0.0 PO 3133TH F A 0 December 15, 2028 20.0
HC .................. 14,888,000 TAC 6.5 FIX 3133TH F B 8 December 15, 2028 11.0
K ................... 100,000,000 SCH/AD 6.5 FIX 3133TH F J 1 February 15, 2028 3.5
KG .................. 5,000,000 SCH/AD 6.5 FIX 3133TH F K 8 December 15, 2028 5.0
KH .................. 100,000,000 SCH/AD 6.23 FIX 3133TH F L 6 September 15, 2028 4.6
KI .................. 4,153,846 NTL(SCH/AD) 6.5 FIX/IO 3133TH F M 4 September 15, 2028 --
KJ .................. 29,094,000 SCH/AD 6.5 FIX 3133TH F N 2 September 15, 2028 4.6
M ................... 10,000,000 CPT/SCH 6.5 FIX/Z 3133TH F W 2 December 15, 2028 1.7
MA .................. 7,800,000 SUP 6.5 FIX/Z 3133TH F X 0 March 15, 2026 0.7
MB .................. 14,200,000 SUP 6.5 FIX/Z 3133TH F Y 8 March 15, 2028 1.7
ME .................. 2,887,000 SUP 6.5 FIX/Z 3133TH F Z 5 July 15, 2028 1.6
MG .................. 25,750,000 SUP 6.5 FIX/Z 3133TH G 2 7 August 15, 2028 1.4
NG .................. 721,493 SUP 0.0 PO 3133TH G 3 5 December 15, 2028 19.5
PA .................. 109,440,000 PAC 6.0 FIX 3133TH G 4 3 September 15, 2022 3.9
PB .................. 98,640,000 PAC 5.75 FIX 3133TH G 5 0 September 15, 2022 3.9
PC .................. 54,750,000 PAC 6.25 FIX 3133TH G 6 8 October 15, 2023 7.4
PD .................. 260,000,000 PAC 6.5 FIX 3133TH G 7 6 December 15, 2027 10.9
PE .................. 82,269,000 PAC 6.5 FIX 3133TH G 8 4 December 15, 2028 19.6
PI .................. 37,094,769 NTL(PAC) 6.5 FIX/IO 3133TH G 9 2 October 15, 2023 --
PJ .................. 166,851,000 PAC 6.0 FIX 3133TH G A 9 March 15, 2021 3.4
PK .................. 30,606,000 PAC 6.0 FIX 3133TH G B 7 September 15, 2022 6.4
SW .................. 654,603 SUP (5) INV/DLY 3133TH G Q 4 December 15, 2028 19.5
SX .................. 3,155,779 SUP (5) INV/DLY 3133TH G R 2 December 15, 2028 19.5
SY .................. 3,206,991 SUP (5) INV 3133TH G S 0 December 15, 2028 20.0
SZ .................. 855,209 SUP (5) INV 3133TH G T 8 December 15, 2028 20.0
ZH .................. 2,480,000 SCH 6.5 FIX/Z 3133TH H H 3 December 15, 2028 15.6
GROUP 3
D ................... 17,172,000 TAC/AD 6.5 FIX 3133TH E W 3 December 15, 2028 4.0
DA .................. 100,000,000 TAC/AD 6.35 FIX 3133TH E X 1 December 15, 2028 4.0
DB .................. 30,000,000 TAC/AD 7.0 FIX 3133TH E Y 9 December 15, 2028 4.0
IO .................. 12,142,857 NTL(PT) 7.0 FIX/IO 3133TH F C 6 December 15, 2028 --
PN .................. 66,030,000 PAC 5.59 FIX 3133TH G C 5 January 15, 2023 4.0
PR .................. 2,000,000 PAC 6.0 FIX 3133TH G D 3 January 15, 2023 4.0Yrs
</TABLE>
<TABLE>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
PT .................. $ 59,301,000 PAC 6.5% FIX 3133TH G E 1 December 15, 2028 8.9
PY .................. 8,726,757 NTL(PAC) 7.0 FIX/IO 3133TH G F 8 January 15, 2023 --
ZB .................. 19,125,000 TAC 6.5 FIX/Z 3133TH H E 0 December 15, 2028 1.3
ZC .................. 6,372,000 SUP 6.5 FIX/Z 3133TH H F 7 December 15, 2028 18.0
GROUP 4
AJ .................. 50,000,000 TAC/AD 6.0 FIX 3133TH E T 0 September 15, 2013 4.0
J .................. 8,000,000 SUP 6.0 FIX 3133TH F D 4 December 15, 2013 4.9
JA .................. 25,000,000 SUP 6.25 FIX 3133TH F E 2 December 15, 2013 4.9
JD .................. 1,042,000 SUP 0.0 PO 3133TH F F 9 December 15, 2013 4.9
JG .................. 10,000,000 TAC/AD 6.0 FIX 3133TH F G 7 December 15, 2013 5.0
JZ .................. 500,000 SUP 6.0 FIX/Z 3133TH F H 5 September 15, 2013 0.2
TB .................. 107,263,000 PAC 6.0 FIX 3133TH G V 3 August 15, 2012 7.0
TC .................. 50,769,000 PAC 6.0 FIX 3133THGW1 December 15, 2013 11.5
TG .................. 2,000,000 PAC 5.5 FIX 3133TH G X 9 June 15, 2006 2.9
TH .................. 30,000,000 PAC 5.25 FIX 3133TH G Y 7 June 15, 2006 2.9
TI .................. 3,916,666 NTL(PAC) 6.0 FIX/IO 3133TH G Z 4 June 15, 2006 --
TJ .................. 83,637,000 PAC 6.0 FIX 3133TH H 2 6 June 15, 2006 2.1
TK .................. 44,000,000 PAC 6.0 FIX 3133TH H 3 4 November 15, 2008 4.3
ZG .................. 149,000 SUP 6.0 FIX/Z 3133TH H G 5 December 15, 2013 0.2
ZJ .................. 3,140,000 SUP 6.0 FIX/Z 3133TH H J 9 December 15, 2013 13.3
GROUP 5
L ................... 50,000,000 SCH/AD 6.0 FIX 3133TH F P 7 December 15, 2028 4.0
LA .................. 13,995,000 SUP 6.5 FIX 3133TH F Q 5 December 15, 2028 19.9
LB .................. 2,355,000 SUP 0.0 PO 3133TH F R 3 December 15, 2028 19.9
LC .................. 2,000,000 SUP 6.0 FIX 3133TH F S 1 December 15, 2028 19.9
LD .................. 16,837,000 SCH/AD 6.0 FIX 3133TH F T 9 December 15, 2028 4.0
LE .................. 2,250,000 SUP (5) DRB 3133TH F U 6 December 15, 2028 19.9
LZ .................. 7,000,000 TAC 6.0 FIX/Z 3133TH F V 4 December 15, 2028 1.2
QD .................. 28,442,000 PAC 6.0 FIX 3133TH G G 6 June 15, 2011 2.5
QE .................. 10,117,000 PAC 5.75 FIX 3133TH G H 4 September 15, 2013 3.5
QH .................. 74,362,000 PAC 5.75 FIX 3133TH G J 0 June 15, 2023 6.0
QI .................. 3,519,958 NTL(PAC) 6.0 FIX/IO 3133TH G K 7 July 15, 2027 --
QK .................. 55,041,000 PAC 6.0 FIX 3133TH G L 5 June 15, 2023 11.0
QL .................. 24,101,000 PAC 6.0 FIX 3133THGM3 December 15, 2028 18.9
UU .................. 12,000,000 SUP/RTL 6.5 FIX 3133TH H 9 1 December 15, 2028 19.9
WW................... 1,500,000 SUP/RTL 6.0 FIX 3133TH H C 4 December 15, 2028 19.9
GROUP 6
T ................... 50,352,000 SUP 6.0 FIX 3133TH G U 5 December 15, 2013 4.3
TN .................. 5,000,000 PAC 6.0 FIX 3133TH H 4 2 February 15, 2006 2.2
TP .................. 96,215,000 PAC 5.53 FIX 3133TH H 5 9 October 15, 2011 4.0
TR .................. 12,000,000 PAC 6.0 FIX 3133TH H 6 7 October 15, 2011 6.8
TU .................. 36,433,000 PAC 6.0 FIX 3133TH H 7 5 December 15, 2013 10.6
TY .................. 7,536,841 NTL(PAC) 6.0 FIX/IO 3133TH H 8 3 October 15, 2011 --
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TH G N 1 December 15, 2028 --
RS .................. 0 NPR 0.0(6) NPR 3133TH G P 6 December 15, 2028 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class (other than the IO Class) will reduce is indicated in parentheses. The
IO Class will reduce with a portion of the Group 3 Assets.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 165% PSA for the Group 1
and Group 5 Classes, 202% PSA for the Group 2 Classes, 300% PSA for the
Group 3 Classes, 188% PSA for the Group 4 Classes and 195% PSA for the Group
6 Classes. Prepayments will not occur at the rates assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown. Because Retail Class investors will receive principal payments
subject to the priorities, limitations and allocations described in this
Supplement, the weighted average lives of Retail Class Units will vary among
different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
(6) Under certain circumstances, the RS Class may receive certain additional
payments as described under "Payments -- Interest -- Descending Rate Class"
in this Supplement.
------------------------
LEHMAN BROTHERS
OFFERING CIRCULAR SUPPLEMENT DATED NOVEMBER 9, 1998
S-66
<PAGE> 430
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of a Class (the "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Class and the "Combination" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount of the Securities submitted for exchange (but not less than
$5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and Appendix 1 to this Supplement.
The Descending Rate Class will bear interest at the following Class
Coupons:
<TABLE>
<CAPTION>
ACCRUAL PERIODS
CLASS 1 THROUGH 12 THEREAFTER
----- --------------- ----------
<S> <C> <C>
LE.......................................... 7.0% 6.5%
</TABLE>
The HA, JD, LB and NG Classes will be Principal Only Classes and will not
bear interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
---------------------------
CLASS INITIAL RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- --------------- ----------------------------- ------------ ------------
<S> <C> <C> <C> <C>
FG(3)................ 5.95% LIBOR + 0.95% 0.95% 8.0%
FH................... 5.9 LIBOR + 0.90% 0.90 8.0
SW(3)................ 10.5 211.5% - (LIBOR X 30) 0 10.5
SX(3)................ 10.57894 41.69349% - (LIBOR X 6.22291) 0 41.69349
SY................... 11.9 46.9% - (LIBOR X 7) 0 46.9
SZ................... 10.5 186.375% - (LIBOR X 26.25) 0 10.5
</TABLE>
-------------------------
(1) Initial Rate will be in effect during the first Accrual Period;
Class Coupon will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description
of Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
S-67
<PAGE> 431
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- ---------------------------------------------
<S> <C> <C>
IO $ 12,142,857 7.0% PCs included in Group 3 Assets
KI $ 4,153,846 KH (Scheduled/Accretion Directed)
( $ 23,607,462 PA, PJ and PK, in the aggregate (PAC Classes)
( 11,381,538 PB (PAC Class)
PI ( 2,105,769 PC (PAC Class)
( ------------
( $ 37,094,769
============
( $ 142,857 PR (PAC Class)
PY ( 8,583,900 PN (PAC Class)
( ------------
</TABLE>
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- ---------------------------------------------
<S> <C> <C>
$ 8,726,757
============
QI $ 3,519,958 QE and QH, in the aggregate (PAC Classes)
TI ( $ 166,666 TG (PAC Class)
( 3,750,000 TH (PAC Class)
------------
</TABLE>
TI
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- ---------------------------------------------
<S> <C> <C>
$ 3,916,666
============
TY $ 7,536,841 TP (PAC Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
COMPONENTS
<TABLE>
<CAPTION>
ORIGINAL
DESIGNATION PRINCIPAL AMOUNT PRINCIPAL TYPE*
- ----------- ---------------- ---------------
<S> <C> <C>
M-1 $ 200,000 Support
M-2 9,800,000 Scheduled
-----------
$10,000,000
===========
</TABLE>
-------------------------------------
* See "Description of Securities -- Standard Definitions
and Abbreviations for Classes" in the Offering Circular.
See "Payments -- Principal -- Component Class" in this Supplement.
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
ACCRETION ( - The "Z Accrual Amount" for that Payment Date to VA and VB, in that
DIRECTED ( order, until retired, and then to Z
AND (
ACCRUAL (
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Concurrently:
( (a) 44.7282537272% to A and AB, pro rata, until retired
( (b) 10.0298614255% to EA and EB, in that order, until retired
( (c) 45.2418848473% as follows:
SEQUENTIAL( i. Concurrently:
PAY ( (1) 87.6674364896% to GB, until retired
( (2) 12.3325635104% to GC and GD, in that order, until retired
(
( ii. To GE, until retired
S-68
<PAGE> 432
<TABLE>
<S> <C>
SEQUENTIAL ( 2. To VA, VB and Z, in that order, until retired
PAY (
ACCRETION ( - The "ME Accrual Amount" for that Payment Date to C, until reduced to
DIRECTED ( its "First Targeted Balance" for that Payment Date, and then to ME
AND ACCRUAL (
ACCRETION ( - The "MG Accrual Amount" for that Payment Date to the "Scheduled Group"
DIRECTED ( (described below), until reduced its First Targeted Balance for that
AND ACCRUAL ( Payment Date, and then to MG
ACCRETION ( - The "ZH Accrual Amount" for that Payment Date to KH and KJ, pro rata,
DIRECTED ( until retired, and then to ZH
AND ACCRUAL (
- The "Group 2 Asset Principal Amount" and, in the case of the indicated
steps, the "M-1/MA Accrual Amount," the "M-2 Accrual Amount" and the
"MB Accrual Amount" for that Payment Date to the Classes and Components
shown below in the following order of priority:
( 1. Beginning December 15, 1999, to the Group 2 PAC Classes, until
( reduced to their "Aggregate Targeted Balance" for that Payment Date,
( allocated as follows:
(
PAC ( (a) Concurrently:
( i. 51.3097448568% to PA and PB, pro rata, while outstanding
( ii. 48.6902551432% to PJ and PK, in that order, while outstanding
(
( (b) To PC, PD and PE, in that order
(
2. Concurrently:
(a) 49.3312947699% of the remaining Group 2 Asset Principal Amount as
follows:
SCHEDULED ( i. To the Scheduled Group, until reduced to its First Targeted
( Balance for that Payment Date
SUPPORT ( ii. To MG, until retired
SCHEDULED ( iii. To the Scheduled Group, until reduced to its "Second Targeted
( Balance" for that Payment Date
SUPPORT ( iv. To FG, NG, SW and SX, pro rata, until retired
SCHEDULED ( v. To the Scheduled Group, until retired
(b) 4.5052956799% of the remaining Group 2 Asset Principal Amount as
follows:
SCHEDULED ( i. To C, until reduced to its First Targeted Balance for that
( Payment Date
SUPPORT ( ii. To ME, until retired
SCHEDULED ( iii. To C, until reduced to its Second Targeted Balance for that
( Payment Date
SUPPORT ( iv. To B, until retired
SCHEDULED ( v. To C, until retired
</TABLE>
S-69
<PAGE> 433
<TABLE>
<S> <C>
(c) 46.1634095502% of the remaining Group 2 Asset Principal Amount
or, in the case of the indicated steps, the M-1/MA Accrual
Amount, the M-2 Accrual Amount or the MB Accrual Amount, as
follows:
SCHEDULED ( i. To K, until reduced to its First Targeted Balance for that
( Payment Date
ACCRETION ( ii. The M-1/MA Accrual Amount to K, until reduced to its First
DIRECTED ( Targeted Balance for that Payment Date, and then to M-1 and MA,
AND ACCRUAL ( pro rata
SCHEDULED ( iii. To K, until reduced to its Second Targeted Balance for that
( Payment Date
ACCRETION ( iv. The M-2 Accrual Amount for that Payment Date to K, until
DIRECTED ( reduced to its Second Targeted Balance for that Payment Date,
AND ACCRUAL ( and then to M-2
ACCRETION ( v. The MB Accrual Amount for that Payment Date to K, until reduced
DIRECTED ( to its Second Targeted Balance for that Payment Date, and then
AND ACCRUAL ( to MB
SUPPORT ( vi. To M-1 and MA, pro rata, until retired
SCHEDULED ( vii. To M-2 and MB, pro rata, based on their then outstanding
AND ( balances, until reduced to their Aggregate Targeted Balance
SUPPORT ( for that Payment Date
SUPPORT ( viii. To MB, until retired
SCHEDULED ( ix. To K, until reduced to its Third Targeted Balance for that
( Payment Date
TAC ( x. Beginning November 15, 2006, to HC, until reduced to its
( "Targeted Balance" for that Payment Date
SUPPORT ( xi. To FH, HA, SY and SZ, pro rata, until retired
TAC ( xii. To HC, until retired
SCHEDULED ( xiii. To K and M-2, in that order, until retired
PAC ( 3. To the Group 2 PAC Classes as described in step 1, but without
( regard to their Aggregate Targeted Balance, until retired
( - On each Payment Date, principal allocated to the Scheduled Group will
( be distributed concurrently:
(
( (a) 3.6610189348% to KG, until retired
(
SCHEDULED ( (b) 96.3389810652% as follows:
(
( i. KH and KJ, pro rata, until retired
(
( ii. ZH, until retired
- The "ZB/ZC Accrual Amount" for that Payment Date to the Classes shown
below in the following order of priority:
( 1. To D, DA and DB, pro rata, until reduced to their Aggregate Targeted
( Balance for that Payment Date
ACCRETION (
DIRECTED ( 2. To ZB, until reduced to its Targeted Balance for that Payment Date
AND ACCRUAL (
( 3. To ZC, until retired
(
( 4. To ZB
</TABLE>
S-70
<PAGE> 434
<TABLE>
<S> <C>
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning January 15, 2001, to the Group 3 PAC Classes, until
( reduced to their Aggregate Targeted Balance for that Payment Date,
PAC ( allocated as follows:
( (a) To PR and PN, pro rata, while outstanding
( (b) To PT
( 2. To D, DA and DB, pro rata, until reduced to their Aggregate Targeted
TAC ( Balance for that Payment Date
( 3. To ZB, until reduced to its Targeted Balance for that Payment Date
SUPPORT ( 4. To ZC, until retired
TAC ( 5. To ZB, until retired
( 6. To D, DA and DB, pro rata, until retired
PAC ( 7. To PR and PN, pro rata, until retired
( 8. To PT, until retired
- The "JZ/ZJ Accrual Amount" for that Payment Date to the Classes shown
below in the following order of priority:
ACCRETION ( 1. To AJ, until reduced to its Targeted Balance for that Payment Date
DIRECTED ( 2. To JZ, until retired
AND ACCRUAL ( 3. To AJ, until retired
( 4. To ZJ
ACCRETION ( - The "ZG Accrual Amount" for that Payment Date to JG, until reduced to
DIRECTED ( its Targeted Balance for that Payment Date, and then to ZG
AND ACCRUAL
- The "Group 4 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
1. Beginning August 15, 1999, to the Group 4 PAC Classes, until reduced
to their Aggregate Targeted Balance for that Payment Date, allocated
as follows:
( (a) Concurrently:
PAC ( i. 20.0454781786% to TG and TH, pro rata, while outstanding
( ii. 79.9545218214% to TJ and TK, in that order, while outstanding
( (b) To TB and TC, in that order
2. Concurrently:
SUPPORT ( (a) 34.7967413192% to J, JA and JD, pro rata, until retired
(b) 54.8292463534% as follows:
TAC ( i. To AJ, until reduced to its Targeted Balance for that Payment Date
SUPPORT ( ii. To JZ, until retired
TAC ( iii. To AJ, until retired
</TABLE>
S-71
<PAGE> 435
<TABLE>
<S> <C>
SUPPORT ( iv. To ZJ, until retired
(c) 10.3740123274% as follows:
TAC ( i. To JG, until reduced to its Targeted Balance for that Payment Date
SUPPORT ( ii. To ZG, until retired
TAC ( iii. To JG, until retired
PAC ( 3. To the Group 4 PAC Classes as described in step 1, but without
regard to their Aggregate Targeted Balance, until retired
ACCRETION ( - The "LZ Accrual Amount" for that Payment Date to L and LD, pro rata,
based on their then outstanding balances, until reduced to their
"Higher Aggregate Targeted Balance" for that Payment Date, and then to LZ
- The "Group 5 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning October 15, 2000, to QD, QE, QH, QK and QL, in that order,
PAC ( until reduced to their Aggregate Targeted Balance for that Payment
( Date
( 2. To the Scheduled Classes, until reduced to their Higher Aggregate
SCHEDULED ( Targeted Balance for that Payment Date allocated as follows:
( (a) Up to 25.1918904765% to LD, while outstanding
( (b) The remainder to L
TAC ( 3. To LZ, until reduced to its Targeted Balance for that Payment Date
( 4. To the Scheduled Classes, until reduced to their "Lower Aggregate
SCHEDULED ( Targeted Balance" for that Payment Date, allocated as follows:
( (a) Up to 25.1918904765% to LD, while outstanding
( (b) The remainder to L
SUPPORT ( 5. To LA, LB, LC, LE, UU and WW, pro rata, until retired
TAC ( 6. To LZ, until retired
( 7. Up to 25.1918904765% of the remainder of the Group 5 Asset Principal
SCHEDULED ( Amount to LD, until retired
( 8. To L, until retired
PAC ( 9. To QD, QE, QH, QK and QL, in that order, until retired
</TABLE>
S-72
<PAGE> 436
<TABLE>
<S> <C>
- The "Group 6 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning November 15, 1999, to the Group 6 PAC Classes, until
( reduced to their Aggregate Targeted Balance for that Payment Date,
( allocated as follows:
(
PAC ( (a) Up to 11.0941001575% to TN, while outstanding
( (b) The remainder to TP, until the principal balance of TP has been
( reduced to $18,505,000
( (c) Concurrently, 60.6621865268% to TP and 39.3378134732% to TR,
( while outstanding
( (d) To TU
SUPPORT ( 2. To T, until retired
PAC ( 3. To the Group 6 PAC Classes as described in step 1, but without
( regard to their Aggregate Targeted Balance, until retired
</TABLE>
S-73
<PAGE> 437
The Aggregate Targeted Balances and Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges and
rates:
<TABLE>
<CAPTION>
CLASS OR COMPONENT STRUCTURING RANGE OR RATE
------------------ -------------------------
<S> <C>
GROUP 2
PAC
PA, PB, PC, PD, PE, PJ and PK............................. 100% PSA - 250% PSA
Scheduled
C (First)................................................. 126% PSA
C (Second)................................................ 197% PSA
K (First)................................................. 110% PSA
K (Second)................................................ 127% PSA
K (Third)................................................. 202% PSA
Scheduled Group (First)................................... 128% PSA
Scheduled Group (Second).................................. 199% PSA
Scheduled and Support
M-2 and MB................................................ *
TAC
HC........................................................ 202% PSA
GROUP 3
PAC
PR, PN and PT............................................. 92% PSA - 376% PSA
TAC
D, DA and DB.............................................. 275% PSA
ZB........................................................ 12.5% CPR
GROUP 4
PAC
TB, TC, TG, TH, TJ and TK................................. 100% PSA - 250% PSA
TAC
AJ........................................................ 117% PSA
JG........................................................ 120% PSA
GROUP 5
PAC
QD, QE, QH, QK and QL..................................... 100% PSA - 250% PSA
Scheduled
L and LD (Higher)......................................... 114% PSA
L and LD (Lower).......................................... 165% PSA
TAC
LZ........................................................ 225% PSA
GROUP 6
PAC
TN, TP, TR and TU......................................... 100% PSA - 250% PSA
</TABLE>
--------------------
* Not structured at any constant range or rate.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
MACR CLASS
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments will be allocated from
the applicable Classes of REMIC Certificates to the MACR Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASSES
The UU and WW Classes will be Retail Classes. Investors in the Retail
Classes will receive principal payments in $1,000 "Retail Class Units," subject
to the priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement. Also see
"Prepayment and Yield Analysis -- Prepayment and Weighted Average Life
Considerations -- Retail Classes" in this Supplement.
S-74
<PAGE> 438
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 165% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A and AB...................... 19.0 8.4 6.0 4.3 2.5
EA............................ 18.2 7.5 5.3 3.8 2.2
EB............................ 27.4 18.3 13.3 9.5 5.1
GB............................ 17.8 7.1 5.0 3.6 2.1
GC............................ 2.7 0.7 0.5 0.4 0.3
GD............................ 18.9 7.5 5.3 3.9 2.3
GE............................ 27.2 17.7 12.8 9.2 4.9
GH............................ 19.0 8.4 6.0 4.3 2.5
VA............................ 6.0 6.0 6.0 6.0 4.6
VB............................ 12.8 12.8 12.8 11.1 6.5
Z............................. 29.0 24.2 20.0 16.2 9.5
Group 1 Assets................ 20.8 11.2 8.4 6.2 3.5
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 202% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
B............................. 29.7 27.9 18.1 2.3 1.1
C............................. 14.9 10.2 4.9 3.6 1.7
FG, NG, SW and SX............. 29.8 28.2 19.5 2.0 1.0
FH, HA, SY and SZ............. 29.7 27.9 20.0 2.3 1.1
HC............................ 29.3 25.2 11.0 4.7 1.4
K............................. 12.7 8.9 3.5 3.5 1.7
KG............................ 17.5 11.4 5.0 3.5 1.6
KH and KJ..................... 16.5 10.9 4.6 3.4 1.6
M............................. 28.1 20.7 1.7 1.3 0.7
MA............................ 26.5 16.2 0.7 0.5 0.2
MB............................ 28.1 20.8 1.7 1.3 0.7
ME............................ 27.9 21.2 1.6 1.1 0.5
MG............................ 28.1 22.2 1.4 1.0 0.5
PA and PB..................... 12.8 3.9 3.9 3.9 2.8
PC............................ 20.2 7.4 7.4 7.4 4.2
PD............................ 23.1 10.9 10.9 10.9 5.8
PE............................ 25.7 19.6 19.6 19.6 10.8
PJ............................ 11.6 3.4 3.4 3.4 2.6
PK............................ 18.9 6.4 6.4 6.4 3.8
ZH............................ 26.3 17.7 15.6 7.8 2.4
Group 2 Assets................ 21.0 11.4 7.5 6.4 3.6
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate, and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-75
<PAGE> 439
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 90% 300% 400% 600%
-- --- ---- ---- ----
<S> <C> <C> <C> <C> <C>
D, DA and DB.................. 17.4 10.0 4.0 2.6 1.6
PN and PR..................... 11.0 4.0 4.0 4.0 3.2
PT............................ 19.6 9.0 8.9 9.2 6.4
ZB............................ 26.7 20.6 1.3 0.6 0.4
ZC............................ 29.3 26.6 18.0 1.3 0.5
Group 3 Assets................ 21.3 11.7 5.3 4.1 2.8
</TABLE>
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 188% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
AJ............................ 12.0 9.0 4.0 2.0 1.0
J, JA and JD.................. 12.8 9.9 4.9 2.2 1.1
JG............................ 12.6 9.7 5.0 2.2 1.1
JZ............................ 14.7 13.7 0.2 0.1 0.0
TB............................ 10.1 7.0 7.0 7.0 4.4
TC............................ 12.6 11.5 11.5 11.5 8.0
TG and TH..................... 4.9 2.9 2.9 2.9 2.2
TJ............................ 3.6 2.1 2.1 2.1 1.9
TK............................ 7.3 4.3 4.3 4.3 2.9
ZG............................ 15.0 14.6 0.2 0.1 0.1
ZJ............................ 14.9 14.3 13.3 5.0 1.9
Group 4 Assets................ 9.0 6.7 5.5 4.8 3.2
</TABLE>
Group 5
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 165% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
L............................. 20.8 9.6 4.0 3.2 1.6
LA, LB, LC, LE, UU** and
WW**........................ 29.4 25.7 19.9 2.3 1.0
LD............................ 20.8 9.6 4.0 3.2 1.6
LZ............................ 27.9 19.9 1.2 0.7 0.7
QD............................ 6.1 2.5 2.5 2.5 2.3
QE............................ 10.6 3.5 3.5 3.5 2.7
QH............................ 16.4 6.0 6.0 6.0 3.6
QK............................ 22.3 11.0 11.0 11.0 5.9
QL............................ 24.9 18.9 18.9 18.9 10.4
Group 5 Assets................ 20.8 11.3 8.5 6.4 3.6
</TABLE>
Group 6
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 195% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
T............................. 12.4 9.3 4.3 2.1 1.0
TN............................ 3.6 2.2 2.2 2.2 1.9
TP............................ 6.3 4.0 4.0 4.0 2.8
TR............................ 10.0 6.8 6.8 6.8 4.3
TU............................ 12.1 10.6 10.6 10.6 7.2
Group 6 Assets................ 9.0 6.7 5.4 4.8 3.2
</TABLE>
--------------------
** The weighted average lives shown in the table for each Retail Class
apply to that Class as a whole and are not likely to reflect the
experience of any Retail Class investor. Because Retail Class
investors will receive principal payments subject to the
priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among
different investors.
S-76
<PAGE> 440
THE ASSETS
The Group 1 Assets will consist of $663,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $1,180,600,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 3 Assets will consist of (i) $170,000,001 of Freddie Mac 7.0%
30-year PCs and (ii) $129,999,999 of Freddie Mac Stripped Giant Mortgage
Participation Certificates ("Stripped Giant PCs") with a weighted average
interest rate of 6.5% at all times, backed by Freddie Mac 7.0% PCs. The Stripped
Giant PCs will be from Freddie Mac's Gold MACS (Modifiable And Combinable
Securities), Series 198 ("Series 198") or a similar Series.
The Group 4 Assets will consist of $415,500,000 of Freddie Mac 6.0% per
annum 15-year PCs.
The Group 5 Assets will consist of $300,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 6 Assets will consist of $200,000,000 of Freddie Mac 6.0% per
annum 15-year PCs.
The assets of this Series will also include (i) a non-interest bearing cash
deposit of $1,999.98 to be used for principal payments on the Retail Classes as
described in this Supplement and (ii) a non-interest bearing cash deposit of
$11,250 to be used for interest payments on the Descending Rate Class as
described in this Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF DECEMBER 1, 1998)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $ 663,000,000 355 5 6.75% 6.0%
2 $1,180,600,000 357 3 7.05 6.5
( $ 170,000,001 352 8 7.53 7.0
( 129,999,999 352 8 7.53 7.0*
3 ( --------------
( $ 300,000,000
( ==============
4 $ 415,500,000 177 3 6.5 6.0
5 $ 300,000,000 357 3 6.75 6.0
6 $ 200,000,000 177 3 6.5 6.0
</TABLE>
--------------------
* The Stripped Giant PCs have a weighted average interest rate of 6.5% per
annum.
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-77
<PAGE> 441
EXHIBIT VII -- SERIES 2085 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$500,000,000
FREDDIE MAC (FREDDIE MAC LOGO)
MULTICLASS REMIC CERTIFICATES, SERIES 2085
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Freddie Mac 6.5% PCs (Gold PCs and Gold Giant PCs)
Payment Dates: Monthly, beginning September 15, 1998
Form of Securities: Regular (non-Retail) Classes: Book-entry (Federal Reserve
Banks)
Retail Class (UU): Book-entry (Depository Trust Company);
issued in $1,000 Retail Class Units
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Donaldson, Lufkin & Jenrette Securities
Corporation (the "Underwriter")
Closing Date: August 28, 1998
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ORIGINAL WEIGHTED AVERAGE
PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT LIFE AT
CLASS AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) 170% PSA(4)
----- --------- ------------- ------ -------- ------ ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
A ............................ $57,307,000 SCH/AD 6.5% FIX 3133TEW J 9 August 15, 2028 4.6Yrs
B ........................... 2,569,000 PAC II/AD 6.5 FIX 3133TEW K 6 August 15, 2028 23.6
BA ........................... 2,000,000 PAC II/AD (5) DRB 3133TEW L 4 August 15, 2028 23.6
C ............................ 63,870,000 SCH/AD 6.5 FIX 3133TEW M 2 April 15, 2028 3.5
D ............................ 8,000,000 SCH/AD 6.5 FIX 3133TEW N 0 August 15, 2028 13.8
FA ........................... 25,280,125 TAC/AD (5) FLT/DLY 3133TEW P 5 August 15, 2028 19.2
PA ........................... 51,161,000 PAC I 6.0 FIX 3133TEW Q 3 July 15, 2017 3.5
PB ........................... 28,602,000 PAC I 6.25 FIX 3133TEW R 1 December 15, 2020 6.0
PC ........................... 24,883,000 PAC I 6.25 FIX 3133TEW S 9 October 15, 2023 7.9
PD ........................... 71,676,000 PAC I 6.25 FIX 3133TEW T 7 November 15, 2026 11.0
PE ........................... 50,318,000 PAC I 6.5 FIX 3133TEW U 4 August 15, 2028 18.1
PG ........................... 60,000,000 PAC I 6.0 FIX 3133TEW V 2 December 15, 2020 4.0
PH ........................... 5,000,000 PAC I 6.0 FIX 3133TEWW0 December 15, 2020 6.0
PI ........................... 16,633,961 NTL(PAC I) 6.5 FIX/IO 3133TEW X 8 November 15, 2026 --
PJ ........................... 25,000,000 PAC I 5.75 FIX 3133TEW Y 6 October 15, 2023 7.9
SA ........................... 5,833,875 TAC/AD (5) INV/DLY 3133TEX 3 3 August 15, 2028 19.2
UU............................ 9,000,000 PAC II/AD/RTL 6.5 FIX 3133TEX 4 1 August 15, 2028 23.6
Z ............................ 9,500,000 SUP 6.5 FIX/Z 3133TEX 5 8 August 15, 2028 2.6
R ............................ 0 NPR 0.0 NPR 3133TEW Z 3 August 15, 2028 --
RS ........................... 0 NPR 0.0(6) NPR 3133TEX 2 5 August 15, 2028 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for the Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which the Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at the rate assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown. Because Retail Class investors will receive principal payments
subject to the priorities, limitations and allocations described in this
Supplement, the weighted average lives of Retail Class Units will vary among
different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
(6) Under certain circumstances, the RS Class may receive certain payments as
described under "Payments -- Interest -- Descending Rate Class" in this
Supplement.
----------------------------
DONALDSON, LUFKIN & JENRETTE
SECURITIES CORPORATION
OFFERING CIRCULAR SUPPLEMENT DATED AUGUST 6, 1998
S-78
<PAGE> 442
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement.
The Descending Rate Class will bear interest at the following Class
Coupons:
<TABLE>
<CAPTION>
CLASS ACCRUAL PERIODS 1 THROUGH 12 ACCRUAL PERIODS 13 THROUGH 24 THEREAFTER
- ----- ---------------------------- ----------------------------- ----------
<S> <C> <C> <C>
BA 7.5% 7.0% 6.5%
</TABLE>
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
---------------------------
CLASS INITIAL RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- --------------- ------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
FA(3)................... 6.55625% LIBOR + 0.9% 0.9% 8.0%
SA(3)................... 6.25625 30.766667% - (LIBOR X 4.333333) 0.0 30.766667
</TABLE>
--------------------
(1) Initial Rate will be in effect during the first Accrual Period;
Class Coupon will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description
of Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASS
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- ----------------------------------------------------
<S> <C> <C>
( $ 8,935,461 PA, PG and PH, in the aggregate (Type I PAC Classes)
( 4,813,885 PB, PC and PD, in the aggregate (Type I PAC Classes)
PI ( 2,884,615 PJ (Type I PAC Class)
( -----------
( $16,633,961
( ===========
</TABLE>
See "Payments -- Interest -- Notional Class" in this Supplement.
S-79
<PAGE> 443
ALLOCATION OF PRINCIPAL
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
- The "Z Accrual Amount" for that Payment Date to the Classes shown
below in the following order of priority:
SCHEDULED/ ( 1. Concurrently, 44.3631606246% to A and 55.6368393754% to C and D, in
ACCRETION ( that order, until reduced to their "Aggregate Targeted Balance" for
DIRECTED ( that Payment Date
2. Beginning May 15, 2018, to B, BA, FA, SA and UU, until reduced to
their Aggregate Targeted Balance for that Payment Date, as follows:
TYPE II (
PAC/ ( (a) To B, BA and UU, pro rata, until reduced to their Aggregate
ACCRETION ( Targeted Balance for that Payment Date
DIRECTED (
TAC/ (
ACCRETION ( (b) To FA and SA, pro rata, while outstanding
DIRECTED (
TYPE II (
PAC/ ( (c) To B, BA and UU, pro rata, while outstanding
ACCRETION (
DIRECTED (
ACCRUAL ( 3. To Z, until retired
- The "Asset Principal Amount" for that Payment Date to the Classes
shown below in the following order of priority:
( 1. Beginning August 15, 2000, to the Type I PAC Classes, until reduced
( to their Aggregate Targeted Balance for that Payment Date, as
( follows:
( (a) Concurrently, 51.5938725910% to PA and 48.4061274090% to PG, while
TYPE I ( PA is outstanding
PAC ( (b) Concurrently, 73.6853646770% to PB and PH, pro rata, and
( 26.3146353230% to PG
( (c) To PC and PJ, pro rata, while outstanding
( (d) To PD and PE, in that order, while outstanding
( 2. Concurrently, 44.3631606246% to A and 55.6368393754% to C and D, in
SCHEDULED ( that order, until reduced to their Aggregate Targeted Balance for
( that Payment Date
3. Beginning May 15, 2018, to B, BA, FA, SA and UU, until reduced to
their Aggregate Targeted Balance for that Payment Date, as follows:
TYPE II ( (a) To B, BA and UU, pro rata, until reduced to their Aggregate
PAC ( Targeted Balance for that Payment Date
TAC ( (b) To FA and SA, pro rata, while outstanding
TYPE II ( (c) To B, BA and UU, pro rata, while outstanding
PAC (
SUPPORT ( 4. To Z, until retired
5. To B, BA, FA, SA and UU, until retired, as follows:
TYPE II ( (a) Beginning January 15, 2018, to B, BA and UU, pro rata, until
PAC ( reduced to their Aggregate Targeted Balance for that Payment Date
TAC ( (b) To FA and SA, pro rata, until retired
TYPE II ( (c) To, B, BA and UU, pro rata, until retired
PAC (
SCHEDULED ( 6. Concurrently, 44.3631606246% to A and 55.6368393754% to C and D, in
( that order, until retired
TYPE I ( 7. To the Type I PAC Classes as shown in step 1 above, but without
PAC ( regard to their Aggregate Targeted Balance, until retired
</TABLE>
S-80
<PAGE> 444
The Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges and rate:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE OR RATE
----- -------------------------
<S> <C>
Type I PAC Classes.......................................... 100% PSA - 250% PSA
Scheduled Classes........................................... 158% PSA - 170% PSA
Type II PAC Classes......................................... 140% PSA - 200% PSA
Type II PAC and TAC Classes (Combined)...................... 125% PSA
</TABLE>
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASS
The UU Class will be a Retail Class. Investors in the Retail Class will
receive principal payments in $1,000 "Retail Class Units," subject to the
priorities, limitations and allocations described under "Payments -- Retail
Class Principal Payments" in this Supplement. Also see "Prepayment and Yield
Analysis -- Prepayment and Weighted Average Life Considerations -- Retail Class"
in this Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
S-81
<PAGE> 445
WEIGHTED AVERAGE LIVES (IN YEARS)*
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 170% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 22.0 10.7 4.6 3.2 1.7
B, BA and UU**................ 27.9 23.5 23.6 3.2 1.3
C............................. 21.3 9.7 3.5 2.7 1.6
D............................. 27.5 19.0 13.8 6.9 2.4
FA and SA..................... 28.3 23.4 19.2 2.0 0.9
PA............................ 9.9 3.5 3.5 3.5 2.8
PB and PH..................... 16.8 6.0 6.0 6.0 3.7
PC and PJ..................... 19.7 7.9 7.9 7.9 4.4
PD............................ 22.5 11.0 11.0 11.0 5.9
PE............................ 24.8 18.1 18.1 18.1 9.9
PG............................ 11.3 4.0 4.0 4.0 3.0
Z............................. 29.4 25.9 2.6 0.7 0.3
Underlying Assets............. 21.0 11.5 8.5 6.5 3.7
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
** The weighted average lives shown in the table for the Retail Class
apply to that Class as a whole and are not likely to reflect the
experience of any Retail Class investor. Because Retail Class
investors will receive principal payments subject to the
priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among
different investors.
THE ASSETS
The Assets will consist of $500,000,000 of Freddie Mac 6.5% per annum
30-year PCs.
The assets of this Series will also include (i) a non-interest bearing cash
deposit of $999.99 to be used for principal payments on the Retail Class as
described in this Supplement and (ii) a non-interest bearing cash deposit of
$30,000 to be used for interest payments on the BA Class as described in this
Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF AUGUST 1, 1998)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF PCS
- ----------------- -------------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
$500,000,000 358 2 7.13% 6.5%
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-82
<PAGE> 446
EXHIBIT VIII -- SERIES 2081 OFFERING CIRCULAR SUPPLEMENT COVER PAGE, TERMS SHEET
AND MACR TABLE
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$3,295,372,000
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2081
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier, consisting of one Upper-Tier REMIC Pool
and three Lower-Tier REMIC Pools)
Underlying Assets: Five Asset Groups, consisting of one Group of Freddie Mac
6.5% PCs (Gold PCs and Gold Giant PCs), two Groups of
Freddie Mac 6.5% Callable Pass-Through Certificates
(CPCs), one Group of Freddie Mac 7.5% Stripped Giant PCs
(or equivalent PCs) and one Group of Freddie Mac 6.0% PCs
Payment Dates: Monthly, beginning September 15, 1998
Redemption of
Callable Classes: CPCs underlying Callable Classes are redeemable beginning in
August 1999; upon redemption the related Callable Classes
would be retired
Form of Securities: Regular (non-Retail) and MACR Classes: Book-entry (Federal
Reserve Banks)
Retail Classes (UU and VV): Book-entry (Depository Trust
Company); issued in $1,000 Retail Class Units
Residual Classes (R, RA, RB and RC): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Lehman Brothers Inc. (the "Underwriter")
Closing Date: August 28, 1998
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ORIGINAL WEIGHTED
CLASS OF PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
REMIC CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
A.................... $500,000,000 SCH/AD 6.5% FIX 3133TG 7 F 0 August 15, 2028 5.0Yrs
FA .................. 120,458,000 SUP (5) FLT/DLY 3133TG A 7 4 August 15, 2028 21.3
L ................... 53,023,000 TAC 6.5 FIX/Z 3133TG A 8 2 August 15, 2028 1.4
PB .................. 244,976,000 PAC 6.25 FIX 3133TG A A 7 June 15, 2024 8.0
PC .................. 234,586,000 PAC 6.25 FIX 3133TG A B 5 October 15, 2026 11.0
PD .................. 232,466,000 PAC 6.5 FIX 3133TG A C 3 August 15, 2028 17.5
PE .................. 372,850,000 PAC 6.0 FIX 3133TG A D 1 April 15, 2016 2.9
PG .................. 111,000,000 PAC 6.0 FIX 3133TG A E 9 July 15, 2018 4.8
PH .................. 156,459,000 PAC 6.0 FIX 3133TG A F 6 March 15, 2021 6.0
PI .................. 25,000,000 NTL(PAC) 6.5 FIX/IO 3133TG A G 4 November 15, 2016 --
PJ .................. 34,830,538 NTL(PAC) 6.5 FIX/IO 3133TG A H 2 June 15, 2024 --
PK .................. 9,022,538 NTL(PAC) 6.5 FIX/IO 3133TG A J 8 October 15, 2026 --
PL .................. 10,000,000 PAC 5.75 FIX 3133TG A K 5 June 15, 2024 8.0
SA .................. 37,064,000 SUP (5) INV/DLY 3133TG A P 4 August 15, 2028 21.3
GROUP 2
CA .................. 500,000,000 Callable/SEQ 6.77 FIX 3133TG A V 1 December 15, 2026 6.0
CB .................. 20,770,000 Callable/SEQ 0.0 PO 3133TG A W 9 December 15, 2026 6.0
CD .................. 86,970,000 Callable/SEQ 7.0 FIX 3133TG A X 7 August 15, 2028 20.2
CE .................. 6,690,000 Callable/SEQ 0.0 PO 3133TG A Y 5 August 15, 2028 20.2
GROUP 3
BA .................. 100,000,000 Callable/TAC/AD 6.65 FIX 3133TG A Q 2 January 15, 2027 6.3
BC .................. 2,308,000 Callable/TAC/AD 0.0 PO 3133TG A R 0 January 15, 2027 6.3
BD .................. 5,918,000 Callable/SEQ 7.0 FIX 3133TG A S 8 August 15, 2028 20.9Yrs
</TABLE>
<TABLE>
ORIGINAL WEIGHTED
CLASS OF PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
REMIC CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
BE .................. $ 994,000 Callable/SEQ 0.0% PO 3133TG A T 6 August 15, 2028 20.9
BZ .................. 840,000 Callable/SUP 6.5 FIX/Z 3133TG A U 3 February 15, 2027 0.4
UU................... 6,000,000 Callable/SEQ/RTL 6.75 FIX 3133TG B 3 2 August 15, 2028 20.9
VV................... 4,000,000 Callable/SEQ/RTL 7.0 FIX 3133TG B 4 0 August 15, 2028 20.9
GROUP 4
EB .................. 25,000,000 SEQ 7.5 FIX 3133TG A 3 3 March 15, 2022 1.7
EC .................. 25,000,000 SEQ 0.0 PO 3133TG A 4 1 August 15, 2028 8.2
ED .................. 25,000,000 NTL(SEQ) 7.5 FIX/IO 3133TG A 5 8 August 15, 2028 --
GROUP 5
DB .................. 257,640,000 SEQ 5.5 FIX 3133TG 7 H 6 May 15, 2025 4.9
DH .................. 24,010,000 SEQ 6.0 FIX 3133TG 7 J 2 February 15, 2026 12.7
DU .................. 34,249,000 AD/SEQ 6.0 FIX 3133TG 7 L 7 June 15, 2009 6.0
DV .................. 20,081,000 AD/SEQ 6.0 FIX 3133TG 7 M 5 August 15, 2013 12.8
DZ .................. 37,610,000 SEQ 6.0 FIX/Z 3133TG A 2 5 August 15, 2028 19.4
F ................... 64,410,000 SEQ (5) FLT 3133TG A 6 6 May 15, 2025 4.9
S ................... 64,410,000 NTL(SEQ) (5) INV/IO 3133TG A N 9 May 15, 2025 --
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TG A L 3 August 15, 2028 --
RA .................. 0 NPR 0.0 NPR 3133TG A Z 2 August 15, 2028 --
RB .................. 0 NPR 0.0 NPR 3133TG B 2 4 August 15, 2028 --
RC .................. 0 NPR 0.0 NPR 3133TGAM1 August 15, 2028 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 175% PSA for the Group 1
and Group 2 Classes, 170% PSA for the Group 3 Classes, 294% PSA for the
Group 4 Classes and 150% PSA for the Group 5 Classes. Prepayments will not
occur at the rates assumed, and the actual weighted average lives of the
Classes may differ significantly from those shown. Because Retail Class
investors will receive principal payments subject to the priorities,
limitations and allocations described in this Supplement, the weighted
average lives of Retail Class Units will vary among different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
LEHMAN BROTHERS
OFFERING CIRCULAR SUPPLEMENT DATED AUGUST 4, 1998
S-83
<PAGE> 447
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Classes and the "Combinations" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The BC, BE, CB, CE and EC Classes will be Principal Only Classes and will
not bear interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ----------------------- ------------ ------------
<S> <C> <C> <C> <C>
F..................... 5.9875% LIBOR + 0.3% 0.3% 8.0%
FA(3)................. 6.35 LIBOR + 0.7% 0.7 8.5
S..................... 2.0125 7.7% - LIBOR 0.0 7.7
SA(3)................. 6.9875 25.35% - (LIBOR X 3.25) 0.0 25.35
</TABLE>
-------------------------
(1) Initial Rate will be in effect during the first Accrual Period;
Class Coupon will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description
of Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
S-84
<PAGE> 448
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- -----------------------------------
<S> <C> <C>
ED $ 25,000,000 EC (Sequential Pay Class)
PI $ 23,253,711 PE (PAC Class)
1,746,289 First $28,000,000 of PG (PAC Class)
------------
$ 25,000,000
============
PJ $ 9,422,154 PB (PAC Class)
5,427,058 PE (PAC Class)
407,557 First $28,000,000 of PG (PAC Class)
6,384,615 Last $83,000,000 of PG (PAC Class)
12,035,308 PH (PAC Class)
1,153,846 PL (PAC Class)
------------
$ 34,830,538
============
PK $ 9,022,538 PC (PAC Class)
S $ 64,410,000 F (Sequential Pay Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-85
<PAGE> 449
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
ACCRETION (
DIRECTED ( - The "L Accrual Amount" for that Payment Date to A, until reduced to
AND ( its "Higher Targeted Balance" for that Payment Date, and then to L
ACCRUAL (
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning February 15, 2000, to the PAC Classes, until reduced to
( their "Targeted Balances" for that Payment Date, allocated as
( follows:
PAC ( (a) To PE, PG and PH, in that order
( (b) To PB and PL, pro rata
( (c) To PC and PD, in that order
SCHEDULED ( 2. To A, until reduced to its Higher Targeted Balance for that Payment
( Date
TAC ( 3. To L, until reduced to its Targeted Balance for that Payment Date
SCHEDULED ( 4. To A, until reduced to its "Lower Targeted Balance" for that Payment
( Date
SUPPORT ( 5. To FA and SA, pro rata, until retired
TAC ( 6. To L, until retired
SCHEDULED ( 7. To A, until retired
PAC ( 8. To the PAC Classes described in step 1 above, but without regard to
( their Targeted Balances, until retired
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To CA and CB, pro rata, until retired
PAY ( 2. To CD and CE, pro rata, until retired
ACCRETION ( - The "BZ Accrual Amount" for that Payment Date to BA and BC, pro rata,
DIRECTED ( until reduced to their "Aggregate Targeted Balance" for that Payment
AND ( Date, and then to BZ
ACCRUAL (
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
TAC ( 1. To BA and BC, pro rata, until reduced to their Aggregate Targeted
( Balance for that Payment Date
SUPPORT ( 2. To BZ, until retired
TAC ( 3. To BA and BC, pro rata, until retired
SEQUENTIAL ( 4. To BD, BE, UU and VV, pro rata, until retired
PAY (
SEQUENTIAL ( - The "Group 4 Asset Principal Amount" for that Payment Date to EB and
PAY ( EC, in that order, until retired
ACCRETION (
DIRECTED ( - The "DZ Accrual Amount" for that Payment Date to DU and DV, in that
AND ( order, until retired, and then to DZ
ACCRUAL (
</TABLE>
S-86
<PAGE> 450
<TABLE>
<S> <C>
- The "Group 5 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To DB and F, pro rata, until retired
PAY ( 2. To DH, DU, DV and DZ, in that order, until retired
</TABLE>
The Aggregate Targeted Balances and Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring range or rates:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE OR RATE
----- -------------------------
<S> <C>
GROUP 1
PAC
PB, PC, PD, PE, PG, PH and PL............................. 100% PSA - 250% PSA
Scheduled
A (Higher)................................................ 130% PSA
A (Lower)................................................. 175% PSA
TAC
L......................................................... 175% PSA
GROUP 3
TAC
BA and BC................................................. 120% PSA
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments will be allocated
from the applicable Class or Classes of REMIC Certificates to the related MACR
Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASSES
The UU and VV Classes will be Retail Classes. Investors in the Retail
Classes will receive principal payments in $1,000 "Retail Class Units," subject
to the priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement. Also see
"Prepayment and Yield Analysis -- Prepayment and Weighted Average Life
Considerations -- Retail Classes" in this Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and three "Lower-Tier
REMIC Pools" for this Series. Elections will be made to treat each REMIC Pool as
a "real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R, RA, RB and RC Classes will be "Residual Classes" and the
other Classes of REMIC Certificates will be "Regular Classes." The Residual
Classes will be subject to transfer restrictions. See "Certain Federal Income
Tax Consequences" in this Supplement and the Offering Circular.
S-87
<PAGE> 451
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 175% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 20.8 11.3 5.0 3.4 1.6
FA and SA..................... 29.6 27.0 21.3 1.8 0.7
L............................. 28.3 21.7 1.4 1.4 1.1
PA............................ 12.3 4.0 4.0 4.0 2.9
PB and PL..................... 20.4 8.0 8.0 8.0 4.4
PC............................ 23.0 11.0 11.0 11.0 5.9
PD............................ 25.0 17.5 17.5 17.5 9.6
PE............................ 9.1 2.9 2.9 2.9 2.5
PG............................ 15.4 4.8 4.8 4.8 3.2
PH............................ 17.6 6.0 6.0 6.0 3.6
Group 1 Assets................ 21.0 11.4 8.3 6.4 3.6
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 175% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
REDEMPTION ON AUGUST 15, 1999
CA and CB..................... 1.0 0.9 0.9 0.9 0.9
CD and CE..................... 1.0 1.0 1.0 1.0 1.0
Group 2 Asset................. 1.0 1.0 0.9 0.9 0.9
REDEMPTION ON AUGUST 15, 2003
CA and CB..................... 4.9 4.2 3.9 3.3 2.5
CD and CE..................... 5.0 5.0 5.0 5.0 5.0
Group 2 Asset................. 4.9 4.4 4.0 3.5 2.9
NO REDEMPTION
CA and CB..................... 19.6 8.8 6.0 3.9 2.6
CD and CE..................... 29.2 24.9 20.2 13.8 8.6
Group 2 Asset................. 21.0 11.3 8.2 5.4 3.5
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 170% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
REDEMPTION ON AUGUST 15, 1999
BA and BC..................... 1.0 0.9 0.9 0.9 0.9
BD, BE, UU** and VV**......... 1.0 1.0 1.0 1.0 1.0
BZ............................ 1.0 1.0 0.4 0.2 0.1
Group 3 Asset................. 1.0 1.0 0.9 0.9 0.9
REDEMPTION ON AUGUST 15, 2003
BA and BC..................... 4.8 4.2 3.9 3.3 2.6
BD, BE, UU** and VV**......... 5.0 5.0 5.0 5.0 5.0
BZ............................ 5.0 5.0 0.4 0.2 0.1
Group 3 Asset................. 4.9 4.4 4.0 3.5 2.9
NO REDEMPTION
BA and BC..................... 19.2 8.7 6.3 4.0 2.7
BD, BE, UU** and VV**......... 29.2 25.2 20.9 14.2 8.8
BZ............................ 28.2 20.8 0.4 0.2 0.1
Group 3 Asset................. 21.0 11.3 8.3 5.4 3.5
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate, a redemption of a Callable Asset
may occur on a date other than a date shown and the actual weighted
average lives of any or all of the Classes and of the Assets are
likely to differ from those shown, perhaps significantly.
** The weighted average lives shown in the table for each Retail Class
apply to that Class as a whole and are not likely to reflect the
experience of any Retail Class investor. Because Retail Class
investors will receive principal payments subject to the
priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among
different investors.
S-88
<PAGE> 452
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 294% 450% 600%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
EB............................ 16.0 4.3 1.7 1.1 0.9
EC............................ 27.1 17.1 8.2 5.4 3.9
Group 4 Assets................ 21.6 10.7 4.9 3.2 2.4
</TABLE>
Group 5
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 150% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
DA, DB, DJ and F.............. 18.0 6.7 4.9 2.6 1.6
DH............................ 27.1 16.5 12.7 6.9 4.1
DU............................ 6.0 6.0 6.0 5.4 3.9
DV............................ 13.0 13.0 12.8 8.5 5.5
DZ............................ 28.8 22.4 19.4 13.2 8.5
Group 5 Assets................ 20.8 10.5 8.3 4.8 2.9
</TABLE>
THE ASSETS
The Group 1 Assets will consist of $2,072,882,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 4 Assets will consist of $50,000,000 of (i) Freddie Mac Stripped
Giant Mortgage Participation Certificates ("Stripped Giant PCs") with a weighted
average interest rate of 7.5% at all times, backed by Freddie Mac 7.5% PCs
and/or (ii) Freddie Mac 7.5% PCs. Any such Stripped Giant PCs will be from
Freddie Mac's Gold MACS (Modifiable And Combinable Securities), Series 195
("Series 195"), or will be equivalent Stripped Giant PCs from another Series.
The Group 5 Assets will consist of $438,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 and Group 3 Assets (the "Callable Assets") will have the
following characteristics:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
IN RELATED
PERCENTAGE OF CLASS LOWER-TIER
IN RELATED REMIC POOL
ASSET LOWER-TIER AS OF CLOSING AUGUST 1998 CLASS PRINCIPAL TYPE/
GROUP CLASS REMIC POOL DATE CLASS FACTOR COUPON INTEREST TYPE(1) FINAL PAYMENT DATE
- ----- ------- ------------------- ---------------- -------------- ------ ---------------- ------------------
<C> <S> <C> <C> <C> <C> <C> <C>
2 C085-A1 100% $614,430,000 1.0000000 6.5% Callable/FIX August 15, 2028
3 C085-A2 100% $120,060,000 1.0000000 6.5% Callable/FIX August 15, 2028
</TABLE>
- ---------------
(1) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
Each of the Callable Assets may be redeemed by Freddie Mac at the direction
of the holder of the related Call Class of Series C085 on any Payment Date
beginning in August 1999 if, as of the time Freddie Mac receives telephonic
notice of intention to redeem, the related Giant PC has a market value that
exceeds its principal amount.
A redemption is most likely to occur if prevailing interest rates have
declined. Upon a redemption of a Callable Asset, investors in the related
Securities will receive the outstanding principal amount of the investors'
Securities, plus interest (if any), calculated as described under "General
Information -- Structure of Transaction -- The Callable Assets" in this
Supplement.
The assets of this Series will also include a non-interest bearing cash
deposit of $1,999.98 to be used for principal payments on the Retail Classes as
described in this Supplement.
See "Payments -- Redemption and Exchange" in the Callable Asset Offering
Circular, "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement and Exhibit I to this Supplement.
S-89
<PAGE> 453
ASSUMED MORTGAGE CHARACTERISTICS (AS OF AUGUST 1, 1998)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $2,072,882,000 357 3 7.10% 6.5%
2 614,430,000 355 5 7.15 6.5
3 120,060,000 355 5 7.15 6.5
4 50,000,000 336 18 8.037 7.5
5 438,000,000 342 18 6.75 6.0
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-90
<PAGE> 454
APPENDIX 1
AVAILABLE COMBINATIONS
<TABLE>
<CAPTION>
REMIC CERTIFICATES MACR CERTIFICATES
- -------------------------------------------------------------- -----------------------------------------------------------------
ORIGINAL PRINCIPAL
OR NOTIONAL MACR MAXIMUM ORIGINAL EXCHANGE PRINCIPAL OR
CLASS PRINCIPAL AMOUNT EXCHANGE PROPORTIONS(1) CLASS PRINCIPAL AMOUNT PROPORTIONS(1) OTHER TYPE(2)
----- ------------------ ----------------------- ----- --------------------- -------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
COMBINATION 1
DB $257,640,000 80.0% DA $322,050,000 100% SEQ
F 64,410,000 20.0
S 64,410,000 (5)
COMBINATION 2
DB $150,290,000 70.0% DJ $214,700,000 100% SEQ
F 64,410,000 30.0
S 64,410,000 (5)
COMBINATION 3
PE $372,850,000 58.2296984737% PA $640,309,000 100% PAC
PG 111,000,000 17.3353802617
PH 156,459,000 24.4349212646
<CAPTION>
MACR CERTIFICATES
- ---------------- -----------------------------------------------------------------------
CLASS INTEREST CUSIP WEIGHTED AVERAGE
CLASS COUPON TYPE(2) NUMBER FINAL PAYMENT DATE(3) LIFE(4)
----- ------ -------- --------- --------------------- ----------------
<S> <C> <C> <C> <C> <C>
COMBINATION 1
DB 6.00% FIX 3133TG 7 G 8 May 15, 2025 4.9Yrs
F
COMBINATION 2
DB 6.25% FIX 3133TG 7 K 9 May 15, 2025 4.9Yrs
F
COMBINATION 3
PE 6.00% FIX 3133TG A 9 0 March 15, 2021 4.0Yrs
PG
PH
</TABLE>
- ---------------
(1) Exchange proportions shown are constant proportions of the original
principal amounts of the Classes of REMIC Certificates or MACR Certificates.
In accordance with the exchange proportions, REMIC Certificates may be
exchanged for MACR Certificates, and vice versa.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 150% PSA for the DA and DJ
Classes and 175% PSA for the PA Class. Prepayments will not occur at the
rates assumed, and the actual weighted average lives of the MACR Classes may
differ significantly from those shown.
(5) The original notional principal amount of the S Class being exchanged equals
the original principal amount of the F Class being exchanged.
S-91
<PAGE> 455
EXHIBIT IX -- SERIES 2136 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$2,505,000,000
FREDDIE MAC (FREDDIE MAC LOGO)
MULTICLASS REMIC CERTIFICATES AND
MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2136
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Six Asset Groups, consisting of three Groups of Freddie Mac
6.5% 30-year PCs (Gold PCs and Gold Giant PCs), one Group
of Freddie Mac 6.0% 30-year PCs and two Groups of Freddie
Mac 7.0% 30-year PCs
Payment Dates: Monthly, beginning in April 1999
Form of Securities: Regular (non-Retail) and MACR Classes: Book-entry (Federal
Reserve Banks)
Retail Classes (DD, EE, UU and VV): Book-entry (Depository
Trust Company); issued in $1,000 Retail Class Units
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Lehman Brothers Inc. (the "Underwriter")
Closing Date: March 30, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
AM................... $309,876,000 TAC 6.0% FIX 3133TK 5 Z 9 January 15, 2028 4.3Yrs
AN .................. 37,209,000 TAC 6.0 FIX 3133TK 6 A 3 March 15, 2029 11.0
BA .................. 998,000 SUP 0.0 PO 3133TK 6 C 9 March 15, 2029 18.9
F ................... 115,695,000 TAC (5) FLT 3133TK 6 N 5 March 15, 2029 5.0
FB .................. 16,875,000 SUP (5) FLT/DLY 3133TK 6 P 0 March 15, 2029 18.9
FD .................. 21,619,813 SUP/TAC (5) FLT/DLY 3133TK 6 Q 8 March 15, 2029 13.3
FX .................. 27,000,000 SUP (5) FLT/DLY 3133TK 6 U 9 March 15, 2029 18.9
S ................... 115,695,000 NTL(TAC) (5) INV/IO 3133TK A K 6 March 15, 2029 --
SA .................. 2,250,000 TAC (5) INV/DLY 3133TK A L 4 March 15, 2029 13.3
SD .................. 2,739,187 SUP (5) INV/DLY 3133TKAM2 December 15, 2027 13.3
SR .................. 3,125,000 SUP (5) INV/DLY 3133TK A S 9 March 15, 2029 18.9
SW .................. 800,000 SUP (5) INV/DLY 3133TK A T 7 March 15, 2029 18.9
SX .................. 3,444,000 SUP (5) INV/DLY 3133TK A U 4 March 15, 2029 18.9
SY .................. 756,000 SUP (5) INV/DLY 3133TK A V 2 March 15, 2029 18.9
UA .................. 1,231,000 SUP 0.0 PO 3133TKAW0 March 15, 2029 18.9
VV .................. 5,942,000 SUP/RTL 6.75 FIX 3133TK A Z 3 March 15, 2029 18.9
Z ................... 440,000 SEQ 6.5 FIX/Z 3133TK B 2 5 March 15, 2029 28.2
GROUP 2
DB .................. 66,550,000 SCH/AD 6.0 FIX 3133TK 6 G 0 March 15, 2029 4.0
DC .................. 14,350,000 TAC 6.0 FIX 3133TK 6 H 8 March 15, 2029 14.4
DD .................. 1,000,000 SUP/RTL 7.0 FIX 3133TK 6 J 4 March 15, 2029 22.1
EB .................. 3,873,125 SUP 0.0 PO 3133TK 6 K 1 March 15, 2029 22.1
EC .................. 2,000,000 SUP (5) DRB 3133TK 6 L 9 March 15, 2029 22.1
EE .................. 1,000,000 SUP/RTL 6.0 FIX 3133TK 6 M 7 March 15, 2029 22.1
FE .................. 27,992,875 SUP (5) FLT/DLY 3133TK 6 R 6 March 15, 2029 22.1
G ................... 35,000,000 SCH/AD 6.0 FIX 3133TK 6 V 7 March 15, 2029 7.2
GZ .................. 3,150,000 TAC 6.0 FIX/Z 3133TK 7 A 2 March 15, 2029 1.7
H ................... 12,557,000 SUP/AD 7.0 FIX 3133TK 7 B 0 March 15, 2029 23.3
HA .................. 2,093,000 SUP/AD 0.0 PO 3133TK 7 C 8 March 15, 2029 23.3
PA .................. 43,590,000 PAC 6.0 FIX 3133TK 7 J 3 September 15, 2020 4.0
PC .................. 17,000,000 PAC 6.0 FIX 3133TK 7 K 0 December 15, 2014 2.9
PD .................. 25,000,000 PAC 6.0 FIX 3133TK 7 L 8 April 15, 2023 6.0
PE .................. 104,767,000 PAC 6.0 FIX 3133TK 7 M 6 January 15, 2028 11.0
PG .................. 34,975,000 PAC 6.0 FIX 3133TK A 2 6 March 15, 2029 19.5
PH .................. 44,843,000 PAC 6.0 FIX 3133TK A 3 4 April 15, 2023 6.8
PJ .................. 50,000,000 PAC 6.0 FIX 3133TK A 4 2 July 15, 2018 3.5
SE .................. 2,500,000 SUP (5) INV/DLY 3133TK A N 0 March 15, 2029 22.1
SF .................. 3,459,000 SUP (5) INV/DLY 3133TK A P 5 March 15, 2029 22.1
UU .................. 2,000,000 SUP/RTL 6.5 FIX 3133TK A X 8 March 15, 2029 22.1
ZR .................. 2,300,000 TAC 6.0 FIX/Z 3133TK B A 7 March 15, 2029 0.7
GROUP 3
AB .................. 75,600,000 SCH/AD 6.5 FIX 3133TK 5 T 3 March 15, 2029 4.0
AC .................. 50,000,000 SCH/AD 6.4 FIX 3133TK 5 U 0 March 15, 2029 4.0
AI .................. 714,285 NTL(SCH/AD) 7.0 FIX/IO 3133TK 5 W 6 March 15, 2029 --
FG .................. 150,000,000 PT (5) FLT 3133TK 6 S 4 March 15, 2029 5.7Yrs
</TABLE>
<TABLE>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
<S> <C> <C> <C> <C> <C> <C> <C>
QA .................. $ 35,000,000 PAC 6.0% FIX 3133TK A C 4 August 15, 2026 4.0
QB .................. 33,944,000 PAC 6.5 FIX 3133TK A D 2 March 15, 2029 10.0
QC .................. 9,641,642 NTL(PAC) 7.0 FIX/IO 3133TK A E 0 August 15, 2026 --
QD .................. 76,910,000 PAC 5.85 FIX 3133TK A F 7 August 15, 2026 4.0
SG .................. 150,000,000 NTL(PT) (5) INV/IO 3133TK A Q 3 March 15, 2029 --
ZA .................. 13,046,000 TAC 6.5 FIX/Z 3133TK B 3 3 March 15, 2029 0.5
ZB .................. 15,500,000 SUP 6.5 FIX/Z 3133TK B 4 1 March 15, 2029 16.6
GROUP 4
FM .................. 15,400,000 CPT/SUP (5) FLT/DLY 3133TK 6 T 2 March 15, 2029 21.7
MB .................. 40,450,000 SCH/AD 6.5 FIX 3133TK 7 E 4 March 15, 2029 4.0
MC .................. 1,354,000 CPT/SUP 0.0 PO 3133TK 7 F 1 March 15, 2029 21.7
MD .................. 9,067,000 SUP 6.5 FIX 3133TK 7 G 9 June 15, 2028 14.0
N ................... 5,000,000 SCH/AD 6.5 FIX 3133TK 7 H 7 March 15, 2029 7.1
PK .................. 18,474,000 PAC 6.0 FIX 3133TK A 5 9 September 15, 2022 4.0
PL .................. 44,790,000 PAC 6.0 FIX 3133TK A 6 7 July 15, 2018 2.9
PM .................. 26,500,000 PAC 6.0 FIX 3133TK A 7 5 November 15, 2022 6.0
PN .................. 16,510,000 PAC 6.5 FIX 3133TK A 8 3 June 15, 2024 7.9
PQ .................. 41,424,000 PAC 6.5 FIX 3133TK A 9 1 October 15, 2027 11.0
PR .................. 22,247,000 PAC 6.5 FIX 3133TK A A 8 March 15, 2029 18.5
PY .................. 6,904,923 NTL(PAC) 6.5 FIX/IO 3133TK A B 6 November 15, 2022 --
SM .................. 2,200,000 CPT/SUP (5) INV/DLY 3133TK A R 1 March 15, 2029 21.7
ZM .................. 6,584,000 CPT/SUP 6.5 FIX/Z 3133TK B 9 0 August 15, 2028 1.4
GROUP 5
AJ .................. 39,900,000 SCH/AD 6.5 FIX 3133TK 5 X 4 July 15, 2026 4.0
AK .................. 75,000,000 SCH/AD 6.6 FIX 3133TK 5 Y 2 July 15, 2026 4.0
AY .................. 7,135,714 NTL(SCH/AD) 7.0 FIX/IO 3133TK 6 B 1 July 15, 2026 --
GA .................. 112,027,000 PAC 5.85 FIX 3133TK 6 W 5 October 15, 2025 4.0
GB .................. 42,405,000 PAC 6.5 FIX 3133TK 6 X 3 December 15, 2028 9.9
GC .................. 5,000,000 PAC 6.5 FIX 3133TK 6 Y 1 March 15, 2029 15.4
GD .................. 21,790,507 NTL(PAC) 7.0 FIX/IO 3133TK 6 Z 8 March 15, 2029 --
ZD .................. 10,118,000 SUP 7.0 FIX/Z 3133TK B 6 6 March 15, 2029 18.9
ZE .................. 5,500,000 SUP 7.0 FIX/Z 3133TK B 7 4 September 15, 2026 12.4
ZG .................. 10,050,000 TAC 7.0 FIX/Z 3133TK B 8 2 August 15, 2026 0.5
GROUP 6
BM .................. 338,180,000 SEQ 6.5 FIX 3133TK 6 E 5 March 15, 2026 5.1
BN .................. 27,420,000 SEQ 6.5 FIX 3133TK 6 F 2 December 15, 2026 12.6
VE .................. 59,400,000 AD/SEQ 6.5 FIX 3133TK A Y 6 February 15, 2016 9.6
ZC .................. 30,000,000 SEQ 6.5 FIX/Z 3133TK B 5 8 March 15, 2029 19.9
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TK A H 3 March 15, 2029 --
RS .................. 0 NPR 0.0(6) NPR 3133TK A J 9 March 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 215% PSA for the Group 1
Classes, 140% PSA for the Group 2 Classes, 256% PSA for the Group 3 Classes,
170% PSA for the Group 4 and Group 6 Classes and 230% PSA for the Group 5
Classes. Prepayments will not occur at the rates assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown. Because Retail Class investors will receive principal payments
subject to the priorities, limitations and allocations described in this
Supplement, the weighted average lives of Retail Class Units will vary among
different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
(6) Under certain circumstances, the RS Class may receive certain additional
payments as described under "Payments -- Interest -- Descending Rate Class"
in this Supplement.
------------------------
LEHMAN BROTHERS
OFFERING CIRCULAR SUPPLEMENT DATED FEBRUARY 9, 1999
S-92
<PAGE> 456
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Classes and the "Combinations" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The Descending Rate Class will bear interest at the following Class
Coupons:
<TABLE>
<CAPTION>
ACCRUAL PERIODS
CLASS 1 THROUGH 12 THEREAFTER
----- --------------- ----------
<S> <C> <C>
EC.......................................... 7.0% 6.5%
</TABLE>
The BA, EB, HA, MC and UA Classes will be Principal Only Classes and will
not bear interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
---------------------------
CLASS INITIAL RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- --------------- ----------------------------- ------------ ------------
<S> <C> <C> <C> <C>
F.................... 5.28% LIBOR + 0.35% 0.35% 8.0%
FB(3)................ 5.88 LIBOR + 0.95% 0.95 8.0
FD(3)................ 5.88 LIBOR + 0.95% 0.95 8.0
FE(3)................ 5.88 LIBOR + 0.95% 0.95 8.0
FG................... 5.28 LIBOR + 0.35% 0.35 8.0
FM(3)................ 5.88 LIBOR + 0.95% 0.95 8.0
FX(3)................ 5.88 LIBOR + 0.95% 0.95 8.0
S.................... 2.72 7.65% - LIBOR 0 7.65
SA(3)................ 9.18663 30.55% - (LIBOR X 4.33334) 0 30.55
SD(3)................ 9.18663 30.55% - (LIBOR X 4.33334) 0 30.55
SE(3)................ 11.02701 36.6709% - (LIBOR X 5.2016) 0 36.6709
SF(3)................ 9.18663 30.55% - (LIBOR X 4.33334) 0 30.55
SG................... 2.72 7.65% - LIBOR 0 7.65
SM(3)................ 14.84 49.35% - (LIBOR X 7.0) 0 49.35
SR(3)................ 11.448 38.07% - (LIBOR X 5.4) 0 38.07
SW(3)................ 11.448 38.07% - (LIBOR X 5.4) 0 38.07
SX(3)................ 11.65608 44.12195% - (LIBOR X 6.58537) 0 44.12195
SY(3)................ 10.5 211.5% - (LIBOR X 30.0) 0 10.5
</TABLE>
-------------------------
(1) Initial Rate will be in effect during the first Accrual Period;
Class Coupon will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description
of Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
S-93
<PAGE> 457
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- ------------------------------------------------------------------
<S> <C> <C>
AI $ 714,285 AC (Scheduled/Accretion Directed Class)
AY $ 7,135,714 AJ and AK, in the aggregate (Scheduled/Accretion Directed Classes)
( $ 18,404,436 GA (PAC Class)
( 3,386,071 GB and GC, in the aggregate (PAC Classes)
GD ( ------------
( $ 21,790,507
( ============
PY $ 6,904,923 PK, PL and PM, in the aggregate (PAC Classes)
QC $ 9,641,642 QA and QD, in the aggregate (PAC Classes)
S $115,695,000 F (TAC Class)
SG $150,000,000 FG (Pass-Through Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
COMPONENTS
<TABLE>
<CAPTION>
ORIGINAL
DESIGNATION PRINCIPAL AMOUNT PRINCIPAL TYPE*
- ----------- ---------------- ---------------
<S> <C> <C>
FM-1 $14,434,000 SUP
FM-2 966,000 SUP
-----------
$15,400,000
===========
MC-1 $ 1,269,000 SUP
MC-2 85,000 SUP
-----------
$ 1,354,000
===========
SM-1 $ 2,062,000 SUP
SM-2 138,000 SUP
-----------
$ 2,200,000
===========
ZM-1 $ 5,789,000 SUP
ZM-2 795,000 SUP
-----------
$ 6,584,000
===========
</TABLE>
-------------------------------------
* See "Description of Securities -- Standard Definitions
and Abbreviations for Classes" in the Offering Circular.
See "Payments -- Principal -- Component Classes" in this Supplement.
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
GROUP 1
- The "Group 1 Asset Principal Amount" and the "Z Accrual Amount" for
that Payment Date to the Classes shown below in the following order of
priority:
<TABLE>
<S> <C>
TAC ( 1. Concurrently, 75% to AM and AN, in that order, and 25% to F, until
( reduced to their "Aggregate Targeted Balance" for that Payment Date
2. Concurrently:
( (a) 55.1279096566% as follows:
SUPPORT ( (i) Concurrently, 81.2500034225% to FD and 18.7499965775% to SD,
( until SD is retired
( (ii) To FX, SW, SX, SY and UA, pro rata, until retired
</TABLE>
S-94
<PAGE> 458
<TABLE>
<S> <C>
(b) 44.8720903434% as follows:
TAC ( (i) Concurrently, 81.25% to FD and 18.75% to SA, until SA is
( reduced to its "Targeted Balance" for that Payment Date
SUPPORT ( (ii) To BA, FB, SR and VV, pro rata, until retired
TAC ( (iii) Concurrently, 81.25% to FD and 18.75% to SA, until SA is
( retired
TAC ( 3. Concurrently, 75% to AM and AN, in that order, and 25% to F, until
( retired
SEQUENTIAL ( 4. To Z, until retired
PAY (
GROUP 2
ACCRETION ( - The "ZR Accrual Amount" for that Payment Date to DB, until reduced to
DIRECTED ( its "First Targeted Balance" for that Payment Date, and then to ZR
AND ACCRUAL (
- The "GZ Accrual Amount" for that Payment Date to the Classes shown
below in the following order of priority:
( 1. To G, until reduced to its First Targeted Balance for that Payment
( Date
(
ACCRETION ( 2. To GZ, until reduced to its Targeted Balance for that Payment Date
DIRECTED (
AND ACCRUAL ( 3. To G, until reduced to its "Second Targeted Balance" for that
( Payment Date
(
( 4. To H and HA, pro rata, until retired
(
( 5. To GZ
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning January 15, 2001, to the PAC Classes, until reduced to
( their Aggregate Targeted Balance for that Payment Date, allocated as
( follows:
(
( (a) Concurrently:
(
PAC ( (i) 31.4493468490% to PA and PH, in that order, while outstanding
(
( (ii) 23.2773384026% to PC and PD, in that order, while outstanding
(
( (iii) 45.2733147484% to PJ and PH, in that order, while outstanding
(
( (b) To PE and PG, in that order
2. Concurrently:
(a) 70.6381203948% as follows:
SCHEDULED ( (i) To DB, until reduced to its First Targeted Balance for that
( Payment Date
TAC ( (ii) To ZR, until reduced to its Targeted Balance for that Payment
( Date
SCHEDULED ( (iii) To DB, until reduced to its Second Targeted Balance for that
( Payment Date
TAC ( (iv) Beginning January 15, 2000, to DC, until reduced to its
( Targeted Balance for that Payment Date
</TABLE>
S-95
<PAGE> 459
<TABLE>
<S> <C>
SCHEDULED ( (v) To DB, until reduced to its "Third Targeted Balance" for that
( Payment Date
SUPPORT ( (vi) To DD, EB, EC, EE, FE, SE, SF and UU, pro rata, until retired
TAC ( (vii) To DC, until retired
(
( (viii) To ZR, until retired
SCHEDULED ( (ix) To DB, until retired
(b) 29.3618796052% as follows:
SCHEDULED ( (i) To G, until reduced to its First Targeted Balance for that
( Payment Date
TAC ( (ii) To GZ, until reduced to its Targeted Balance for that Payment
( Date
SCHEDULED ( (iii) To G, until reduced to its Second Targeted Balance for that
( Payment Date
SUPPORT ( (iv) To H and HA, pro rata, until retired
TAC ( (v) To GZ, until retired
SCHEDULED ( (vi) To G, until retired
PAC ( 3. To the PAC Classes as described in Step 1, but without regard to
( their Aggregate Targeted Balance, until retired
GROUP 3
- The "ZA/ZB Accrual Amount" for that Payment Date to the Classes shown
in below in the following order of priority:
( (a) To AB and AC, pro rata, until reduced to their "First Aggregate
( Targeted Balance" for that Payment Date
(
ACCRETION ( (b) To ZA, until reduced to its Targeted Balance for that Payment
DIRECTED ( Date
AND ACCRUAL ( (c) To AB and AC, pro rata, until reduced to their "Second Aggregate
( Targeted Balance" for that Payment Date
(
( (d) To ZB, until retired
(
( (e) To ZA
PASS- ( - 1/3rd of the "Group 3 Asset Principal Amount" for that Payment Date to
THROUGH ( FG, until retired
- 2/3rds of the Group 3 Asset Principal Amount for that Payment Date to
the Classes shown below in the following order of priority:
( 1. Beginning March 15, 2000, to the PAC Classes, until reduced to their
( Aggregate Targeted Balance for that Payment Date, allocated as
PAC ( follows:
(
( (a) To QA and QD, pro rata, while outstanding
(
( (b) To QB
</TABLE>
S-96
<PAGE> 460
<TABLE>
<S> <C>
SCHEDULED ( 2. To AB and AC, pro rata, until reduced to their First Aggregate
( Targeted Balance for that Payment Date
TAC ( 3. To ZA, until reduced to its Targeted Balance for that Payment Date
SCHEDULED ( 4. To AB and AC, pro rata, until reduced to their Second Aggregate
( Targeted Balance for that Payment Date
SUPPORT ( 5. To ZB, until retired
TAC ( 6. To ZA, until retired
SCHEDULED ( 7. To AB and AC, pro rata, until retired
PAC ( 8. To the PAC Classes as described in Step 1, but without regard to
( their Aggregate Targeted Balance, until retired
GROUP 4
( - The "ZM-1 Accrual Amount" for that Payment Date to MB, until reduced
ACCRETION ( to its First Targeted Balance for that Payment Date, and then to ZM-1
DIRECTED (
AND ACCRUAL ( - The "ZM-2 Accrual Amount" for that Payment Date to N, until reduced to
( its First Targeted Balance for that Payment Date, and then to ZM-2
- The "Group 4 Asset Principal Amount" for that Payment Date to the
Classes and Components shown below in the following order of priority:
( 1. Beginning March 15, 2000, to the PAC Classes, until reduced to their
( Aggregate Targeted Balance for that Payment Date, allocated as
( follows:
(
( (a) Concurrently:
(
PAC ( (i) 20.8272954815% to PK and PN, in that order, while outstanding
(
( (ii) 79.1727045185% to PL, PM and PN, in that order, while
( outstanding
(
( (b) To PQ and PR, in that order
2. Concurrently:
(a) 91.2759977515% as follows:
SCHEDULED ( (i) To MB, until reduced to its First Targeted Balance for that
( Payment Date
SUPPORT ( (ii) To ZM-1, until retired
SCHEDULED ( (iii) To MB, until reduced to its Second Targeted Balance for that
( Payment Date
</TABLE>
S-97
<PAGE> 461
<TABLE>
<S> <C>
( (iv) Beginning December 15, 2000, to FM-1, MC-1, MD and SM-1, until
( reduced to their Aggregate Targeted Balance for that Payment
( Date (but only while all are outstanding), allocated
( concurrently:
(
( (A) 90% to MD
( (B) 10% to FM-1, MC-1 and SM-1, pro rata
(
SUPPORT ( (v) To FM-1, MC-1, MD and SM-1 (but only while all are
( outstanding), allocated concurrently:
(
( (A) 35% to MD
( (B) 65% to FM-1, MC-1 and SM-1, pro rata
(
( (vi) To MD, until retired
( (vii) To FM-1, MC-1 and SM-1, pro rata, until retired
SCHEDULED ( (viii) To MB, until retired
(b) 8.7240022485% as follows:
SCHEDULED ( (i) To N, until reduced to its First Targeted Balance for that
( Payment Date
SUPPORT ( (ii) To ZM-2, until retired
SCHEDULED ( (iii) To N, until reduced to its Second Targeted Balance for that
Payment Date
SUPPORT ( (iv) To FM-2, MC-2 and SM-2, pro rata, until retired
SCHEDULED ( (v) To N, until retired
PAC ( 3. To the PAC Classes as described in Step 1, but without regard to
( their Aggregate Targeted Balance, until retired
GROUP 5
- The "ZD/ZE/ZG Accrual Amount" for that Payment Date to the Classes
shown below in the following order of priority:
( 1. To AJ and AK, pro rata, until reduced to their First Aggregate
( Targeted Balance for that Payment Date
( 2. To ZG, until reduced to its Targeted Balance for that Payment Date
ACCRETION ( 3. To AJ and AK, pro rata, until reduced to their Second Aggregate
DIRECTED ( Targeted Balance for that Payment Date
AND ACCRUAL ( 4. To ZE, until retired
( 5. To ZG, until retired
( 6. To AJ and AK, pro rata, until retired
( 7. To ZD
- The "Group 5 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
PAC ( 1. Beginning March 15, 2000, to GA, GB and GC, in that order, until
( reduced to their Aggregate Targeted Balance for that Payment Date
</TABLE>
S-98
<PAGE> 462
<TABLE>
<S> <C>
SCHEDULED ( 2. To AJ and AK, pro rata, until reduced to their First Aggregate
( Targeted Balance for that Payment Date
TAC ( 3. To ZG, until reduced to its Targeted Balance for that Payment Date
SCHEDULED ( 4. To AJ and AK, pro rata, until reduced to their Second Aggregate
( Targeted Balance for that Payment Date
SUPPORT ( 5. To ZE, until retired
TAC ( 6. To ZG, until retired
SCHEDULED ( 7. To AJ and AK, pro rata, until retired
SUPPORT ( 8. To ZD, until retired
PAC ( 9. To GA, GB and GC, in that order, until retired
GROUP 6
ACCRETION ( - The "ZC Accrual Amount" for that Payment Date to VE, until retired,
DIRECTED ( and then to ZC
AND ACCRUAL
SEQUENTIAL ( - The "Group 6 Asset Principal Amount" for that Payment Date to BM, BN,
PAY ( VE and ZC, in that order, until retired
</TABLE>
S-99
<PAGE> 463
The Aggregate Targeted Balances and Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges and
rates:
<TABLE>
<CAPTION>
CLASS OR COMPONENT STRUCTURING RANGE OR RATE
------------------ -------------------------
<S> <C>
GROUP 1
TAC
AM, AN and F.............................................. 215% PSA
SA........................................................ 225% PSA
GROUP 2
PAC
PA, PC, PD, PE, PG, PH and PJ............................. 100% PSA - 250% PSA
Scheduled
DB (First)................................................ 110% PSA
DB (Second)............................................... 140% PSA
DB (Third)................................................ 160% PSA
G (First)................................................. 113% PSA
G (Second)................................................ 160% PSA
TAC
DC........................................................ 160% PSA
GZ........................................................ 225% PSA
ZR........................................................ 225% PSA
GROUP 3
PAC
QA, QB and QD............................................. 100% PSA - 400% PSA
Scheduled
AB and AC (First)......................................... 132% PSA
AB and AC (Second)........................................ 256% PSA*
TAC
ZA........................................................ 364% PSA
GROUP 4
PAC
PK, PL, PM, PN, PQ and PR................................. 100% PSA - 250% PSA
Scheduled
MB (First)................................................ 125% PSA
MB (Second)............................................... 170% PSA
N (First)................................................. 130% PSA
N (Second)................................................ 191% PSA
Support
FM-1, MC-1, MD and SM-1................................... 190% PSA
GROUP 5
PAC
GA, GB and GC............................................. 100% PSA - 350% PSA
Scheduled
AJ and AK (First)......................................... 130% PSA
AJ and AK (Second)........................................ 300% PSA*
TAC
ZG........................................................ 365% PSA
</TABLE>
-----------------------
* These Classes do not adhere to their schedules of Second Aggregate
Targeted Balances at any constant percentages of PSA. See "Prepayment
and Yield Analysis -- Prepayment and Weighted Average Life
Considerations -- PAC, Scheduled and TAC Classes" in this Supplement.
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments will be allocated from
the applicable Class or Classes of REMIC Certificates to the related MACR Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASSES
The DD, EE, UU and VV Classes will be Retail Classes. Investors in the
Retail Classes will receive principal payments in $1,000 "Retail Class Units,"
subject to the priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement. Also see
"Prepayment
S-100
<PAGE> 464
and Yield Analysis -- Prepayment and Weighted Average Life Considerations --
Retail Classes" in this Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 215% 430% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A and F....................... 19.5 8.6 5.0 4.4 3.9
AM............................ 18.5 7.5 4.3 3.6 3.2
AN............................ 27.6 18.6 11.0 11.2 9.7
BA, FB, SR and VV**........... 29.4 25.7 18.9 1.0 0.8
FD............................ 28.5 21.5 13.3 1.1 0.9
FX, SW, SX, SY and UA......... 29.4 25.7 18.9 1.6 1.3
SA............................ 28.5 21.5 13.3 1.9 1.5
SD............................ 28.5 21.5 13.3 0.5 0.4
Z............................. 30.0 29.3 28.2 21.4 19.1
Group 1 Assets................ 21.0 11.2 7.0 3.9 3.4
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 140% 250% 400%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
DB............................ 23.3 9.3 4.0 3.2 1.9
DC............................ 28.3 20.1 14.4 2.9 1.8
DD**, EB, EC, EE**, FE, SE, SF
and UU**.................... 29.3 25.3 22.1 2.3 1.2
G............................. 21.6 10.3 7.2 3.3 1.9
GZ............................ 28.2 20.8 1.7 0.6 0.6
H, HA and HB.................. 29.4 26.1 23.3 2.0 1.1
PA............................ 11.3 4.0 4.0 4.0 3.3
PC............................ 7.9 2.9 2.9 2.9 2.8
PD............................ 16.5 6.0 6.0 6.0 4.3
PE............................ 22.2 11.0 11.0 11.0 7.2
PG............................ 25.0 19.5 19.5 19.5 13.3
PH............................ 18.1 6.8 6.8 6.8 4.7
PJ............................ 10.0 3.5 3.5 3.5 3.1
ZR............................ 27.8 18.3 0.7 0.3 0.3
Group 2 Assets................ 20.8 11.3 9.4 6.4 4.4
</TABLE>
- ---------------
* Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Prepayments will not occur at any assumed rate shown or any other
constant rate and the actual weighted average lives of any or all of the
Classes and of the Assets are likely to differ from those shown, perhaps
significantly.
** The weighted average lives shown in the table for each Retail Class apply to
that Class as a whole and are not likely to reflect the experience of any
Retail Class investor. Because Retail Class investors will receive principal
payments subject to the priorities, limitations and allocations described
under "Prepayments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among different
investors.
S-101
<PAGE> 465
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 256% 400% 550%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
AB and AC..................... 16.0 9.7 4.0 2.8 1.5
FG and Group 3 Assets......... 21.3 10.9 5.7 3.8 2.8
QA, QD and QE................. 13.7 4.0 4.0 4.0 3.3
QB............................ 22.0 10.0 10.0 10.0 8.1
ZA............................ 25.4 17.6 0.5 0.3 0.3
ZB............................ 28.4 23.6 16.6 0.8 0.4
</TABLE>
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 170% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FM, MC and SM................. 29.6 26.9 21.7 2.6 1.1
MB............................ 19.3 11.0 4.0 3.6 1.7
MD............................ 29.0 23.2 14.0 2.5 1.1
N............................. 18.8 11.8 7.1 3.5 1.6
PK............................ 13.0 4.0 4.0 4.0 2.8
PL............................ 10.1 2.9 2.9 2.9 2.4
PM............................ 18.1 6.0 6.0 6.0 3.6
PN............................ 20.8 7.9 7.9 7.9 4.4
PQ............................ 23.2 11.0 11.0 11.0 5.9
PR............................ 25.5 18.5 18.5 18.5 10.2
ZM............................ 27.8 19.9 1.4 0.7 0.3
Group 4 Assets................ 21.0 11.4 8.4 6.4 3.6
</TABLE>
Group 5
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 230% 350% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
AG, AJ and AK................. 15.1 9.7 4.0 2.0 1.3
GA............................ 13.7 4.0 4.0 4.0 3.2
GB............................ 22.3 9.9 9.9 9.9 7.4
GC............................ 23.8 15.4 15.4 15.4 13.9
ZD............................ 28.8 24.5 18.9 9.5 2.6
ZE............................ 26.8 19.7 12.4 0.6 0.2
ZG............................ 25.1 17.4 0.5 0.2 0.2
Group 5 Assets................ 21.3 10.9 6.3 4.3 3.1
</TABLE>
Group 6
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 85% 170% 340% 500%
-- --- ---- ---- ----
<S> <C> <C> <C> <C> <C>
BD............................ 19.1 9.0 5.6 3.3 2.4
BM............................ 18.4 8.2 5.1 3.0 2.2
BN............................ 27.4 19.2 12.6 7.0 4.9
VE............................ 9.9 9.9 9.6 7.1 5.4
ZC............................ 28.9 24.7 19.9 13.3 9.6
Group 6 Assets................ 21.0 12.1 8.3 4.9 3.5
</TABLE>
THE ASSETS
The Group 1 Assets will consist of $550,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 2 Assets will consist of $500,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Assets will consist of $450,000,000 of Freddie Mac 7.0% per
annum 30-year PCs.
The Group 4 Assets will consist of $250,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 5 Assets will consist of $300,000,000 of Freddie Mac 7.0% per
annum 30-year PCs.
The Group 6 Assets will consist of $455,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The assets of this Series will also include (i) a non-interest bearing cash
deposit of $3,999.96 to be used for principal payments on the Retail Classes as
described in this Supplement and (ii) a non-interest bearing
S-102
<PAGE> 466
cash deposit of $10,000 to be used for interest payments on the Descending Rate
Class as described in this Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF MARCH 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $550,000,000 354 6 7.08% 6.5%
2 $500,000,000 357 3 6.70 6.0
3 $450,000,000 345 13 7.50 7.0
4 $250,000,000 357 3 7.05 6.5
5 $300,000,000 345 13 7.50 7.0
6 $455,000,000 355 5 7.00 6.5
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-103
<PAGE> 467
EXHIBIT X -- SERIES 2131 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$2,738,817,000
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2131
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Three Asset Groups, consisting of two Groups of Freddie Mac
6.0% 30-year PCs (Gold PCs and Gold Giant PCs) and one
Group of Freddie Mac 6.5% 30-year PCs
Payment Dates: Monthly, beginning in April 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Bear, Stearns & Co. Inc. (the "Underwriter")
Closing Date: March 30, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
A ................... $ 35,000,000 CPT/SCH 6.0% FIX 3133TK 2 H 2 December 15, 2026 4.4Yrs
F ................... 55,864,941 SUP (5) FLT 3133TK 3 C 2 April 15, 2027 12.5
IA .................. 3,333,333 NTL(PAC) 6.0 FIX/IO 3133TK 3 N 8 March 15, 2017 --
PB .................. 66,267,200 PAC 6.0 FIX 3133TK 3 V 0 March 15, 2017 3.5
PC .................. 45,405,000 PAC 6.0 FIX 3133TK3W8 March 15, 2020 6.0
PD .................. 55,050,000 PAC 6.0 FIX 3133TK 3 X 6 February 15, 2023 8.0
PE .................. 77,073,000 PAC 6.0 FIX 3133TK 3 Y 4 April 15, 2026 11.6
PJ .................. 20,000,000 PAC 5.0 FIX 3133TK 4 B 3 March 15, 2017 3.5
PN .................. 4,086,677 SUP 0.0 PO 3133TK 4 D 9 April 15, 2027 17.3
S ................... 11,271,084 SUP (5) INV 3133TK 4 H 0 May 15, 2026 7.3
SB .................. 908,366 SUP (5) INV 3133TK 4 K 3 April 15, 2027 17.3
SD .................. 1,314,498 SUP (5) INV 3133TK 4 M 9 April 15, 2027 17.3
SE .................. 3,103,144 SUP (5) INV 3133TK 4 N 7 April 15, 2027 17.3
SP .................. 2,593,290 SUP (5) INV 3133TK 4 X 5 April 15, 2027 17.3
VA .................. 8,596,000 AD/SEQ 6.0 FIX 3133TK 5 C 0 September 15, 2006 4.0
VB .................. 13,534,000 AD/SEQ 6.0 FIX 3133TK 5 D 8 February 15, 2014 11.5
YB .................. 35,000,000 SCH 6.0 FIX 3133TK 5 J 5 July 15, 2026 3.5
YC .................. 49,583,800 SCH 6.0 FIX 3133TK 5 K 2 December 15, 2026 5.0
ZA .................. 15,349,000 SEQ 6.0 FIX/Z 3133TK 5 P 1 March 15, 2029 23.2
GROUP 2
BC .................. 152,560,800 PAC 6.0 FIX 3133TK 2 L 3 May 15, 2021 6.0
BE .................. 258,965,280 PAC 6.0 FIX 3133TK 2 N 9 November 15, 2027 11.6
BG .................. 125,929,440 PAC 6.0 FIX 3133TK 2 P 4 March 15, 2029 19.2
BH .................. 184,968,000 PAC 5.75 FIX 3133TK 2 Q 2 July 15, 2024 8.0
BJ .................. 105,822,000 PAC 6.0 FIX 3133TK 2 R 0 March 15, 2009 2.4
BK .................. 230,802,960 PAC 6.0 FIX 3133TK 2 S 8 November 15, 2017 4.0
FC .................. 200,000,000 SUP (5) FLT 3133TK 3 D 0 March 15, 2029 19.8
FX .................. 178,910,250 SCH/AD (5) FLT 3133TK 3 K 4 February 15, 2028 3.5
IB .................. 7,707,000 NTL(PAC) 6.0 FIX/IO 3133TK 3 P 3 July 15, 2024 --
MD................... 11,181,891 SCH/AD (5) FLT/INV 3133TK 3 U 2 February 15, 2028 3.5
SC .................. 66,666,668 SUP (5) INV 3133TK 4 L 1 March 15, 2029 19.8
SW................... 63,364,047 SCH/AD (5) INV 3133TK 5 A 4 February 15, 2028 3.5
SX .................. 11,181,891 NTL(SCH/AD) (5) INV/IO 3133TK 5 B 2 February 15, 2028 --
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
VE .................. $ 12,131,074 AD 6.0% FIX 3133TK 5 G 1 February 15, 2006 3.7Yrs
YD .................. 65,000,000 SCH/AD 6.0 FIX 3133TK 5 L 0 February 15, 2028 3.5
Z ................... 23,697,590 SCH 6.0 FIX/Z 3133TK 5 N 6 March 15, 2029 13.5
GROUP 3
B ................... 2,500,000 TAC 6.5 FIX 3133TK 2 J 8 March 15, 2029 5.0
CA .................. 111,175,000 PAC 6.0 FIX 3133TK 2 U 3 March 15, 2018 3.5
CB .................. 50,528,000 PAC 6.0 FIX 3133TK 2 V 1 August 15, 2021 6.0
CD .................. 61,210,000 PAC 6.0 FIX 3133TK2W9 September 15, 2024 8.0
CE .................. 88,640,000 PAC 6.5 FIX 3133TK 2 X 7 January 15, 2028 11.7
CG .................. 10,301,000 PAC 6.5 FIX 3133TK 2 Y 5 March 15, 2029 19.4
CH .................. 10,000,000 PAC 7.5 FIX 3133TK 2 Z 2 March 15, 2029 19.4
E ................... 4,750,000 TAC 6.5 FIX 3133TK 3 B 4 March 15, 2029 5.0
FH .................. 22,000,000 SUP (5) FLT/DLY 3133TK 3 E 8 March 15, 2029 24.0
FK .................. 29,248,611 SUP (5) FLT 3133TK 3 G 3 September 15, 2028 8.8
FV .................. 94,888,869 TAC/AD (5) FLT 3133TK 3 H 1 March 15, 2029 3.5
IC .................. 17,147,153 NTL(PAC) 6.5 FIX/IO 3133TK 3 Q 1 September 15, 2024 --
MB................... 1,720,506 SUP (5) FLT/INV 3133TK 3 S 7 September 15, 2028 8.8
PO .................. 1,554,701 SUP 0.0 PO 3133TK 4 E 7 March 15, 2029 24.0
SA .................. 188,889 SUP (5) INV/DLY 3133TK 4 J 6 March 15, 2029 24.0
SH .................. 500,000 SUP (5) INV/DLY 3133TK 4 Q 0 March 15, 2029 24.0
SJ .................. 6,741,739 SUP (5) INV 3133TK 4 R 8 September 15, 2028 8.8
SK .................. 2,787,221 SUP (5) INV 3133TK 4 S 6 September 15, 2028 8.8
SL .................. 2,833,333 SUP (5) INV/DLY 3133TK 4 T 4 March 15, 2029 24.0
SV .................. 21,897,431 TAC/AD (5) INV 3133TK 4 Z 0 March 15, 2029 3.5
VC .................. 4,519,000 AD 6.0 FIX 3133TK 5 E 6 September 15, 2006 4.0
VD .................. 7,412,000 AD 6.0 FIX 3133TK 5 F 3 May 15, 2014 11.6
VG .................. 5,593,123 AD 6.5 FIX 3133TK 5 H 9 March 15, 2006 3.8
ZB .................. 8,069,000 PAC 6.0 FIX/Z 3133TK 5 Q 9 March 15, 2029 19.4
ZG .................. 9,758,577 TAC 6.5 FIX/Z 3133TK 5 R 7 March 15, 2029 16.4
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TK 4 F 4 March 15, 2029 --
RS .................. 0 NPR 0.0 NPR 3133TK 4 G 2 March 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 160% PSA for the Group 1
Classes, 140% PSA for the Group 2 Classes and 170% PSA for the Group 3
Classes. Prepayments will not occur at the rates assumed, and the actual
weighted average lives of the Classes may differ significantly from those
shown.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
BEAR, STEARNS & CO. INC.
Offering Circular Supplement Dated February 5, 1999
S-104
<PAGE> 468
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates or, in some cases, for related MACR Certificates. Appendix 1 to
this Supplement shows the characteristics of the MACR Classes and the
"Combinations" of Classes of REMIC Certificates and MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The PL, PN and PO Classes will be Principal Only Classes and will not bear
interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ------------------------------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
REMIC CERTIFICATES
F.................... 5.5% LIBOR + 0.55% 0.55% 8.5%
FC................... 5.837 LIBOR + 0.9% 0.9 8.0
FH(3)................ 5.83 LIBOR + 0.9% 0.9 8.0
FK................... 5.38 LIBOR + 0.45% 0.45 9.0
FV................... 5.28 LIBOR + 0.35% 0.35 8.0
FX................... 5.187 LIBOR + 0.25% 0.25 8.5
MB................... 8.08 LIBOR equal to 7.9% or lower: LIBOR + 3.15% 0 11.05
LIBOR equal to 7.9% or higher: 145.35% - (LIBOR X 17)
MD................... 6.087 LIBOR equal to 7.65% or lower: LIBOR + 1.15% 0 8.8
LIBOR equal to 7.65% or higher: 131.2% - (LIBOR X 16)
S.................... 7.2 19.08% - (LIBOR X 2.4) 0 19.08
SA(3)................ 10.5 745.5% - (LIBOR X 105) 0 10.5
SB................... 11.361249 38.141338% - (LIBOR X 5.410119) 0 38.141338
SC................... 6.489 21.3% - (LIBOR X 3) 0 21.3
SD................... 10.0 128.181818% - (LIBOR X 18.1818) 0 10.0
SE................... 12.014996 50.062065% - (LIBOR X 7.7019) 0 50.062065
SH(3)................ 9.40333 30.766664% - (LIBOR X 4.333333) 0 30.766664
SJ................... 9.508835 32.15548% - (LIBOR X 4.59364) 0 32.15548
SK................... 10.0 87.77777% - (LIBOR X 11.111111) 0 10.0
SL(3)................ 14.49 49.0% - (LIBOR X 7) 0 49.0
SP................... 10.0 88.333333% - (LIBOR X 11.111111) 0 10.0
SV................... 11.786667 33.15% - (LIBOR X 4.333333) 0 33.15
SW................... 8.139 22.95% - (LIBOR X 3) 0 22.95
SX................... 0.8 132.0% - (LIBOR X 16) 0 0.8
</TABLE>
S-105
<PAGE> 469
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
---------------------------
INITIAL MINIMUM MAXIMUM
CLASS RATE(1) CLASS COUPON(2) RATE RATE
----- ------- ------------------------------------------------------- ------- -------
<S> <C> <C> <C> <C>
MACR CLASSES
FJ................... 5.53% LIBOR + 0.6% 0.6% 8.5%
FW................... 5.287 LIBOR + 0.35% 0.35 8.0
FY................... 5.237 LIBOR + 0.3% 0.3 8.5
MC................... 6.887 LIBOR equal to 7.65% or lower: LIBOR + 1.95% 0 9.6
LIBOR equal to 7.65% or higher: 132.0% - (LIBOR X 16)
SG................... 3.882191 34.29269% - (LIBOR X 4.313546) 0 3.882191
SM(3)................ 1.1375 80.7625% - (LIBOR X 11.375) 0 1.1375
SN................... 9.6525 25.675% - (LIBOR X 3.25) 0 25.675
SO................... 9.412 22.23% - (LIBOR X 2.6) 0 22.23
SQ................... 8.139 22.95% - (LIBOR X 3) 0 22.95
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- ---------------------------------------------
<S> <C> <C>
REMIC CERTIFICATES
IA $ 3,333,333 PJ (PAC Class)
IB $ 7,707,000 BH (PAC Class)
IC $17,147,153 CA, CB and CD, in the aggregate (PAC Classes)
SX $11,181,891 MD (Scheduled/Accretion Directed Class)
MACR CLASSES
ID $ 4,587,500 PD (PAC Class)
SQ $63,364,047 SW (Scheduled/Accretion Directed Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
COMPONENTS
<TABLE>
<CAPTION>
ORIGINAL PRINCIPAL
DESIGNATION PRINCIPAL AMOUNT TYPE*
- ----------- ---------------- ---------
<S> <C> <C>
A-1 $13,918,800 PAC
A-2 21,081,200 SCH
-----------
$35,000,000
===========
</TABLE>
-----------------------------
* See "Description of Securities -- Standard
Definitions and Abbreviations for Classes" in the
Offering Circular.
See "Payments -- Principal -- Component Class" in this Supplement.
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
GROUP 1
<TABLE>
<S> <C>
ACCRETION ( - The "ZA Accrual Amount" for that Payment Date to VA and VB, in that
DIRECTED ( order, until retired
- The "Group 1 Asset Principal Amount" and remaining ZA Accrual Amount
for that Payment Date to the Classes and Components shown below in the
following order of priority:
1. Beginning March 15, 2001, to the PAC Classes and Component until
reduced to their "Targeted Balances" for that Payment Date,
allocated as follows:
PAC ( a. To PB, PJ and A-1, pro rata
( b. To PC, PD and PE, in that order
</TABLE>
S-106
<PAGE> 470
<TABLE>
<S> <C>
( 2. To YB, until reduced to its "First Targeted Balance" for that
SCHEDULED ( Payment Date
(
( 3. To YC and A-2, pro rata, until reduced to their Targeted Balances
( for that Payment Date
(
( 4. To YB, until reduced to its "Second Targeted Balance" for that
( Payment Date
( 5. Concurrently, 70.5882348336% to F and 29.4117651664% to S, until S
SUPPORT ( is retired
(
( 6. To F, PN, SB, SD, SE and SP, pro rata, until retired
( 7. To YC and A-2, pro rata, until retired
SCHEDULED (
( 8. To YB until retired
( 9. To PB, PJ and A-1, pro rata, until retired
PAC (
( 10. To PC, PD and PE, in that order, until retired
SEQUENTIAL ( 11. To VA, VB and ZA, in that order, until retired
PAY
GROUP 2
ACCRETION ( - The "Z Accrual Amount" for that Payment Date to VE, until retired, and
DIRECTED ( then to FX, MD, SW and YD, pro rata, until retired
- The "Group 2 Asset Principal Amount" and remaining Z Accrual Amount
for that Payment Date to the Classes shown below in the following order
of priority:
( 1. Beginning March 15, 2001, to BJ, BK, BC, BH, BE and BG, in that
PAC ( order, until reduced to their Targeted Balances for that Payment
( Date
SCHEDULED ( 2. To FX, MD, SW and YD, pro rata, and then to Z, until reduced to
( their Targeted Balances for that Payment Date
SUPPORT ( 3. To FC and SC, pro rata, until retired
SCHEDULED ( 4. To FX, MD, SW and YD, pro rata, until retired
ACCRETION ( 5. To VE and Z, in that order, until retired
DIRECTED
AND
SCHEDULED
PAC ( 6. To BJ, BK, BC, BH, BE and BG, in that order, until retired
GROUP 3
ACCRETION ( - The "ZB Accrual Amount" for that Payment Date to VC and VD, in that
DIRECTED ( order, until retired, and then to ZB
AND ACCRUAL (
( - The "ZG Accrual Amount" for that Payment Date to VG, until retired,
( and then to FV and SV, pro rata, until retired, and then to ZG
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
1. Beginning March 15, 2001, to the PAC Classes, until reduced to their
Targeted Balances for that Payment Date, allocated as follows:
PAC ( a. To CA, CB, CD and CE, in that order
(
( b. Concurrently, 50.3734398650% to CG and CH, pro rata, and
( 49.6265601350% to ZB
TAC ( 2. Concurrently, 5.2013085775% to B and E, pro rata, and 94.7986914225%
( to FV and SV, pro rata, and then to ZG, until reduced to their
( Targeted Balances for that Payment Date
( 3. To FK, MB, SJ and SK, pro rata, until retired
SUPPORT (
( 4. To FH, PO, SA, SH and SL, pro rata, until retired
( 5. Concurrently, 5.2013085775% to B and E, pro rata, until retired, and
TAC ( 94.7986914225% as follows:
(
( a. To FV and SV, pro rata, until retired
ACCRETION ( b. To VG and ZG, in that order, until retired
DIRECTED
AND TAC
</TABLE>
S-107
<PAGE> 471
<TABLE>
<S> <C>
( 6. To CA, CB, CD and CE, in that order, until retired
(
PAC ( 7. Concurrently:
(
( a. 50.3734398650% to CG and CH, pro rata, until retired
ACCRETION (
DIRECTED ( b. 49.6265601350% to VC, VD and ZB, in that order, until retired
AND PAC (
</TABLE>
The Targeted Balances for the PAC and Scheduled Classes and Components
(shown under "Payments -- Principal -- Targeted Balances Schedules" in this
Supplement) were, and the Targeted Balances for the TAC Classes will be,
structured using, among other things, the following structuring ranges and
rates:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE OR RATE
----- -------------------------
<S> <C>
GROUP 1
PAC....................................................... 100% PSA - 250% PSA
Scheduled:
YB (First)............................................. 145% PSA*
YB (Second)............................................ 190% PSA*
YC and A-2............................................. 145% PSA - 190% PSA
GROUP 2
PAC....................................................... 100% PSA - 250% PSA
Scheduled................................................. 145% PSA - 190% PSA
GROUP 3
PAC....................................................... 100% PSA - 250% PSA
TAC....................................................... 190% PSA
</TABLE>
-------------------------
* YB will not adhere to its schedules at any constant percentages of
PSA.
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments (or, in the case
of Combinations 10 and 16, the net reduction in the aggregate principal amount)
will be allocated from the applicable Class or Classes of REMIC Certificates to
the related MACR Class that is entitled to principal or, if there are two or
more related MACR Classes entitled to principal, to such Classes, pro rata.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "General Information -- Structure
of Transaction -- General" in this Supplement and "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
PAC
ACCRETION
DIRECTED
AND PAC
S-108
<PAGE> 472
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 160% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 18.9 7.8 4.4 3.3 2.1
F............................. 27.1 19.7 12.5 2.3 1.0
PB and PJ..................... 9.5 3.5 3.5 3.5 2.7
PC............................ 16.3 6.0 6.0 6.0 3.6
PD, PG and PH................. 18.9 8.0 8.0 8.0 4.4
PE............................ 21.7 11.6 11.6 11.6 6.2
PN, SB, SD, SE, SG and SP..... 27.6 21.0 17.3 3.1 1.4
S............................. 26.6 18.3 7.3 1.4 0.6
VA............................ 4.0 4.0 4.0 4.0 4.0
VB............................ 11.5 11.5 11.5 11.5 8.4
YB............................ 18.7 7.5 3.5 3.0 1.7
YC............................ 25.1 10.6 5.0 3.2 1.6
ZA............................ 29.1 25.8 23.2 19.2 11.5
Group 1 Assets................ 20.8 11.3 8.7 6.4 3.6
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 140% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
BA............................ 9.5 3.5 3.5 3.5 2.7
BC............................ 16.5 6.0 6.0 6.0 3.6
BD and BH..................... 19.5 8.0 8.0 8.0 4.4
BE............................ 22.5 11.6 11.6 11.6 6.2
BG............................ 24.8 19.2 19.2 19.2 10.6
BJ............................ 5.0 2.4 2.4 2.4 2.3
BK............................ 11.6 4.0 4.0 4.0 2.9
FC and SC..................... 29.1 24.2 19.8 2.3 1.0
FW, FX, FY, MC, MD, PL, SW, YD
and YE...................... 22.3 8.5 3.5 2.7 1.6
VE............................ 3.7 3.7 3.7 3.7 2.0
Z............................. 27.6 18.1 13.5 7.1 2.4
Group 2 Assets................ 20.8 11.3 9.4 6.4 3.6
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 170% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
B and E....................... 25.7 11.7 5.0 3.2 1.6
C............................. 25.7 11.7 5.0 3.2 1.6
CA............................ 9.9 3.5 3.5 3.5 2.7
CB............................ 16.8 6.0 6.0 6.0 3.6
CD............................ 19.8 8.0 8.0 8.0 4.4
CE............................ 22.8 11.7 11.7 11.7 6.2
CG and CH..................... 25.0 19.4 19.4 19.4 10.7
CJ............................ 25.0 19.4 19.4 19.4 10.7
FH, PO, SA, SH, SL and SM..... 29.7 27.9 24.0 2.8 1.2
FJ, FK, MB, SJ, SK, SN and
SO.......................... 29.1 23.8 8.8 1.2 0.6
FV, G and SV.................. 22.3 9.7 3.5 2.7 1.6
VC............................ 4.0 4.0 4.0 4.0 4.0
VD............................ 11.6 11.6 11.6 11.6 8.5
VG............................ 3.8 3.8 3.8 3.7 2.0
ZB............................ 25.0 19.4 19.4 19.4 11.7
ZG............................ 28.0 19.8 16.4 6.9 2.3
Group 3 Assets................ 21.0 11.4 8.4 6.4 3.6
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-109
<PAGE> 473
THE ASSETS
The Group 1 Assets will consist of $500,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $1,680,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Assets will consist of $558,817,000 of Freddie Mac 6.5% per
annum 30-year PCs.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF MARCH 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
PRINCIPAL TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- -------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $ 500,000,000 356 3 6.75% 6.0%
2 1,680,000,000 356 3 6.75 6.0
3 558,817,000 356 3 7.05 6.5
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-110
<PAGE> 474
EXHIBIT XI -- SERIES 2117 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,229,515,032
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2117
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Class shown on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Five Asset Groups, consisting of two Groups of Freddie Mac
6.0% 15-year PCs (Gold PCs and Gold Giant PCs), one Group
of Freddie Mac Multiclass PCs, one Group of Freddie Mac
6.0% 30-year PCs backed by Relocation Mortgages and one
Group of Freddie Mac 6.5% 30-year PCs
Payment Dates: Monthly, beginning in February 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through PaineWebber Incorporated (the "Underwriter")
Closing Date: January 29, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
A ................... $100,000,000 CPT 6.0% FIX 3133TH Q E 0 January 15, 2014 3.8Yrs
BA .................. 53,250,650 CPT 6.0 FIX 3133TH Q G 5 January 15, 2014 4.2
MK................... 11,122,195 PAC 6.0 FIX/Z 3133TH Q X 8 February 15, 2011 6.8
PA .................. 35,000,000 PAC 6.0 FIX 3133TH Q Y 6 March 15, 2006 2.5
PB .................. 40,251,717 PAC 6.0 FIX 3133TH Q Z 3 May 15, 2009 4.4
PF .................. 8,391,830 PAC 6.0 FIX 3133TH R 2 5 June 15, 2002 1.4
PH .................. 131,354,040 PAC 6.0 FIX 3133TH R 3 3 January 15, 2014 9.9
PI .................. 1,859,445 NTL(PAC) 6.0 FIX/IO 3133TH R 4 1 August 15, 2010 --
PK .................. 100,000,000 PAC 6.0 FIX 3133TH R 6 6 May 15, 2009 3.5
QA .................. 44,626,687 PAC 5.75 FIX 3133TH R 8 2 August 15, 2010 6.0
VP .................. 5,289,117 AD/PAC 6.0 FIX 3133TH R H 2 July 15, 2005 3.5
GROUP 2
B ................... 10,000,000 TAC/AD 6.0 FIX 3133TH Q F 7 January 15, 2014 4.2
C ................... 28,000,000 TAC/AD 6.0 FIX 3133TH Q H 3 January 15, 2014 2.9
CA .................. 10,573,696 TAC/AD 6.0 FIX 3133TH Q J 9 January 15, 2014 4.4
PJ .................. 19,038,000 PAC 6.0 FIX 3133TH R 5 8 July 15, 2008 4.5
PN .................. 29,542,000 PAC 6.0 FIX 3133TH R 7 4 December 15, 2010 6.0
QE .................. 50,000,000 PAC 6.0 FIX 3133TH R 9 0 October 15, 2006 2.5
QJ .................. 49,600,886 PAC 6.0 FIX 3133TH R A 7 January 15, 2014 9.9
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Z ................... $ 2,796,354 SUP 6.0% FIX/Z 3133TH R J 8 January 15, 2014 12.3Yrs
ZA .................. 223,618 SUP 6.0 FIX/Z 3133TH R K 5 January 15, 2014 0.6
ZB .................. 90,000 SUP 6.0 FIX/Z 3133TH R L 3 January 15, 2014 10.6
GROUP 3
F ................... 17,944,827 SC/PT (5) FLT 3133TH Q K 6 September 15, 2023 10.3
S ................... 4,039,785 SC/PT (5) INV 3133TH R D 1 September 15, 2023 10.3
GROUP 4
GH .................. 44,704,017 SEQ 6.0 FIX 3133THQN0 October 15, 2027 4.5
GJ .................. 5,759,626 SEQ 6.0 FIX 3133TH Q P 5 January 15, 2029 15.3
GROUP 5
FA .................. 16,666,666 SEQ (5) FLT 3133TH Q L 4 October 15, 2026 4.8
HD .................. 25,000,000 SEQ 8.5 FIX 3133TH Q T 7 October 15, 2026 4.8
HE .................. 300,000,000 SEQ 6.25 FIX 3133TH Q U 4 October 15, 2026 4.8
HG .................. 86,249,321 SEQ 6.5 FIX 3133TH Q V 2 January 15, 2029 16.7
SA .................. 16,666,666 NTL(SEQ) (5) INV/IO 3133TH R E 9 October 15, 2026 --
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TH R B 5 January 15, 2029 --
RS .................. 0 NPR 0.0 NPR 3133TH R C 3 January 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 195% PSA for the Group 1
and Group 2 Classes, 200% PSA for the Group 3 Classes, 300% PSA for the
Group 4 Classes and 210% PSA for the Group 5 Classes. Prepayments will not
occur at the rates assumed, and the actual weighted average lives of the
Classes may differ significantly from those shown.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
PAINEWEBBER INCORPORATED
DECEMBER 11, 1998
S-111
<PAGE> 475
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of a Class (the "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Class and the "Combination" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount of the Securities submitted for exchange (but not less than
$5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
F.................... 5.80625% LIBOR + 0.65% 0.65% 8.0%
FA................... 6.0375 LIBOR+ 0.35% 0.35 8.0
S.................... 9.74469 32.648885% - (LIBOR X 4.442025) 0 32.648885
SA................... 1.9625 7.65% - LIBOR 0 7.65
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- -----------------------------------------
<S> <C> <C>
PI $ 1,859,445 QA (PAC Class)
SA 16,666,666 FA (Sequential Pay Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
COMPONENTS
<TABLE>
<CAPTION>
ORIGINAL
DESIGNATION PRINCIPAL AMOUNT PRINCIPAL TYPE*
- ----------- ---------------- ---------------
<S> <C> <C>
A-1 $ 33,745,651 PAC
A-2 66,254,349 SUP
------------
$100,000,000
============
BA-1 $ 12,409,826 PAC
BA-2 40,840,824 SUP
------------
$ 53,250,650
============
</TABLE>
-------------------------------------
* See "Description of Securities -- Standard Definitions
and Abbreviations for Classes" in the Offering Circular.
See "Payments -- Principal -- Component Classes" in this Supplement.
S-112
<PAGE> 476
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
ACCRETION ( - The "MK Accrual Amount" for that Payment Date to VP, until
DIRECTED ( retired, and then to MK
AND ACCRUAL (
- The "Group 1 Asset Principal Amount" for that Payment Date to
the Classes and Components shown below in the following
order of priority:
( 1. To the PAC Classes and Components, until reduced to their
( "Aggregate Targeted Balance" for that Payment Date,
( allocated:
(
( (a) Concurrently, 61.8649257973% to A-1 and 38.1350742027%
PAC ( to BA-1 and PF, in that order, while outstanding
(
( (b) Concurrently, 42.9392181076% to PA and PB, in that
( order, and 57.0607818924% to PK, while outstanding
(
( (c) To QA, VP, MK and PH, in that order
SUPPORT ( 2. To A-2 and BA-2, pro rata, until retired
( 3. To the PAC Classes and Components as described in step 1
PAC ( above, but without regard to their Aggregate Targeted
( Balance, until retired
( - The "Z Accrual Amount" for that Payment Date to C, until
( reduced to its "Targeted Balance" for that Payment Date, and
( then to Z
(
ACCRETION ( - The "ZA Accrual Amount" for that Payment Date to CA, until
DIRECTED ( reduced to its Targeted Balance for that Payment Date, and
AND ACCRUAL ( then to ZA
(
( - The "ZB Accrual Amount" for that Payment Date to B, until
( reduced to its Targeted Balance for that Payment Date, and
( then to ZB
- The "Group 2 Asset Principal Amount" for that Payment Date to
the Classes shown below in the following order of priority:
( 1. Beginning February 15, 2000, to QE, PJ, PN and QJ, in that
PAC ( order, until reduced to their Aggregate Targeted Balance
( for that Payment Date
2. Concurrently:
(a) 19.5226081864% as follows:
( (i) To B, until reduced to its Targeted Balance for
TAC ( that Payment Date
SUPPORT ( (ii) To ZB, until retired
TAC ( (iii) To B, until retired
(b) 59.5862391191% as follows:
( (i) To C, until reduced to its Targeted Balance for
TAC ( that Payment Date
SUPPORT ( (ii) To Z, until retired
TAC ( (iii) To C, until retired
(c) 20.8911526945% as follows:
( (i) To CA, until reduced to its Targeted Balance for
TAC ( that Payment Date
SUPPORT ( (ii) To ZA, until retired
S-113
<PAGE> 477
<TABLE>
<S> <C>
TAC ( (iii) To CA, until retired
PAC ( 3. To QE, PJ, PN and QJ, in that order, until retired
PASS- ( - The "Group 3 Asset Principal Amount" for that Payment Date to F and S,
THROUGH ( pro rata, until retired
SEQUENTIAL ( - The "Group 4 Asset Principal Amount" for that Payment Date to GH and
PAY ( GJ, in that order, until retired
- The "Group 5 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To FA, HD and HE, pro rata, until retired
PAY ( 2. To HG, until retired
</TABLE>
The Targeted Balances and Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges and
rates:
<TABLE>
<CAPTION>
CLASS OR COMPONENT STRUCTURING RANGE OR RATE
------------------ -------------------------
<S> <C>
Group 1
PAC....................................................... 100% PSA - 250% PSA
Group 2
PAC....................................................... 100% PSA - 250% PSA
TAC
B...................................................... 193.5% PSA
C...................................................... 195% PSA
CA..................................................... 150% PSA
</TABLE>
MACR CLASS
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments will be allocated
from the applicable Classes of REMIC Certificates to the MACR Class.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "General Information -- Structure
of Transaction -- General" in this Supplement and "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
S-114
<PAGE> 478
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 195% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 9.8 7.9 3.8 2.0 1.2
BA............................ 10.9 8.9 4.2 2.1 1.1
MK............................ 10.2 6.8 6.8 6.8 4.3
PA............................ 4.4 2.5 2.5 2.5 2.2
PB............................ 7.5 4.4 4.4 4.4 3.0
PF............................ 2.3 1.4 1.4 1.4 1.4
PH............................ 11.9 9.9 9.9 9.9 6.6
PK............................ 6.1 3.5 3.5 3.5 2.6
QA............................ 9.4 6.0 6.0 6.0 3.8
VP............................ 3.5 3.5 3.5 3.5 3.0
Group 1 Assets................ 9.0 6.7 5.5 4.9 3.3
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 195% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
B............................. 12.0 9.0 4.2 2.1 1.1
C............................. 10.9 7.8 2.9 2.2 1.2
CA............................ 11.8 8.8 4.4 2.2 1.1
PJ............................ 7.3 4.5 4.5 4.5 3.1
PN............................ 9.1 6.0 6.0 6.0 3.8
QE............................ 3.9 2.5 2.5 2.5 2.1
QJ............................ 11.7 9.9 9.9 9.9 6.6
Z............................. 14.8 14.0 12.3 1.3 0.4
ZA............................ 14.9 14.6 0.6 0.3 0.1
ZB............................ 15.0 14.7 10.6 0.3 0.1
Group 2 Assets................ 9.0 6.7 5.5 4.9 3.3
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 200% 350% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
F, S and Group 3 Assets....... 22.2 18.7 10.3 1.9 1.0
</TABLE>
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 150% 300% 450% 600%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
G and Group 4 Assets.......... 20.8 9.3 5.7 4.2 3.3
GH............................ 19.7 7.4 4.5 3.3 2.7
GJ............................ 29.4 23.3 15.3 10.7 8.1
</TABLE>
Group 5
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 210% 350% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FA, HD and HE................. 19.1 8.2 4.8 3.3 2.5
HG............................ 28.9 23.6 16.7 11.1 8.0
Group 5 Assets................ 21.0 11.3 7.2 4.9 3.6
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
THE ASSETS
The Group 1 Assets will consist of $529,286,236 of Freddie Mac 6.0% per
annum 15-year PCs.
S-115
<PAGE> 479
The Group 2 Assets will consist of $199,864,554 of Freddie Mac 6.0% per
annum 15-year PCs.
The Group 4 Assets will consist of $50,463,643 of Freddie Mac 6.0% per
annum 30-year PCs backed by Relocation Mortgages.
The Group 5 Assets will consist of $427,915,987 of Freddie Mac 6.5% per
annum 30-year PCs.
The Groups 3 Assets will have the following characteristics:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
PERCENTAGE OF CLASS IN LOWER-TIER
IN LOWER-TIER REMIC POOL AS JANUARY 1999 CLASS PRINCIPAL TYPE/
CLASS REMIC POOL OF CLOSING DATE CLASS FACTOR COUPON INTEREST TYPE(1) FINAL PAYMENT DATE
- ------- ------------------- ---------------- ------------ ------ ---------------- ------------------
<S> <C> <C> <C> <C> <C> <C>
1585-O.. 26.6551808326% $10,633,991 0.9966288 (2) SUP/FLT/DLY September 15, 2023
1585-PL 19.2307692308 4,983,144 0.9966288 (2) SUP/INV/DLY September 15, 2023
1585-PM 51.2391354699 6,367,477 0.9966288 (2) SUP/INV/DLY September 15, 2023
</TABLE>
- ---------------
(1) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
(2) Calculated as described in the Asset Offering Circular. See Exhibit I to
this Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement and Exhibit I to this Supplement.
MORTGAGE CHARACTERISTICS (AS OF JANUARY 1, 1999)
GROUPS 1, 2, 4 AND 5 - ASSUMED MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
( $ 43,863,508 180 0 6.7% 6.0%
( 141,337,943 179 0 6.7 6.0
( 141,337,943 177 2 6.7 6.0
1 ( 141,337,943 176 2 6.7 6.0
( 61,408,899 175 3 6.7 6.0
( ------------
( $529,286,236 177* 1*
( ============
( $ 16,563,367 180 0 6.7% 6.0%
( 53,370,828 179 0 6.7 6.0
( 53,370,828 177 2 6.7 6.0
2 ( 53,370,828 176 2 6.7 6.0
( 23,188,703 175 3 6.7 6.0
( ------------
( $199,864,554 177* 1*
( ============
4 ( $ 50,463,643 360 0 6.543% 6.0%
( $142,638,669 357 2 7.05% 6.5%
( 174,019,166 357 2 7.05 6.5
5 ( 71,319,329 350 7 7.05 6.5
( 39,938,823 343 12 7.05 6.5
( ------------
( $427,915,987 355* 4*
( ============
</TABLE>
--------------------
* Weighted average by principal balance.
GROUP 3 - MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
WEIGHTED
AVERAGE
REMAINING TERM WEIGHTED AVERAGE WEIGHTED AVERAGE PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
SERIES (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ------ -------------- ---------------- ----------------- --------------
<S> <C> <C> <C> <C>
1585 280 65 7.126% 6.5%
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
1
S-116
<PAGE> 480
EXHIBIT XII -- SERIES 2137 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$2,250,000,000
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2137
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Four Asset Groups, consisting of two Groups of Freddie Mac
6.0% 30-year PCs (Gold PCs and Gold Giant PCs) and two
Groups of Freddie Mac 6.5% 30-year PCs
Payment Dates: Monthly, beginning in April 1999
Form of Securities: Regular (non-Retail) and MACR Classes: Book-entry (Federal
Reserve Banks)
Retail Classes (TT, UU and VV): Book-entry (Depository Trust
Company); issued in $1,000 Retail Class Units
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Merrill Lynch, Pierce, Fenner & Smith Incorporated
(the "Underwriter")
Closing Date: March 30, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
FA .................. $ 16,200,337 SUP (5) FLT/DLY 3133TJ Q J 5 March 15, 2029 16.9Yrs
GA .................. 51,350,000 SCH/AD 6.0% FIX 3133TJ Q L 0 November 15, 2028 3.5
GB .................. 58,829,000 SCH/AD 6.0 FIX 3133TJQM8 March 15, 2029 5.0
GC .................. 7,478,900 SCH/AD 6.0 FIX 3133TJ Q N 6 March 15, 2029 15.3
K ................... 6,708,800 SUP 0.0 PO 3133TJ Q X 4 March 15, 2029 16.9
KF .................. 3,773,916 NTL(PAC) 6.0 FIX/IO 3133TJ Q Y 2 June 15, 2027 --
PA .................. 26,764,300 PAC 6.0 FIX 3133TJ Q Z 9 June 15, 2008 2.5
PB .................. 37,635,100 PAC 6.0 FIX 3133TJ R 2 1 April 15, 2014 3.5
PC .................. 23,160,200 PAC 6.0 FIX 3133TJ R 3 9 October 15, 2016 4.5
PD .................. 60,632,700 PAC 6.0 FIX 3133TJ R 4 7 August 15, 2021 6.0
PE .................. 40,866,400 PAC 6.0 FIX 3133TJ R 5 4 January 15, 2024 8.0
PF .................. 30,000,000 PAC 6.0 FIX 3133TJ R 6 2 June 15, 2027 11.0
PG .................. 47,617,200 PAC 6.0 FIX 3133TJ R 7 0 March 15, 2029 18.2
QF .................. 45,287,000 PAC 5.5 FIX 3133TJ R 8 8 June 15, 2027 11.0
SA .................. 3,000,063 SUP (5) INV/DLY 3133TJ R B 1 March 15, 2029 16.9
UU .................. 15,000,000 SUP/RTL 6.5 FIX 3133TJ S 4 6 March 15, 2029 16.9
VV .................. 24,470,000 SUP/RTL 6.75 FIX 3133TJ S 9 5 March 15, 2029 16.9
ZB .................. 5,000,000 SUP 6.0 FIX/Z 3133TJ S B 0 September 15, 2027 1.2
GROUP 2
A ................... 314,879,000 SEQ 6.0 FIX 3133TJ Q 6 3 October 15, 2025 5.1
AB .................. 50,000,000 SEQ 6.0 FIX 3133TJ Q 7 1 February 15, 2026 5.3
BA .................. 8,871,000 SEQ 6.0 FIX 3133TJ Q 9 7 February 15, 2026 12.0
BC .................. 29,789,000 SEQ 6.0 FIX 3133TJ Q A 4 December 15, 2026 13.3
VA .................. 12,780,000 AD/SEQ 6.0 FIX 3133TJ S 5 3 November 15, 2004 3.0
VB .................. 13,606,000 AD/SEQ 6.0 FIX 3133TJ S 6 1 May 15, 2009 8.0
VC .................. 38,383,000 AD/SEQ 6.0 FIX 3133TJ S 7 9 November 15, 2017 13.8
Z ................... 31,692,000 SEQ 6.0 FIX/Z 3133TJ S A 2 March 15, 2029 20.8
GROUP 3
DF .................. 20,000,000 PAC/AD 6.5 FIX 3133TJ Q H 9 April 15, 2016 11.6
FT .................. 94,106,319 SUP (5) FLT/DLY 3133TJ Q K 2 March 15, 2029 8.3
GR .................. 113,422,000 SCH 6.5% FIX 3133TJ Q P 1 December 15, 2028 3.5Yrs
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GS .................. $ 12,907,800 SCH 6.5 FIX 3133TJ Q Q 9 March 15, 2029 18.2
GT .................. 108,750,000 SCH 6.5 FIX 3133TJ Q R 7 March 15, 2029 5.0
JI .................. 16,420,423 NTL(PAC) 6.5 FIX/IO 3133TJ Q U 0 November 15, 2021 --
ST .................. 21,716,843 SUP (5) INV/DLY 3133TJ R C 9 March 15, 2029 8.3
T ................... 961,538 SUP 0.0 PO 3133TJ R D 7 March 15, 2029 8.3
TB .................. 10,809,700 PAC 6.5 FIX 3133TJ R E 5 November 15, 2008 2.5
TE .................. 69,795,100 PAC 6.5 FIX 3133TJ R F 2 November 15, 2021 6.0
TF .................. 54,647,700 PAC 6.5 FIX 3133TJ R G 0 March 15, 2024 8.0
TG .................. 100,990,000 PAC 6.5 FIX 3133TJ R H 8 July 15, 2027 11.0
TH .................. 26,439,600 PAC 6.5 FIX 3133TJ R J 4 March 15, 2029 18.2
TL .................. 15,137,000 PAC 6.5 FIX 3133TJ R K 1 March 15, 2023 7.6
TM................... 70,000,000 PAC 6.5 FIX 3133TJ R L 9 January 15, 2028 11.0
TN .................. 23,096,000 PAC 6.5 FIX 3133TJ R M 7 March 15, 2029 19.3
TT .................. 25,000,000 SUP/RTL 6.75 FIX 3133TJ R S 4 March 15, 2029 8.3
TZ .................. 12,667,100 PAC 6.5 FIX/Z 3133TJ R X 3 March 15, 2029 18.9
UB .................. 42,809,700 PAC 6.0 FIX 3133TJ R Y 1 November 15, 2008 2.5
UC .................. 74,052,200 PAC 6.0 FIX 3133TJ R Z 8 August 15, 2014 3.5
UD .................. 46,603,600 PAC 6.0 FIX 3133TJ S 2 0 March 15, 2017 4.5
UE .................. 50,000,000 PAC 6.0 FIX 3133TJ S 3 8 November 15, 2021 6.0
VE .................. 5,587,800 AD/PAC 6.5 FIX 3133TJ S 8 7 November 15, 2004 3.0
GROUP 4
CA .................. 98,302,500 SEQ 6.4 FIX 3133TJ Q B 2 October 15, 2026 5.1
CE .................. 98,302,500 SEQ 6.5 FIX 3133TJ Q C 0 October 15, 2026 5.1
CI .................. 1,512,346 NTL(SEQ) 6.5 FIX/IO 3133TJ Q D 8 October 15, 2026 --
CV .................. 16,000,000 AD/SEQ 6.5 FIX 3133TJ Q E 6 June 15, 2006 3.9
CW................... 10,697,500 AD/SEQ 6.5 FIX 3133TJ Q F 3 December 15, 2009 9.0
CZ .................. 26,697,500 SEQ 6.5 FIX/Z 3133TJ Q G 1 March 15, 2029 17.7
RESIDUAL
R ................... 500,000 PAC 6.5 FIX 3133TJ R 9 6 March 15, 2029 28.5
RS .................. 0 NPR 0.0 NPR 3133TJ R A 3 March 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 160% PSA for the Group 1
Classes, 155% PSA for the Group 2 Classes, 195% PSA for the Group 3 and R
Classes and 185% PSA for the Group 4 Classes. Prepayments will not occur at
the rates assumed, and the actual weighted average lives of the Classes may
differ significantly from those shown. Because Retail Class investors will
receive principal payments subject to the priorities, limitations and
allocations described in this Supplement, the weighted average lives of
Retail Class Units will vary among different investors.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
MERRILL LYNCH & CO.
THE DATE OF THIS OFFERING CIRCULAR SUPPLEMENT IS FEBRUARY 11, 1999
S-117
<PAGE> 481
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each, a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates or, in some cases, for other related MACR Certificates. Appendix 1
to this Supplement shows the characteristics of the MACR Classes and the
"Combinations" of Classes of REMIC Certificates and MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The K and T Classes will be Principal Only Classes and will not bear
interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- ---------------------------- ------------ ------------
<S> <C> <C> <C> <C>
FA(3)....................... 5.8875% LIBOR + 0.95% 0.95% 8.0%
FT(3)....................... 5.8875 LIBOR + 0.95% 0.95 8.0
SA(3)....................... 11.4075 38.07% - (LIBOR X 5.4) 0 38.07
ST(3)....................... 9.15417 30.55% - (LIBOR X 4.3333333) 0 30.55
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
- ----- ----------------- -------------------------------------------------
<S> <C> <C>
REMIC CERTIFICATES
CI $ 1,512,346 CA (Sequential Pay Class)
JI $16,420,423 UB, UC, UD and UE, in the aggregate (PAC Classes)
KF $ 3,773,916 QF (PAC Class)
MACR CLASSES
JF $ 4,203,669 TF (PAC Class)
JG $ 7,768,461 TG (PAC Class)
JL $ 1,164,384 TL (PAC Class)
JM $ 5,384,615 TM (PAC Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-118
<PAGE> 482
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
Group 1
( - The "ZB Accrual Amount" for that Payment Date to the Classes shown
( below in the following order of priority:
ACCRETION (
DIRECTED ( 1. Concurrently:
AND ACCRUAL (
( (a) 50.0000424961% to GB, until retired
(
( (b) 49.9999575039% to GA and GC, in that order, until retired
(
( 2. To ZB
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning May 15, 2001, to the PAC Classes, until reduced to their
( "Aggregate Targeted Balance" for that Payment Date, allocated as
( follows:
PAC (
( (a) To PA, PB, PC, PD and PE, in that order, while outstanding
(
( (b) To PF and QF, pro rata, while outstanding
(
( (c) To PG
( 2. To the Scheduled Classes, until reduced to their Aggregate Targeted
( Balance for that Payment Date, allocated concurrently:
SCHEDULED (
( (a) 50.0000424961% to GB
(
( (b) 49.9999575039% to GA and GC, in that order
( 3. To ZB, until retired
SUPPORT (
( 4. To FA, K, SA, UU and VV, pro rata, until retired
SCHEDULED ( 5. To the Scheduled Classes as in step 2, but without regard to their
( Aggregate Targeted Balance, until retired
PAC ( 6. To the PAC Classes as in step 1, but without regard to their
( Aggregate Targeted Balance, until retired
Group 2
ACCRETION ( - The "Z Accrual Amount" for that Payment Date to VA, VB and VC, in that
DIRECTED ( order, until retired, and then to Z
AND
ACCRUAL
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Concurrently:
(
SEQUENTIAL ( (a) 86.6220735786% to A and BA, in that order, until retired
PAY (
( (b) 13.3779264214% to AB, until retired
(
( 2. To BC, VA, VB, VC and Z, in that order, until retired
Group 3
ACCRETION ( - The "TZ Accrual Amount" for that Payment Date to VE and DF, in that
DIRECTED ( order, until retired, and then to TZ
AND
ACCRUAL
</TABLE>
S-119
<PAGE> 483
<TABLE>
<S> <C>
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning May 15, 2001, to the PAC Classes, until reduced to their
( Aggregate Targeted Balance for that Payment Date, allocated as
( follows:
( (a) To TB and UB, pro rata
( (b) To UC and UD, in that order
PAC ( (c) To TE and UE, pro rata
( (d) Concurrently, 33.0429957346% to TL, TM, TN and R, in that order,
( and 66.9570042654% as follows:
( (i) To TF and TG, in that order
( (ii) Concurrently, 59.1316108788% to VE, DF and TZ, in that
( order, and 40.8683891212% to TH
( 2. To the Scheduled Classes, until reduced to their Aggregate Targeted
SCHEDULED ( Balance for that Payment Date, allocated concurrently:
( (a) 46.2608867287% to GT
( (b) 53.7391132713% to GR and GS, in that order
SUPPORT ( 3. To FT, ST, T and TT, pro rata, until retired
SCHEDULED ( 4. To the Scheduled Classes as in step 2, but without regard to their
( Aggregate Targeted Balance, until retired
PAC ( 5. To the PAC Classes as in step 1, but without regard to their
( Aggregate Targeted Balance, until retired
Group 4
ACCRETION ( - The "CZ Accrual Amount" for that Payment Date to CV and CW, in that
DIRECTED ( order, until retired, and then to CZ
AND ACCRUAL (
- The "Group 4 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To CA and CE, pro rata, until retired
PAY ( 2. To CV, CW and CZ, in that order, until retired
</TABLE>
The Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges:
<TABLE>
<CAPTION>
STRUCTURING RANGE
-------------------
<S> <C>
GROUP 1
PAC Classes........................................ 100% PSA - 250% PSA
Scheduled Classes.................................. 141% PSA - 190% PSA
GROUP 3
PAC Classes........................................ 100% PSA - 250% PSA
Scheduled Classes.................................. 145% PSA - 215% PSA
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to MACR Certificates, such payments will be allocated from
the applicable Class or Classes of REMIC Certificates to the related MACR Class
that is entitled to principal or, if there are two or more related Classes
entitled to principal, to such Classes, pro rata.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
RETAIL CLASSES
The TT, UU and VV Classes will be Retail Classes. Investors in the Retail
Classes will receive principal payments in $1,000 "Retail Class Units," subject
to the priorities, limitations and allocations described under
S-120
<PAGE> 484
"Payments -- Retail Class Principal Payments" in this Supplement. Also see
"Prepayment and Yield Analysis -- Prepayment and Weighted Average Life
Considerations -- Retail Classes" in this Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "Certain Federal Income Tax
Consequences" in this Supplement and in the Offering Circular.
S-121
<PAGE> 485
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 160% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FA, K, SA, UU** and VV**...... 29.3 25.1 16.9 2.3 1.1
GA............................ 22.5 8.5 3.5 2.6 1.6
GB............................ 23.1 9.8 5.0 3.2 1.7
GC............................ 27.6 18.3 15.3 7.1 2.4
PA............................ 4.7 2.5 2.5 2.5 2.4
PB............................ 9.5 3.5 3.5 3.5 2.8
PC............................ 12.8 4.5 4.5 4.5 3.1
PD............................ 16.2 6.0 6.0 6.0 3.7
PE............................ 19.3 8.0 8.0 8.0 4.5
PF and QF..................... 22.1 11.0 11.0 11.0 6.0
PG............................ 24.5 18.2 18.2 18.2 10.0
ZB............................ 28.1 20.0 1.2 0.4 0.2
Group 1 Assets................ 20.8 11.3 8.8 6.4 3.7
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 155% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
A............................. 17.9 7.0 5.1 3.0 2.0
AB and AC..................... 18.1 7.2 5.3 3.1 2.0
BA............................ 26.7 16.1 12.0 6.9 4.3
BC............................ 27.3 17.6 13.3 7.7 4.7
VA............................ 3.0 3.0 3.0 3.0 3.0
VB............................ 8.0 8.0 8.0 7.6 5.3
VC............................ 14.7 14.7 13.8 9.5 6.2
Z............................. 28.9 23.5 20.8 14.6 9.6
Group 2 Assets................ 20.8 11.0 8.6 5.2 3.3
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 195% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
DF............................ 12.0 11.6 11.6 11.6 7.9
FT, ST, T and TT**............ 29.2 24.8 8.3 2.3 1.0
GR............................ 25.0 9.7 3.5 2.7 1.6
GS............................ 28.3 20.0 18.2 7.4 2.4
GT............................ 25.3 10.7 5.0 3.2 1.7
TB and UB..................... 5.0 2.5 2.5 2.5 2.4
TE and UE..................... 16.5 6.0 6.0 6.0 3.7
TF, TP and TU................. 19.6 8.0 8.0 8.0 4.5
TG, TQ and TV................. 22.3 11.0 11.0 11.0 5.9
TH............................ 24.7 18.2 18.2 18.2 10.0
TL, TR and TW................. 19.1 7.6 7.6 7.6 4.3
TM, TS and TX................. 22.1 11.0 11.0 11.0 5.9
TN............................ 24.9 19.3 19.3 19.3 10.6
TZ............................ 24.7 18.9 18.9 18.9 11.4
UC............................ 9.9 3.5 3.5 3.5 2.8
UD............................ 13.2 4.5 4.5 4.5 3.1
VE............................ 3.0 3.0 3.0 3.0 3.0
R............................. 28.5 28.5 28.5 28.5 20.4
Group 3 Assets................ 21.0 11.4 7.7 6.5 3.7
</TABLE>
-------------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
** The weighted average lives shown in the table for each Retail Class
apply to that Class as a whole and are not likely to reflect the
experience of any Retail Class investor. Because Retail Class
investors will receive principal payments subject to the
priorities, limitations and allocations described under
"Payments -- Retail Class Principal Payments" in this Supplement,
the weighted average lives of Retail Class Units will vary among
different investors.
S-122
<PAGE> 486
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 185% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
CA and CE..................... 18.9 8.0 5.1 3.5 2.4
CV............................ 3.9 3.9 3.9 3.9 3.6
CW............................ 9.0 9.0 9.0 8.2 5.6
CZ............................ 28.8 23.3 17.7 12.9 8.5
Group 4 Assets................ 21.0 11.3 7.8 5.4 3.5
</TABLE>
THE ASSETS
The Group 1 Assets will consist of $500,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $500,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Assets will consist of $1,000,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 4 Assets will consist of $250,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The assets of this Series will also include a non-interest bearing cash
deposit of $2,999.97 to be used for principal payments on the Retail Classes as
described in this Supplement.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF MARCH 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE OF
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- ----------------
<S> <C> <C> <C> <C> <C>
1 $ 500,000,000 357 2 6.70% 6.0%
2 500,000,000 351 8 6.75 6.0
3 1,000,000,000 357 2 7.05 6.5
4 250,000,000 355 5 7.10 6.5
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-123
<PAGE> 487
EXHIBIT XIII -- SERIES 2149 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$1,587,829,320
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2149
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Double-Tier)
Underlying Assets: Four Asset Groups, consisting of one Group of Freddie Mac
6.0% 30-year PCs (Gold PCs and Gold Giant PCs) and three
Groups of Freddie Mac 6.5% 30-year PCs
Payment Dates: Monthly, beginning in June 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Classes (R and RS): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Merrill Lynch, Pierce, Fenner & Smith Incorporated
(the "Underwriter")
Closing Date: May 28, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
FG .................. $ 19,544,931 PAC II (5) FLT/DLY 3133TK T 3 4 May 15, 2029 18.1Yrs
FT .................. 115,259,868 SUP (5) FLT/DLY 3133TK T 4 2 May 15, 2029 11.4
GA .................. 137,118,000 PAC II 6.5% FIX 3133TK T 5 9 February 15, 2029 3.5
GR .................. 73,833,000 PAC II 6.5 FIX 3133TK T 6 7 February 15, 2029 3.5
JD .................. 1,231,646 NTL(PAC I) 6.5 FIX/IO 3133TK T 7 5 April 15, 2017 --
QD .................. 16,011,400 PAC I 6.0 FIX 3133TK T L 4 April 15, 2017 4.5
SG .................. 4,510,369 PAC II (5) INV/DLY 3133TK T P 5 May 15, 2029 18.1
ST .................. 26,598,432 SUP (5) INV/DLY 3133TK T Q 3 May 15, 2029 11.4
TB .................. 52,848,600 PAC I 6.5 FIX 3133TK T R 1 December 15, 2008 2.5
TC .................. 26,221,822 PAC I 6.5 FIX 3133TK T S 9 October 15, 2014 3.5
TE .................. 42,250,198 PAC I 6.5 FIX 3133TK T T 7 January 15, 2022 6.0
TF .................. 80,786,400 PAC I 6.5 FIX 3133TK T U 4 May 15, 2024 8.0
TG .................. 151,678,200 PAC I 6.5 FIX 3133TK T V 2 September 15, 2027 11.0
TK .................. 38,250,000 PAC I 6.5 FIX 3133TK T X 8 June 15, 2028 15.0
TL .................. 42,691,300 PAC I 6.5 FIX 3133TK T Y 6 February 15, 2029 18.7
TM................... 15,000,000 PAC I 6.5 FIX 3133TK T Z 3 May 15, 2029 24.6
TP .................. 28,983,485 PAC I 6.5 FIX 3133TK U 2 4 October 15, 2012 3.2
TQ .................. 68,714,252 PAC I 6.5 FIX 3133TK U 3 2 August 15, 2018 4.5
TR .................. 59,199,743 PAC I 6.5 FIX 3133TK U 4 0 January 15, 2022 6.3
GROUP 2
DA .................. 131,485,000 SEQ 6.0 FIX 3133TK S U 5 December 15, 2025 5.0
DB .................. 15,398,000 SEQ 6.0% FIX 3133TK S V 3 February 15, 2027 13.0Yrs
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT(1) OTHER TYPE(2) COUPON TYPE(2) NUMBER DATE(3) LIFE(4)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
DC .................. $ 35,000,000 SEQ 6.0 FIX 3133TK S W 1 May 15, 2029 19.8
DK .................. 125,292,000 SEQ 6.0 FIX 3133TK S X 9 April 15, 2026 5.2
VA .................. 10,121,000 AD/SEQ 6.0 FIX 3133TK U 5 7 November 15, 2006 4.0
VB .................. 14,604,000 AD/SEQ 6.0 FIX 3133TK U 6 5 October 15, 2013 10.9
ZD .................. 18,100,000 SEQ 6.0 FIX/Z 3133TK U B 4 May 15, 2029 18.7
GROUP 3
CA .................. 63,921,429 SEQ 6.25 FIX 3133TK S Q 4 December 15, 2026 5.0
CB .................. 5,000,000 SEQ 6.5 FIX 3133TK S R 2 August 15, 2027 13.0
CD .................. 15,425,000 SEQ 6.5 FIX 3133TK S S 0 May 15, 2029 19.1
FC .................. 10,653,571 SEQ (5) FLT 3133TK T 2 6 December 15, 2026 5.0
SC .................. 10,653,571 NTL(SEQ) (5) INV/IO 3133TK T N 0 December 15, 2026 --
GROUP 4
EA .................. 110,000,000 SEQ 6.5 FIX 3133TK S Y 7 September 15, 2026 5.4
VJ .................. 9,301,000 AD/SEQ 6.5 FIX 3133TK U 8 1 July 15, 2007 4.4
VK .................. 10,028,320 AD/SEQ 6.5 FIX 3133TK U 9 9 February 15, 2013 11.0
ZE .................. 13,500,000 SEQ 6.5 FIX/Z 3133TK U C 2 May 15, 2029 18.6
RESIDUAL
R ................... 500,000 PAC I 6.5 FIX 3133TKTM2 May 15, 2029 29.1
RS .................. 0 NPR 0.0 NPR 3133TK U D 0 May 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid; see
"Payments -- Interest" in this Supplement.
(2) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(3) See "Final Payment Dates" in this Supplement.
(4) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 180% PSA for the Group 1
and R Classes, 150% PSA for the Group 2 Classes, 179% PSA for the Group 3
Classes and 170% PSA for the Group 4 Classes. Prepayments will not occur at
the rates assumed, and the actual weighted average lives of the Classes may
differ significantly from those shown.
(5) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
MERRILL LYNCH & CO.
THE DATE OF THIS OFFERING CIRCULAR SUPPLEMENT IS MARCH 31, 1999
S-124
<PAGE> 488
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates or, in some cases, for related MACR Certificates. Appendix 1 to
this Supplement shows the characteristics of the MACR Classes and the
"Combinations" of Classes of REMIC Certificates and MACR Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- -------------------------------- ------------ ------------
<S> <C> <C> <C> <C>
FC................... 5.27625% LIBOR + 0.35% 0.35% 8.0%
FG and FT(3)......... 5.87625 LIBOR + 0.95% 0.95 8.0
SC................... 2.72375 7.65% - LIBOR 0 7.65
SG and ST(3)......... 9.20292 30.549999% - (LIBOR X 4.3333333) 0 30.549999
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- ----------------------------
<S> <C> <C>
REMIC CERTIFICATES
JD $ 1,231,646 QD (Type I PAC Class)
SC $10,653,571 FC (Sequential Pay Class)
MACR CLASSES
JL $ 3,283,946 TL (Type I PAC Class)
JP $ 2,229,498 TP (Type I PAC Class)
JR $ 4,553,826 TR (Type I PAC Class)
KC $ 2,017,063 TC (Type I PAC Class)
KE $ 3,250,015 TE (Type I PAC Class)
KF $ 6,214,338 TF (Type I PAC Class)
KQ $ 5,285,711 TQ (Type I PAC Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-125
<PAGE> 489
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
Group 1
<TABLE>
<S> <C>
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning July 15, 2001, to the Type I PAC Classes, until reduced to
( their "Aggregate Targeted Balance" for that Payment Date, allocated
( as follows:
TYPE I (
PAC ( a. To TB, while outstanding
( b. 35.0000434997% to TC, QD and TE, in that order, and 64.9999565003%
( to TP, TQ and TR, in that order, while outstanding
(
( c. To TF, TG, TK, TL, TM and R, in that order
( 2. To the Type II PAC Classes, until reduced to their Aggregate
( Targeted Balance for that Payment Date, allocated as follows:
TYPE II (
PAC ( (a) To GA and GR, pro rata, while outstanding
( (b) To FG and SG, pro rata
SUPPORT ( 3. To FT and ST, pro rata, until retired
TYPE II ( 4. To the Type II PAC Classes as described above, but without regard to
( their Aggregate Targeted Balance, until retired
TYPE I ( 5. To the Type I PAC Classes as described above, but without regard to
( their Aggregate Targeted Balance, until retired
Group 2
ACCRETION ( - The "ZD Accrual Amount" for that Payment Date to VA and VB, in that
DIRECTED ( order, until retired, and then to ZD
AND ACCRUAL (
- The "Group 2 Asset Principal Amount" for that Payment Date, allocated
concurrently:
SEQUENTIAL ( (a) 51.9665714286% to DA, DB and DC, in that order, until retired
PAY ( (b) 48.0334285714% to DK, VA, VB and ZD, in that order, until retired
Group 3
- The "Group 3 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
SEQUENTIAL ( 1. To CA and FC, pro rata, until retired
PAY ( 2. To CB and CD, in that order, until retired
Group 4
ACCRETION ( - The "ZE Accrual Amount" for that Payment Date to VJ and VK, in that
DIRECTED ( order, until retired, and then to ZE
AND ACCRUAL (
SEQUENTIAL ( - The "Group 4 Asset Principal Amount" for that Payment Date to EA, VJ,
PAY ( VK and ZE, in that order, until retired
</TABLE>
S-126
<PAGE> 490
The Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE
----- -----------------
<S> <C>
Type I PAC.................................................. 100% PSA - 250% PSA
Type II PAC................................................. 145% PSA - 215% PSA
</TABLE>
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments (or, in the case
of Combination 9, the net reduction in principal) will be allocated from the
applicable Class or Classes of REMIC Certificates to the related MACR Class that
is entitled to principal or, if there are two or more related MACR Classes
entitled to principal, to such Classes, pro rata.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form an "Upper-Tier REMIC Pool" and a "Lower-Tier REMIC
Pool" for this Series. Elections will be made to treat each REMIC Pool as a
"real estate mortgage investment conduit" ("REMIC") pursuant to the Internal
Revenue Code. The R and RS Classes will be "Residual Classes" and the other
Classes of REMIC Certificates will be "Regular Classes." The Residual Classes
will be subject to transfer restrictions. See "General Information -- Structure
of Transaction -- General" in this Supplement and "Certain Federal Income Tax
Consequences" in this Supplement and the Offering Circular.
S-127
<PAGE> 491
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 180% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FG and SG..................... 28.3 20.0 18.1 7.4 2.4
FT and ST..................... 29.2 24.8 11.4 2.3 1.0
GA and GR..................... 25.0 9.7 3.5 2.7 1.6
LC, PC and TC................. 9.9 3.5 3.5 3.5 2.8
LE, PE and TE................. 16.5 6.0 6.0 6.0 3.7
LF, PF and TF................. 19.6 8.0 8.0 8.0 4.5
LP, NP and TP................. 9.0 3.2 3.2 3.2 2.7
LQ, PQ and TQ................. 13.1 4.5 4.5 4.5 3.1
LR, PR and TR................. 17.0 6.3 6.3 6.3 3.8
QD............................ 13.2 4.5 4.5 4.5 3.1
QL and TL..................... 24.8 18.7 18.7 18.7 10.1
TB............................ 4.9 2.5 2.5 2.5 2.4
TG............................ 22.3 11.0 11.0 11.0 5.9
TH............................ 24.7 18.1 18.1 18.1 10.0
TK............................ 24.1 15.0 15.0 15.0 8.0
TM............................ 25.8 24.6 24.6 24.6 14.5
R............................. 29.1 29.1 29.1 29.1 22.8
Group 1 Assets................ 21.0 11.4 8.2 6.5 3.7
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 150% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
DA............................ 17.9 6.7 5.0 2.8 1.8
DB............................ 27.1 16.8 13.0 7.2 4.4
DC............................ 28.9 23.0 19.8 12.3 7.5
DK............................ 18.1 7.0 5.2 2.9 1.8
VA............................ 4.0 4.0 4.0 4.0 3.2
VB............................ 11.2 11.2 10.9 7.6 5.0
VC............................ 8.2 8.2 8.1 6.1 4.3
ZD............................ 28.5 21.6 18.7 12.7 8.2
Group 2 Assets................ 20.8 10.7 8.5 5.0 3.1
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 179% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
CA and FC..................... 18.9 7.6 5.0 3.2 2.1
CB............................ 27.8 18.8 13.0 8.3 5.1
CD............................ 29.1 24.0 19.1 13.2 8.1
CE and Group 3 Assets......... 21.0 10.9 7.7 5.1 3.2
</TABLE>
Group 4
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 170% 300% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
EA............................ 18.7 7.8 5.4 3.5 2.4
EB............................ 28.7 23.0 18.2 12.1 7.6
VJ............................ 4.4 4.4 4.4 4.4 3.7
VK............................ 11.1 11.1 11.0 8.5 5.7
VL............................ 7.9 7.9 7.8 6.5 4.8
ZE............................ 28.7 23.0 18.6 13.4 8.9
Group 4 Assets................ 21.0 11.3 8.4 5.5 3.6
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate, and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-128
<PAGE> 492
THE ASSETS
The Group 1 Assets will consist of $1,000,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 2 Assets will consist of $350,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Assets will consist of $95,000,000 of Freddie Mac 6.5% per
annum 30-year PCs.
The Group 4 Assets will consist of $142,829,320 of Freddie Mac 6.5% per
annum 30-year PCs.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement.
ASSUMED MORTGAGE CHARACTERISTICS (AS OF MAY 1, 1999)
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $1,000,000,000 357 2 7.05% 6.5%
2 350,000,000 343 12 6.828 6.0
3 95,000,000 345 10 7.1 6.5
4 142,829,320 355 4 7.05 6.5
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-129
<PAGE> 493
EXHIBIT XIV -- SERIES 2162 OFFERING CIRCULAR SUPPLEMENT COVER PAGE AND TERMS
SHEET
OFFERING CIRCULAR SUPPLEMENT
(TO OFFERING CIRCULAR DATED APRIL 1, 1998)
$667,506,861
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE AND COMBINABLE REMIC CERTIFICATES, SERIES 2162
(FREDDIE MAC LOGO)
<TABLE>
<S> <C>
Offered Securities: Classes of REMIC Certificates (Multiclass PCs) listed below;
MACR Classes listed on Appendix 1 to this Supplement
Guarantee: Principal and interest guaranteed by Freddie Mac, as
described in this Supplement
Tax Status: REMIC (Single-Tier)
Underlying Assets: Three Asset Groups, consisting of two Groups of Freddie Mac
6.0% 30-year PCs (Gold PCs and Gold Giant PCs) and one
Group of Freddie Mac Multiclass PCs
Payment Dates: Monthly, beginning in July 1999
Form of Securities: Regular and MACR Classes: Book-entry (Federal Reserve Banks)
Residual Class (R): Certificated
Offering Terms: Classes offered in negotiated transactions at varying prices
through Merrill Lynch, Pierce, Fenner & Smith Incorporated
(the "Underwriter")
Closing Date: June 30, 1999
</TABLE>
THE RISKS ASSOCIATED WITH THE SECURITIES MAY MAKE THEM UNSUITABLE FOR SOME
INVESTORS. SEE "CERTAIN RISK CONSIDERATIONS" AND "PREPAYMENT AND YIELD ANALYSIS"
IN THIS SUPPLEMENT.
INVESTORS SHOULD READ THIS SUPPLEMENT IN CONJUNCTION WITH THE DOCUMENTS LISTED
UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
THE OBLIGATIONS OF FREDDIE MAC UNDER ITS GUARANTEES OF THE SECURITIES ARE
OBLIGATIONS OF FREDDIE MAC ONLY. THE SECURITIES, INCLUDING ANY INTEREST THEREON,
ARE NOT GUARANTEED BY THE UNITED STATES AND DO NOT CONSTITUTE DEBTS OR
OBLIGATIONS OF THE UNITED STATES OR ANY AGENCY OR INSTRUMENTALITY OF THE UNITED
STATES OTHER THAN FREDDIE MAC. INCOME ON THE SECURITIES HAS NO EXEMPTION UNDER
FEDERAL LAW FROM FEDERAL, STATE OR LOCAL TAXATION. THE SECURITIES ARE EXEMPT
FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT OF 1933 AND ARE
"EXEMPTED SECURITIES" WITHIN THE MEANING OF THE SECURITIES EXCHANGE ACT OF 1934.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT OTHER TYPE(1) COUPON TYPE(1) NUMBER DATE(2) LIFE(3)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP 1
FA .................. $32,929,411 SCH (4) FLT 3133TL A S 7 January 15, 2029 3.5Yrs
FB .................. 5,390,250 SCH (4) FLT/DLY 3133TL A T 5 June 15, 2029 14.7
FH .................. 28,960,500 SUP (4) FLT/DLY 3133TL D E 5 June 15, 2029 17.2
K ................... 5,516,285 SUP 0.0% PO 3133TL A Y 4 June 15, 2029 17.2
L ................... 1,026,714 SCH 0.0 PO 3133TL A Z 1 June 15, 2029 14.7
PB .................. 14,332,000 PAC 6.0 FIX 3133TL B 4 9 December 15, 2009 2.5
PC .................. 13,815,000 PAC 6.0 FIX 3133TL B 5 6 September 15, 2014 3.5
PD .................. 12,648,000 PAC 6.0 FIX 3133TL B 6 4 October 15, 2017 4.5
PE .................. 24,002,000 PAC 6.0 FIX 3133TL B 7 2 February 15, 2022 6.0
PF .................. 20,162,000 PAC 6.0 FIX 3133TL B 8 0 November 15, 2024 8.0
PG .................. 27,948,000 PAC 6.0 FIX 3133TL B 9 8 October 15, 2027 11.0
PH .................. 19,642,000 PAC 6.0 FIX 3133TL B A 5 June 15, 2029 17.8
SA .................. 13,720,589 SCH (4) INV 3133TL B D 9 January 15, 2029 3.5
SB .................. 770,036 SCH (4) INV/DLY 3133TL B E 7 June 15, 2029 14.7
SH .................. 4,137,215 SUP (4) INV/DLY 3133TL B J 6 June 15, 2029 17.2
GROUP 2
FC .................. 59,897,929 SCH (4) FLT 3133TL A U 2 June 15, 2029 3.5
FT .................. 59,333,399 SUP (4) FLT/DLY 3133TLAW8 June 15, 2029 16.8
M ................... 11,480,172 SUP 0.0 PO 3133TL B 2 3 June 15, 2029 16.8
</TABLE>
<TABLE>
<CAPTION>
CLASS OF ORIGINAL WEIGHTED
REMIC PRINCIPAL PRINCIPAL OR CLASS INTEREST CUSIP FINAL PAYMENT AVERAGE
CERTIFICATES AMOUNT OTHER TYPE(1) COUPON TYPE(1) NUMBER DATE(2) LIFE(3)
------------ --------- ------------- ------ -------- ------ ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
SC .................. $24,957,471 SCH (4) INV 3133TL B F 4 June 15, 2029 3.5Yrs
ST .................. 7,672,629 SUP (4) INV/DLY 3133TL B L 1 June 15, 2029 16.8
SU .................. 1,025,000 SUP (4) INV/DLY 3133TL B M 9 June 15, 2029 16.8
SX .................. 850,000 SUP (4) INV/DLY 3133TL B N 7 June 15, 2029 16.8
TB .................. 25,578,600 PAC 6.0% FIX 3133TL B P 2 December 15, 2009 2.5
TC .................. 24,641,400 PAC 6.0 FIX 3133TL B Q 0 September 15, 2014 3.5
TD .................. 22,555,200 PAC 6.0 FIX 3133TL B R 8 November 15, 2017 4.5
TE .................. 42,771,900 PAC 6.0 FIX 3133TL B S 6 March 15, 2022 6.0
TF .................. 35,822,400 PAC 6.0 FIX 3133TL B T 4 November 15, 2024 8.0
TG .................. 49,045,700 PAC 6.0 FIX 3133TL B U 1 October 15, 2027 11.0
TH .................. 34,368,200 PAC 6.0 FIX 3133TL B V 9 June 15, 2029 17.8
GROUP 3
C ................... 1,928,373 SC/SEQ 0.0 PO 3133TL A P 3 March 15, 2029 14.2
D ................... 7,713,488 SC/SEQ 7.5 FIX 3133TL A Q 1 March 15, 2029 14.2
FD .................. 21,910,000 SC/SEQ (4) FLT 3133TL A V 0 March 15, 2029 3.5
SD .................. 10,955,000 SC/SEQ (4) INV 3133TL B G 2 March 15, 2029 3.5
RESIDUAL
R ................... 0 NPR 0.0 NPR 3133TL B B 3 June 15, 2029 --
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(1) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular.
(2) See "Final Payment Dates" in this Supplement.
(3) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 135% PSA for the Group 1
and Group 2 Classes and 128% PSA for the Group 3 Classes. Prepayments will
not occur at the rates assumed, and the actual weighted average lives of the
Classes may differ significantly from those shown.
(4) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
------------------------
MERRILL LYNCH & CO.
THE DATE OF THIS OFFERING CIRCULAR SUPPLEMENT IS MAY 18, 1999
S-130
<PAGE> 494
TERMS SHEET
THIS TERMS SHEET CONTAINS SELECTED INFORMATION ABOUT THIS SERIES. INVESTORS
SHOULD REFER TO THE REMAINDER OF THIS SUPPLEMENT FOR FURTHER INFORMATION.
MACR CERTIFICATES
This Series provides for the issuance of Classes (each a "MACR Class") of
Modifiable and Combinable REMIC Certificates ("MACR Certificates") in exchange
for certain Classes of REMIC Certificates. Holders of such REMIC Certificates
will be entitled to exchange all or a portion of their REMIC Certificates for
related MACR Certificates, and Holders of MACR Certificates will be entitled to
exchange all or a portion of their MACR Certificates for related REMIC
Certificates. Appendix 1 to this Supplement shows the characteristics of the
MACR Classes and the "Combinations" of Classes of REMIC Certificates and MACR
Certificates.
See "MACR Certificates" in the Offering Circular for a description of MACR
Certificates and procedures for effecting exchanges. The fee payable to Freddie
Mac in connection with each exchange will equal 2/32 of 1% of the outstanding
principal amount (exclusive of any notional principal amount) of the Securities
submitted for exchange (but not less than $5,000).
CLASS COUPONS
The Fixed Rate Classes will bear interest at the Class Coupons shown on the
cover page of this Supplement and on Appendix 1 to this Supplement.
The C, E, K, L, M and N Classes are Principal Only Classes and will not
bear interest.
The Floating Rate and Inverse Floating Rate Classes will bear interest as
follows:
<TABLE>
<CAPTION>
CLASS COUPON SUBJECT TO
INITIAL ---------------------------
CLASS RATE(1) CLASS COUPON(2) MINIMUM RATE MAXIMUM RATE
----- ------- --------------------------- ------------ ------------
<S> <C> <C> <C> <C>
REMIC CERTIFICATES
FA...................... 5.27125% LIBOR + 0.35% 0.35% 8.5%
FB(3)................... 5.87125 LIBOR + 0.95% 0.95 8.0
FC...................... 5.32125 LIBOR + 0.4% 0.4 8.5
FD...................... 5.22125 LIBOR + 0.3% 0.3 9.0
FH(3)................... 5.87125 LIBOR + 0.95% 0.95 8.0
FT(3)................... 5.87125 LIBOR + 0.95% 0.95 8.0
SA...................... 7.749 19.5599989% - (LIBOR X 2.4) 0 19.5599989
SB(3)................... 14.90125 49.349984% - (LIBOR X 7.0) 0 49.349984
SC...................... 7.629 19.44% - (LIBOR X 2.4) 0 19.44
SD...................... 7.5575 17.4% - (LIBOR X 2.0) 0 17.4
SH(3)................... 14.90125 49.349993% - (LIBOR X 7.0) 0 49.349993
ST(3)................... 14.90125 49.349997% - (LIBOR X 7.0) 0 49.349997
SU(3)................... 10.38625 25.15% - (LIBOR X 3.0) 4.0 25.15
SX(3)................... 10.38625 25.15% - (LIBOR X 3.0) 4.0 25.15
MACR CLASSES
SE...................... 7.5575 17.4% - (LIBOR X 2.0) 0 17.4
SN...................... 7.629 19.44% - (LIBOR X 2.4) 0 19.44
</TABLE>
- ---------------
(1) Initial Rate will be in effect during the first Accrual Period; Class Coupon
will adjust monthly thereafter.
(2) LIBOR will be determined using the "BBA Method." See "Description of
Securities -- Interest Rate Indices" in the Offering Circular.
(3) Delay Class.
See "Payments -- Interest" in this Supplement.
NOTIONAL CLASSES
<TABLE>
<CAPTION>
ORIGINAL NOTIONAL
CLASS PRINCIPAL AMOUNT REDUCES PROPORTIONATELY WITH
----- ----------------- ---------------------------------------------
<S> <C> <C>
SE $ 10,955,000 SD (Sequential Pay Class)
SN $ 24,957,471 SC (Scheduled Class)
</TABLE>
See "Payments -- Interest -- Notional Classes" in this Supplement.
S-131
<PAGE> 495
ALLOCATION OF PRINCIPAL
REMIC CERTIFICATES
On each Payment Date, Freddie Mac will pay:
<TABLE>
<S> <C>
GROUP 1
- The "Group 1 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
PAC ( 1. Beginning July 15, 2001, to PB, PC, PD, PE, PF, PG and PH, in that
( order, until reduced to their "Aggregate Targeted Balance" for that
( Payment Date
( 2. To the Scheduled Classes, until reduced to their Aggregate Targeted
SCHEDULED ( Balance for that Payment Date, allocated as follows:
( (a) To FA and SA, pro rata, while outstanding
( (b) To FB, L and SB, pro rata
SUPPORT ( 3. To FH, K and SH, pro rata, until retired
( 4. To FA and SA, pro rata, until retired
SCHEDULED (
( 5. To FB, L and SB, pro rata, until retired
PAC ( 6. To PB, PC, PD, PE, PF, PG and PH, in that order, until retired
GROUP 2
- The "Group 2 Asset Principal Amount" for that Payment Date to the
Classes shown below in the following order of priority:
( 1. Beginning July 15, 2001, to TB, TC, TD, TE, TF, TG and TH, in that
PAC ( order, until reduced to their Aggregate Targeted Balance for that
( Payment Date
SCHEDULED ( 2. To FC and SC, pro rata, until reduced to their Aggregate Targeted
( Balance for that Payment Date
SUPPORT ( 3. To FT, M, ST, SU and SX, pro rata, until retired
SCHEDULED ( 4. To FC and SC, pro rata, until retired
PAC ( 5. To TB, TC, TD, TE, TF, TG and TH, in that order, until retired
GROUP 3
SEQUENTIAL ( - The "Group 3 Asset Principal Amount" for that Payment Date to FD and
PAY ( SD, pro rata, until retired and then to C and D, pro rata, until
( retired
</TABLE>
The Aggregate Targeted Balances (shown under
"Payments -- Principal -- Targeted Balances Schedules" in this Supplement) were
structured using, among other things, the following structuring ranges:
<TABLE>
<CAPTION>
CLASS STRUCTURING RANGE
----- -----------------
<S> <C>
Group 1
PAC....................................................... 100% PSA - 250% PSA
Scheduled................................................. 120% PSA - 155% PSA
Group 2
PAC....................................................... 100% PSA - 250% PSA
Scheduled................................................. 120% PSA - 155% PSA
</TABLE>
S-132
<PAGE> 496
MACR CLASSES
On any Payment Date when payments of principal are to be allocated from
REMIC Certificates to related MACR Certificates, such payments will be allocated
from the applicable Class or Classes of REMIC Certificates to the related MACR
Class that is entitled to principal.
See "Payments -- Principal" and "Prepayment and Yield Analysis" in this
Supplement.
FREDDIE MAC GUARANTEE
Freddie Mac guarantees to each Holder of a Security (i) the timely payment
of interest at the applicable Class Coupon and (ii) the payment of the principal
amount of the Holder's Security as described in this Supplement.
REMIC STATUS
Freddie Mac will form a single "REMIC Pool" for this Series. An election
will be made to treat the REMIC Pool as a "real estate mortgage investment
conduit" ("REMIC") pursuant to the Internal Revenue Code. The R Class will be
the "Residual Class" and the other Classes of REMIC Certificates will be
"Regular Classes." The R Class will be subject to transfer restrictions. See
"Certain Federal Income Tax Consequences" in this Supplement and the Offering
Circular.
WEIGHTED AVERAGE LIVES (IN YEARS)*
Group 1
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 135% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FA and SA..................... 24.2 6.3 3.5 2.1 1.2
FB, L and SB.................. 27.8 16.9 14.7 6.3 1.8
FH, K and SH.................. 29.0 22.9 17.2 1.6 0.6
PB............................ 5.1 2.5 2.5 2.5 2.0
PC............................ 9.7 3.5 3.5 3.5 2.3
PD............................ 12.9 4.5 4.5 4.5 2.7
PE............................ 16.1 6.0 6.0 6.0 3.2
PF............................ 19.2 8.0 8.0 8.0 4.1
PG............................ 21.8 11.0 11.0 11.0 5.6
PH............................ 24.0 17.8 17.8 17.8 9.6
Group 1 Assets................ 20.8 10.7 9.0 5.8 3.1
</TABLE>
Group 2
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 135% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
FC, N and SC.................. 24.3 6.2 3.5 2.4 1.2
FT, M, ST, SU and SX.......... 28.8 21.9 16.8 1.9 0.7
TB............................ 5.1 2.5 2.5 2.5 2.0
TC............................ 9.7 3.5 3.5 3.5 2.3
TD............................ 12.9 4.5 4.5 4.5 2.6
TE............................ 16.1 6.0 6.0 6.0 3.2
TF............................ 19.2 8.0 8.0 8.0 4.1
TG............................ 21.8 11.0 11.0 11.0 5.6
TH............................ 23.9 17.8 17.8 17.8 9.5
Group 2 Assets................ 20.8 10.6 9.0 5.7 3.0
</TABLE>
Group 3
<TABLE>
<CAPTION>
PSA PREPAYMENT ASSUMPTION
---------------------------------
0% 100% 128% 250% 500%
-- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
C and D....................... 26.7 17.9 14.2 5.9 2.1
E, FD, GD and SD.............. 21.1 7.8 3.5 2.1 1.3
Group 3 Asset................. 22.3 10.1 5.9 3.0 1.5
</TABLE>
--------------------
* Determined as described under "Prepayment and Yield Analysis" in
this Supplement, and subject to the assumptions and qualifications
in that section. Prepayments will not occur at any assumed rate
shown or any other constant rate, and the actual weighted average
lives of any or all of the Classes and of the Assets are likely to
differ from those shown, perhaps significantly.
S-133
<PAGE> 497
THE ASSETS
The Group 1 Assets will consist of $225,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 2 Assets will consist of $400,000,000 of Freddie Mac 6.0% per
annum 30-year PCs.
The Group 3 Asset will have the following characteristics:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
IN REMIC POOL
PERCENTAGE OF CLASS AS OF CLOSING JUNE 1999 CLASS PRINCIPAL TYPE/
CLASS IN REMIC POOL DATE CLASS FACTOR COUPON INTEREST TYPE(1) FINAL PAYMENT DATE
----- ------------------- ---------------- ------------ ------ ---------------- ------------------
<S> <C> <C> <C> <C> <C> <C>
2137-GB 73.9839194955% $42,506,861 0.9766304 6.0% SCH/AD/FIX March 15, 2029
</TABLE>
-----------------------
(1) See "Description of Securities -- Standard Definitions and
Abbreviations for Classes" in the Offering Circular.
See "General Information -- Structure of Transaction" and "Prepayment and
Yield Analysis" in this Supplement and Exhibit I to this Supplement.
MORTGAGE CHARACTERISTICS (AS OF JUNE 1, 1999)
GROUPS 1 AND 2 -- ASSUMED MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
REMAINING TERM PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
ASSET GROUP PRINCIPAL BALANCE (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ----------- ----------------- -------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1 $225,000,000 342 13 6.89% 6.0%
2 400,000,000 341 14 6.67 6.0
</TABLE>
GROUP 3 -- MORTGAGE CHARACTERISTICS
<TABLE>
<CAPTION>
WEIGHTED AVERAGE
REMAINING TERM WEIGHTED AVERAGE WEIGHTED AVERAGE PER ANNUM
TO MATURITY LOAN AGE PER ANNUM INTEREST RATE
SERIES (IN MONTHS) (IN MONTHS) INTEREST RATE OF RELATED PCS
- ------ ---------------- ---------------- ---------------- --------------
<S> <C> <C> <C> <C>
2137 352 5 6.684% 6.0%
</TABLE>
The actual remaining terms to maturity, loan ages and interest rates of
most of the Mortgages differ from those shown above, in some cases
significantly. See "General Information -- Structure of Transaction" and "-- The
Mortgages" in this Supplement.
S-134
<PAGE> 498
APPENDIX 1
AVAILABLE COMBINATIONS
<TABLE>
<CAPTION>
REMIC CERTIFICATES MACR CERTIFICATES
- ---------------------------------------------------- ------------------------------------------------------------------------
RELATED MAXIMUM ORIGINAL
ORIGINAL PRINCIPAL EXCHANGE MACR PRINCIPAL OR NOTIONAL EXCHANGE PRINCIPAL OR CLASS
CLASS AMOUNT PROPORTIONS(1) CLASSES PRINCIPAL AMOUNT(2) PROPORTIONS(1) OTHER TYPE(3) COUPON
----- ------------------ -------------- ------- --------------------- -------------- ------------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
COMBINATION 1
PA $ 3,924,000 6.2523900573% MA $ 62,760,000 100% SC/PAC 6.0%
PB 14,561,000 23.2010834927
PC 44,275,000 70.5465264500
COMBINATION 2
PD $ 27,104,000 41.3732045000% MB $ 65,511,000 100% SC/PAC 6.0%
PE 38,407,000 58.6267955000
COMBINATION 3
PF $ 6,214,600 3.5848980416% MC $173,355,000 100% SC/PAC 6.0%
PG 25,987,800 14.9910876525
PH 130,118,100 75.0587522714
PJ 11,034,500 6.3652620345
COMBINATION 4
PK $ 51,222,600 68.7579365612% MD $ 74,497,000 100% SC/PAC 5.7%
PL 23,274,400 31.2420634388
COMBINATION 5
PM $ 4,142,000 4.7613573662% ME $ 86,992,000 100% SC/PAC 6.0%
PN 48,647,000 55.9212341365
PQ 34,203,000 39.3174084973
COMBINATION 6
PT $ 8,972,000 15.3461959496% MF $ 58,464,000 100% SC/PAC 5.5%
PU 41,201,000 70.4724274767
PV 8,291,000 14.1813765736
COMBINATION 7
SA $ 3,007,094 100% B $ 3,007,094 100% SC/PAC 0.0%
SB 3,007,094 (6) SC/NTL(PAC) (7)
COMBINATION 8
SJ $ 4,244,974 100% K $ 4,244,974 100% SC/PT 0.0%
SK 4,244,974 (8) SC/NTL(PT) (7)
<CAPTION>
MACR CERTIFICATES
- --------------- ------------------------------------------------------------------
INTEREST CUSIP WEIGHTED AVERAGE
CLASS TYPE(3) NUMBER FINAL PAYMENT DATE(4) LIFE(5)
----- -------------- --------- --------------------- ----------------
<S> <C> <C> <C> <C>
COMBINATION 1
PA FIX 3133TM L 5 3 July 15, 2018 2.2 Yrs
PB
PC
COMBINATION 2
PD FIX 3133TM L 6 1 May 15, 2009 2.0 Yrs
PE
COMBINATION 3
PF FIX 3133TM L 7 9 September 15, 2022 1.4 Yrs
PG
PH
PJ
COMBINATION 4
PK FIX 3133TM L 8 7 February 15, 2025 1.6 Yrs
PL
COMBINATION 5
PM FIX 3133TM L 9 5 June 15, 2010 1.7 Yrs
PN
PQ
COMBINATION 6
PT FIX 3133TM L A 2 November 15, 2024 1.6 Yrs
PU
PV
COMBINATION 7
SA PO 3133TMKY1 May 15, 2029 17.6 Yrs
FLT/INV/IO/DLY 3133TM M 5 2 May 15, 2029 --
COMBINATION 8
SJ PO 3133TM L 4 6 June 15, 2029 19.8 Yrs
FLT/INV/IO/DLY 3133TM M 7 8 June 15, 2029 --
</TABLE>
- ---------------
(1) Exchange proportions shown are constant proportions of the original
principal amounts of the Classes of REMIC Certificates or MACR Certificates.
In accordance with the exchange proportions, REMIC Certificates may be
exchanged for MACR Certificates, and vice versa.
(2) The amount shown for a Notional Class is its original notional principal
amount and does not represent principal that will be paid. See
"Payments -- Interest" in this Supplement.
(3) See "Description of Securities -- Standard Definitions and Abbreviations for
Classes" in the Offering Circular. The type of Class with which a Notional
Class will reduce is indicated in parentheses.
(4) See "Final Payment Dates" in this Supplement.
(5) Determined as described under "Prepayment and Yield Analysis" in this
Supplement, and subject to the assumptions and qualifications in that
section. Weighted average lives are calculated at 122% PSA for Combination
1, 142% PSA for Combination 2, 138% PSA for Combinations 3 and 4, 151% PSA
for Combination 5, 157% PSA for Combination 6, 143% PSA for Combination 7
and 125% PSA for Combination 8. Prepayments will not occur at the rates
assumed, and the actual weighted average lives of the MACR Classes may
differ significantly from those shown.
(6) The original notional principal amount of the SB Class being exchanged
equals the original principal amount of the B Class being exchanged.
(7) Calculated as shown under "Terms Sheet -- Class Coupons" in this Supplement.
(8) The original notional principal amount of the SK Class being exchanged
equals the original principal amount of the K Class being exchanged.
A-1
<PAGE> 499
- ----------------------------------------------------------
- ----------------------------------------------------------
THIS SUPPLEMENT, TOGETHER WITH THE OFFERING CIRCULAR, CONSTITUTES AN OFFER TO
SELL ONLY THE SECURITIES OFFERED HEREBY. FREDDIE MAC HAS NOT AUTHORIZED ANY
BROKER, DEALER OR SALESPERSON, OR ANYONE ELSE, TO MAKE ANY STATEMENTS, WRITTEN
OR ORAL, IN CONNECTION WITH THE OFFER, EXCEPT FOR THOSE CONTAINED IN THIS
SUPPLEMENT AND IN THE OTHER DOCUMENTS AND SOURCES OF INFORMATION PREPARED BY
FREDDIE MAC THAT ARE LISTED UNDER "AVAILABLE INFORMATION" IN THIS SUPPLEMENT.
INVESTORS MUST NOT RELY ON ANY OTHER STATEMENTS AS HAVING BEEN AUTHORIZED BY
EITHER FREDDIE MAC OR THE UNDERWRITER. THIS SUPPLEMENT AND THE OFFERING CIRCULAR
DO NOT CONSTITUTE AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO BUY THE
SECURITIES BY ANYONE IN ANY JURISDICTION WHERE SUCH AN OFFER OR SOLICITATION
WOULD BE UNLAWFUL, OR WHERE THE PERSON MAKING SUCH AN OFFER OR SOLICITATION
WOULD NOT BE QUALIFIED TO DO SO, OR TO ANYONE TO WHOM IT WOULD BE UNLAWFUL TO
MAKE SUCH AN OFFER OR SOLICITATION. FREDDIE MAC MAKES NO REPRESENTATION THAT THE
STATEMENTS IN THIS SUPPLEMENT OR ANY OTHER DOCUMENT WILL BE CORRECT AT ANY TIME
AFTER THE DATE OF SUCH DOCUMENT, EVEN THOUGH DELIVERY OF THE DOCUMENT AND THE
SALE OF THE SECURITIES TAKE PLACE ON A LATER DATE.
------------------------
TABLE OF CONTENTS
<TABLE>
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DESCRIPTION PAGE
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OFFERING CIRCULAR SUPPLEMENT
Certain Risk Considerations................................. S-2
Terms Sheet................................................. S-3
Available Information....................................... S-8
General Information......................................... S-8
The Agreement............................................ S-8
Form of Securities....................................... S-8
Holders.................................................. S-9
Structure of Transaction................................. S-9
The Mortgages............................................ S-9
Payments.................................................... S-10
Payment Dates; Record Dates.............................. S-10
Method of Payment........................................ S-10
Interest................................................. S-10
Principal................................................ S-11
Class Factors............................................ S-12
Guarantees............................................... S-12
Optional Redemption...................................... S-12
Residual Proceeds........................................ S-12
Prepayment and Yield Analysis............................... S-13
General.................................................. S-13
Prepayment and Weighted Average Life Considerations...... S-15
Yield Considerations..................................... S-23
Final Payment Dates......................................... S-27
Certain Federal Income Tax Consequences..................... S-27
General.................................................. S-27
Regular Classes.......................................... S-27
Residual Class........................................... S-27
MACR Classes............................................. S-28
New Withholding Regulations.............................. S-28
Legal Investment Considerations; ERISA Considerations....... S-29
Plan of Distribution........................................ S-29
Legal Matters............................................... S-29
Exhibit I -- Series 2097 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-30
Exhibit II -- Series 2095 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-38
Exhibit III -- Series 2116 Offering Circular Supplement
Cover Page, Terms Sheet and MACR Table..................... S-44
Exhibit IV -- Series 2078 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-50
Exhibit V -- Series 2119 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-63
Exhibit VI -- Series 2102 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-66
Exhibit VII -- Series 2085 Offering Circular Supplement
Cover Page and Terms Sheet................................. S-78
Exhibit VIII -- Series 2081 Offering Circular Supplement
Cover Page, Terms Sheet and MACR Table..................... S-83
Exhibit IX -- Series 2136 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-92
Exhibit X -- Series 2131 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-104
Exhibit XI -- Series 2117 Offering Circular Supplement Cover
Page and Terms Sheet....................................... S-111
Exhibit XII -- Series 2137 Offering Circular Supplement
Cover Page and Terms Sheet................................. S-117
Exhibit XIII -- Series 2149 Offering Circular Supplement
Cover Page and Terms Sheet................................. S-124
Exhibit XIV -- Series 2162 Offering Circular Supplement
Cover Page and Terms Sheet................................. S-130
Appendix 1 -- Available Combinations........................ A-1
OFFERING CIRCULAR
Offering Circular Summary................................... 3
Freddie Mac................................................. 9
Availability of Information and Incorporation by
Reference.................................................. 9
Description of Securities................................... 9
MACR Certificates........................................... 27
The Agreement............................................... 30
Certain Federal Income Tax Consequences..................... 33
ERISA Considerations........................................ 44
Legal Investment Considerations............................. 45
Plan of Distribution........................................ 45
Increase in Size of Offering................................ 45
Accounting Considerations................................... 45
Exhibit A -- Index of Terms................................. A-1
</TABLE>
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$1,002,242,310
FREDDIE MAC
MULTICLASS REMIC CERTIFICATES
AND MODIFIABLE
AND COMBINABLE
REMIC CERTIFICATES,
SERIES 2203
(FREDDIE MAC LOGO)
MERRILL LYNCH & CO.
NOVEMBER 8, 1999
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<PAGE> 500
PROSPECTUS
FUND AMERICA INVESTORS CORPORATION II
DEPOSITOR
PASS-THROUGH CERTIFICATES
ASSET-BACKED NOTES
ISSUABLE IN SERIES
YOUR SECURITIES
o will evidence an ownership interest in or be secured by the property of
your trust and will be paid only from your trust's assets,
o will be rated in one of the four highest rating categories by at least one
nationally recognized rating organization, and
o will be issued as part of a designated series that may include one or more
classes of securities and credit enhancement.
YOUR TRUST MAY INCLUDE
o various types of one- to four-family residential first and junior lien
mortgage loans, multifamily residential mortgage loans, cooperative
apartment loans or manufactured housing installment sales contracts and
installment loan agreements, or beneficial interests in these items,
o pass-through or participation certificates issued or guaranteed by Ginnie
Mae, Fannie Mae or Freddie Mac,
o pass-through or participation certificates or other mortgage-backed
securities issued or guaranteed by private entities, and
o funding agreements secured by any of the above described assets.
INVESTORS
o will receive interest and principal payments from collections on their
trust's assets but have no entitlement to payments from other assets of
Fund America II.
CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE 1 IN THIS PROSPECTUS
Your securities will represent obligations of your trust only and will not
represent interests in or obligations of Fund America II or any of its
affiliates. Unless expressly provided in the accompanying prospectus supplement,
your securities are not insured or guaranteed by any person.
This prospectus may be used to offer and sell any series of securities only if
accompanied by the prospectus supplement for that series.
NEITHER THE SEC NOR ANY STATE SECURITIES COMMISSION HAS APPROVED THESE
SECURITIES OR DETERMINED THAT THIS PROSPECTUS IS ACCURATE OR COMPLETE. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
JANUARY 19, 2000
<PAGE> 501
IMPORTANT NOTICE ABOUT INFORMATION PRESENTED IN THIS
PROSPECTUS AND THE ACCOMPANYING PROSPECTUS SUPPLEMENT
We provide information to you about your investment in two separate
documents that progressively provide more detail: this prospectus, which
provides general information, some of which may not apply to your series of
securities and the accompanying prospectus supplement, which will describe the
specific terms of your series of securities, including:
o the timing of interest and principal payments,
o statistical and other information about the specific assets of
your trust,
o information about credit enhancement for each class,
o the ratings for each class, and
o the method for selling your securities.
You should rely only on the information provided in this prospectus and
the accompanying prospectus supplement, including the information incorporated
by reference. We have not authorized anyone to provide you with different
information. Your securities are not offered in any state where the offer is not
permitted.
We have included cross-references in this prospectus and in the
accompanying prospectus supplement to captions in these materials where you can
find further related discussions. The table of contents included in the
accompanying prospectus supplement provides the pages on which these captions
are located.
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TABLE OF CONTENTS
<TABLE>
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PAGE
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TABLE OF CONTENTS.................................................................................................i
SUMMARY OF PROSPECTUS.............................................................................................1
RISK FACTORS......................................................................................................6
DESCRIPTION OF THE SECURITIES....................................................................................18
General.................................................................................................18
The Bonds -- General....................................................................................18
The Certificates -- General.............................................................................19
Form of Securities; Transfer and Exchange...............................................................19
REMIC Election..........................................................................................20
Classes of Securities...................................................................................20
Payments or Distributions of Principal and Interest.....................................................22
General........................................................................................22
Payments or Distributions of Interest..........................................................23
Payments or Distributions of Principal.........................................................24
Unscheduled Payments or Distributions..........................................................25
Redemption of Bonds; Termination or Repurchase with Respect to Certificates.............................25
Book Entry Registration.................................................................................26
ASSETS SECURING OR UNDERLYING THE SECURITIES.....................................................................26
Mortgage Loans..........................................................................................27
Agency Securities.......................................................................................29
Government National Mortgage Association (GNMA)................................................29
Federal National Mortgage Association (FNMA)...................................................31
Federal Home Loan Mortgage Corporation (FHLMC).................................................32
Stripped Agency Securities.....................................................................35
Other Agency Securities........................................................................35
Non-Agency Certificates.................................................................................35
Multifamily Loans.......................................................................................37
Contracts...............................................................................................38
Private Mortgage-Backed Securities......................................................................39
Characteristics of Agency Securities and Private Mortgage-Backed Securities.............................40
Deposit, Substitution and Withdrawal of Assets..........................................................41
Pre-Funding Arrangements................................................................................41
CREDIT ENHANCEMENT...............................................................................................42
General.................................................................................................42
Subordination...........................................................................................42
Overcollateralization...................................................................................43
Cross-Support...........................................................................................44
Pool Insurance..........................................................................................44
Special Hazard Insurance................................................................................44
FHA Insurance on the Multifamily Loans..................................................................45
Bankruptcy Bond.........................................................................................45
Reserve Funds...........................................................................................46
Other Insurance, Guarantees and Similar Instruments or Agreements.......................................46
</TABLE>
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<TABLE>
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SERVICING OF THE MORTGAGE LOANS, MULTIFAMILY LOANS AND CONTRACTS.................................................47
Servicing Agreements....................................................................................48
Payments on Mortgage Loans..............................................................................48
Advances................................................................................................49
Servicing Procedures....................................................................................50
Primary Mortgage Insurance..............................................................................52
Standard Hazard Insurance...............................................................................53
Mortgage Loans.................................................................................53
Secured Contracts..............................................................................54
Multifamily Loans..............................................................................54
Title Insurance Policies................................................................................55
Claims Under Primary Mortgage Insurance Policies and Standard Hazard Insurance Policies; Other
Realization Upon Defaulted Loans..................................................................55
Administration and Servicing Compensation and Payment of Expenses.......................................56
THE INDENTURE....................................................................................................57
Modification of Indenture...............................................................................57
Events of Default.......................................................................................58
Rights Upon Event of Default............................................................................58
List of Holders of Bonds................................................................................59
Issuer's Annual Compliance Statement....................................................................59
Trustee's Annual Report.................................................................................59
Satisfaction and Discharge of Indenture.................................................................59
Reports by Trustee to Bondholders.......................................................................59
Limitation on Suits.....................................................................................60
THE POOLING AGREEMENT AND DEPOSIT TRUST AGREEMENT................................................................60
Assignment of Mortgage Assets...........................................................................60
Assignment of Mortgage Loans...................................................................60
Assignment of Contracts........................................................................61
Assignment of Multifamily Loans................................................................62
Assignment of Agency Securities, Non-Agency Certificates, and Private Mortgage-
Backed Securities....................................................................64
Repurchase or Substitution of Mortgage Loans, Contracts and Multifamily Loans...........................64
Evidence as to Compliance...............................................................................65
List of Certificateholders..............................................................................65
Administration of the Certificate Account...............................................................66
Reports to Holders of Certificates......................................................................67
Events of Default.......................................................................................68
Rights Upon Event of Default............................................................................68
Amendment...............................................................................................68
Termination.............................................................................................69
USE OF PROCEEDS..................................................................................................70
THE ISSUER.......................................................................................................70
The Company.............................................................................................70
Owner Trust Issuer......................................................................................70
Management Agreement....................................................................................71
THE TRUSTEE......................................................................................................72
CERTAIN LEGAL ASPECTS OF THE MORTGAGE ASSETS.....................................................................72
The Mortgage Loans and Multifamily Loans................................................................73
</TABLE>
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<TABLE>
<S> <C>
General........................................................................................73
Foreclosure....................................................................................74
Junior Liens; Rights of Senior Mortgagees or Beneficiaries.....................................76
Right of Redemption............................................................................77
Anti-Deficiency Legislation and Other Limitations on Lenders...................................77
Enforceability of Certain Provisions...........................................................78
Adjustable Rate Loans..........................................................................80
Environmental Legislation......................................................................80
Applicability of Usury Laws....................................................................80
Soldiers' and Sailors' Civil Relief Act........................................................81
Consumer Protection Laws with respect to Contracts......................................................81
The Title I Program.....................................................................................82
General........................................................................................82
Requirements for Title I Loans.................................................................83
Requirements for Title I Contracts.............................................................84
FHA Insurance Coverage.........................................................................85
Claims Procedures Under Title I................................................................87
LEGAL INVESTMENT MATTERS.........................................................................................88
ERISA CONSIDERATIONS.............................................................................................89
CERTAIN FEDERAL INCOME TAX CONSEQUENCES..........................................................................91
Federal Income Tax Consequences for REMIC Securities....................................................92
General........................................................................................92
Status of REMIC Securities.....................................................................93
Qualification as a REMIC.......................................................................93
Taxation of Regular Securities.................................................................94
General........................................................................................94
Original Issue Discount........................................................................94
Market Discount...............................................................................100
Premium.......................................................................................100
Sale or Exchange of Regular Securities........................................................101
Taxation of Residual Securities...............................................................102
Taxation of REMIC Income......................................................................102
Basis and Losses..............................................................................103
Treatment of Certain Items of REMIC Income and Expense........................................104
Limitations on Offset or Exemption of REMIC Income; Excess Inclusions.........................104
Mark to Market Rules..........................................................................105
Tax-Related Restrictions on Transfer of Residual Securities...................................105
Sale or Exchange of a Residual Security.......................................................108
Taxes That May Be Imposed on the REMIC Pool...................................................108
Liquidation of the REMIC Pool.................................................................109
Administrative Matters........................................................................109
Limitations on Deduction of Certain Expenses..................................................110
Taxation of Certain Foreign Investors.........................................................110
Regular Securities............................................................................110
Residual Securities...........................................................................111
Backup Withholding............................................................................111
Reporting Requirements........................................................................112
Federal Income Tax Consequences for Securities as to Which No REMIC Election Is Made...................112
Non-REMIC Bonds...............................................................................112
Taxable Mortgage Pools........................................................................113
Standard Certificates.........................................................................113
</TABLE>
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<TABLE>
<S> <C>
General.......................................................................................113
Tax Status....................................................................................114
Premium and Discount..........................................................................115
Sale or Exchange of Certificates..............................................................116
Stripped Certificates.........................................................................117
General.......................................................................................117
Status of Certificates........................................................................118
Taxation of Stripped Certificates.............................................................119
Reporting Requirements and Backup Withholding.................................................120
Taxation of Certain Foreign Investors.........................................................120
PLAN OF DISTRIBUTION............................................................................................121
LEGAL MATTERS...................................................................................................121
FINANCIAL INFORMATION AND ADDITIONAL INFORMATION................................................................121
EXPERTS.........................................................................................................122
INDEX OF PRINCIPAL TERMS........................................................................................123
</TABLE>
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SUMMARY OF PROSPECTUS
Before investing in any securities, you should consider the detailed
information appearing elsewhere in this prospectus and in the prospectus
supplement related to your series of securities. You should also review the
related indenture, pooling agreement or trust agreement.
SECURITIES OFFERED
This prospectus and any accompanying prospectus supplement will offer a series
of bonds, certificates or both. The securities may be issued in one or more
classes, as specified in the related prospectus supplement. Each class will be
allocated principal and/or interest as described in the related prospectus
supplement.
The securities will be issued either in fully registered form or in book entry
form and in the authorized denominations specified in the related prospectus
supplement. The securities will not be guaranteed or insured by Ginnie Mae,
Fannie Mae, Freddie Mac, any governmental entity or by any other person, unless
otherwise specified in the related prospectus supplement.
See "Description of the Securities."
THE COMPANY
Fund America Investors Corporation II is a limited purpose Delaware corporation
formed on December 14, 1992. The company's principal executive offices are
located at 6400 S. Fiddler's Green Circle, Suite 1200B, Englewood, Colorado
80111; telephone number (303) 290-6025.
See "The Issuer--The Company."
ISSUER
The issuer will be either Fund America II or a separate entity formed solely for
the purpose of issuing one or more series of securities. Each series will be
non-recourse obligations of the related issuer. The issuer will not have any
significant assets available for payments on such series of securities, other
than the assets included in the related trust property.
See "The Issuer."
THE ADMINISTRATOR
If a trust related to your series includes mortgage loans, multifamily loans, or
manufactured housing contracts, a party, possibly an affiliate of Fund America
II, may be named as the administrator in the related prospectus supplement. That
party will act as administrator, and may act as a servicer, for the mortgage
loans, multifamily loans, and manufactured housing contracts.
See "Servicing of the Mortgage Loans, Multifamily Loans and Contracts."
PAYMENTS OR DISTRIBUTIONS ON YOUR SECURITIES
The prospectus supplement for any series of securities shall describe the
amount, timing and priority of payments of principal and interest, if any, on
each class of securities.
See "Description of the Securities - Payments or Distributions of Principal and
Interest."
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<PAGE> 507
ALLOCATION OF LOSSES
Your securities may be subordinated to other securities in your series. As
described in the accompanying prospectus supplement, losses on the related
mortgage assets may be allocated to the holders of subordinated classes of
securities before any loss is allocated to other securities with higher
priority. If allocated any loss, the principal balance of that class of
securities will be reduced pro rata.
See "Credit Enhancement-Subordination."
STATED MATURITY AND ASSUMED FINAL DISTRIBUTION DATE
The stated maturity for each class of bonds or notes and the assumed final
distribution date for each class of certificates will be specified in the
related prospectus supplement.
REDEMPTION OF BONDS OR NOTES
To the extent provided in the related prospectus supplement, the bonds or notes
of any class of series may be (i) redeemed at the request of holders of such
bonds or notes, (ii) redeemed at the option of Fund America II or another party
specified in the related prospectus supplement, or (iii) subject to special
redemption under certain circumstances. The circumstances and terms under which
the bonds or notes of a series may be redeemed will be described in the related
prospectus supplement.
See "Description of the Securities-Redemption of Bonds; Termination or
Repurchase with Respect to Certificates."
TERMINATION OR REPURCHASE WITH RESPECT TO CERTIFICATES
To the extent provided in the related prospectus supplement, a class of
certificates may be (i) repurchased at the request of holders of such
certificates, (ii) repurchased at the option of Fund America II, the
administrator, or another party specified in the related prospectus supplement,
or (iii) subject to special repurchase under certain circumstances. In addition,
if specified in the prospectus supplement for a series of certificates, Fund
America II, the Administrator or another party as specified in the related
prospectus supplement may cause an early termination of the trust for such
series by repurchasing all of the mortgage assets from such trust.
See "Description of the Securities-Redemption of Bonds; Termination or
Repurchase with Respect to Certificates."
ASSETS SECURING OR UNDERLYING THE SECURITIES
Each series of bonds or notes will be separately secured by a trust estate. Each
series of certificates will represent beneficial ownership interests in a trust.
The mortgage assets included in the related trust or trust estate will consist
of one or more of the following, as specified in the related prospectus
supplement:
o agency securities,
o non-agency certificates,
o mortgages,
o manufactured housing contracts,
o multifamily loans,
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<PAGE> 508
o private mortgage-backed securities, and
o participation or other interests in any of the foregoing.
As described in the related prospectus supplement, the assets of the trust may
also include, or the related securities may also have the benefits of,
additional assets such as reinvestment income, reserve funds, cash accounts,
insurance policies, guarantees, letters of credit or other credit enhancement.
See "Assets Securing or Underlying the Securities."
AGENCY SECURITIES
Agency securities will consist of:
o mortgage-backed certificates guaranteed by Ginnie Mae,
o guaranteed mortgage pass-through certificates issued and guaranteed by
Fannie Mae,
o mortgage participation certificates issued and guaranteed by Freddie Mac,
o stripped mortgage-backed securities representing an undivided interest in
all or a part of either the principal or interest distributions on certain
Ginnie Mae, Fannie Mae or Freddie Mac certificates,
o other types of mortgage-backed certificates, mortgage pass-through
certificates or mortgage participation certificates issued or guaranteed by
Ginnie Mae, Fannie Mae or Freddie Mac, including residual interest
securities, or
o a combination of such agency securities.
All Ginnie Mae certificates will be backed by the full faith and credit of the
United States. No Freddie Mac or Fannie Mae certificates will be backed,
directly or indirectly, by the full faith and credit of the United States.
The prospectus supplement for a series will describe any agency securities to be
included in the related trust property, and will specify certain characteristics
of the mortgage loans underlying such agency securities.
See "Assets Securing or Underlying the Securities--Agency Securities."
PRE-FUNDING ARRANGEMENTS
If specified in the related prospectus supplement, the trust property may
include a pre-funding account which will be used to acquire additional property
after the related securities are issued. Any such pre-funding arrangement will
require that any subsequent acquired trust property will conform to the
requirements specified in the related indenture or pooling agreement.
See "Assets Securing or Underlying the Securities--Pre-Funding Arrangements."
ADVANCES
As specified in the prospectus supplement for a series, the servicers may be
obligated to advance delinquent installments of principal and interest (less
applicable servicing fees) on mortgage loans, manufactured housing contracts and
multifamily loans. Any such obligation to make advances may be limited to
amounts deemed recoverable from late payments or liquidation proceeds, to
specified periods or both.
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<PAGE> 509
See "Servicing of the Mortgage Loan, Multifamily Loans and Contracts--Advances."
CREDIT ENHANCEMENT
If specified in the related prospectus supplement, certain classes may have the
benefit of one or more types of credit enhancement, including subordination,
cross support, mortgage pool insurance, special hazard insurance, a bankruptcy
bond, reserve funds, other insurance, guarantees and similar instruments and
arrangements. The protection against losses afforded by any such credit
enhancement may be limited.
See "Credit Enhancement."
BOOK ENTRY REGISTRATION
Securities of one or more classes may be issued in book entry form, in which
case a single bond or certificate will be issued in the name of a clearing
agency registered with the Securities and Exchange Commission or its nominee.
Transfers and pledges of book entry securities may be made only through entries
on the books of the clearing agency in the name of brokers, dealers, banks and
other organizations eligible to maintain accounts with the clearing agency or
their nominees.
See Description of the Securities--Form of Securities; Transfer and Exchange"
and "Book Entry Registration."
LEGAL INVESTMENT MATTERS
Unless otherwise specified in the related prospectus supplement, securities of
each Series will constitute "mortgage-related securities" under the Secondary
Mortgage Market Enhancement Act of 1984.
See "Legal Investment Matters."
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
The federal income tax consequences to holders of a class of securities will
depend on, among other factors, whether one or more elections are made to treat
the related trust property or specified portions of it as a "real estate
mortgage investment conduit" under the provisions of the Internal Revenue Code.
The prospectus supplement for each series will specify whether such an election
will be made.
See "Certain Federal Income Tax Consequences."
ERISA CONSIDERATIONS
A fiduciary of any employee benefit plan subject to the Employee Retirement
Income Security Act of 1974, as amended, or the Internal Revenue Code should
carefully review with its own legal advisors whether the purchase or holding of
Securities could give rise to a transaction prohibited or otherwise
impermissible under ERISA or the Code.
See "ERISA Considerations."
USE OF PROCEEDS
Most of the proceeds from the sale of a series will be used to purchase the
mortgage assets and to pay other expenses connected with pooling the mortgage
assets and issuing such Series. See "Use of Proceeds."
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<PAGE> 510
RATING
It is a condition to the issuance of each class of a series offered by the
related prospectus supplement that the securities of such class be rated in one
of the four highest rating categories established for such securities by a
nationally recognized statistical rating agency.
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<PAGE> 511
RISK FACTORS
REGIONAL AND ECONOMIC FACTORS MAY AFFECT THE YIELD ON YOUR SECURITIES
Adverse changes to regional and economic conditions may negatively affect the
assets securing your trust and ultimately your investment. If the residential
real estate market experiences an overall decline in property values, the
outstanding balances of the mortgage loans in a mortgage pool may exceed the
value of the mortgaged properties. As a result, losses realized on foreclosures
could be higher than those now generally experienced in the mortgage lending
industry.
Similarly, adverse changes in general economic conditions and local conditions
might affect the rates of delinquencies, foreclosures and losses on multifamily
loans. Such factors include excessive building that results in an oversupply of
rental housing stock or a decrease in employment that reduces the demand for
rental units in the area.
THE TIMING AND AMOUNT OF PREPAYMENTS ON YOUR SECURITIES COULD REDUCE YOUR YIELD
TO MATURITY
Prepayment levels are affected by a variety of economic, geographic, tax, legal,
and other factors, including
o the extent of prepayments on the underlying mortgage loans in your trust,
o how payments of principal are allocated among the classes of securities of
a series as specified in the prospectus supplement,
o if any party has an option to terminate your trust or redeem the securities
early, the effect of the exercise of the option,
o the rate and timing of defaults and losses on the assets in your trust,
o the extent that amounts in any pre-funding account have not been used to
purchase additional assets for your trust, and
o repurchases of assets in your trust as a result of material breaches of
representations and warranties made by Fund America II or the master
servicer or the seller of those assets.
The assets included in your trust generally may be prepaid at any time. When
interest rates decline, home buyers are more likely to prepay so that they may
obtain lower interest
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<PAGE> 512
rate alternative financing on their homes. In this event, you may not be able to
reinvest the proceeds of prepayments in another investment of similar credit
risk and yield. Conversely, prepayments are likely to decline if interest rates
rise and you could reinvest prepayment proceeds in investments of similar credit
risk and higher yield.
THERE MAY BE A GREATER RISK OF LOSS ASSOCIATED WITH CERTAIN TYPES OF TRUST
ASSETS
No hazard insurance for Title I mortgage loans.
Generally, the FHA regulations do not require that a borrower under the Title I
program have title or fire and casualty insurance before obtaining a property
improvement loan. As a result, if a mortgaged property that secures a Title I
loan suffers any uninsured hazard or casualty losses, and your securities are
secured in whole or in part by Title I loans, you may bear the risk of loss
should the borrower default and such losses are not recovered by foreclosure on
the defaulted loans or from any FHA claims payments.
Contracts secured by manufactured homes.
Security interests in manufactured homes are not considered to be real property
because they are not permanently affixed to real estate. Perfection of security
interests in manufactured homes is subject to a number of federal and state
laws, including the Uniform Commercial Code as adopted in each state. Because of
the expense and administrative inconvenience involved, the servicer of a
manufactured housing contract will not amend any certificate of title to change
the specified lienholder to the issuer or the applicable trustee to note that
party's interest. In some states, in the absence of this notation, the
assignment of the security interest in the manufactured home may not be
effective or the security interest may not be perfected. As a result, the
assignment of the security interest in the manufactured home to the issuer or
trustee may not be effective against creditors of the servicer.
Unsecured contracts.
The issuer or any trustee may be an unsecured creditor if a manufactured housing
contract is not secured by the home or other property. In the event of a
default, the related
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issuer or trustee will have recourse only against the borrower's assets
generally, along with all other general unsecured creditors of the borrower. In
a bankruptcy or insolvency proceeding, the obligations of the borrower under an
unsecured contract may be discharged in their entirety, notwithstanding the fact
that the portion of the borrower's assets allocated to the related trustee are
insufficient to pay amounts due and owing to it. A further concern is that a
borrower may not demonstrate the same degree of concern over performance of
obligations under an unsecured contract as would be the case if the obligations
were secured by a single family residence owned by that borrower.
Consumer protection laws related to contracts.
Numerous federal and state consumer protection laws impose requirements on
lending under retail installment sales contracts and installment loan
agreements. Failure by the lender or seller of goods to comply with these
requirements could give rise to liabilities of assignees for amounts due under
these installment agreements, and claims by an assignee of a lender or seller
under an installment contract against the borrower may be subject to set-off as
a result of the lender's or seller's noncompliance. These laws would apply to a
trustee as an assignee of contracts. Fund America II or the seller of the
contracts will warrant that each manufactured housing contract included in a
trust complies with all requirements of law and, will make certain warranties
relating to the validity, subsistence, perfection and priority of the security
interest in each manufactured home. A breach of any warranty that materially
adversely affects the interests of the securityholders in any contract would
create an obligation of the seller to repurchase or replace the contract unless
such breach is cured.
Reliance on management of timeshare units.
Unlike most conventional single-family residential properties, the value of a
timeshare unit is substantially dependent on the management of the resort
property in which it is located. In addition, timeshare units, which are
purchased for intervals of one or more specified weeks each year, are marketed
as the owner's purchase of future
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vacation opportunities rather than as a primary residence, a second home or an
investment. As a result, while borrowers are obligated to make payments under
their mortgage loans even if there are any defects in, damages to or change in
conditions (such as poor management, faulty construction or physical, social or
environmental conditions) relating to the timeshare properties, any such defect,
damage or change in conditions could result in delays in payment or in defaults
by borrowers whose timeshare units are affected.
Mortgaged properties not located in the United States.
If provided for in the related prospectus supplement, trust property may include
mortgage loans or multifamily loans that are secured by mortgaged properties not
located in the United States. Some material risks associated with such mortgage
loans or multifamily loans are different and additional to those risks
associated with similar properties in the United States. Such risks include
restrictions on debt collection practices, currency exchange rate fluctuations,
currency exchange controls and general trends or conditions in the related real
estate market.
YOUR ABILITY TO RESELL YOUR SECURITIES MAY BE LIMITED
There will be no market for the securities of any series before they are issued.
There can be no assurance that a secondary market will develop or, if it does
develop, that it will provide liquidity of investment. The market value of the
securities will fluctuate with changes in prevailing rates of interest.
Consequently, the sale of securities by a holder in any market that may develop
may be at a discount from par value or their purchase price. Unless otherwise
specified in the prospectus supplement for a series, holders of the securities
will have no right to request redemption or repurchase of their securities.
THE ASSETS OF YOUR TRUST WILL BE LIMITED
An issuer of a series of securities will not have at any time any significant
assets other than the related trust property. The bonds will be non-recourse
obligations of the related issuer and each series of bonds will be separately
secured. If the mortgage assets and other assets securing a series of bonds is
insufficient to make payments on the bonds, no other assets of an issuer will be
available for payment of the deficiency. Similarly, unless otherwise set forth
in the
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prospectus supplement for a series of certificates, the trust property for a
series will be the only available source of funds to make distributions on the
certificates.
Fund America II's only obligations, if any, will be to obtain certain
representations and warranties from each seller of the related mortgage assets
and to assign those rights to the related trustee. Fund America II is not
expected to have any significant assets. If required to repurchase a mortgage
asset included in the trust property for a series, its only sources of funds to
make such repurchase would be from the enforcement of a corresponding obligation
of the seller or from a reserve fund established to provide funds for such
repurchases.
LOSSES MAY HAVE A DISPROPORTIONATE IMPACT ON SOME SECURITIES
Payments or distributions of principal may be applied to outstanding classes in
the priorities specified in the related prospectus supplement. A deficiency in
amounts available for distribution to subordinate classes may arise because a
class with higher priority in payment must be repaid. This deficiency may have a
greater effect on the classes having lower priority in payment. The
disproportionate effect is amplified for classes of compound interest
securities. Prior to the retirement of all classes having higher priority in
payment than the compound interest securities, interest generally is not
payable, but is accrued and added to the principal of the compound interest
securities.
In addition, the priority of payments and the allocation of losses may cause a
disproportionate effect on a particular class for defaults experienced on the
mortgage assets. As specified in the prospectus supplement for a series of
special allocation securities, on any payment date or distribution date, as
applicable, on which there are losses on the mortgage assets:
o the amount of losses will be allocated first to reduce the aggregate
outstanding principal balance of the subordinate securities, or
o such losses may be allocated in another manner set forth in the
related prospectus supplement.
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CREDIT ENHANCEMENT MAY NOT COVER ALL LOSSES ON YOUR SECURITIES
Credit enhancement is intended to reduce the effect on your securities of
delinquent payments or losses on the underlying trust assets. Regardless of the
form of credit enhancement, the amount of coverage will be limited in amount and
in most cases will be subject to periodic reduction in accordance with a
schedule or formula. Furthermore, credit support may provide only very limited
coverage as to a variety of types of losses or risks, and may provide no
coverage as to other types of losses or risks. In the event losses exceed the
amount of coverage provided by any credit enhancement or losses of a type not
covered by credit enhancement occur, these losses will be borne by the holders
of the securities.
FHA INSURANCE MAY NOT COVER LOSSES ON TITLE I LOANS
The FHA offers only limited insurance for the Title I loans and Title I
contracts and the adequacy of such FHA insurance depends upon future events,
including reductions for the payment of FHA claims. As a result, no assurance
can be given that the FHA insurance amount will be adequate to cover 90% of all
potential losses on any Title I loans and Title I contracts included in any
trust's mortgage assets. If the FHA insurance amount for the Title I loans and
Title I contracts is reduced to zero, such loans and contracts will be
effectively uninsured. Unlike other federal loan insurance programs, FHA does
not determine eligibility until a request for reimbursement is submitted.
Consequently, at the time any Title I loans are included in a trust, the FHA
will not have acknowledged that any of the Title I loans and Title I contracts
are eligible for FHA insurance, nor will the FHA have reviewed or approved the
underwriting and qualification by the originating lenders of any individual
Title I loans and Title I contracts.
THE RATINGS PROVIDED BY THE RATING AGENCIES DO NOT PURPORT TO ADDRESS ALL RISKS
INHERENT IN YOUR INVESTMENT
Your securities will be rated in one of the four highest rating categories by
one or more rating agencies. A rating is not a recommendation to buy, sell or
hold your securities and may be revised or withdrawn at any time. A rating
assigned by a rating agency does not guarantee or ensure the realization of any
anticipated yield on a class of securities. You may obtain further details with
respect to any rating on your securities from the rating agency that issued the
rating. A rating generally is based on the credit quality of the underlying
assets, and will represent only an assessment of
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the likelihood of receipt by you of payments due on the underlying assets. The
rating is not an assessment of the prepayment experience, and does not rate the
possibility that you may fail to recover your initial investment if you purchase
your securities at a premium. Security ratings assigned to the securities
representing a disproportionate entitlement to principal or interest on the
assets should be evaluated independently of similar security ratings assigned to
other kinds of securities. In the event any rating is reduced or withdrawn, the
liquidity or the market value of the security may be adversely affected.
HOLDERS OF SECURITIES ISSUED WITH ORIGINAL ISSUE DISCOUNT WILL INCUR TAX
LIABILITY
A holder of a security issued with original issue discount will be required to
include original issue discount in ordinary gross income for federal income tax
purposes as it accrues, in advance of receipt of the cash, or a portion of the
cash, attributable to such income. All compound interest securities and
principal only securities will be issued with original issue discount for
federal income tax purposes. Accrued but unpaid interest on the compound
interest securities generally will be treated as original issue discount for
this purpose. At certain rapid mortgage asset prepayment rates, original issue
discount may accrue on certain classes of securities, including certain variable
rate regular securities, that may never be received as cash, resulting in a
subsequent loss on such securities.
HOLDERS OF RESIDUAL SECURITIES MAY REALIZE INCOME FOR TAX PURPOSES WITHOUT
RECEIVING CASH
An election may be made to treat some or all of the trust property with respect
to a series as a REMIC for federal income tax purposes. Holders of securities
representing the residual interests in the related REMIC must report on their
federal income tax returns their pro rata share of REMIC taxable income or loss.
All or a portion of the REMIC taxable income reportable by residual interest
holders may be treated as "excess inclusion" subject to special rules for
federal income tax purposes. The REMIC taxable income, and possibly the tax
liabilities of the residual holders, may exceed the cash distributions on the
residual securities during certain periods. Residual holders who are individuals
may be subject to limitations on the deductibility of servicing fees on the
related mortgage assets and other REMIC administrative expenses. Hence, residual
holders may experience an after-tax return that is significantly lower
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than would be anticipated based upon the stated interest rate, if any, on their
residual securities.
LIMITED FUNDS MAY BE AVAILABLE FOR REDEMPTIONS OR REPURCHASES AT THE REQUEST OF
HOLDERS
Some series may provide for redemptions or repurchases of the securities of such
series at the request of holders. There can be no assurance that amounts
available for such redemptions or repurchases, if any, for such securities will
be sufficient to permit such securities to be redeemed or repurchased within a
reasonable time after redemption or repurchase is requested.
The availability of funds for redemptions or repurchases of securities of any
series at the request of holders will depend largely upon the rates of
prepayment of the related mortgage assets and investor demand for repurchase.
BOOK-ENTRY REGISTRATION MAY AFFECT THE LIQUIDITY OF YOUR SECURITIES
Because transfers and pledges of securities registered in the name of a nominee
of The Depository Trust Company can be effected only through book entries at DTC
through participants, the liquidity of the secondary market for DTC registered
securities may be reduced to the extent that some investors are unwilling to
hold securities in book entry form in the name of DTC, and the ability to pledge
DTC registered securities may be limited due to the lack of a physical
certificate. Beneficial owners of DTC registered securities may, in certain
cases, experience delay in the receipt of payments of principal and interest
because payments will be forwarded by the trustee to DTC. DTC will then forward
payment to the participants, who will thereafter forward payment to beneficial
owners. In the event of the insolvency of DTC or a participant in whose name DTC
registered securities are recorded, the ability of beneficial owners to obtain
payment of principal and interest on DTC registered securities may be impaired.
ONLY UNDERLYING AGENCY SECURITIES AND NOT THE OFFERED SECURITIES BACKED BY
AGENCY SECURITIES ARE GUARANTEED
Payment of principal and interest on any agency security will be guaranteed by
either Ginnie Mae, Fannie Mae or Freddie Mac. Such guarantee, however, will run
only to such agency security and will not guarantee the payment of principal or
interest on your securities. Similarly, should the trust property include
non-agency certificates or private mortgage-backed securities that may be
insured or guaranteed, this insurance or guarantee will not insure or
guarantee the payment of principal or interest on your securities.
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CERTAIN PROPERTY LOSSES MAY CAUSE LOSSES ON YOUR SECURITIES
You should understand that any decline in the value of a property securing an
underlying mortgage loan may result in a loss if the mortgagor defaults and the
loss is not covered by any insurance policy or guarantee. Similarly, any hazard
loss not covered by a hazard insurance policy covering a defaulted underlying
mortgage loan will result in a loss. Any loss on a non-agency certificate or
private mortgage-backed security, if not covered by funds available in the
reserve fund or collection account or by a guarantee, will result in a loss on
your securities.
INSOLVENCY OF A PARTY MAY RESULT IN A DELAY IN PAYMENT OF YOUR SECURITIES
The sellers of the mortgage assets to Fund America II and, in turn to the
applicable issuers (if other than Fund America II), intend such transfers to
constitute sales rather than pledges to secure indebtedness of the seller.
However, if a seller of mortgage assets were to become a debtor under the
federal bankruptcy code, it is possible that a creditor or trustee-in-bankruptcy
of that seller may argue that the sale of the related mortgage assets by that
seller was a pledge rather than a sale. This position, if argued to or accepted
by a court, could result in a delay in or reduction of distributions to the
related holders.
A JUNIOR LIEN MORTGAGE MAY NOT FULLY SECURE A BORROWER'S OBLIGATION AND ANY
FORECLOSURE MAY BE DIFFICULT
Your trust may contain mortgage assets secured by junior liens and the senior
liens may not be included in your trust. A decline in residential real estate
values could reduce the value of a mortgaged property securing a junior lien
mortgage asset to below that of all liens on the mortgaged property. Because
mortgage assets secured by junior liens are subordinate to the rights under
senior liens, a decline would adversely affect the position of the junior
lienholder before having any affect on the position of the senior lienholder.
Interest rates, the condition of the mortgaged property and other factors may
also reduce the value of the mortgaged property. As a result, the loan-to-value
ratio may rise. This increase will reduce the likelihood that, in the event of a
default by the obligor, liquidation or other proceeds will be sufficient to
repay amounts owing on the junior lien mortgage asset.
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Other factors may influence the prepayment rate of a junior lien mortgage asset.
These include the amounts of, and interest on, the related senior lien mortgage
loan. In addition, obligors typically may use senior lien mortgage loans as
long-term financing for home purchases and junior lien mortgage loans as
shorter-term financing. Accordingly, junior lien mortgage assets may experience
a higher rate of prepayments than senior lien mortgage loans. Any future
limitations on the rights of obligors to deduct interest payments on junior lien
mortgage assets for federal income tax purposes may increase the rate of
prepayments on junior lien mortgage assets.
GEOGRAPHIC CONCENTRATION OF MORTGAGE PROPERTIES MAY INCREASE THE RISK OF LOSS
Certain geographic regions of the United States may occasionally experience
weaker regional economic conditions and housing markets, and consequently, will
experience higher rates of loss and delinquency for mortgage loans generally.
Any concentration of mortgage assets in such a region may present a significant
risk in addition to those generally present for similar mortgage-backed or
asset-backed securities without a concentration.
PROCEEDS FROM THE LIQUIDATION OF A TRUST'S ASSETS MAY BE INSUFFICIENT TO PAY ALL
AMOUNTS DUE ON YOUR SECURITIES
Following an event of default for a series of securities, there is no assurance
that the market value of the mortgage assets securing or underlying your
securities will be equal to or greater than the unpaid principal and accrued
interest due on your securities. The proceeds of a sale of those mortgage assets
by the trustee may be insufficient to pay in full the principal of and interest
on your securities. In certain events the trustee may be restricted from selling
the mortgage assets.
DEPOSITS, SUBSTITUTIONS AND WITHDRAWALS OF ASSETS MAY AFFECT PAYMENT ON YOUR
SECURITIES
As provided for in the prospectus supplement for a series, the related issuer or
Fund America II may, subsequent to the issuance of such series, deposit
additional assets and withdraw assets included in the related trust property. A
deposit or substitution of other assets may be overcollateralize the related
series, thus limiting the amount of funds available for application to payments
of principal on the series. In addition, a substitution or deposit may alter the
characteristics of the assets securing or underlying the series. Either result
may alter the timing and amount of principal and/or interest payments or
distributions on, and the maturity of, or the date of the final distribution on,
the securities of that series.
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CONSUMER PROTECTION LAWS MAY AFFECT THE PERFORMANCE OF THE ASSETS IN YOUR TRUST
State laws generally regulate interest rates and other charges, require certain
disclosures, and require licensing of the originators of mortgage loans and
manufactured housing contracts. In addition, origination and servicing of assets
may be governed by public policy and general principles of equity relating to
the protection of consumers. Violations of these laws may limit the collection
of principal or interest on the mortgage loans and manufactured housing
contracts. Such laws may also entitle the borrower to a refund of amounts
previously paid.
The mortgage loans and manufactured housing contracts are also subject to
federal laws, including:
o the Federal Truth in Lending Act which requires certain disclosures to
the borrowers
o the Equal Credit Opportunity Act which prohibits discrimination on the
basis of age, race, color, sex, religion, martial status, national
origin, receipt of public assistance or the exercise of any right
under the Consumer Credit Protection Act, and
o the Fair Credit Reporting Act, which regulates the use and reporting
of information related to the borrower's credit experience.
Violations of certain provisions of these federal laws may limit the ability of
the servicer or the administrator to collect all or part of the principal of or
interest on the mortgage loans and contracts. In addition, violations could
subject the servicer or the administrator to damages and administrative
enforcement.
Unless otherwise specified in the related prospectus supplement, the related
seller or Fund America II will be required to repurchase any mortgage loan or
contract which, at the time of origination, did not comply with applicable
federal and state laws or regulations.
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DESCRIPTION OF THE SECURITIES
GENERAL
The following summaries describe certain features common to each
Series. Such summaries do not purport to be complete and are subject to, and are
qualified in their entirety by reference to, all of the provisions of the
Indenture or Pooling Agreement, as applicable, and the Prospectus Supplement
relating to each Series. When particular provisions or terms used or referred to
in an Indenture or Pooling Agreement are referred to herein, such provisions or
terms shall be as used or referred to in such Indenture or Pooling Agreement.
Neither the Bonds nor the Certificates will be insured or guaranteed by
GNMA, FNMA, FHLMC, any governmental entity or, unless otherwise specified in the
related Prospectus Supplement by any other person. Unless otherwise specified in
the related Prospectus Supplement, the Company's only obligations with respect
to a Series will be to obtain certain representations and warranties from each
Seller and to assign to the related Trustee the Company's rights with respect
thereto, and its obligations pursuant to certain representations and warranties
made by it. Unless otherwise specified in the Prospectus Supplement relating to
a Series, no affiliate of the Company will have any obligations with respect to
such Series.
The Mortgage Assets relating to a Series, other than the Agency
Securities, will not be, insured or guaranteed by any governmental entity or,
unless otherwise specified in the related Prospectus Supplement, by any other
person. With respect to a Series for which the related Trust Property includes
Mortgage Loans, Contracts or Multifamily Loans, to the extent that delinquent
payments on or losses in respect of defaulted Mortgage Loans, Contracts or
Multifamily Loans, are not advanced by the related Servicer, the Administrator,
if any, or any other entity or paid from any applicable Credit Enhancement, such
delinquencies may result in delays in payments or distributions to the Holders
of one or more Classes of such Series, and such losses will be borne by the
Holders of one or more Classes of such Series.
In addition, with respect to a Series for which the related Trust
Property includes Mortgage Assets other than Mortgage Loans, late payments on
such Mortgage Assets may result in delays in payments and/or distributions to
the Holders of one or more Classes of such Series, and losses on such Mortgage
Assets will be borne by the Holders of one or more Classes of such Series, to
the extent such late payments and losses are not advanced or paid from any
applicable Credit Enhancement.
THE BONDS -- GENERAL
The Bonds will be issued in Series pursuant to an Indenture between the
applicable Issuer and the related Trustee named in the related Prospectus
Supplement, each such Indenture as supplemented by or is incorporated by
reference by a Series Supplement with respect to each Series. A form of
Indenture has been filed with the Commission as an Exhibit to the Registration
Statement of which Prospectus forms a part. A copy of the Series Supplement for
a Series, if any, will be filed with the Commission as an Exhibit to a Current
Report on Form 8-K to be filed with the Commission within 15 days of issuance of
such Series of Bonds.
The "Issuer" with respect to a Series of Bonds will be the Company or a
trust beneficially owned by the Company (each, a "Trust"). Each such Trust will
be created by an agreement (the "Deposit Trust
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Agreement") between the Company, acting as depositor, and a bank, trust company
or other fiduciary, acting as owner trustee (the "Owner Trustee"), solely for
the purpose of issuing one or more Series of Bonds. The Company may sell or
assign its beneficial ownership interest in any Trust, in whole or in part, to
another entity or entities at the time of, or subsequent to, the issuance of any
Bonds by such Trust. Each Series of Bonds will be non-recourse obligations of
the related Issuer. The Issuer with respect to a Series of Bonds will not have,
nor be expected in the future to have, any significant assets available for
payments on such Series of Bonds other than the Assets included in the related
Trust Estate. Unless otherwise specified in the related Prospectus Supplement,
each Series of Bonds will be separately secured by the related Trust Estate,
which will constitute the only significant assets available to make payments on
the Bonds of such Series. Accordingly, the investment characteristics of a
Series of Bonds will be determined by the Assets included in the related Trust
Estate and will not be affected by the identity of the obligor with respect to
such Series of Bonds.
THE CERTIFICATES -- GENERAL
The Certificates will be issued in Series pursuant to a Deposit Trust
Agreement or a Pooling Agreement a form of each of which has been filed as an
Exhibit to the Registration Statement of which this Prospectus forms a part. The
Deposit Trust Agreement or Pooling Agreement relating to a Series of
Certificates will be filed as an Exhibit to a Report on Form 8-K to be filed
with the Commission within 15 days following the issuance of such Series of
Certificates.
The "Issuer" with respect to a Series of Certificates will be the
related Trust established by the Company pursuant to the related Deposit Trust
Agreement or Pooling Agreement. Each Series of Certificates will be entitled to
distributions only from the Assets included in the related Trust Property and
any other Assets pledged or otherwise available for the benefit of the Holders
of such Series as specified in the related Prospectus Supplement. Accordingly,
the investment characteristics of a Series of Certificates will be determined by
the Assets included in the related Trust Property. The Certificates of a Series
will not represent obligations of the Company, any Administrator, any Servicer
or any affiliate thereof.
FORM OF SECURITIES; TRANSFER AND EXCHANGE
As specified in the related Prospectus Supplement, the Securities of
each Series will be issued either in book entry form or fully registered
certificated form in the minimum denominations for each Class specified in the
related Prospectus Supplement. Unless otherwise specified in the Prospectus
Supplement, the original Principal Balance of each Security will equal the
aggregate payments or distributions allocable to principal to which such
Security is entitled. Unless otherwise specified in the related Prospectus
Supplement, payments or distributions allocable to interest on each Security of
a Series that is not entitled to payments or distributions allocable to
principal will be calculated based on the Notional Principal Balance of such
Security. The "Notional Principal Balance" of a Security will be a notional
amount assigned to such security and will not evidence an interest in or
entitlement to payments or distributions allocable to principal, but will be
used solely for convenience in expressing the calculation of interest and for
certain other purposes.
Except as described below under "Book Entry Registration" with respect
to Book Entry Securities, the Securities of each Series will be transferable and
exchangeable on a register to be maintained at the corporate trust office of the
related Trustee or such other office or agency maintained
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for such purposes by the Trustee in New York City. Unless otherwise specified in
the Prospectus Supplement with respect to a Series, under the related Indenture
or Pooling Agreement, the Trustee will be appointed initially as the "Registrar"
for such Series for purposes of maintaining books and records of the ownership
and transfer of the Securities of such Series. Unless otherwise specified in the
Prospectus Supplement with respect to a Series, no service change will be made
for any registration of transfer or exchange of Securities of such Series, but
payment of a sum sufficient to cover any tax or other governmental charge may be
required.
Under current law the purchase and holding of a Class of Securities
entitled only to a specified percentage of payments or distributions of either
interest or principal or a notional amount of either interest or principal on
the related Mortgage Assets or a Class of Securities entitled to receive
payments or distributions of interest and principal on the Mortgage Assets only
after payments or distributions to other Classes or after the occurrence of
certain specified events by or on behalf of any employee benefit plan or other
retirement arrangement (including individual retirement accounts and annuities,
Keogh plans and collective investment funds in which such plans, accounts or
arrangements are invested) subject to provisions of ERISA or the Code, may
result in "prohibited transactions" within the meaning of ERISA and the Code.
See "ERISA Considerations." Unless otherwise specified in the related Prospectus
Supplement, transfer of Securities of such a Class will not be registered unless
the transferee (i) executes a representation letter stating that it is not, and
is not purchasing on behalf of, any such plan, account or arrangement or (ii)
provides an opinion of counsel satisfactory to the related Trustee and the
Company that the purchase of Securities of such a Class by or on behalf of such
plan, account or arrangement is permissible under applicable law and will not
subject the related Trustee, the Administrator, if any, or the Company to any
obligation or liability in addition to those undertaken in the Pooling
Agreement.
REMIC ELECTION
As to each Series, one or more elections may be made to treat all or
specified portions of the related Trust Property as a REMIC for federal income
tax purposes. The related Prospectus Supplement will specify whether a REMIC
election is to be made. Alternatively, the Indenture or Pooling Agreement for a
Series may provide that a REMIC election may be made at the discretion of the
Company, the Administrator, if any, or another entity and may only be made if
certain conditions are satisfied. As to any such Series, the terms and
provisions applicable to the making of a REMIC election, as well as any material
federal income tax consequences to Holders of such Series not otherwise
described herein, will be set forth in the related Prospectus Supplement. If
such an election is made with respect to a Series, one or more of the Classes of
such Series will be designated as evidencing the "residual interests" in the
related REMIC or REMICs, as defined in the Code. All other Classes of such
Series will constitute "regular interests" in the related REMIC or REMICs, as
defined in the Code. As to each Series with respect to which a REMIC election is
to be made, the Administrator, if any, the related Trustee, a Residual Holder or
another person as specified in the related Prospectus Supplement will be
obligated to take all actions required in order to comply with applicable laws
and regulations and will be obligated to pay any prohibited transaction taxes.
The person so specified, unless otherwise provided in the related Prospectus
Supplement, will be entitled to reimbursement for any such payment from the
assets of the related Trust Property or, if applicable, from any Residual
Holder.
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CLASSES OF SECURITIES
Each Series will be issued in one or more Classes. If specified in the
Prospectus Supplement, one or more Classes of a Series may be secured by (in the
case of Bonds), or evidence beneficial ownership interests in (in the case of
Certificates), separate groups of Assets included in the related Trust Property
or otherwise available for the benefit of such Series.
If specified in the related Prospectus Supplement, the Certificates of
a Series will have an aggregate original principal balance equal to the
aggregate unpaid principal balance of the Mortgage Assets included in the
related Trust Property as of the close of business on the first day of the month
of creation of the related Trust (the "Cut-off Date") after deducting payments
of principal due on or before the Cut-off Date and, unless otherwise specified
in the related Prospectus Supplement, will bear interest in the aggregate equal
to the Pass-Through Rate for such Series. The "Pass-Through Rate" for a Series
will equal the rate of interest borne by the related Mortgage Assets, net of the
aggregate servicing fees and any other amounts (including fees payable to the
Administrator, if any, for such Series) as are specified in the Prospectus
Supplement. The original principal balance of the Certificates of a Series and
the Certificate Interest Rate on the Classes of such Certificates will be
determined in the manner specified in the Prospectus Supplement.
Each Class of Securities that is entitled to payments or distributions
allocable to interest will bear interest at the applicable Bond Interest Rate or
Certificate Interest Rate, which in either case may be a fixed rate (which may
be zero) or, in the case of Variable Interest Securities, may be a rate that is
subject to change from time to time (a) in accordance with a schedule, (b) in
reference to an index, or (c) otherwise in each case as specified in the related
Prospectus Supplement. Notwithstanding the foregoing, if so specified in the
related Prospectus Supplement, one or more Classes of a Series may be entitled
to receive payments or distributions of interest only to the extent of amounts
available to make such payments or distributions. One or more Classes of
Securities may provide for interest that accrues, but is not currently payable
("Compound Interest Securities"). With respect to any Class of Compound Interest
Securities, if specified in the related Prospectus Supplement, any interest that
has accrued but is not paid on a given Payment Date or Distribution Date will be
added to the aggregate principal balance of such Class on that Payment Date or
Distribution Date.
A Series may include one or more Classes entitled only to payments or
distributions (i) allocable to interest ("Interest Only Securities"), (ii)
allocable to principal ("Principal Only Securities"), and allocable as between
scheduled payments of principal and Principal Prepayments, as defined below
under "Payments or Distributions of Principal and Interest" or (iii) allocable
to both principal (and allocable as between scheduled payments of principal and
Principal Prepayments) and interest. A Series may include one or more classes as
to which payments or distributions will be allocated (i) on the basis of
collections from designated portions of the Assets included in the related Trust
Property, (ii) in accordance with a schedule or formula, (iii) in relation to
the occurrence of events, or (iv) otherwise, in each case as specified in the
related Prospectus Supplement. The timing and amounts of such payments or
distributions may vary among Classes, over time or otherwise, in each case as
specified in the related Prospectus Supplement.
A Series of Securities may include one or more Classes of Scheduled
Amortization Securities and Companion Securities. "Scheduled Amortization
Securities" are Securities with respect to which payments or distributions of
principal are to be made in specified amounts on specified Payment Dates or
Distribution Dates, to the extent of funds available on such Payment Date or
Distribution Date.
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"Companion Securities" are Securities which receive payments or distributions of
all or a portion of any funds available on a given Payment Date or Distribution
Date which are in excess of amounts required to be applied to payments or
distributions on Scheduled Amortization Securities on such Payment Date or
Distribution Date. Because of the manner of application of payments or
distributions of principal to Companion Securities, the weighted average lives
of Companion Securities of a Series may be expected to be more sensitive to the
actual rate of prepayments on the Mortgage Assets in the related Trust Property
than will the Scheduled Amortization Securities of such Series.
One or more Series of Securities may constitute Series of "Special
Allocation Securities," which may include Senior Securities, Subordinated
Securities, Priority Securities and Non-Priority Securities. As more fully
described in the related Prospectus Supplement for a Series of Special
Allocation Securities, Special Allocation Securities are Securities for which
the timing and/or priority of payments or distributions of principal and/or
interest may favor one or more Classes of such Securities over one or more other
Classes of such Securities. Such timing and/or priority may be modified or
reordered upon the occurrence of one or more specified events. Unless otherwise
specified in the related Prospectus Supplement for a Series of Special
Allocation Securities, losses on the Assets included in the related Trust
Property may be disproportionately borne by one or more Classes of such Series,
and the proceeds and distributions from such Assets may be applied to the
payment in full of one or more Classes of such Series before the balance, if
any, of such proceeds are applied to one or more other Classes within such
Series. For example, Special Allocation Securities in a Series may be comprised
of one or more Classes of Senior Securities having a priority in right to
payments or distributions of principal and interest over one or more Classes of
Subordinated Securities, to the extent described in the related Prospectus
Supplement, as a form of Credit Enhancement. See "Credit Enhancement --
Subordination." Typically, Subordinated Securities of a Series will carry a
rating by the rating agencies rating the Securities of such Series lower than
that of the Senior Securities of such Series. In addition, one or more Classes
of Securities of a Series ("Priority Securities") may be entitled to a priority
of payments or distributions of principal or interest from Assets included in
the related Trust Property over another Class of Securities of such Series
("Non-Priority Securities"), but only after the exhaustion of other Credit
Enhancement applicable to such Series. Priority Securities and Non-Priority
Securities nonetheless may be within the same rating category.
PAYMENTS OR DISTRIBUTIONS OF PRINCIPAL AND INTEREST
General
Payments or distributions of principal and interest on the Securities
of a Series will be made by the related Trustee, to the extent of funds
available therefor, on the related Payment Date or Distribution Date. Payments
or distributions will be made to the persons in whose names the Securities of
such Series are registered at the close of business on the dates specified in
the related Prospectus Supplement (each, a "Record Date"). With respect to
Securities other than Book Entry Securities, payments or distributions will be
made by check or money order mailed to Securityholders of such Series at their
addresses appearing in the books and records maintained by or on behalf of the
Issuer of such Series or, if specified in the related Prospectus Supplement, in
the case of Securities that are of a certain minimum denomination as specified
in the related Prospectus Supplement, upon written request by a holder of such
Series, by wire transfer or by such other means as are agreed upon with such
Securityholder; provided, however, that the final payment or distribution in
retirement of a Series (other than Book Entry Securities) will be made only upon
presentation and surrender of such Securities at the office or agency of the
related Trustee specified in the notice to Securityholders of such final
distribution. With respect to Book Entry Securities, such
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payments or distributions will be made as described below under "Book Entry
Registration" and in the related Prospectus Supplement.
Unless otherwise specified in the related Prospectus Supplement,
payments or distributions allocable to principal and interest on the Securities
of a Series will be made by the related Trustee out of, and only to the extent
of, funds in a separate account established and maintained under the related
Indenture or Pooling Agreement for the benefit of Securityholders of such Series
(the "Collection Account" with respect to a Series of Bonds and the "Certificate
Account" with respect to a Series of Certificates), including any funds
transferred from any related Reserve Fund. As between Securities of different
Classes of a Series and as between payments or distributions of principal (and,
if applicable, between payments or distributions of Principal Prepayments and
scheduled payments of principal) and interest, payments or distributions made on
any Payment Date or Distribution Date will be applied as specified in the
related Prospectus Supplement. Unless otherwise specified in the related
Prospectus Supplement, payments or distributions to any Class of Securities will
be made pro rata to all Securityholders of that Class. If so specified in the
related Prospectus Supplement, the amounts received by the Trustee as described
below under "Assets Securing or Underlying the Securities" will be invested in
the Permitted Instruments specified herein and in the related Prospectus
Supplement and all income or other gain from such investments will be deposited
in the related Collection Account or Certificate Account and will be available
to make payments or distributions on the Securities of the applicable Series on
the next succeeding Payment Date or Distribution Date in the manner specified in
the related Prospectus Supplement.
Payments or Distributions of Interest
Each Class of a Series (other than a Class of Principal Only
Securities) will accrue interest at the applicable Bond Interest Rate or
Certificate Interest Rate. One or more Classes may be entitled to receive
payments or distributions of interest only to the extent of amounts available to
make such payments or distributions. Interest on each Class will accrue during
the related Interest Accrual Period and will be paid or distributed on the
related Payment Date or Distribution Date. Interest on all Securities which bear
or receive interest, other than Compound Interest Securities, will be due and
payable on the Payment Dates, or distributed on the Distribution Dates, as
applicable, specified in the related Prospectus Supplement. However, failure to
pay or distribute interest on a current basis may not necessarily be an Event of
Default with respect to a particular Series or Class of Securities. Interest on
any Class of Compound Interest Securities will not be paid or distributed
currently, but will accrue and the amount of the interest so accrued will be
added to the principal thereof on each Payment Date or Distribution Date, as
applicable, until the date specified in the related Prospectus Supplement.
Principal Only Securities will not accrue, and will not be entitled to receive,
any interest. Upon maturity or earlier redemption of the Securities of any
Class, interest will be paid to the date specified in the related Prospectus
Supplement.
Each payment of interest on each Class of Securities (or addition to
principal of a Class of Compound Interest Securities) on a Payment Date or
Distribution Date, as applicable, will include all interest accrued during the
related Interest Accrual Period. If the Interest Accrual Period for a Series
ends on a date other than a Payment Date or Distribution Date, as applicable,
for such Series, the yield realized by the Holders of such Securities may be
lower than the yield that would result if the Interest Accrual Period ended on
such Payment Date or Distribution Date. Additionally, if so specified in the
related Prospectus Supplement, interest accrued for an Interest Accrual Period
for one or more Classes may be calculated on the assumption that principal
payments or distributions (and additions to principal of the Securities), and
allocations of losses on the Mortgage Assets (if so specified in the related
Prospectus
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Supplement), are made on the first day of the preceding Interest Accrual Period
and not on the Payment Date or Distribution Date, as applicable, for such
preceding Interest Accrual Period when actually made or added. Such method would
produce a lower effective yield than if interest were calculated on the basis of
the actual principal amount outstanding.
A Series may include one or more Classes of Variable Interest Rate
Securities. With respect to each Class of Variable Interest Securities of a
Series, the related Prospectus Supplement will set forth: (i) the initial Bond
Interest Rate or Certificate Interest Rate, as applicable (or the manner of
determining the initial Bond Interest Rate or Certificate Interest Rate); (ii)
the formula, index or other method by which the Bond Interest Rate or
Certificate Interest Rate, as applicable, will be determined from time to time;
(iii) the periodic intervals at which such determination will be made; (iv) the
Maximum Variable Interest Rate, if any, and the Minimum Variable Interest Rate;
and (v) any other terms relevant to such Class of Securities.
Payments or Distributions of Principal
Principal payments or distributions on the Securities of a Series will
be made from amounts available therefor on each Payment Date or Distribution
Date, as applicable, in an aggregate amount determined as set forth in the
related Prospectus Supplement and will be allocated among the respective Classes
of a Series of Securities at the times, in the manner and in the priority set
forth in the related Prospectus Supplement.
Except with respect to Compound Interest Securities and Interest Only
Securities, unless specified otherwise in the related Prospectus Supplement, on
each Payment Date or Distribution Date, as applicable, principal payments or
distributions will be made on the Securities of a Series in an aggregate amount
determined in the related Prospectus Supplement. If a Series of Securities has a
Class of Compound Interest Securities, additional principal payments on the
Securities of such Series will be made on each Payment Date or Distribution
Date, as applicable, in an amount equal to the interest accrued, but not then
payable or distributable, on such Class of Compound Interest Securities for the
related Interest Accrual Period.
If so specified in the related Prospectus Supplement, on any Payment
Date or Distribution Date, as applicable, on which the principal balance of the
Mortgage Assets relating to a Series is reduced due to losses on such Mortgage
Assets, (i) the amount of such losses will be allocated first, to reduce the
aggregate outstanding principal balance of the Subordinate Securities of such
Series or other subordination, if any, and, thereafter, to reduce the aggregate
outstanding principal balance of the remaining Securities of such Series in the
priority and manner specified in such Prospectus Supplement until the aggregate
outstanding principal balance of each Class of such Securities of such Series so
specified has been reduced to zero or paid in full, thus reducing the amount of
principal payable or distributable on each such Class of Securities or (ii) such
losses may be allocated in any other manner set forth in the related Prospectus
Supplement. Unless otherwise specified in the related Prospectus Supplement,
such reductions of principal of a Class or Classes of Securities will be
allocated to the Holders of the Securities of such Class or Classes pro rata in
the proportion which the outstanding principal of each Security of such Class or
Classes bears to the aggregate outstanding principal balance of all Securities
of such Class.
If so provided in the related Prospectus Supplement, one or more
Classes of Senior Certificates of a Series will be entitled to receive all or a
disproportionate percentage of the payments of principal which are received on
the related Mortgage Assets in advance of their scheduled due dates and are not
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accompanied by amounts representing scheduled interest due after the month of
such payments ("Principal Prepayments") in the percentages and under the
circumstances or for the periods specified in the Prospectus Supplement. Unless
otherwise provided in the related Prospectus Supplement, any such allocation of
principal prepayments to such Class or Classes will have the effect of
accelerating the amortization of such Senior Securities while increasing the
interests evidenced by the Subordinated Securities in rights to the benefit of
the Assets in the related Trust Property. Increasing the interests of the
Subordinated Securities relative to that of the Senior Securities is intended to
preserve the availability of the subordination credit enhancement provided to
the Priority Securities by the Subordinated Securities. See "Credit Enhancement
- -- Subordination."
Unscheduled Payments or Distributions
If specified in the related Prospectus Supplement, the Securities of a
Series will be subject to receipt of payments or distributions before the next
scheduled Payment Date or Distribution Date under the circumstances and in the
manner described below and in the related Prospectus Supplement. If applicable,
the related Trustee will be required to make such unscheduled payments or
distributions on the Securities of a Series on the date and in the amount
specified in the related Prospectus Supplement if, due to substantial payments
of principal (including Principal Prepayments) on the related Mortgage Assets,
low rates then available for reinvestment of such payments or both, the Trustee
determines, based on the assumptions specified in the related Indenture or
Pooling Agreement, that the amount anticipated to be on deposit in the
Collection Account or Certificate Account for such Series on the next related
Payment Date or Distribution Date, together with, if applicable, any amounts
available to be withdrawn from any related Reserve Fund or from any other Credit
Enhancement provided for such Series, may be insufficient to make required
payments or distributions on the Securities of such Series on such Payment Date
or Distribution Date. Unless otherwise specified in the related Prospectus
Supplement, the amount of any such unscheduled payment or distribution that is
allocable to principal will not exceed the amount that would otherwise have been
required to be paid or distributed as principal on the Securities of such Series
on the next Payment Date or Distribution Date. Unless otherwise specified in the
related Prospectus Supplement, all unscheduled payments or distributions will
include interest at the applicable Bond Interest Rate or Certificate Interest
Rate (if any) on the amount of the unscheduled payment or distribution allocable
to principal for the period and to the date specified in such Prospectus
Supplement.
Unless otherwise specified in the related Prospectus Supplement, all
payments or distributions allocable to principal in any unscheduled payment or
distribution made on the Securities of a Series will be made in the same
priority and manner as payments or distributions of principal on such Securities
would have been made on the next Payment Date or Distribution Date, and with
respect to Securities of the same Class, unscheduled payments or distributions
of principal will be made on a pro rata basis. Notice of any unscheduled payment
or distribution will be given by the Trustee prior to the date of such payment
or distribution.
REDEMPTION OF BONDS; TERMINATION OR REPURCHASE WITH RESPECT TO CERTIFICATES
To the extent provided in the related Prospectus Supplement, the Bonds
of any Class of a Series may be (i) redeemed at the request of holders of such
Bonds; (ii) redeemed at the option of the Company or another party specified in
the related Prospectus Supplement; or (iii) subject to special redemption under
certain circumstances. The circumstances and terms under which the Bonds of a
Series may be redeemed will be described in the related Prospectus Supplement.
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To the extent provided in the related Prospectus Supplement, the
Certificates of any Class of a Series may be (i) repurchased at the request of
holders of such Certificates; (ii) repurchased at the option of the Company, the
Administrator, if any, or another party specified in the related Prospectus
Supplement; or (iii) subject to special repurchase under certain circumstances.
In addition, if so specified in the Prospectus Supplement for a Series of
Certificates, the Company, the Administrator, if any, or another party specified
in the related Prospectus Supplement may, at its option, cause an early
termination of the Trust for such Series by repurchasing all of the Mortgage
Assets from such Trust, under the circumstances specified in such Prospectus
Supplement. The circumstances and terms under which the Certificates of a Series
may be repurchased and the circumstances and terms under which the related Trust
may be terminated will be described in the related Prospectus Supplement.
BOOK ENTRY REGISTRATION
If the Prospectus Supplement for a Series so provides, Securities of
any Class of such Series may be issued in book entry form ("Book Entry
Securities") and held in the form of a single bond or certificate issued in the
name of a Clearing Agency ("Clearing Agency") registered with the Securities and
Exchange Commission or its nominee. Transfers and pledges of Book Entry
Securities may be made only through entries on the books of the Clearing Agency
in the name of brokers, dealers, banks and other organizations eligible to
maintain accounts with the Clearing Agency ("Clearing Agency Participants") or
their nominees. Clearing Agency Participants may also be Beneficial Owners (as
defined below) of Book Entry Securities.
Purchasers and other Beneficial Owners of Book Entry Securities
("Beneficial Owners") may not hold Book Entry Securities directly, but may hold,
transfer or pledge their ownership interest in the Book Entry Securities only
through Clearing Agency Participants. Additionally, Beneficial Owners will
receive all payments or distributions of principal and interest with respect to
Book Entry Securities, and, if applicable, may request redemption or repurchase
of Book Entry Securities, only through the Clearing Agency and the Clearing
Agency Participants. Beneficial Owners will not be registered holders of
Securities or be entitled to receive definitive certificates representing their
ownership interest in the Securities except under the limited circumstances, if
any, described in the related Prospectus Supplement. See "Special Considerations
- -- Book Entry Registration."
If Securities of a Series are issued as Book Entry Securities, the
Clearing Agency will be required to make book entry transfers among Clearing
Agency Participants, to receive and transmit payments or distributions of
principal and interest with respect to the Securities of such Series, and to
receive and transmit requests for redemption or repurchase with respect to such
Securities. Clearing Agency Participants with whom Beneficial Owners have
accounts with respect to such Book Entry Securities will be similarly required
to make book entry transfers and receive and transmit payments or distributions
and redemption or repurchase requests on behalf of their respective Beneficial
Owners. Accordingly, although Beneficial Owners will not be registered holders
of Securities and will not possess physical certificates, a method will be
provided whereby Beneficial Owners may receive payments or distributions,
transfer their interests, and submit redemption or repurchase requests.
ASSETS SECURING OR UNDERLYING THE SECURITIES
Each Series of Bonds will be secured by a pledge by the related Issuer
to the related Trustee of the Assets included in the related Trust Estate, and
each Series of Certificates will represent a beneficial
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interest in the Assets included in the related Trust and transferred to the
related Trustee by the Company. Such Assets may include (i) Mortgage Assets and
payments or distributions thereon (subject, if specified in the Prospectus
Supplement, to certain exclusions); (ii) if specified in the Prospectus
Supplement, reinvestment income on such payments or distributions; (iii) with
respect to Property that includes Mortgage Loans, Contracts or Multifamily
Loans, all property acquired by foreclosure or deed in lieu of foreclosure with
respect to any such Mortgage Loan, Contract or Multifamily Loan and certain
rights of the Administrator, if any, and the Servicers under any policies
required to be maintained in respect of the related Mortgage Assets; and (iv) if
so specified in the Prospectus Supplement, one or more forms of Credit
Enhancement. The primary Assets of any Trust Estate or Trust will consist of
Mortgage Assets. The Company expects to acquire Mortgage Assets from various
sellers (each, a "Seller"), which may be affiliates of the Company, in open
market or privately negotiated transactions. Such acquisitions may be made
through an affiliate of the Company.
Mortgage Assets may be acquired by the Company from affiliates of the Company.
The following is a brief description of the Mortgage Assets expected to be
included in the Trust Property of each Series. If specific information
respecting the Mortgage Assets is not known at the time a Series is initially
offered, more general information of the nature described below will be provided
in the related Prospectus Supplement, and specific information will be set forth
in a report on Form 8-K to be filed with the Securities and Exchange Commission
within fifteen days after the initial issuance of such Series. A copy of the
related Indenture or Pooling Agreement with respect to each Series will be
attached to the Form 8-K and will be available for inspection at the corporate
trust office of the related Trustee specified in the related Prospectus
Supplement. A schedule of the Mortgage Assets relating to each Series, will be
attached to the related Indenture or Pooling Agreement delivered to the Trustee
upon delivery of such Series.
MORTGAGE LOANS
The Mortgage Loans will be evidenced by promissory notes (the "Mortgage
Notes") secured by mortgages or deeds of trust (the "Mortgages") creating liens
on residential properties (the "Mortgaged Properties"). Such Mortgage Loans will
be within the broad classification of single family mortgage loans, defined
generally as loans on residences containing one to four dwelling units. If so
specified in the Prospectus Supplement, the Mortgage Loans may include
cooperative apartment loans ("Cooperative Loans") secured by security interests
in shares issued by private, non-profit, cooperative housing corporations
("Cooperatives") and in the related proprietary leases or occupancy agreements
granting exclusive rights to occupy specific dwelling units in such
Cooperatives' buildings, or the Mortgage Loans may be secured by junior liens on
the related mortgaged properties, including Title I Loans. The Mortgaged
Properties securing the Mortgage Loans may be located in or outside of the
United States, and may include investment properties and vacation and second
homes. Each Mortgage Loan will be selected by the Company for inclusion in the
Trust Property of a Series from among those acquired by the Company or
originated or acquired by one or more affiliates of the Company, including newly
originated loans.
Unless otherwise specified in the related Prospectus Supplement, the
Mortgage Loans included in the Trust Property for a Series or underlying a
Non-Agency Certificate included in the Trust Property for a Series will be
"conventional" mortgage loans, that is, they will not be insured or guaranteed
by any governmental agency, the principal and interest on such Mortgage Loans
will be payable on the first day of each month, and the interest will be
calculated based on a 360-day year of twelve 30-day months. When full payment is
made on a Mortgage Loan during a month, the mortgagor is charged interest only
on the
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days of the month actually elapsed up to the date of such prepayment, at a daily
interest rate that is applied to the principal amount of the loan so prepaid.
The payment terms of the Mortgage Loans to be included in the Trust
Property for a Series or underlying a Non-Agency Certificate included in the
Trust Property for a Series will be described in the related Prospectus
Supplement and may include any of the following features or combinations thereof
or other features described in the related Prospectus Supplement:
(a) Interest may be payable at a fixed rate, a rate adjustable
from time to time in relation to an index, a rate that is fixed for
period of time or under certain circumstances and is followed by an
adjustable rate, a rate that otherwise varies from time to time, or a
rate that is convertible from an adjustable rate to a fixed rate.
Changes to an adjustable rate may be subject to periodic limitations,
maximum rates, minimum rates or a combination of such limitations.
Accrued interest may be deferred and added to the principal of a loan
for such periods and under such circumstances as may be specified in
the related Prospectus Supplement. Mortgage Loans may provide for the
payment of interest at a rate lower than the specified mortgage rate
for a period of time or for the life of the Mortgage Loan with the
amount of any difference contributed from funds supplied by the seller
of the Mortgaged Property or another source.
(b) Principal may be payable on a level debt service basis to
fully amortize the loan over its term, may be calculated on the basis
of an amortization schedule that is significantly longer than the
original term to maturity or on an interest rate that is different from
the interest rate on the Mortgage Loan or may not be amortized during
all or a portion of the original term. Payment of all or a substantial
portion of the principal may be due on maturity. Principal may include
interest that has been deferred and added to the principal balance of
the Mortgage Loan.
(c) Monthly payments of principal and interest may be fixed
for the life of the loan, may increase over a specified period of time
or may change from period to period. Mortgage Loans may include limits
on periodic increases or decreases in the amount of monthly payments
and may include maximum or minimum amounts of monthly payments.
(d) Prepayments of principal may be subject to a prepayment
fee, which may be fixed for the life of the loan or may decline over
time, and may be prohibited for the life of the loan or for certain
periods ("lockout periods"). Certain loans may permit prepayments after
expiration of the applicable lockout period and may require the payment
of a prepayment fee in connection with any such subsequent prepayment.
Other loans may permit prepayments without payment of a fee unless the
prepayment occurs during specified time periods. The loans may include
"due-on-sale" clauses which permit the mortgagee to demand payment of
the entire mortgage loan in connection with the sale or certain
transfers of the related mortgaged property. Other Mortgage Loans may
be assumable by persons meeting the then applicable underwriting
standards of the Company.
With respect to a Series for which the related Trust Property includes
Mortgage Loans, or for which Mortgage Loans underlie the Non-Agency Certificates
included in the related Trust Property, the related Prospectus Supplement may
specify, among other things, information regarding the interest rates (the
"Mortgage Rates"), the average principal balance and the aggregate principal
balance of such Mortgage Loans, the years of origination and original principal
balances and the original loan-to-value ratios of such Mortgage Loans.
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Unless otherwise specified in the Prospectus Supplement, the
"Loan-to-Value Ratio" of any Mortgage Loan will be determined by dividing the
amount of the loan by the "Original Value" of the related mortgaged property.
The principal amount of the "loan," for purposes of computation of the
Loan-to-Value Ratio of any Mortgage Loan, will include any part of an
origination fee that has been financed. In some instances, it may also include
amounts which the seller or some other party to the transaction has paid to the
mortgagor, such as minor reductions in the purchase price made at the closing.
The "Original Value" of a mortgaged property is (a) in the case of any newly
originated mortgage loan, the lesser of (i) the value of the mortgaged property,
based on an appraisal thereof acceptable to the Company and (ii) the selling
price, and (b) in the case of any mortgage loan used to retire a previous
mortgage loan, the value of the mortgaged property, based on an appraisal
thereof acceptable to the Company.
There can be no assurance that the Original Value will reflect actual
real estate values during the term of a Mortgage Loan. If the residential real
estate market should experience an overall decline in property values such that
the outstanding principal balances of the Mortgage Loans become equal to or
greater than the values of the Mortgaged Properties, the actual rates of
delinquencies, foreclosures and losses could be significantly higher than those
now generally experienced in the mortgage lending industry. In addition, adverse
economic conditions (which may or may not affect real estate values) may affect
the timely and ultimate payment by mortgagors of scheduled payments of principal
and interest on the Mortgage Loans and, accordingly, the actual rates of
delinquencies, foreclosures and losses with respect to the Mortgage Loans.
AGENCY SECURITIES
Government National Mortgage Association (GNMA)
GNMA is a wholly-owned corporate instrumentality of the United States
within the United States Department of Housing and Urban Development. Section
306(g) of Title III of the National Housing Act of 1934, as amended (the
"Housing Act"), authorizes GNMA to guarantee the timely payment of the principal
of and interest on certificates which represent an interest in a pool of
mortgage loans insured by the Federal Housing Administration ("FHA Loans"), or
guaranteed by the Farmers Home Administration ("FmHA Loans") or partially
guaranteed by the Veterans' Administration ("VA Loans").
Section 306(g) of the Housing Act provides that "the full faith and
credit of the United States is pledged to the payment of all amounts which may
be required to be paid under any guarantee under this subsection." In order to
meet its obligations under any such guarantee, GNMA may, under Section 306(d) of
the Housing Act, borrow from the United States Treasury in an amount which is at
any time sufficient to enable GNMA, with no limitations as to amount, to perform
its obligations under its guarantee.
GNMA Certificates. Each GNMA Certificate relating to a series (which
may be issued under either the GNMA I program or the GNMA II program, as
referred to by GNMA) will be a "fully modified pass-through" mortgage-backed
certificate issued and serviced by a mortgage banking company or other financial
concern ("GNMA Issuer") approved by GNMA or approved by FNMA as a
seller-servicer of FHA Loans, FmHA Loans and/or VA Loans. Each GNMA Certificate
will represent a fractional undivided interest in a pool of mortgage loans which
may include FHA Loans, FmHA Loans and/or VA Loans. Each such mortgage loan is
secured by a one- to four-family residential property. Each such GNMA
Certificate will provide for the payment by or on behalf of the GNMA Issuer to
the registered holder of such GNMA Certificate of scheduled monthly payments of
principal and interest equal to the registered holder's proportionate interest
in the aggregate amount of the monthly principal and interest
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payment on each FHA Loan, FmHA Loan or VA Loan underlying such GNMA Certificate,
less the applicable servicing and guarantee fee which together equal the
difference between the interest on the FHA Loan, FmHA Loan or VA Loan and the
pass-through rate on the GNMA Certificate. In addition, each payment will
include proportionate pass-through payments of any prepayments of principal on
the FHA Loans, FmHA Loans or VA Loans underlying such GNMA Certificate and
liquidation proceeds in the event of a foreclosure or other disposition of any
such FHA Loans, FmHA Loans or VA Loans.
The full and timely payment of principal of and interest on each GNMA
Certificate will be guaranteed by GNMA, which obligation is backed by the full
faith and credit of the United States.
Each such GNMA Certificate will have an original maturity of not more
than 30 years (but may have an original maturity of substantially less than 30
years). GNMA will approve the issuance of each such GNMA Certificate in
accordance with a guarantee agreement (a "Guaranty Agreement") between GNMA and
the GNMA Issuer. Pursuant to its Guaranty Agreement, a GNMA Issuer will be
required to advance its own funds in order to make timely payments of all
amounts due on the GNMA Certificate, even if the payments received by the GNMA
Issuer on the mortgage loans underlying each such GNMA Certificate are less than
the amounts due on such GNMA Certificate.
If a GNMA Issuer is unable to make payments on a GNMA Certificate as
such payments become due, it is required promptly to notify GNMA and request
GNMA to make such payments. Upon such notification and request, GNMA will make
such payments directly to the registered holder of the GNMA Certificate. In the
event no payment is made by a GNMA Issuer and the GNMA Issuer fails to notify
and request GNMA to make such payment, the holder of the GNMA Certificate will
have recourse only against GNMA to obtain such payment. In the case of GNMA
Certificates issued in definitive form, the Trustee, as registered holder of the
GNMA Certificates pledged to secure a series of Bonds, will have the right to
proceed directly against GNMA under the terms of the Guaranty Agreements
relating to such GNMA Certificates for any amounts that are not paid when due.
In the case of GNMA Certificates issued in book-entry form, The Participants
Trust Corporation ("PTC"), or its nominee, will have the right to proceed
against GNMA in such event.
All mortgage loans underlying a particular GNMA I Certificate must have
the same interest rate (except for pools of mortgage loans secured by
manufactured homes) over the term of the loan. The interest rate on each GNMA I
Certificate will equal the interest rate on the mortgage loans included in the
pool of mortgage loans underlying such GNMA I Certificate, less one-half
percentage point per annum of the unpaid principal balance of the mortgage
loans.
Mortgage loans underlying a particular GNMA II Certificate may have per
annum interest rates that vary from each other by up to one percentage point.
The interest rate on each GNMA II Certificate will be between one-half
percentage point and one and one-half percentage points lower than the highest
interest rate on the mortgage loans included in the pool of mortgage loans
underlying such GNMA II Certificate (except for pools of mortgage loans secured
by manufactured homes).
Regular monthly installment payments on each GNMA Certificate relating
to a series will be comprised of interest due as specified on such GNMA
Certificate plus the scheduled principal payments on the FHA Loans of VA Loans
underlying such GNMA Certificate due on the first day of the month in which the
scheduled monthly installment on such GNMA Certificate is due. Such regular
monthly installments on each such GNMA Certificate are required to be paid to
the Trustee as registered holder by the 15th day of each month in the case of a
GNMA I Certificate and are required to be mailed to the
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Trustee by the 20th day of each month in the case of a GNMA II Certificate. Any
principal prepayments on any FHA Loans, FmHA Loans or VA Loans underlying a GNMA
Certificate relating to a series or any other early recovery of principal on
such loan will be passed through to the Trustee as the registered holder of such
GNMA Certificate.
GNMA Certificates may be backed by graduated payment mortgage loans or
by "buydown" mortgage loans for which funds will have been provided (and
deposited into escrow accounts) for application to the payment of a portion of
the borrowers' monthly payments during the early years of such mortgage loan.
Payments due the registered holders of GNMA Certificates backed by pools
containing "buydown" mortgage loans will be computed in the same manner as
payments derived from non-"buydown" GNMA Certificates and will include amounts
to be collected from both the borrower and the related escrow account. The
graduated payment mortgage loans will provide for graduated interest payments
that, during the early years of such mortgage loans, will be less than the
amount of stated interest on such mortgage loans. The interest not so paid will
be added to the principal of such graduated payment mortgage loans and, together
with interest thereon, will be paid in subsequently years. The obligations of
GNMA and of a GNMA Issuer will be the same irrespective of whether the GNMA
Certificates relating to a series of Certificates are backed by graduated
payment mortgage loans or "buydown" mortgage loans. No statistics comparable to
the FHA's prepayment experience on level payment, non-"buydown" mortgage loans
are available in respect of graduated payment or "buydown" mortgages. GNMA
Certificates included in the Trust Property for a Series or underlying a
Non-Agency Certificate included in the Trust Property for a Series may be held
in book-entry form.
If specified in the related Prospectus Supplement, GNMA Certificates
included in the Trust Property for a Series or underlying a Non-Agency
Certificate included in the Trust Property for a Series may be held on deposit
at PTC, a limited purpose trust company organized under the banking law of the
State of New York. PTC operates a private sector, industry-owned depository and
settlement facility for the book-entry transfer of interests in GNMA
Certificates. Distributions of principal of and interest on each GNMA
Certificate held through PTC will be credited by PTC to the PTC participant on
whose account the GNMA Certificate is credited.
If specified in the related Prospectus Supplement, GNMA Certificates
included in the Trust Property for a Series or underlying a Non-Agency
Certificate included in the Trust Property for a Series may be backed by
multifamily mortgage loans having the characteristics specified in such
Prospectus Supplement.
Federal National Mortgage Association (FNMA)
FNMA is a federally chartered and privately owned corporation organized
and existing under the Federal National Mortgage Association Charter Act (the
"Charter Act"). FNMA was originally established in 1938 as a United States
government agency to provide supplemental liquidity to the mortgage market and
was transformed into a stockholder-owned and privately-managed corporation by
legislation enacted in 1968.
FNMA provides funds to the mortgage market primarily by purchasing
mortgage loans from lenders, thereby replenishing their funds for additional
lending. FNMA acquires funds to purchase mortgage loans from many capital market
investors that may not ordinarily invest in mortgages, thereby expanding the
total amount of funds available for housing. Operating nationwide, FNMA helps to
redistribute mortgage funds from capital surplus to capital-short areas.
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FNMA Certificates. FNMA Certificates are Guaranteed Mortgage
Pass-Through Certificates representing fractional undivided interests in a pool
of mortgage loans formed by FNMA. Each mortgage loan must meet the applicable
standards of the FNMA purchase program. Mortgage loans comprising a pool are
either provided by FNMA from its own portfolio or purchased pursuant to the
criteria of the FNMA purchase program.
Mortgage loans underlying FNMA Certificates relating to a series will
consist of conventional mortgage loans, FHA Loans or VA Loans. Original
maturities of substantially all of the conventional, level payment mortgage
loans underlying a FNMA Certificate are expected to be between either 8 to 15
years or 20 to 30 years. The original maturities of substantially all of the
fixed rate level payment FHA Loans or VA Loans are expected to be 30 years.
Mortgage loans underlying a FNMA Certificate may have annual interest
rates that vary by as much as two percentage points from each other. The rate of
interest payable on a FNMA Certificate is equal to the lowest interest rate of
any mortgage loan in the related pool, less a specified minimum annual
percentage representing servicing compensation and FNMA's guaranty fee. Thus,
the annual interest rates on the mortgage loans underlying a FNMA Certificate
will generally be between 50 basis points and 250 points greater than the annual
FNMA Certificate pass-through rate. If specified in the related Prospectus
Supplement, FNMA Certificates included in the Trust Property with respect to a
Series or underlying a Non-Agency Certificate included in the Trust Property for
a Series may be backed by adjustable rate mortgages.
Regular monthly installment payments on each FNMA Certificate will be
comprised of interest due as specified by such FNMA Certificate plus the
scheduled principal payments on the Mortgage Loans underlying such FNMA
Certificate due during the period beginning on the second day of the month prior
to the month in which the scheduled monthly installment on such FNMA Certificate
is due and ending on the first day of such month in which the scheduled monthly
installment on such FNMA Certificate is due. Such regular monthly installments
on each such FNMA Certificate will be distributed to the holder of record on the
25th day of each month. Any principal prepayments on the mortgage loans
underlying any FNMA Certificate included in the Trust Property with respect to a
Series or underlying a Non-Agency Certificate included in the Trust Property for
a Series or any other early recovery of principal on such mortgage loans will be
passed through to the holder of record of such FNMA Certificate on the 25th day
of the month next following such prepayment or recovery and, in turn, a portion
of such amounts will be paid or distributed to Holders of such Series, secured
thereby, as additional principal payments.
FNMA guarantees to each registered holder of a FNMA Certificate that it
will distribute amounts representing such holder's proportionate share of
scheduled principal and interest payments at the applicable pass-through rate
provided for by such FNMA Certificate on the underlying mortgage loans, whether
or not received, and such holder's proportionate share of the full principal
amount of any foreclosed or other finally liquidated mortgage loan, whether or
not such principal amount is actually recovered. The obligations of FNMA under
its guarantees are obligations solely of FNMA and are not backed by, nor
entitled to, the full faith and credit of the United States. Although the
Secretary' of the Treasury of the United States has discretionary authority to
lend FNMA up to $2.25 billion outstanding at any time, neither the United States
nor any agency thereof is obligated to finance FNMA's operations or to assist
FNMA in any other manner. If FNMA were unable to satisfy its obligations,
distributions to holders of FNMA Certificates would consist solely of payments
and other recoveries on the underlying mortgage loans and, accordingly, monthly
distributions to holders of FNMA Certificates would be affected by delinquent
payments and defaults on such mortgage loans.
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If specified in the related Prospectus Supplement, FNMA Certificates
included in the Trust Property for a Series or underlying a Non-Agency
Certificate included in the Trust Property for a Series may be backed by
multifamily mortgage loans having the characteristics specified in such
Prospectus Supplement.
Federal Home Loan Mortgage Corporation (FHLMC)
FHLMC is a corporate instrumentality of the United States created
pursuant to Title III of the Emergency Home Finance Act of 1970, as amended (the
"FHLMC Act"). The common stock of FHLMC is owned by the Federal Home Loan Banks.
FHLMC was established primarily for the purpose of increasing the availability
of mortgage credit for the financing of urgently needed housing. It seeks to
provide an enhanced degree of liquidity for residential mortgage investments
primarily by assisting in the development of secondary markets for conventional
mortgages. The principal activity of FHLMC currently consists of the purchase of
first lien conventional mortgage loans or participation interests in such
mortgage loans and the sale of the mortgage loans or participations so purchased
in the form of mortgage securities, primarily FHLMC Certificates. FHLMC is
confined to purchasing, so far as practicable, mortgage loans that it deems to
be of such quality, type and class as to meet generally the purchase standards
imposed by private institutional mortgage investors.
FHLMC Certificates. Each FHLMC Certificate represents an undivided
interest in a pool of mortgage loans that may consist of first lien conventional
loans, FHA Loans or VA Loans (a "FHLMC Certificate Group"). FHLMC Certificates
are sold under the terms of a Mortgage Participation Certificate Agreement. A
FHLMC Certificate may be issued under either FHLMC's Cash Program or Guarantor
Program.
Unless otherwise described in the related Prospectus Supplement,
mortgage loans underlying the FHLMC Certificates relating to a series will
consist of mortgage loans with original terms to maturity of between 10 and 30
years. Each such mortgage loan must meet the applicable standards set forth in
FHLMC Act. A FHLMC Certificate group may include whole loans, participation
interests in whole loans and undivided interests in whole loans and/or
participations comprising another FHLMC Certificate group. Under the Guarantor
Program any such FHLMC Certificate group may include only whole loans or
participation interests in whole loans.
FHLMC guarantees to each registered holder of a FHLMC Certificate the
timely payment of interest on the underlying mortgage loans to the extent of the
applicable Certificate rate on the registered holder's pro rata share of the
unpaid principal balance outstanding on the underlying mortgage loans in the
FHLMC Certificate group represented by such FHLMC Certificate, whether or not
received. FHLMC also guarantees to each registered holder of a FHLMC Certificate
collection by such holder of all principal on the underlying mortgage loans,
without any offset or deduction, to the extent of such holder's pro rata share
thereof, but does not, except if and to the extent specified in the Prospectus
Supplement for a Series, guarantee the timely payment of scheduled principal.
Under FHLMC's Gold PC Program, FHLMC guarantees the timely payment of principal
based on the difference between the pool factor published in the month preceding
the month of distribution and the pool factor published in such month of
distribution. Pursuant to its guarantees, FHLMC indemnifies holders of FHLMC
Certificates against any diminution in principal by reason of charges for
property repairs, maintenance and foreclosure. FHLMC may remit the amount due on
account of its guarantee of collection of principal at any time after default on
an underlying mortgage loan, but not later than (i) 30 days following
foreclosure sale, (ii) 30 days following payment of the claim by any mortgage
insurer, or (iii) 30 days following the expiration of any right of redemption,
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whichever occurs later, but in any event no later than one year after demand has
been made upon the mortgagor for accelerated payment of principal. In taking
actions regarding the collection of principal after default on the mortgage
loans underlying FHLMC Certificates, including the timing of demand for
acceleration, FHLMC reserves the right to exercise its judgment with respect to
the mortgage loans in the same manner as for mortgage loans which it has
purchased but not sold. The length of time necessary for FHLMC to determine that
a mortgage loan should be accelerated varies with the particular circumstances
of each mortgagor, and FHLMC has not adopted standards which require that the
demand be made within any specified period.
FHLMC Certificates are not guaranteed by the United States or by any
Federal Home Loan Bank and do not constitute debts or obligations of the United
States or any Federal Home Loan Bank. The obligations of FHLMC under its
guarantee are obligations solely of FHLMC and are not backed by, nor entitled
to, the full faith and credit of the United States. If FHLMC were unable to
satisfy such obligations, distributions to holders of FHLMC Certificates would
consist solely of payments and other recoveries on the underlying mortgage loans
and, accordingly, monthly distributions to holders of FHLMC Certificates would
be affected by delinquent payments and defaults on such mortgage loans.
In addition to FHLMC's guarantees of timely payment of interest and
ultimate collection of principal, FHLMC guarantees with respect to FHLMC
Certificates representing certain qualifying mortgage loans the timely payment
by each mortgagor of the monthly principal scheduled to be paid under the
amortization schedule applicable to each such mortgage loan ("Scheduled
Principal"). Servicers of the mortgage loans comprising these FHLMC Certificates
are required to pay Scheduled Principal to FHLMC whether or not received from
the mortgagors. FHLMC, in turn, guarantees to pay Scheduled Principal to each
registered holder of such FHLMC Certificates whether or not received from the
servicers. FHLMC monthly payments of Scheduled Principal are computed based upon
the servicer's monthly report to FHLMC of the amount of Scheduled Principal due
to be paid on the related mortgage loans. The Prospectus Supplement for each
Series for which the related Trust Property includes FHLMC Certificates or for
which the related Trust Property includes Non-Agency Certificates backed by
FHLMC Certificates will set forth the nature of FHLMC's guarantee with respect
to scheduled principal payments on the mortgage loans in the pools represented
by such FHLMC Certificates.
Requests for registration of ownership of FHLMC Certificates made on or
before the last business day of a month are made effective as of the first day
of that month. With respect to FHLMC Certificates sold by FHLMC on or after
January 2, 1985, a Federal Reserve Bank which maintains book-entry accounts with
respect thereto will make payments of interest and principal each month to
holders in accordance with the holders' instructions. The first payment to a
holder of a FHLMC Certificate will normally be received by the 15th day of the
second month following the month in which the purchaser became recognized as the
holder of such FHLMC Certificate. Thereafter, payments will normally be received
by the 15th day of each month.
A FHLMC Certificate may be issued under programs created by FHLMC,
including its Cash Program or Guarantor Program. Under FHLMC's Cash Program, the
pooled mortgage loans underlying a FHLMC Certificate are purchased for cash from
a number of sellers. With respect to FHLMC Certificate Pools formed prior to
June 1, 1987, under the Cash Program, there is no limitation on the amount by
which interest rates on the mortgage loans underlying a FHLMC Certificate may
exceed the interest rate on the FHLMC Certificate. Under such program, FHLMC
purchases groups of whole mortgage loans at specified percentages of their
unpaid principal balances, adjusted for accrued or prepaid interest, which, when
applied to the interest rate of the mortgage loans purchased, results in the
yield
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(expressed as a percentage) required by FHLMC. The required yield, which
includes a minimum servicing fee retained by the servicer, is calculated using
the outstanding principal balance of the mortgage loans, an assumed term and a
prepayment period as determined by FHLMC. No mortgage loan is purchased by FHLMC
at greater than 100% of its outstanding principal balance. Thus, the range of
interest rates on the mortgage loans in a FHLMC Certificate Pool formed prior to
June 1987 under the Cash Program will vary since mortgage loans are purchased
and identified to a FHLMC Certificate Pool based upon their yield to FHLMC
rather than on the interest rates on the mortgage loans. With respect to FHLMC
Certificate Pools formed on or after June 1, 1987, the range of interest rates
on the mortgage loans and participations in a FHLMC Certificate Pool which is
comprised of 15- or 30-year fixed-rate single family mortgage loans bought by
FHLMC under the Cash Program will be restricted to one percentage point. In
addition, the minimum interest rate on any mortgage loan in a FHLMC Certificate
Pool will be greater than or equal to the annual pass-through rate on the
related FHLMC Certificate, and the maximum interest rate will not be more than
two percentage points above such pass-through rate.
Under FHLMC's Guarantor Program, the mortgage loans underlying a FHLMC
Certificate are purchased from a single seller in exchange for such FHLMC
Certificate. The interest rate on a FHLMC Certificate under such program is
established based upon the lowest interest rate on the underlying mortgage
loans, minus a minimum servicing fee and the amount of FHLMC's management and
guaranty income as agreed upon between the seller and FHLMC. Under the Guarantor
Program, the range between the lowest and highest annual interest rates on the
mortgage loans in a FHLMC Certificate Pool may not exceed two percentage points.
For some FHLMC Certificates issued pursuant to purchase contracts under the
Guarantor Program on or after September 1, 1987, the range of the interest rates
on the mortgage loans in a FHLMC Certificate Pool will not exceed one percentage
point.
If specified in the related Prospectus Supplement, FHLMC Certificates
included in the Trust Property for a Series or underlying a Non-Agency
Certificate included in the Trust Property for a Series may be backed by
multifamily mortgage loans having the characteristics specified in such
Prospectus Supplement.
Stripped Agency Securities
Agency Securities may consist of one or more stripped mortgage-backed
securities, each as described herein and in the related Prospectus Supplement.
Each such Agency Security will represent an undivided interest in all or part of
either the principal distributions (but not the interest distributions) or the
interest distributions (but not the principal distributions), or in some
specified portion of the principal and interest distributions (but not all of
such distributions) on certain GNMA Certificates, FNMA Certificates, FHLMC
Certificates, or other Agency Securities. The underlying securities will be held
under a trust agreement by GNMA, FNMA or FHLMC each as trustee, or by another
trustee named in the related Prospectus Supplement. FHLMC, FNMA or GNMA will
guarantee each stripped Agency Security to the same extent as such entity
guarantees the underlying securities backing such stripped Agency Security,
unless otherwise specified in the related Prospectus Supplement.
Other Agency Securities
If specified in the related Prospectus Supplement, the Trust Property
of a Series may include, or Non-Agency Certificates included in the Trust
Property of a Series may be backed by, other mortgage pass-through or
participation certificates issued or guaranteed by GNMA, FNMA or FHLMC, such as
FNMA Guaranteed REMIC Pass-Through Certificates and FHLMC Multiclass Mortgage
Participation
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Certificates. The characteristics of any such mortgage pass-through or
participation certificates will be described in such Prospectus Supplement. If
so specified, a combination of different types of Agency Securities may be
included in the Trust Property of a Series or may back Non-Agency Certificates.
NON-AGENCY CERTIFICATES
Each Non-Agency Certificate will evidence an undivided interest in
Agency Securities, a Mortgage Pool, a Contract Pool or a Multifamily Loan Pool.
Unless otherwise specified in the Prospectus Supplement, the Non-Agency
Certificates will have the characteristics described herein. Non-Agency
Certificates backed directly by Mortgage Loans, Contracts, or Multifamily Loans
will be issued pursuant to a pooling and administration agreement (the
"Non-Agency Pooling and Administration Agreement") between the Company, as the
entity forming such Non-Agency Certificates, an administrator (the "Non-Agency
Administrator") and a trustee acting under such Non-Agency Pooling and
Administration Agreement (the "Certificate Trustee"). Non-Agency Certificates
backed by Agency Securities may be issued pursuant to a Funding Agreement (the
"Funding Agreement") between the Company, as the entity forming such Non-Agency
Certificates and a trustee acting under such Funding Agreement (the "Funding
Agreement Trustee"). Non-Agency Certificates will be formed by the Company in
connection with the issuance of the related Series of Securities for purposes of
ease of administration of the assets underlying such Non-Agency Certificates.
Non-Agency Certificates themselves will not have been and will not be publicly
offered. It is expected that Non-Agency Certificates will primarily be used by
the Company to back Series of Bonds, as opposed to Certificates.
The Mortgage Loans, Contracts, and Multifamily Loans directly backing
the Non-Agency Certificates issued under a Non-Agency Pooling and Administration
Agreement will be serviced by one or more loan servicing institutions (the
"Non-Agency Servicers") pursuant to servicing agreements between each Servicer
and the Company (each a "Non-Agency Servicing Agreement"). All of the Company's
right, title and interest in the Servicing Agreements with respect to the
Mortgage Loans, Contracts, and Multifamily Loans will be assigned to the
Certificate Trustee. Pursuant to the Non-Agency Pooling and Administration
Agreement, the Servicers of the Mortgage Loans, Contracts, and Multifamily Loans
covered thereby will be required to deposit with the Certificate Trustee all
collections received by such Servicers on the Mortgage Loans. Contracts, and
Multifamily Loans (net of a servicing fee to be retained by the Non-Agency
Servicers). Monthly distributions of the principal and interest (adjusted to the
pass-through rate borne by such Non-Agency Certificate) components of such
collections will be made to the Trustee for the Bonds of the applicable Series
for deposit into the Collection Account. The Mortgage Loans, Contracts, and
Multifamily Loans underlying any such Non-Agency Certificates may be covered by
(i) individual policies of primary mortgage insurance
insuring against all or a portion of any foreclosure losses on the
particular Mortgage Loans, Contracts, and Multifamily Loans covered
thereby;
(ii) a pool insurance policy insuring against foreclosure
losses on all of the Mortgage Loans, Contracts, and Multifamily Loans
in the underlying pool up to a specified limit of liability;
(iii) a policy of special hazard insurance insuring against
losses from causes not covered by standard fire and extended coverage
policies of insurance, and/or
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(iv) such other policies of insurance or other forms of
support (including, without limitation, obligations to advance
delinquent payments and overcollateralization) as shall be specified in
the Prospectus Supplement for a Series which is secured or backed by
Non-Agency Certificates backed directly by Mortgage Loans, Contracts,
or Multifamily Loans, including, if applicable, any insurance for Title
I Loans under the Title I Program.
All of the Company's rights, title and interest in the Agency
Securities directly backing Non-Agency Certificates issued under a Funding
Agreement will be assigned to the Funding Agreement Trustee. Pursuant to the
Funding Agreement, distributions on the Agency Securities will be collected by
the Funding Agreement Trustee, and monthly payments of the principal and
interest (adjusted to the pass-through rate borne by the Non-Agency
Certificates) components of such distributions will be made to the Trustee for
the applicable Series for deposit into the Collection Account. Each of the
Agency Securities sold or assigned to the Funding Agreement Trustee will have
the benefit of the applicable guarantees and other attributes described
hereinabove under "GNMA Certificates," "FNMA Certificates" and "FHLMC
Certificates," as the case may be, and in the related Prospectus Supplement for
the Series which is secured or backed by Non-Agency Certificates backed by
Agency Securities.
Any default by any insurer under a policy of insurance covering a
Mortgage Loan, Contracts, or Multifamily Loans, any loss or losses in excess of
policy limits, any failure by a Non-Agency Servicer or other obligor to make
advances in respect of delinquent payments or any loss occasioned by an
uninsured cause will adversely affect distributions to the Trustee for the
related Series and, as a consequence, may result in there being insufficient
funds in the related Collection Account with which to make required payments or
distributions of principal and interest on the Securities of such Series.
MULTIFAMILY LOANS
Each pool of Multifamily Loans included in the Trust Property with
respect to a Series or underlying a Non-Agency Certificate included in the Trust
Property for a Series (the "Multifamily Loan Pool") will consist of Conventional
Multifamily Loans or FHA-Insured Multifamily Loans secured by mortgages or deeds
of trust or other similar security instruments creating a first lien on rental
apartment buildings or projects containing five or more units, including, but
not limited to, high-rise, mid-rise and garden apartments or Multifamily Loans
secured by apartment buildings owned by cooperative housing corporations. The
Company expects that these loans will have been originated by mortgagees in the
ordinary course of their real estate lending activities. Each Multifamily Loan
Pool will be composed of Multifamily Loans bearing interest at the annual fixed
or adjustable rates of interest specified in the Prospectus Supplement.
The related Prospectus Supplement may specify for the Multifamily Loans
contained in the related Multifamily Loan Pool, among other things, the dates of
origination of the Multifamily Loans; the interest rates on the Multifamily
Loans, if fixed rate, and in the case of Adjustable Multifamily Loans, the
initial Adjustable Multifamily Rates, the index or formula, if any, used to
determine the Adjustable Multifamily Rate, the margin or margins, if any, to be
added or subtracted from the Index to calculate the Multifamily Loan Rate, and
the maximum and minimum percentage adjustment, if any, for the life of the
Multifamily Loan and on any annual basis, and the frequency of adjustment; the
number of Multifamily Loans in the Multifamily Loan Pool; the original loan
amounts or range of original loan amounts of Multifamily Loans contained in the
Multifamily Loan Pool; the original Loan-to-Value Ratio on a weighted average
basis of the Multifamily Loans contained in the Multifamily Loan Pool; and the
original and remaining terms of the loans on a weighted average basis. The
related Prospectus Supplement may also specify the number and
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type of units contained in each property secured by a Multifamily Loan contained
in a Multifamily Loan Pool, the loan amount per unit for each project, the
percentage of units in each property occupied as a specified date, the appraised
value of each property and whether each property is subject to local rent
control ordinances. The related Prospectus Supplement may set forth the types
and locations of properties securing the Multifamily Loans, the balloon,
principal amortization or interest only terms, if any, and whether the
Multifamily Loan financed the acquisition or rehabilitation of the underlying
properties or refinanced prior indebtedness. Unless otherwise specified in the
related Prospectus Supplement, the properties securing the Multifamily Loans
will be located in one or more states in the United States, the District of
Columbia, or Puerto Rico.
Certain of the Multifamily Loans may be secured by apartment buildings
owned by Cooperatives. The Cooperative apartment building and the land under the
building will be owned by a private, non-profit cooperative. The Cooperative
owns all of the apartment units in the building and all common areas. The
Cooperative is owned by tenant-stockholders who, through ownership of stock,
shares or membership certificates in the corporation, receive proprietary leases
or occupancy agreements which confer exclusive rights to occupy specific
apartments or units. Generally, a tenant-stockholder of a Cooperative must make
a monthly payment to the cooperative representing such tenant-stockholder's pro
rata share of the cooperative's payments for its mortgage loan, real property
taxes, maintenance expenses and other capital or ordinary expenses. Such
payments to the Cooperative are in addition to any payments of principal and
interest the tenant-stockholder must make on any loans of the tenant-stockholder
secured by its shares in the Cooperative. The Cooperative will be directly
responsible for building management and, in most cases, payment of real estate
taxes and hazard and liability insurance. The Cooperative's ability to meet debt
service obligations on the Multifamily Loans, as well as all other operating
expenses, will be dependent in large part on the receipt of maintenance payments
from the tenant-stockholders, as well as any rental income from units or
commercial assessments on the tenant-stockholders. The Cooperative's ability to
pay the principal amount of the Multifamily Loan at maturity depends primarily
on its ability to pay the principal amount of the Multifamily Loan. The Company,
the Seller and the Administrator or Non-Agency Administrator, if any, will have
no obligation to provide refinancing for the Multifamily Loans.
CONTRACTS
Each pool of Contracts included in the Trust Property with respect to a
Series or underlying a Non-Agency Certificate included in the Trust Property for
a Series (the "Contract Pool") will consist of manufactured housing conditional
sales contracts and installment loan agreements or participation interests
therein (collectively, "Contracts"). As specified in the related Prospectus
Supplement, Contracts may either be secured by a Manufactured Home (a "Secured
Contract") or unsecured (an "Unsecured Contract"). The Contracts may be
conventional manufactured housing contracts or contracts insured by the FHA,
including Title I Contracts, or partially guaranteed by the VA. Each Contract is
secured by a Manufactured Home. Unless otherwise specified in the related
Prospectus Supplement, the Contracts included in the Trust Property with respect
to a Series will be fully amortizing and will bear interest at a fixed annual
percentage rate ("APR").
The Manufactured Homes securing the Secured Contracts consist of
manufactured homes within the meaning of 42 United States Code, Section 5402(6),
which defines a "Manufactured Home" as "a structure, transportable in one or
more sections, which in the traveling mode, is eight body feet or more in width
or forty body feet or more in length, or, when erected on site, is three hundred
twenty or more square feet, and which is built on a permanent chassis and
designed to be used as a dwelling with or without permanent foundation when
connected to the required utilities, and includes the plumbing, heating,
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air-conditioning, and electrical systems contained therein; except that such
term shall include any structure which meets all the requires of [this]
paragraph except the size requirements and with respect to which the
manufacturer voluntarily files a certification required by the Secretary of
Housing and Urban Development and complies with the standards established under
[this] chapter." Moreover, if an election is made to treat a Trust Estate or
Trust including Contracts as a REMIC as described in "Certain Federal Income Tax
Consequences -- Certain Income Tax Consequences for REMIC Securities," the
related Manufactured Homes will have a minimum of 400 square feet of living
space and a minimum width in excess of 102 inches.
Unless otherwise specified in the Prospectus Supplement with respect to
a Series for which the related Trust Property includes Contracts or with respect
to which the related Trust Property includes Non-Agency Certificates backed by
Contracts, for purposes of calculating the loan-to-value ratio of a Secured
Contract relating to a new Manufactured Home, the "Collateral Value" is no
greater than the sum of a fixed percentage of the list price of the unit
actually billed by the manufacturer to the dealer (exclusive of freight to the
dealer site) including "accessories" identified in the invoice (the
"Manufacturer's Invoice Price"), plus the actual cost of any accessories
purchased from the dealer, a delivery and set-up allowance, depending on the
size of the unit and the cost of state and local taxes, filing fees and up to
three years prepaid hazard insurance premiums. Unless otherwise specified in the
related Prospectus Supplement, the Collateral Value of a used Manufactured Home
is the least of the sales price, the appraised value, and the National
Automobile Dealer's Association book value plus prepaid taxes and hazard
insurance premiums. The appraised value of a Manufactured Home is based upon the
age and condition of the manufactured housing unit and the quality and condition
of the mobile home park in which it is situated, if applicable.
The related Prospectus Supplement may specify for the Contracts
contained in the related Contract Pool, among other things, the date of
origination of the Contracts; the APRs on the Contracts; the Contract
Loan-to-Value Ratios; the minimum and maximum outstanding principal balance as
of the Cut-off Date and the average outstanding principal balance; the
outstanding principal balances of the Contracts included in the Contract Pool;
and the original maturities of the Contracts and the last maturity date of any
Contract.
The Unsecured Contracts included in the Trust Property for a Series of
Securities will not constitute a material concentration of the assets of such
Trust Property.
PRIVATE MORTGAGE-BACKED SECURITIES
Private Mortgage-Backed Securities may consist of (a) mortgage
pass-through certificates evidencing an undivided interest in a pool of
Underlying Mortgage Loans or certain mortgage-backed securities, or (b)
collateralized mortgage obligations secured by Underlying Mortgage Loans or
certain mortgage-backed securities. Private Mortgage-Backed Securities may
include stripped mortgage-backed securities representing an undivided interest
in all or a part of either the principal distributions (but not the interest
distributions) or the interest distributions (but not the principal
distributions) or in some specified portion of the principal and interest
distributions (but not all of such distributions) on certain Underlying Mortgage
Loans or on certain underlying mortgage-backed securities. Private
Mortgage-Backed Securities will have been issued pursuant to a pooling and
servicing agreement, an indenture or similar agreement (a "PMBS Agreement").
Generally, the seller/servicer of the Underlying Mortgage Loans will have
entered into the PMBS Agreement with the trustee under such PMBS Agreement (the
"PMBS Trustee"). The PMBS Trustee or its agent, or a custodian, will possess the
Underlying Mortgage Loans
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relating to such Private Mortgage-Backed Security. Underlying Mortgage Loans
relating to a Private Mortgage-Backed Security will be serviced by a servicer
(the "PMBS Servicer") directly or by one or more subservicers who may be subject
to the supervision of the PMBS Servicer.
The issuer of the Private Mortgage-Backed Securities (the "PMBS
Issuer") will be a financial institution or other entity engaged generally in
the business of mortgage lending, a public agency or instrumentality of a state,
local or federal government, or a limited purpose corporation organized for the
purpose of, among other things, establishing trusts and acquiring and selling
housing loans to such trusts and selling beneficial interests in such trusts. If
so specified in the related Prospectus Supplement, the PMBS Issuer may be the
Company or an affiliate of the Company. The obligations of the PMBS Issuer will
generally be limited to certain representations and warranties with respect to
the assets conveyed by it to the related trust. Unless otherwise specified in
the related Prospectus Supplement, neither the PMBS Issuer nor any agency or
instrumentality of the United States nor any other person will have guaranteed
any of the assets conveyed to the related trust or any of the Private
Mortgage-Backed Securities issued under the PMBS Agreement.
Distributions of principal and interest will be made on the Private
Mortgage-Backed Securities on the dates specified in the related Prospectus
Supplement. The Private Mortgage-Backed Securities may be entitled to receive
nominal or no principal distributions or nominal or no interest distributions.
Principal and interest distributions will be made on the Private Mortgage-Backed
Securities by the PMBS Trustee or the PMBS Servicer. The PMBS Issuer or the PMBS
Servicer may have the right to repurchase assets underlying the Private
Mortgage-Backed Securities after a certain date or under other circumstances
specified in the related Prospectus Supplement.
The Underlying Mortgage Loans relating to the Private Mortgage-Backed
Securities may consist of fixed rate, level payment, fully amortizing loans or
graduated payment mortgage loans, buydown loans, adjustable rate mortgage loans,
or loans having balloon or other special payment features. Such Underlying
Mortgage Loans may be secured by single family property, multifamily property,
manufactured homes or by an assignment of the proprietary lease or occupancy
agreement relating to a specific dwelling within a Cooperative and the related
shares issued by such Cooperative.
Credit support in the form of reserve funds, subordination of other
private mortgage certificates issued under the PMBS Agreement, letters of
credit, surety bonds, insurance policies or other types of credit support may be
provided with respect to the Underlying Mortgage Loans relating to the Private
Mortgage-Backed Securities or with respect to the Private Mortgage-Backed
Securities themselves.
The Prospectus Supplement for a Series for which the related Trust
Property includes Private Mortgage-Backed Securities will describe such Private
Mortgage-Backed Securities and will specify certain characteristics of the
mortgage loans underlying the Private Mortgage-Backed Securities.
CHARACTERISTICS OF AGENCY SECURITIES AND PRIVATE MORTGAGE-BACKED SECURITIES
The Agency Securities and the Private Mortgage-Backed Securities may
include component securities ("CPTs"), floaters ("FLTs"), inverse floaters
("INVs"), interest only securities ("IOs"), principal only securities ("POs"),
planned amortization classes ("PACs"), targeted amortization classes ("TACs"),
residual interest securities ("Residuals"), accrual securities ("Zs"), and other
types of securities, including securities which combine the characteristics of
two or more of such types of
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securities. The exact types and characteristics of such securities will be set
forth in the related Prospectus Supplement for a Series for which the related
Trust Property includes such securities.
A CPT is a security that consists of multiple payment components which
have differing principal and/or interest characteristics. The payment
characteristics of a CPT will reflect a combination of the payment
characteristics of such components.
An FLT has an interest rate that varies directly with an objective
index such as LIBOR, i.e., as LIBOR increases, the FLT interest rate will
increase.
An INV has an interest rate that varies inversely with an objective
index such as LIBOR, i.e., as LIBOR increases, the INV interest rate will
decrease. The interest rate on a INV might be expressed as a multiple of the
index, such as 35% - (3 X LIBOR).
An IO pays only interest or primarily interest and pays no
disproportionately small amount of principal. A PO pays principal only and no
interest.
A PAC is a security with respect to which principal payments are made
in predetermined amounts on specified payment dates to the extent funds are
available on such payment dates. Generally, a PAC will adhere to its payment
schedule if the underlying mortgage loans prepay at a constant prepayment
assumption in the "planned range" between certain specified prepayment rates.
The cash flow of a PAC is thus relatively stable if prepayments are within such
"planned range." Payment stability in a PAC is necessarily offset by instability
in other classes of related mortgage-backed securities, which are said to
"support" the more stable classes. Such "support classes" are likely to be much
more sensitive to prepayments on the underlying mortgage loans than the classes
they support or such mortgage loans.
A TAC, like a PAC, is designed to provide more stable cash flows, but
is more likely than a PAC to have the expected maturity extended or shortened.
A Residual generally represents an interest in the residual cash flows
from the collateral relating to an issuance of mortgage-backed securities after
the other classes of securities supported by such collateral are paid on a
payment date. Residuals include both securities with stated principal and
interest and those without stated principal and interest.
A Z is a security that accretes all of interest, which is added to the
outstanding principal balance of such security. This accretion may continue
until such security begins receiving principal payments, until such other events
has occurred or until the security is retired.
DEPOSIT, SUBSTITUTION AND WITHDRAWAL OF ASSETS
With respect to a Series, to the extent provided in the related
Indenture or Pooling Agreement and the related Prospectus Supplement, the
related Issuer or the Company may deposit or withdraw Assets or substitute new
Mortgage Assets for Mortgage Assets previously included in the related Trust
Property or for Assets deposited in a Reserve Fund for such Series.
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PRE-FUNDING ARRANGEMENTS
To the extent provided in the related Prospectus Supplement for a
Series, the related Pooling Agreement will provide for a commitment by the
related Issuer to subsequently purchase additional Loan Assets ("Subsequent Loan
Assets") following the date on which the related Securities are issued (a
"Pre-Funding Arrangement"). With respect to a Series, the Pre-Funding
Arrangement will require that any Subsequent Loan Assets included in the Trust
Property conform to the requirements and conditions provided in the related
Pooling Agreement. If a Pre-Funding Arrangement is utilized in connection with
the issuance of the Series of Securities, on the closing date for the issuance
of such Series the related Trustee will be required to deposit in a segregated
account (a "Pre-Funding Account") all or a portion of the proceeds received by
such Trustee in connection with the sale of one or more Classes of Securities of
such Series; and, subsequently, the Issuer will acquire Subsequent Loan Assets
in exchange for the release of money from the Pre-Funding Account for such
Series. In addition, the Pre-Funding Arrangement will be limited to a specified
period, not to exceed three months, during which time any transfers of
Subsequent Loan Assets must occur and to a maximum deposit to the related
Pre-Funding Account of no more than twenty-five percent (25%) of the aggregate
proceeds received from the sale of all Classes of Securities of such Series.
If all of the funds originally deposited in the such Pre-Funding
Account are not used by the end of such specified period, then any remaining
amount of such funds will be applied as a mandatory prepayment of a Class or
Classes of Securities as specified in the related Prospectus Supplement.
Although it is intended that the principal amount of Subsequent Loan Assets to
be included as Trust Property after the closing date for the issuance of any
particular Series will require application of substantially all of the
Pre-Funding Account, and it is not anticipated that there will be any material
amount of principal distributions from amounts remaining on deposit in the
Pre-Funding Account in reduction of the principal balances of any Securities, no
assurance can be given that such a distribution with respect to the Securities
will not occur on the Distribution Date or Payment Date following the
termination of the Pre-Funding Arrangement. In any event, it is unlikely that
the Issuer will be able to deliver Subsequent Loan Assets with aggregate
principal balances that exactly equal the Pre-Funding Account, and the portion
of the Pre-Funding Account remaining at the end of the Pre-Funding Arrangement,
if any, will be distributed in reduction of the principal balance of the
Securities of the related Series, as set forth in related Prospectus Supplement.
As may be further specified in the related Prospectus Supplement,
amounts on deposit in the Pre-Funding Account will be invested in short-term
debt obligations of, or debt obligations guaranteed by, the United States,
repurchase agreements that satisfy the criteria specified in the applicable
Indenture or Pooling Agreement, certificates of deposit, time deposits and
bankers acceptances of any United States depository institution or trust
company, FDIC insured deposits, including deposits with the related Trustee,
commercial paper, debt obligations, and money market funds; provided such
investments are acceptable to each rating agency rating the Series of Securities
at the time at which the investments are made (collectively "Permitted
Instruments"); and provided further that an investment in such Permitted
Instruments will not require the Issuer for a Series to be registered as an
"investment company" under the Investment Company Act of 1940, as amended.
Permitted Instruments will consist of short term investments that convert into
cash or mature within a short period of time, have minimal or no exposure to
fluctuations in value as a result of market changes in prevailing interest rates
and are acceptable to each rating agency rating the applicable Series of
Securities.
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The utilization of a Pre-Funding Arrangement is intended to improve the
efficiency of the issuance of a Series of Securities and the sale and assignment
of the Loan Assets to the related Issuer through the incremental delivery of the
Loan Assets on the closing date and during the three month period following the
closing date for such Series, which allows for a more even accumulation of the
Assets by the Issuer and the issuance of a larger principal amount of Securities
for such Series than would be the case without a Pre-Funding Arrangement.
CREDIT ENHANCEMENT
GENERAL
Various forms of credit enhancement ("Credit Enhancement") may be
provided with respect to one or more Classes of a Series or with respect to the
Assets in the related Trust Property. Credit Enhancement may be in the form of
the subordination of one or more Classes of such Series, the establishment of
one or more Reserve Funds, the use of a cross-support feature, use of a Mortgage
Pool Insurance Policy, Special Hazard Insurance Policy, bankruptcy bond, or
another form of Credit Enhancement described in the related Prospectus
Supplement, or any combination of the foregoing. Unless otherwise specified in
the related Prospectus Supplement, any Credit Enhancement with respect to a
Series will not provide protection against all risks of loss and will not
guarantee repayment of the entire principal balance of the Securities of such
Series and interest thereon. If losses occur which exceed the amount covered by
such Credit Enhancement or which are not covered by the Credit Enhancement,
Holders will bear their allocable share of deficiencies.
SUBORDINATION
If so specified in the related Prospectus Supplement, payments or
distributions in respect of scheduled principal, interest or any combination
thereof that otherwise would have been payable or distributable to one or more
Classes of a Series (the "Subordinated Securities") will instead be payable to
one or more other Classes of such Series (the "Senior Securities") under the
circumstances and to the extent provided in such Prospectus Supplement. If
specified in the Prospectus Supplement, delays in receipt of scheduled payments
on the Mortgage Assets and losses on defaulted Mortgage Assets will be borne
first by the various Classes of Subordinated Securities and thereafter by the
various Classes of Senior Securities, in each case under the circumstances and
subject to the limitations specified in the Prospectus Supplement. The aggregate
payments or distributions in respect of delinquent payments or distributions on
the Mortgage Assets over the lives of the Securities of a Series or at any time,
the aggregate losses in respect of defaulted Mortgage Assets which must be borne
by the Subordinated Securities by virtue of subordination and the amount of the
payments or distributions otherwise payable or distributable to the Subordinated
Securities that will be distributable to Holders of Senior Securities on any
Payment Date or Distribution Date may be limited as specified in the related
Prospectus Supplement. If aggregate payments or distributions in respect of
delinquent payments or distributions on the Mortgage Assets or aggregate losses
in respect of such Mortgage Assets were to exceed the total amounts payable or
distributable and available for payment or distribution to Holders of
Subordinated Securities of, if applicable, were to exceed the specified maximum
amount, Holders of Senior Securities could experience losses on their
Securities.
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In addition to or in lieu of the foregoing, if so specified in the
related Prospectus Supplement, all or any portion of payments or distributions
otherwise payable or distributable to Holders of Subordinated Securities on any
Payment Date or Distribution Date may instead be deposited into one or more
Reserve Fund (as defined below) established by the related Trustee. If so
specified in the related Prospectus Supplement, such deposits may be made on
each Payment Date or Distribution Date, on each Distribution Date for specified
periods, or on each Distribution Date until the balance in the Reserve Fund has
reached a specified amount and, following payments from the Reserve Fund to
Holders of Senior Securities or otherwise, thereafter to the extent necessary to
restore the balance in the Reserve Fund to required levels, in each case as
specified in such Prospectus Supplement. If so specified in the related
Prospectus Supplement, amounts on deposit in the Reserve Fund may be released to
the Company or the Holders of any Class of Securities at the times and under the
circumstances specified in such Prospectus Supplement.
If specified in the related Prospectus Supplement, various Classes of
Senior Securities and Subordinated Securities may themselves be subordinate in
their right to receive certain distributions to other Classes of Senior and
Subordinated Securities, respectively, through a cross-support mechanism or
otherwise.
As between Classes of Senior Securities and as between Classes of
Subordinated Securities, payments or distributions may be allocated among such
Classes (i) in the order of their Stated Maturities or Assumed Final
Distribution Dates, (ii) in accordance with a schedule or formula, (iii) in
relation to the occurrence of events, or (iv) otherwise, in each case as
specified in the related Prospectus Supplement. As between Classes of
Subordinated Securities, payments or distributions to Holders of Senior
Securities on account of delinquencies or losses and payments to any Reserve
Fund will be allocated as specified in the related Prospectus Supplement.
OVERCOLLATERALIZATION
If provided in the related Prospectus Supplement, the aggregate
principal balance of the Mortgage Assets included in the Trust Property may
exceed the aggregate original principal balance of the Securities of a Series
thereby creating "Excess Collateral" on each Distribution Date or Payment Date.
If provided in the related Prospectus Supplement, such Excess Collateral may be
distributed to holders of Senior Securities to produce and maintain a specified
level of overcollateralization. With respect to a Series of Securities, the
overcollateralization level may be fixed or may increase or decrease over time,
subject to certain floors, caps and triggers, as set forth in the related
Prospectus Supplement and the related Indenture or Pooling Agreement.
CROSS-SUPPORT
If specified in the related Prospectus Supplement, separate Classes of
related Series of Securities may represent the beneficial ownership of or be
separately secured by, separate groups of Assets included in the Trust Property
for a Series or otherwise available for the benefit of such Securities. In such
case, Credit Enhancement may be provided by a cross-support feature which may
require that distributions or payments be made with respect to Securities
evidencing beneficial ownership of or secured by one or more asset groups prior
to distributions to Subordinated Securities evidencing a beneficial ownership
interest in or secured by other asset groups within the same Trust Estate or
Trust. The Prospectus Supplement for a Series which includes a cross-support
feature will describe the manner and conditions for applying such cross-support
feature.
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If specified in the Prospectus Supplement, the coverage provided by one
or more forms of Credit Enhancement may apply concurrently to two or more
separate Trust Estates or Trusts for a separate Series of Securities. If
applicable, the Prospectus Supplement will identify the Trusts to which such
credit support relates and the manner of determining the amount of the coverage
provided thereby and of the application of such coverage to the identified
Trusts.
POOL INSURANCE
With respect to a Series for which the related Trust Property includes
Mortgage Loans (and, if specified in the related Prospectus Supplement, a Series
for which the related Trust Property includes Contracts), in order to decrease
the likelihood that Holders of the Securities of such Series will experience
losses in respect of such Mortgage Loans, if specified in the related Prospectus
Supplement, one or more mortgage pool insurance policies (each, a "Mortgage Pool
Insurance Policy") will be obtained. Such Mortgage Pool Insurance Policy will,
subject to the limitations described below and in the Prospectus Supplement,
cover loss by reason of default in payments on such Mortgage Loans up to the
amounts specified in the Prospectus Supplement or report on Form 8-K and for the
periods specified in the Prospectus Supplement. Unless otherwise specified in
the related Prospectus Supplement, the Administrator under the related Indenture
or Pooling Agreement will agree to use its best reasonable efforts to cause to
be maintained in effect any such Mortgage Pool Insurance Policy and to file
claims thereunder to the issuer of such Mortgage Pool Insurance Policy (the
"Pool Insurer"). A Mortgage Pool Insurance Policy, however, is not a blanket
policy against loss, since claims thereunder may only be made respecting
particular defaulted Mortgage Loans and only upon satisfaction of certain
conditions precedent set forth in such policy as described in the related
Prospectus Supplement. Unless otherwise specified in the related Prospectus
Supplement, the Mortgage Pool Insurance Policies, if any, will not cover losses
due to a failure to pay or denial of a claim under a primary mortgage insurance
policy, irrespective of the reason therefor. The related Prospectus Supplement
will describe the terms of any applicable Mortgage Pool Insurance Policy and
will set forth certain information with respect to the related Pool Insurer.
SPECIAL HAZARD INSURANCE
With respect to a Series for which the related Trust Property includes
Mortgage Loans (and, if specified in the related Prospectus Supplement, each
Series for which the related Trust Property includes Contracts), in order to
decrease the likelihood that Holders of the Securities of such Series will
experience losses in respect of such Mortgage Loans, if specified in the related
Prospectus Supplement, one or more Special Hazard Insurance Policies will be
obtained. Such a "Special Hazard Insurance Policy" with respect to a Series
will, subject to limitations described below and in the related Prospectus
Supplement, protect Holders of the Securities of such Series from (i) loss by
reason of damage to Mortgaged Properties caused by certain hazards (including
earthquakes and, to a limited extent, tidal waves and related water damage) not
covered by the standard form of hazard insurance policy for the respective
states in which the Mortgaged Properties are located or under flood insurance
policies, if any, covering the Mortgaged Properties, and (ii) loss caused by
reason of the application of the coinsurance clause contained in hazard
insurance policies. See "Servicing of the Mortgage Loans, Multifamily Loans and
Contracts -- Standard Hazard Insurance." Any Special Hazard Insurance Policy may
not cover losses occasioned by war, civil insurrection, certain governmental
actions, errors in design, faulty workmanship or materials (except under certain
circumstances), nuclear reaction, flood (if the Mortgaged Property is located in
a federally designated flood area), chemical contamination and certain other
risks. Aggregate claims under each Special Hazard Insurance Policy will be
limited as described in the related Prospectus
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Supplement. Any Special Hazard Insurance Policy may also provide that no claim
may be paid unless hazard and if applicable, flood insurance on the Mortgaged
Property has been kept in force and other protection and preservation expenses
have been paid.
The related Prospectus Supplement will describe the terms of any
applicable Special Hazard Insurance Policy and will set forth certain
information with respect to the related Special Hazard Insurer.
FHA INSURANCE ON THE MULTIFAMILY LOANS
There are two primary FHA insurance programs that are available for
Multifamily Loans. Sections 221(d)(3) and (d)(4) of the Housing Act allow HUD to
insurance mortgage loans that are secured by newly constructed and substantially
rehabilitated multifamily rental projects. Section 244 of the Housing Act
provides for coinsurance of such mortgage loans made under Sections 221(d)(3)
and (d)(4) by HUD/FHA and a HUD-approved coinsurer. Generally the term of such a
mortgage loan can be up to 40 years and the ratio of loan amount to property
replacement cost can be up to 90%.
Section 223(f) of the Housing Act allows HUD to insure mortgage loans
made for the purchase or refinancing of existing apartment projects which are at
least three years old. Section 244 also provides for coinsurance of mortgage
loans made under Section 223(f). Under Section 223(f), the loan proceeds cannot
be used for substantial rehabilitation work, but repairs may be made for up to,
in general, the greater of 15% of the value of the project or a dollar amount
per apartment unit established from time to time by HUD. In general the loan
term may not exceed 35 years and a loan to value ratio of no more than 85% is
required for the purchase of a project and 70% for the refinancing of a project.
FHA insurance is generally payable in cash or at the option of the
mortgagee in debentures. Such insurance does not cover 100% of the mortgage loan
but is instead subject to certain deductions and certain losses of interest from
the date of the default.
BANKRUPTCY BOND
In the event of a bankruptcy of a borrower, the bankruptcy court may
establish the value of the property securing the related Mortgage Loan at an
amount less than the then outstanding principal balance of such Mortgage Loan.
The amount of the secured debt could be reduced to such value, and the holder of
such Mortgage Loan thus would become an unsecured creditor to the extent the
outstanding principal balance of such Mortgage Loan exceeds the value so
assigned to the property by the bankruptcy court. In addition, certain other
modifications of the terms of a Mortgage Loan can result from a bankruptcy
proceeding, including the reduction in monthly payments required to be made by
the borrower. See "Certain Legal Aspects of the Mortgage Assets" herein. If so
provided in the related Prospectus Supplement, the Company will obtain a
bankruptcy bond or similar insurance contract (the "bankruptcy bond") for
proceedings with respect to borrowers under the Bankruptcy Code. The bankruptcy
bond will cover certain losses resulting from a reduction by a bankruptcy court
of scheduled payments of principal of and interest on a Mortgage Loan or a
reduction by such court of the principal amount of a Mortgage Loan and will
cover certain unpaid interest on the amount of such a principal reduction from
the date of the filing of a bankruptcy petition.
A bankruptcy bond with respect to a Series will provide coverage in the
aggregate amount specified in the related Prospectus Supplement. Such amount
will be reduced by payments made under
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such bankruptcy bond in respect of the related Mortgage Loans, unless otherwise
specified in the related Prospectus Supplement, and will not be restored.
If specified in the related Prospectus Supplement, other forms of
Credit Enhancement may be provided to cover such bankruptcy-related losses. Any
bankruptcy bond or other form of Credit Enhancement provided to cover
bankruptcy-related losses will be described in the related Prospectus
Supplement.
RESERVE FUNDS
If specified in the Prospectus Supplement with respect to a Series,
assets such as cash, U.S. Treasury securities, instruments evidencing ownership
of principal or interest payments thereon, letters of credit, demand notes,
certificates of deposit or a combination thereof in the aggregate amount
specified in such Prospectus Supplement will be deposited by the related Issuer
or the Company in one or more accounts (each, a "Reserve Fund") established and
maintained with the related Trustee. Such cash and the payments on such other
assets will be used to enhance the likelihood of timely payment or distribution
of principal of and interest on, or, if so specified in the related Prospectus
Supplement, to provide additional protection against losses in respect of, the
Assets in the related Trust Property, to pay the expenses of the related Trust
Estate or Trust or for such other purposes specified in such Prospectus
Supplement. Whether or not the related Issuer or the Company has any obligation
to make such a deposit, certain amounts to which the Holders of the Subordinated
Securities of such Series, if any, the related Issuer or the Company would
otherwise be entitled may instead be deposited into the Reserve Fund from time
to time and in the amounts as specified in the related Prospectus Supplement.
Any cash in any Reserve Fund and the proceeds of any other instrument upon
maturity will be invested in Permitted Instruments. If a letter of credit is
deposited with the Trustee, such letter of credit will be irrevocable. Unless
otherwise specified in the Prospectus Supplement with respect to a Series, any
instrument deposited therein will name the related Trustee, in its capacity as
trustee for the Holders of the Securities of such Series, as beneficiary and
will be issued by an entity acceptable to each rating agency that rates such
Securities. Additional information with respect to such instruments deposited in
the Reserve Funds may be set forth in the Prospectus Supplement.
OTHER INSURANCE, GUARANTEES AND SIMILAR INSTRUMENTS OR AGREEMENTS
If specified in the Prospectus Supplement with respect to a Series, the
related Trust Property may also include or the Securities of such Series may
also have the benefits of, assets such as insurance, guarantees, surety bonds,
letters of credit, guaranteed investment contracts, swap agreements, option
agreements or similar arrangements for the purpose of (i) maintaining timely
payments or providing additional protection against losses on the Assets
included in such Trust Property, (ii) paying administrative expenses, (iii)
establishing a minimum reinvestment rate on the payments or distributions made
in respect of such Assets, (iv) guaranteeing timely payment or distribution of
principal and interest on the Securities of such Series, or (v) for such other
purpose as is specified in such Prospectus Supplement. Such arrangements may
include agreements under which Holders of the Securities of a Series are
entitled to receive amounts deposited in various accounts held by the related
Trustee upon the terms specified in the related Prospectus Supplement. Such
arrangements may be in lieu of any obligation of the Servicers or the
Administrator, if any, to advance delinquent installments in respect of the
Mortgage Loans. See "Servicing of Mortgage Loans, Multifamily Loans and
Contracts -- Advances".
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SERVICING OF THE MORTGAGE LOANS, MULTIFAMILY LOANS AND CONTRACTS
Except as otherwise noted, the description set forth below of the
servicing of Mortgage Loans and Multifamily Loans is applicable to Mortgage
Loans and Multifamily Loans (i) included in the Trust Property with respect to a
Series of Securities that includes Certificates and (ii) underlying Non-Agency
Certificates. Accordingly, except as otherwise noted, references under the
heading "Servicing of the Mortgage Loans, Multifamily Loans and Contracts" to
the "Administrator," the "Servicers," a "Servicing Agreement," and the "Trustee"
should be read as applying to the related Non-Agency Servicers, the Non-Agency
Servicing Agreements and the Certificate Trustees with respect to Non-Agency
Certificates.
Unless otherwise provided in the related Prospectus Supplement, with
respect to a Series of Certificates for which the related Trust Property
includes Mortgage Loans, Multifamily Loans and Contracts included in the Trust
Property for a Series of Certificates and Mortgage Loans and Multifamily Loans
underlying Non-Agency Certificates will be serviced either (i) by the related
Administrator as sole servicer, (ii) by the related Administrator as
administrator or master servicer, (iii) by one or more loan servicing
institutions as servicers or (iv) by another institution as master servicer. If
an institution other than the Administrator acts as the sole servicer or as the
master servicer for a Series or with respect to a Non-Agency Certificate, the
Administrator may have no servicing obligations with respect to such Series or
such Non-Agency Certificate. Generally, the discussion in this section of the
Prospectus is applicable under circumstances when the Administrator is an
affiliate of the Company. If the Administrator is not an affiliate of the
Company, the discussion relating to the servicing of the Mortgage Loans,
Multifamily Loans and Contracts as set forth below may be modified or superseded
by any discussion relating to the servicing of the Mortgage Loans, Multifamily
Loans and Contracts set forth in the Prospectus Supplement.
The Prospectus Supplement for each Series of Certificates for which the
related Trust Property includes Mortgage Loans, Multifamily Loans or Contracts,
and for each Series for which the related Trust Property includes Non-Agency
Certificates, will specify whether the Administrator or another institution will
act as sole servicer or master servicer. If the Administrator acts as master
servicer or administrator, all references to the Servicer under the heading
"Servicing of the Mortgage Loans, Multifamily Loans and Contracts" (and in the
case of a Series of Certificates, under the heading "The Pooling Agreement and
Deposit Trust Agreement") should be read to refer to the direct Servicers of
such series, acting under the supervision of the Administrator as master
servicer or administrator. If an institution other than the Administrator acts
as sole Servicer for a series, or acts as master servicer for such series, all
references to the Servicer herein and under the headings "Servicing of the
Mortgage Loans, Multifamily Loans and Contracts" and "The Pooling Agreement and
Deposit Trust Agreement" should be read to refer to such institution as sole or
master servicer, as appropriate.
Unless otherwise specified in the related Prospectus Supplement, the
Mortgage Loans, Multifamily Loans and Contracts will be serviced by one or more
loan servicing institutions (the "Servicers"), which may include the
Administrator, pursuant to servicing agreements between each Servicer and the
Administrator (each, a "Servicing Agreement").
SERVICING AGREEMENTS
Unless otherwise specified in the related Prospectus Supplement, each
Servicer must be a FNMA- or FHLMC-approved servicer of conventional mortgage
loans. In addition, the Administrator will require adequate servicing
experience, where appropriate, and financial stability, generally including a
net worth of at least $1,000,000, as well as satisfaction of certain other
criteria.
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Each Servicer will be required to perform the customary functions of a
mortgage loan servicer, including collection of payments from borrowers (the
"Mortgagors") and remittance of such collections to the Trustee, maintenance of
applicable standard hazard insurance and primary mortgage insurance policies,
maintenance of escrow or impoundment accounts of Mortgagors for payment of
taxes, insurance, and other items required to be paid by the Mortgagor pursuant
to the Mortgage Loan, Multifamily Loan and Contract, attempting to cure
delinquencies, supervising foreclosures, management of Mortgaged Properties
under certain circumstances, and maintaining accounting records relating to the
Mortgage Loans, Multifamily Loans and Contracts, as applicable. Unless otherwise
specified in the related Prospectus Supplement, each Servicer will also be
obligated to make advances in respect of delinquent installments of principal
and interest on Mortgage Loans, Multifamily Loans and Contracts, as applicable,
as described more fully under "-- Payments on Mortgage Loans" and "-- Advances,"
and in respect of certain taxes and insurance premiums not paid on a timely
basis by Mortgagors.
The Servicers will be entitled to a monthly servicing fee as specified
in the related Prospectus Supplement. The Servicers will also generally be
entitled to collect and retain, as part of their servicing compensation, late
payment charges and assumption underwriting fees. The Servicers will be
reimbursed from proceeds of one or more of the insurance policies described
herein ("Insurance Proceeds") or from proceeds received in connection with the
liquidation of defaulted Mortgage Loans ("Liquidation Proceeds") for certain
expenditures. See "-- Advances" and "-- Administration and Servicing
Compensation and Payment of Expenses" herein.
Each Servicer will be required to service each Mortgage Loan,
Multifamily Loan and Contract, as applicable, pursuant to the terms of its
Servicing Agreement for the entire term of such Mortgage Loan, Multifamily Loan
and Contract, as applicable, unless such Servicing Agreement is earlier
terminated by the Trustee, or in the event of a monetary default, by the
Administrator, on behalf of the Trustee. Upon termination of a Servicing
Agreement, the Administrator will act as Servicer of the related Mortgage Loans
pursuant to a Servicing Agreement on the same terms and conditions applicable to
any other Servicer.
PAYMENTS ON MORTGAGE LOANS
Each Servicer will establish and maintain a separate account (each, a
"Custodial Account"). Subject to the following paragraph, each Custodial Account
must be an account the deposits in which are fully insured by either the Federal
Deposit Insurance Corporation ("FDIC") or the National Credit Union
Administration ("NCUA") or are, to the extent such deposits are in excess of the
coverage provided by such insurance, continuously secured by certain obligations
issued or guaranteed by the United States of America. If at any time the amount
on deposit in such Custodial Account shall exceed the amount so insured or
secured, the applicable Servicer must remit to the Trustee the amount on deposit
in such Custodial Account which exceeds the amount so insured or secured, less
any amount such Servicer may retain for its own account pursuant to its
Servicing Agreement.
Notwithstanding the foregoing, the deposits in a Servicer's Custodial
Account will not be required to be fully insured or secured as described above,
and such Servicer will not be required to remit amounts on deposit therein in
excess of the amount so insured or secured, so long as such Servicer meets
certain requirements established by the rating agencies requested to rate the
Securities of the applicable Series.
Each Servicer is required to deposit into its Custodial Account on a
daily basis all amounts in respect of each Mortgage Loan received by such
Servicer, with interest adjusted to a rate (the
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"Remittance Rate") equal to the related Mortgage Rate less the Servicer's
servicing fee rate. On the 18th day of each month, or such other day specified
in the related Prospectus Supplement (the "Remittance Date"), each Servicer of
the Mortgage Loans will remit to the Trustee all funds held in its Custodial
Account with respect to each Mortgage Loan; provided, however, that Principal
Prepayments may be remitted on the Remittance Date in the month following the
month of such prepayment. Each Servicer will be required, pursuant to the terms
of the related Servicing Agreement and as specified in the Related Prospectus
Supplement, to remit with each Principal Prepayment interest thereon at the
Remittance Rate through the last day of the month in which such Principal
Prepayment is made. Each Servicer is also required to advance its own funds as
described below.
ADVANCES
Unless otherwise specified in the related Prospectus Supplement, with
respect to a delinquent Mortgage Loan, Multifamily Loan or Contract, the related
Servicer will be obligated to advance its own funds or funds from its Custodial
Account equal to the aggregate amount of payments of principal and interest
(adjusted to the applicable Remittance Rate) which were due on a due date and
which are delinquent as of the close of business on the business day preceding
the Remittance Date ("Monthly Advance"). Such advances are required to be made
by the Servicer unless the Servicer, with the concurrence of the Administrator,
determines that such advance ultimately would not be reimbursable under any
applicable insurance policy, from the proceeds of liquidation of the related
Mortgaged Properties, or from any other source (any amount not so reimbursable
being referred to herein as a "Nonrecoverable Advance"). Such advance obligation
will continue through the month following the month of final liquidation of such
Mortgage Loan, Multifamily Loan or Contract. Any Servicer funds thus advanced
will be reimbursable to such Servicer out of recoveries on the Mortgage Loans,
Multifamily Loans or Contracts with respect to which such amounts were advanced.
The Servicers will also be obligated to make advances with respect to certain
taxes and insurance premiums not paid by Mortgagors on a timely basis. Funds so
advanced are reimbursable to the Servicers out of recoveries on the related
Mortgage Loans, Multifamily Loans or Contracts. Each Servicer's right of
reimbursement for any advance will be prior to the rights of the Holders of the
Securities of the applicable Series to receive any related Insurance Proceeds or
Liquidation Proceeds.
Unless otherwise specified in the Prospectus Supplement with respect to
a Series, the Administrator will be obligated pursuant to the related Indenture
or Pooling Agreement to advance on or before the applicable Payment Date or
Distribution Date an amount equal to any Monthly Advance which a Servicer fails
to remit, but will not be obligated to make such advance if the Administrator
determines it to be a Nonrecoverable Advance. Failure by a Servicer to make a
required Monthly Advance will be grounds for termination under the related
Servicing Agreement.
SERVICING PROCEDURES
Unless otherwise specified in the related Prospectus Supplement, each
Servicer will service the Mortgage Loans, Multifamily Loans and Contracts
pursuant to written guidelines promulgated by the Company or the Administrator.
The Administrator will exercise its best reasonable efforts to insure that the
Servicers service the Mortgage Loans, Multifamily Loans and Contracts in
compliance with such guidelines and in a manner consistent with industry
standards.
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Mortgage Loans. The Servicer will be responsible for making reasonable
efforts to collect all payments called for under the Mortgage Loans. The
Servicer will be obligated to follow such normal practices and procedures as it
deems necessary or advisable to realize upon a defaulted Mortgage Loan. In this
regard, the Servicer may (directly or through a local assignee) sell the
property at a foreclosure or trustee's sale, negotiate with the Mortgagor for a
deed in lieu of foreclosure or, in the event a deficiency judgment is available
against the Mortgagor or other person (see "Certain Legal Aspects of the
Mortgage Assets -- The Mortgage Loans and Multifamily Loans -- Anti-Deficiency
Legislation and Other Limitations on Lenders" for a description of the limited
availability of deficiency judgments), foreclose against such property and
proceed for the deficiency against the appropriate person. The amount of the
ultimate net recovery (including the proceeds of any Mortgage Pool Insurance
Policy or other applicable Credit Enhancement), after reimbursement to the
Servicer of its expenses incurred in connection with the liquidation of any such
defaulted Mortgage Loan and prior unreimbursed advances of principal and
interest with respect thereto will be deposited in the Certificate Account for
the applicable Series (or, in the case of a Mortgage Loan underlying a
Non-Agency Certificate in an account maintained by the related Certificate
Trustee) when realized, and will be paid or distributed to Holders of the
Securities of such Series on the next Payment Date or Distribution Date
following the month of receipt (or, in the case of a Mortgage Loan underlying a
Non-Agency Certificate, will be distributed to the Trustee for the related
Series in accordance with the terms of such Non-Agency Certificate).
With respect to Cooperative Loans, any prospective purchaser will
generally have to obtain the approval of the board of directors of the relevant
Cooperative before purchasing the shares and acquiring rights under the related
proprietary lease or occupancy agreement. See "Certain Legal Aspects of the
Mortgage Assets" herein. This approval is usually based on the purchaser's
income and net worth and numerous other factors. Although the Cooperative's
approval is unlikely to be unreasonably withheld or delayed, the necessity of
acquiring such approval could limit the number of potential purchasers for those
shams and otherwise limit the ability to sell and realize the value of those
shares.
In general, a "tenant-stockholder" (as defined in Code Section
216(b)(2)) of a corporation that qualifies as a "cooperative housing
corporation" within the meaning of Code Section 216(b)(1) is allowed a deduction
for amounts paid or accrued within his taxable year to the corporation
representing his proportionate share of certain interest expenses and certain
real estate taxes allowable as a deduction under Code Section 216(a) to the
corporation under Code Sections 163 and 164. In order for a corporation to
qualify under Code Section 216(b)(1) for its taxable year in which such items
are allowable as a deduction to the corporation, such Section requires, among
other things, that at least 80% of the gross income of the corporation be
derived from its tenant-stockholders (as defined in Code Section 216(b)(2)). By
virtue of this requirement, the status of a corporation for purposes of Code
Section 216(b)(1) must be determined on a year-to-year basis. Consequently,
there can be no assurance that Cooperatives relating to the Cooperative Loans
will qualify under such Section for any particular year. In the event that such
a Cooperative fails to qualify for one or more years, the value of the
collateral securing any related Cooperative Loans could be significantly
impaired because no deduction would be allowable to tenant-stockholders under
Code Section 216(a) with respect to those years. In view of the significance of
the tax benefits accorded tenant-stockholders of a corporation that qualifies
under Code Section 216(b)(1), the likelihood that such a failure would be
permitted to continue over a period of years appears remote.
The Servicer will expend its own funds to restore property securing a
Mortgage Loan which has sustained uninsured damage only if it determines that
such restoration will increase the proceeds to Holders of liquidation of the
Mortgage Loan after the reimbursement to the Servicer of its expenses.
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If a Mortgaged Property has been or is about to be conveyed by the
Mortgagor, the Servicer will be obligated (to the extent it has knowledge of
such conveyance) to exercise its right to accelerate the maturity of the
Mortgage Loan, unless it reasonably believes it is unable to enforce that
Mortgage Loan's "due-on-sale" clause under the applicable law. If it reasonably
believes it may be restricted by law, for any reason, from enforcing such a
"due-on-sale" clause, the Servicer may enter into an assumption and modification
agreement with the person to whom such property has been or is about to be
conveyed, pursuant to which such person becomes liable under the Mortgage Note,
provided such person satisfies the criteria required to maintain the coverage
provided by applicable insurance policies (unless otherwise restricted by
applicable law). Any fee collected by the Servicer for entering into an
assumption agreement will be retained by the Servicer as additional servicing
compensation. For a description of circumstances in which the Servicer may be
unable to enforce "due-on-sale" clauses, see "Certain Legal Aspects of the
Mortgage Assets -- The Mortgage Loans and Multifamily Loans -- Enforceability of
Certain Provisions." In connection with any such assumption, the Mortgage Rate
borne by the related Mortgage Note may not be decreased.
The Servicer will maintain with one or more depository institutions one
or more accounts into which it will deposit all payments of taxes, insurance
premiums, assessments or comparable items received for the account of the
mortgagors. Withdrawals from such account or accounts may be made only to effect
payment of taxes, insurance premiums, assessments or comparable items, to
reimburse the Servicer out of related collections for any cost incurred in
paying taxes, insurance premiums and assessments or otherwise preserving or
protecting the value of the Mortgages, to refund to mortgagors any amounts
determined to be overages and to pay interest to mortgagors on balances in such
account or accounts to the extent required by law.
So long as it acts as servicer of the Mortgage Loans, the Servicer will
be required to maintain certain insurance covering errors and omissions in the
performance of its obligations as servicer and certain fidelity bond coverage
ensuring against losses through wrongdoing of its officers, employees and
agents.
Contracts. With respect to Trust Property that includes Contracts,
pursuant to each Servicing Agreement, the Servicer will service and administer
the Contracts assigned to the Trustee as more fully set forth below. The
Administrator, either directly or through Servicers subject to general
supervision by the Administrator, will perform diligently all services and
duties specified in each Pooling Agreement, in the same manner as prudent
lending institutions of manufactured housing installment sales contracts of the
same type as the Contracts in those jurisdictions where the related Manufactured
Homes are located. The Administrator will monitor the performance of each
Servicer, if any, and, unless the related Prospectus Supplement states
otherwise, will remain liable for the servicing of the Contracts in accordance
with the terms of the Pooling Agreement. The duties to be performed by the
Servicer will include collection and remittance of principal and interest
payments, collection of insurance claims and, if necessary, repossession.
Each Servicing Agreement will provide that, when any Manufactured Home
securing a Secured Contract is about to be conveyed by the borrower, the
Servicer (to the extent it has knowledge of such prospective conveyance and
prior to the time of the consummation of such conveyance) may exercise its
rights to accelerate the maturity of such Contract under the applicable
"due-on-sale" clause, if any, unless the Servicer reasonably believes it is
unable to enforce such "due-on-sale" clause under applicable law. In such case,
the Servicer is authorized to take or enter into an assumption agreement from or
with the person to whom such Manufactured Home has been or is about to be
conveyed, pursuant to which such
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person becomes liable under the related Secured Contract, provided such person
satisfies the criteria required to maintain the coverage provided by applicable
insurance policies (unless otherwise restricted by applicable law). Where
authorized by the Contract the APR may be increased, upon assumption, to the
then-prevailing market rate, but will not be decreased.
Under each Servicing Agreement, the Servicer will repossess or
otherwise comparably convert the ownership of properties securing such of the
related Contracts as come into and continue in default and as to which no
satisfactory arrangements can be made for collection of delinquent payments. In
connection with such repossession or other conversion, the Servicer will follow
such practices and procedures as it deems necessary or advisable and as shall be
normal and usual in its general servicing activities. The Servicer, however,
will not be required to expend its own funds in connection with any repossession
or towards the restoration of any property unless it determines (i) that such
restoration or repossession will increase the proceeds of liquidation of the
related Contract to the Holders after reimbursement to itself for such expenses
and (ii) that such expenses will be recoverable to it either through liquidation
proceeds or through insurance proceeds.
PRIMARY MORTGAGE INSURANCE
Generally, Mortgage Loans that the Company acquires do not have
Loan-to-Value Ratios in excess of 80% of their Original Value. Unless otherwise
specified in the Prospectus Supplement, Mortgage Loans that the Company acquires
that have an original principal amount exceeding 80% of Original Value usually
will have primary mortgage insurance. The Company generally requires such
coverage to continue until the Loan-to-Value Ratio drops below 80%.
The primary mortgage insurance policies will not insure against certain
losses which may be sustained in the event of a personal bankruptcy of the
mortgagor under a Mortgage Loan.
The primary mortgage insurance policies generally provide that no claim
may be validly presented thereunder unless (i) certain cash advances have been
made, and (ii) where there has been physical loss or damage to the Mortgaged
Property, it has been restored to its condition as of the date it was insured,
reasonable wear and tear excepted. Assuming the satisfaction of these
conditions, the issuer of a primary mortgage insurance policy will be required,
within the applicable policy limits, to pay either (a) an amount equal to the
principal balance of the defaulted Mortgage Loan covered thereby, plus accrued
and unpaid interest thereon to the date of claim, property preservation
expenses, certain other costs and other advances made by the insured, against
receipt of good and marketable title to the Mortgaged Property or (b) the
product of the amount described in clause (a), subject to certain exceptions,
multiplied by the applicable percentage of insurance coverage.
Any primary mortgage insurance relating to a pool of Contracts will be
described in the related Prospectus Supplement.
Claim payments, if any, under each primary mortgage insurance policy
will be required to be remitted by the Servicers to the Administrator and will
be treated in the same manner as a prepayment of a Mortgage Loan.
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STANDARD HAZARD INSURANCE
Mortgage Loans
Unless otherwise specified in the Prospectus Supplement, the Servicer
will be required pursuant to a Servicing Agreement to cause to be maintained for
each Mortgage Loan a standard hazard insurance policy. The coverage of such
policy is required to be in an amount not less than the maximum insurable value
of the improvements securing such Mortgage Loan from time to time or the
principal balance owing on such Mortgage Loan from time to time, whichever is
less. In all events, such coverage shall be in an amount sufficient to ensure
avoidance of the applicability of the co-insurance provisions under the terms
and conditions of the applicable policy. The ability of each Servicer to assure
that hazard insurance proceeds are appropriately applied may be dependent on its
being named as an additional insured under any standard hazard insurance policy
and under any flood insurance policy referred to below, or upon the extent to
which information in this regard is furnished to such Servicer by Mortgagors.
All amounts collected by a Servicer under a standard hazard insurance policy
will be deposited in such Servicer's Custodial Account. Unless otherwise
specified in the related Prospectus supplement, each servicing Agreement will
provide that the related Servicer may satisfy its obligation to cause hazard
insurance policies to be maintained by maintaining a blanket policy insuring
against hazard losses on the Mortgage Loans serviced by such Servicer.
In general, the standard form of fire and extended coverage policy
covers physical damage to or destruction of the improvements on the property by
fire, lightning, explosion, smoke, windstorm and hail, riot, strike and civil
commotion, subject to the conditions and exclusions particularized in each
policy. Although the policies relating to the Mortgage Loans will be under
written by different insurers and, therefore, will not contain identical terms
and conditions, the basic terms thereof are dictated by state law. Such policies
typically do not cover any physical damage resulting from the following: war,
revolution, governmental actions, floods and other water-related causes, earth
movement (including earthquakes, landslides and mud flow), nuclear reactions,
wet or dry rot, vermin, rodents, insects or domestic animals, theft and, in
certain cases, vandalism. The foregoing list is merely indicative of certain
kinds of uninsured risks and is not intended to be all-inclusive. If the
property securing a Mortgage Loan is located in a federally designated flood
area, the Pooling Agreement will require that flood insurance be maintained in
such amounts as would be required by the Federal National Mortgage Association
in connection with its mortgage loan purchase program. The Administrator may
also purchase special hazard insurance against certain of the uninsured risks
described above. See "Credit Enhancement -- Special Hazard Insurance".
Since the amount of hazard insurance the Administrator is required to
cause to be maintained on the improvements securing the Mortgage Loans declines
as the principal balances owing thereon decrease, if the residential properties
securing the Mortgage Loans appreciate in value over time, the effect of
coinsurance in the event of partial loss may be that hazard insurance proceeds
will be insufficient to restore fully the damaged property.
The Administrator will not require that a standard hazard or flood
insurance policy be maintained on the cooperative dwelling relating to any
Cooperative Loan. Generally, the Cooperative itself is responsible for
maintenance of hazard insurance for the property owned by the Cooperative and
the tenant-stockholders of that Cooperative do not maintain individual hazard
insurance policies. To the extent, however, that a Cooperative and the related
borrower on a Cooperative Loan do not maintain such insurance or do not maintain
adequate coverage or any insurance proceeds are not applied to the restoration
of damaged property, any damage to such borrower's cooperative dwelling or such
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Cooperative's building could significantly reduce the value of the collateral
securing such Cooperative Loan to the extent not covered by other credit
support.
Secured Contracts
Unless otherwise specified in the Prospectus Supplement, the terms of
each Servicing Agreement will require the Servicer to cause to be maintained
with respect to each Secured Contract one or more hazard insurance policies
which provide, at a minimum, the same coverage as a standard form fire and
extended coverage insurance policy that is customary for manufactured housing,
issued by a company authorized to issue such policies in the state in which the
Manufactured Home is locate, and in an amount which is not less than the maximum
insurable value of such Manufactured Home or the principal balance due from the
borrower on the related Secured Contract, whichever is less. When a Manufactured
Home's location was, at the time of origination of the related Secured Contract,
within a federally designated special flood hazard area, the Administrator also
shall cause such flood insurance to be maintained, which coverage shall be at
least equal to the minimum amount specified in the preceding sentence or such
lesser amount as may be available under the federal flood insurance program.
The Servicer may maintain, in lieu of causing individual hazard
insurance policies to be maintained with respect to each Manufactured Home, and
shall maintain, to the extent that the related Secured Contract does not require
the borrower to maintain a hazard insurance policy with respect to the related
Manufactured Home, one or more blanket insurance policies covering losses on the
borrowers' interests in the Secured Contracts resulting from the absence or
insufficiency of individual hazard insurance policies.
The Servicer, to the extent practicable, will cause the borrowers to
pay all taxes and similar governmental charges when and as due. To the extent
that nonpayment of any taxes or charges would result in the creation of a lien
upon any Manufactured Home having a priority equal or senior to the lien of the
related Secured Contract, the Servicer will pay any such delinquent tax or
charge.
If the Servicer repossesses a Manufactured Home on behalf of the
Trustee, the Servicer will either (i) maintain at its expense hazard insurance
with respect to such Manufactured Home, or (ii) indemnify the Trustee against
any damage to such Manufactured Home prior to resale or other disposition.
Multifamily Loans
Unless otherwise provided in the Prospectus Supplement relating to a
Series of Certificates for which the related Trust Property includes Multifamily
Loans or relating to a Series for which the related Trust Property includes
Non-Agency Certificates backed by Multifamily Loans, the Servicer will be
required to be maintained, for each Multifamily Loan, a standard hazard
insurance policy with extended coverage in an amount which is at least equal to
the lesser of the original principal balance of the Multifamily Loan, or the
replacement cost of the related Multifamily Project. Where any part of any
improvement to the Multifamily Project is located in an area identified by the
Flood Emergency Management Agency as having special flood hazards and flood
insurance has been made available, the Master Servicer is required to cause to
be maintained with a generally acceptable insurance carrier a flood insurance
policy meeting the requirements of the current guidelines of the Federal
Insurance Administration, providing coverage in an amount not less than (i) the
original principal balance of the Multifamily Loan, (ii) the insurable value of
the Multifamily Project, or (iii) the maximum amount of insurance available
under the Flood Disaster Protection Act of 1973, as amended, which ever is less.
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Additional insurance coverage for specific properties in a Multifamily
Loan Pool included in the Trust Property for a Series will be described in the
related Prospectus Supplement.
TITLE INSURANCE POLICIES
The Servicing Agreements will require that a title insurance policy be
in effect on each of the Mortgaged Properties and that such title insurance
policy contain no coverage exceptions, except those permitted pursuant to the
guidelines heretofore established by FNMA.
CLAIMS UNDER PRIMARY MORTGAGE INSURANCE POLICIES AND STANDARD HAZARD INSURANCE
POLICIES; OTHER REALIZATION UPON DEFAULTED LOANS
Each Servicer will present claims to any primary insurer under any
related primary mortgage insurance policy and to the hazard insurer under any
related Standard Hazard Insurance Policy. All collections under any related
primary mortgage insurance policy or any related standard hazard insurance
policy (less any proceeds to be applied to the restoration or repair of the
related Mortgaged Property) will be remitted to the Trustee.
If any Mortgage Property securing a defaulted Mortgage Loan is damaged
and proceeds, if any, from the related standard hazard insurance policy are
insufficient to restore the damaged property to a condition sufficient to permit
recovery under any applicable Mortgage Pool Insurance Policy or any related
primary mortgage insurance policy, each Servicer will be required to expend its
own funds to restore the damaged property. In the event that a Servicer fails to
make a required expenditure, the Administrator will be required to make such
expenditure. In either case, the Servicer and the Administrator will be required
to make such expenditures only to the extent it determines such expenditures are
recoverable from Insurance Proceeds or Liquidation Proceeds.
If recovery under any applicable Mortgage Pool Insurance Policy or any
related primary mortgage insurance policy is not available, the Servicer or the
Administrator, as the case may be, will nevertheless be obligated to attempt to
realize upon the defaulted Mortgage Loan. Foreclosure proceedings will be
conducted by the Servicer with the concurrence of the Administrator. If the
proceeds of any liquidation of the Mortgaged Property securing the defaulted
Mortgage Loan are less than the principal balance of the defaulted Mortgage Loan
plus interest accrued thereon, a loss will be realized on such Mortgage Loan, to
the extent the applicable Credit Enhancement is not sufficient, in the amount of
such difference plus the aggregate of expenses incurred by the Servicer in
connection with such proceedings and which are reimbursable under the Pooling
Agreement. Consequently, any default by an insurer under any insurance policy or
bankruptcy bond, any losses in excess of any insurance policy or bankruptcy
limits, any uninsured loss and any interest shortfalls not otherwise covered as
described herein or in the Prospectus Supplement will likely result in losses
being borne by one or more Holders of the affected Series.
Because Insurance Proceeds cannot exceed deficiency claims and certain
expenses incurred by the Servicer, no payments under the related Mortgage Pool
Insurance Policy, if any, will result in a recovery on the Mortgage Loans which
exceeds the principal balance of the defaulted Mortgage Loan together with
accrued interest thereon. In addition, where a Mortgaged Property securing a
defaulted Mortgage Loan can be resold for an amount exceeding the principal
balance of the related Mortgage Loan together with accrued interest and
expenses, it may be expected that, where retention of any such amount
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is legally permissible, the Pool Insurer will exercise its right under the
related Mortgage Pool Insurance Policy, if any, to purchase such Mortgaged
Property and realize for itself any excess proceeds.
Liquidation Proceeds and Insurance Proceeds may initially be credited
to a separate account (the "Advance Account") in order to facilitate the
reimbursement of advances made by Servicers, the Administrator or an insurer.
Such proceeds will be held in the Advance Account until the earlier of the date
of final reimbursement to the appropriate parties and the second Remittance Date
after the date on which they were deposited in the Advance Account. Interest
shortfalls may be suffered on Securities if and to the extent that Liquidation
Proceeds and Insurance Proceeds are retained in the Advance Account during a
period in which Servicers are not making Monthly Advances.
ADMINISTRATION AND SERVICING COMPENSATION AND PAYMENT OF EXPENSES
With respect to each Mortgage Loan, Multifamily Loan and Contract, the
Administrator may receive compensation with respect to each interest payment
thereon in an amount specified in the related Prospectus Supplement. As
compensation for its servicing duties, each Servicer will be entitled to a
monthly servicing fee in the amount specified in the related Prospectus
Supplement. In addition to the primary compensation, each Servicer will retain
all assumption underwriting fees and late payment charges, to the extent
collected from Mortgagors.
The Administrator and each Servicer will be entitled to reimbursement
for certain expenses incurred by it in connection with the liquidation of
defaulted Mortgage Loans, Multifamily Loans and Contracts. No loss will be
suffered on the Certificates by reason of such expenses to the extent claims for
such expenses are paid directly under any applicable Mortgage Pool Insurance
Policy, a primary mortgage insurance policy, the special hazard insurance policy
or from other forms of Credit Enhancement. In the event, however, that the
defaulted Mortgage Loans are not covered by a Mortgage Pool Insurance Policy,
Primary Mortgage Insurance Policies, Special Hazard Insurance Policy, Standard
Hazard Insurance Policies or another form of Credit Enhancement, or claims are
either not made or not paid under such policies or Credit Enhancement, or if
coverage thereunder has ceased, a loss will occur on the Securities of the
affected Series to the extent that the proceeds from the liquidation of a
defaulted Mortgage Loan, Multifamily Loan or Contract, after reimbursement of
the Administrator's and the Servicer's expenses, are less than the principal
balance of such defaulted Mortgage Loan, Multifamily Loan or Contract.
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THE INDENTURE
The following summaries describe certain provisions of the Indenture
not described elsewhere in this Prospectus. Where particular provisions or terms
used in the Indenture are referred to, the actual provisions (including
definitions of terms) are incorporated by reference as part of such summaries.
The description set forth below is subject to modification in the Prospectus
Supplement for a Series of Bonds to describe the terms and provisions of the
particular Indenture relating to such Series of Bonds.
MODIFICATION OF INDENTURE
With the consent of the holders of not less than two-thirds of the then
aggregate principal amount of the outstanding Bonds of any Series issued under
an Indenture, the related Trustee and the related Issuer may execute a
supplemental indenture to add provisions to, or change in any manner or
eliminate any provisions of, the Indenture with respect to such Series or modify
(except as provided below) in any manner the rights of the holders of such
Bonds.
Without the consent of the Holder of each outstanding Bond of such
Series affected thereby, however, no supplemental indenture shall (a) change the
Stated Maturity of the principal of, or any installment of interest on, any Bond
of such Series or reduce the principal amount thereof, the interest rate
specified thereon (except as provided in the related Indenture with respect to
any Class of Bonds which are Variable Interest Rate Securities), the redemption
price with respect thereto or the earliest date on which any Bonds of such
Series may be redeemed at the option of the Issuer, or change any place of
payment where, or the coin or currency in which, any Bond of such Series or any
interest thereon is payable, or impair the right to institute suit for the
enforcement of certain provisions of the Indenture regarding payment, (b) reduce
the percentage of the aggregate principal amount of the outstanding Bonds of
such Series, the consent of the Holders of which is required for any such
supplemental indenture, or the consent of the Holders of which is required for
any waiver of compliance with certain provisions of the Indenture or of certain
defaults thereunder and their consequences as provided for in the Indenture, (c)
modify the provisions of the Indenture specifying the circumstances under which
such a supplemental indenture may not change the provisions of the Indenture
without the consent of the Holders of each outstanding Bond of such Series
affected thereby, or the provisions of the Indenture with respect to certain
remedies available in an Event of Default (as described below), except to
increase any percentage specified therein or to provide that certain other
provisions of the Indenture cannot be modified or waived without the consent of
the Holder of each outstanding Bond affected thereby, (d) modify or alter the
provisions of the Indenture regarding the voting of Bonds held by the Issuer or
an affiliate of the Issuer, (e) permit the creation of any lien ranking prior to
or on the parity with the lien of the Indenture with respect to any part of the
property subject to a lien under the Indenture or terminate the lien of the
Indenture on any property at any time subject thereto or deprive the Holder of
any Bond of such Series of the security afforded by the lien of the Indenture,
or (f) modify any of the provisions of the Indenture in such manner as to affect
the rights of the Holders of Bonds of such Series to the benefits of any
provisions for the redemption at the request of Holders of Bonds of such Series
contained therein.
Each Issuer and the respective Trustee may also enter into supplemental
indentures, without obtaining the consent of Holders of such Series, to cure
ambiguities or make minor corrections, to provide for the issuance of Bonds in
bearer or registered form or for the conversion of any outstanding Bonds to
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or from bearer form and to do such other things as would not adversely affect
the interests of the Holders of such Series.
EVENTS OF DEFAULT
An "Event of Default" with respect to any Series of Bonds is defined in
the respective Indenture under which such Bonds are issued as being: (a) unless
otherwise specified in the Prospectus Supplement for such Series, a default in
the payment of principal of any Bond of such Series or a default for ten days or
more in the payment of any interest on any Bond of such Series; (b) a default in
the observance of certain negative covenants in the Indenture or in the
observance of certain covenants relating to redemptions of Bonds of such Series;
(c) a default in the observance of any other covenant of the Indenture, and the
continuation of any such default for a period of sixty days after notice to the
Issuer by the Trustee or to the Issuer and the Indenture Trustee by the Holders
of at least 25% in principal amount of the Bonds of such Series then
outstanding; (d) the failure of the lien of the Indenture to constitute a valid
first priority security interest in the Trust Estate, (e) any representation or
warranty made by the Issuer in the Indenture or in any certificate delivered
pursuant thereto having been incorrect in a material respect as of the time
made, and the circumstance in respect of which such representation or warranty
is incorrect not having been cured within thirty days after notice thereof is
given to the Issuer by the Trustee or by the Holders of at least 25% in
principal amount of the Bonds of such Series then outstanding; or (f) certain
events of bankruptcy, insolvency, receivership or reorganization of the Issuer.
RIGHTS UPON EVENT OF DEFAULT
In case an Event of Default should occur and be continuing with respect
to a Series of Bonds, the Trustee may, and on request of Holders of more than
50% in principal amount of the Bonds of such Series then outstanding shall,
declare the principal of such Series of Bonds to be due and payable. Such
declaration may under certain circumstances be rescinded by the Holders of a
majority in principal amount of the Bonds of such Series then outstanding.
If, following an Event of Default, a Series of Bonds has been declared
to be due and payable, the Trustee may, in its discretion (provided that the
Holders of the Bonds of such Series have not directed the Trustee to sell the
Assets included in the related Trust Estate), refrain from selling such Assets
and continue to apply all amounts received on such Assets to payments due on the
Bonds of such Series in accordance with their terms, notwithstanding the
acceleration of the maturity of such Bonds. The Trustee, however, must sell the
Assets included in the related Trust Estate for such Series if collections in
respect of such Assets are determined to be insufficient to make all scheduled
payments on Bonds of such Series, in which case payments will be made on the
Bonds in the same manner as described in the next sentence with regard to
instances in which such Assets are sold. In addition, upon an Event of Default
the Trustee may, in its discretion (provided that, unless the Event of Default
relates to a default in payment of principal or interest, the Trustee must
receive the consent of the Holders of all outstanding Bonds of such Series, and
certain other conditions must be met), sell the Assets included in the related
Trust Estate for such Series, in which event the Bonds of such Series will be
payable pro rata, without regard to their Stated Maturities, out of the
collections on, or the proceeds from the sale of, such Assets and any overdue
installments of interest on the Bonds will, to the extent permitted by
applicable law, bear interest at the highest stated interest rate borne by any
Bond of such Series.
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Subject to the provisions of the Indenture relating to the duties of
the Trustee, in case an Event of Default shall occur and be continuing, the
Trustee shall be under no obligation to exercise any of the rights and powers
under the Indenture at the request or direction of any of the Holders of Bonds,
unless such Holders have offered to the Trustee reasonable security or indemnity
satisfactory to it against the costs, expenses and liabilities which might be
incurred by it in compliance with such request or direction. Subject to such
provisions for indemnification and certain limitations contained in the
Indenture, the Holders of a majority in principal amount of the outstanding
Bonds of a Series shall have the right to direct the time, method, and place of
conducting any proceeding or any remedy available to the Trustee or exercising
any trust or power conferred on the Trustee with respect to the Bonds of such
Series; and the Holders of a majority in principal amount of the Bonds of a
Series then outstanding may, in certain cases, waive any default with respect
thereto, except a default in the payment of principal or interest or a default
in respect of a covenant or provision of the Indenture that cannot be modified
without the waiver or consent of the Holder of each outstanding Bond affected
thereby.
LIST OF HOLDERS OF BONDS
Three or more Holders of the Bonds of any Series (each of whom has
owned a Bond of such Series for at least six months) may, by written request to
the Trustee, obtain access to the list of all Holders of the Bonds of such
Series maintained by the Trustee for the purpose of communicating with other
Holders with respect to their rights under the Indenture. The Trustee may elect
not to afford the requesting Holders access to the list of Holders if it agrees
to mail the desired communication or proxy, on behalf of the requesting Holders,
to all Holders.
ISSUER'S ANNUAL COMPLIANCE STATEMENT
The Issuer will be required to file annually with the Trustee a written
statement as to the fulfillment of its obligations under the Indenture.
TRUSTEE'S ANNUAL REPORT
The Trustee will be required to mail each year to all Holders a brief
report relating to its eligibility and qualifications to continue as the Trustee
under the Indenture, any amounts advanced by it under the Indenture, the amount,
interest rate and maturity date of certain indebtedness owing by the Issuer to
it in the Trustee's individual capacity, the property and funds physically held
by the Trustee as such, any release, or release and substitution, of property
subject to the lien of the Indenture which has not been previously reported, any
additional Series of Bonds not previously reported and any action taken by it
which materially affects the Bonds and which has not been previously reported.
SATISFACTION AND DISCHARGE OF INDENTURE
The Indenture will be discharged with respect to the Assets securing
the Bonds of a Series upon the delivery to the Trustee for cancellation of all
of the Bonds of such Series or, with certain limitations, upon deposit with the
Trustee of funds sufficient for the payment in full of all of the Bonds of such
Series.
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REPORTS BY TRUSTEE TO BONDHOLDERS
On each Principal Payment Date or Special Redemption Date, the Trustee
will send a report to each Holder setting forth, among other things, the amount
of such payment representing interest, the amount thereof, if any, representing
principal and the outstanding principal amount of an individual Bond of each
Class (or the aggregate principal amount of the Bonds of each Class in the case
of Holders of Bonds on which payments of interest only are then being made)
after giving effect to the payments made on such Principal Payment Date or
Special Redemption Date.
LIMITATION ON SUITS
No Holder of a Bond of any Series will have any right to institute any
proceedings with respect to the Indenture unless (1) such Holder has previously
given written notice to the Trustee of a continuing Event of Default with
respect to such Series; (2) the Holders of at least 25% in principal amount of
the Bonds of such Series then outstanding have made written request to the
Trustee to institute proceedings in respect of such Event of Default in its own
name as Trustee; (3) such Holders have offered to the Trustee reasonable
indemnity satisfactory to it against the costs, expenses and liabilities to be
incurred in compliance with such request; (4) for 60 days after its receipt of
such notice, request and offer of indemnity the Trustee has failed to institute
any such proceedings; and (5) no direction inconsistent with such written
request has been given to the Trustee during such 60-day period by the Holders
of at least 50% in principal amount of the Bonds of such Series then
outstanding.
THE POOLING AGREEMENT AND DEPOSIT TRUST AGREEMENT
The following summaries describe certain provisions of the Pooling
Agreement and the Deposit Trust Agreement not described elsewhere in this
Prospectus. Where particular provisions or terms used in the Pooling Agreement
or Deposit Trust Agreement are referred to, the actual provisions (including
definitions of terms) are incorporated by reference as a part of such summaries.
The description set forth below is subject to modification in the Prospectus
Supplement for a Series of Certificates to describe the terms and provisions of
the particular Pooling Agreement or Deposit Trust Agreement relating to such
Series of Certificates.
Generally, the discussion in this section of the Prospectus is
applicable under circumstances when the Administrator is an affiliate of the
Company. If the Administrator is not an affiliate of the Company, the discussion
relating to pooling and administration (or master servicing) as set forth below
may be modified or superseded by any discussion relating to the pooling and
administration (or master servicing) set forth in the Prospectus Supplement. In
addition, certain of the following summaries only apply to a Pooling Agreement
relating to series of Certificates for which the related Trust Property includes
Mortgage Loans, Multifamily Loans or Contracts. Provisions of Pooling Agreements
or Deposit Trust Agreements relating to series of Certificates for which the
related Trust Property includes other types of Mortgage Assets will be
summarized and described in the related Prospectus Supplement.
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ASSIGNMENT OF MORTGAGE ASSETS
Assignment of Mortgage Loans
At the time of issuance of the Certificates of a Series, the Issuer
will assign the Mortgage Loans to the related Trustee, together with all
principal and interest (subject to exclusions or adjustments specified in the
related Prospectus Supplement received by the Issuer on or with respect to such
Mortgage Loans on or after the Cut-off Date) other than principal and interest
due and payable on or before the Cut-off Date. The Trustee will, concurrently
with such assignment, execute, countersign and deliver the Certificates to the
Issuer in exchange for the Mortgage Loans. Each Mortgage Loan will be identified
in a schedule appearing as an exhibit to the related pooling or sale agreement.
In addition, as to each Mortgage Loan, the Issuer will deliver to the
Trustee the Mortgage Note and Mortgage, any assumption and modification
agreement, an assignment of the Mortgage in recordable form, evidence of title
insurance and, if applicable, the certificate of private mortgage insurance. In
instances where recorded documents cannot be delivered due to delays in
connection with recording, the Issuer may deliver copies thereof and deliver the
original recorded documents promptly upon receipt.
With respect to any Mortgage Loans which are Cooperative Loans, the
Issuer, as depositor, will cause to be delivered to the Trustee, the related
original Cooperative note endorsed to the order of the Trustee, the original
security agreement, the proprietary lease or occupancy agreement, the
recognition agreement, an executed financing agreement and the relevant stock
certificate and related blank stock powers. The Issuer will file in the
appropriate office an assignment and a financing statement evidencing the
Trustee's security interest in each Cooperative Loan.
Unless otherwise specified in the related Prospectus Supplement, in the
Pooling Agreement or Deposit Trust Agreement the Issuer generally will represent
and warrant to the Trustee, among other things, that (i) the information set
forth in the schedule of Mortgage Loans attached thereto is correct in all
material respects; (ii) a lender's title insurance policy or binder for each
Mortgage Loan included in the Trust Property was issued on the date of
origination thereof and each such policy or binder assurance is valid and
remains in full force and effect; (iii) at the date of initial issuance of the
Certificates, the Issuer has good title to the Mortgage Loans and the Mortgage
Loans are free of offsets, defenses or counterclaims; (iv) at the date of
initial issuance of the Certificates, each Mortgage is a valid first lien on the
property securing the Mortgage Note (subject only to (a) the lien of current
real property taxes and assessments, (b) covenants, conditions, and
restrictions, rights of way, easements and other matters of public record as of
the date of the recording of such Mortgage, such exceptions appearing of record
being acceptable to mortgage lending institutions generally in the area wherein
the property subject to the Mortgage is located or specifically reflected in the
appraisal obtained by the Company and (c) other matters to which like properties
are commonly subject which do not materially interfere with the benefits of the
security intended to be provided by such Mortgage) and such property is free of
material damage and is in good repair or, with respect to junior Lien Mortgage
Loans, that such Mortgage is a valid junior lien Mortgage, as the case may be,
and specifying the percentage of the Mortgage Loan Pool comprised of junior Lien
Mortgage Loans; (v) at the date of initial issuance of the Certificates, no
Mortgage Loan is 30 or more days delinquent and there are no delinquent tax or
assessment liens against the property covered by the related Mortgage; (vi) at
the date of initial issuance of the Certificates, the portion of each Mortgage
Loan, if any, which in the circumstances set forth above under "Servicing of the
Mortgage Loans, Multifamily Loans and Contracts -- Primary Mortgage Insurance"
should be insured with a private mortgage insurer is so insured; and (vii) each
Mortgage Loan at the time it was made complied in all
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material respects with applicable state and federal laws, including, without
limitation, usury, equal credit opportunity and disclosure laws.
In the event that the Issuer has acquired the Mortgage Loans for a
Series, if so specified in the related Prospectus Supplement, the Issuer may, in
lieu of making the representations set forth in the preceding paragraph, cause
the entity from which such Mortgage Loans were acquired to make such
representations (other than those regarding the Issuer's title to the Mortgage
Loans, which will in all events be made by the Issuer), in the sales agreement
pursuant to which such Mortgage Loans are acquired, or if such entity is acting
as a Servicer, in its servicing agreement. In such event such representations,
and the Issuer's rights against such entity in the event of a breach thereof,
will be assigned to the Trustee for the benefit of the holders of the
Certificates of such Series.
Assignment of Contracts
The Issuer will cause the Contracts to be assigned to the Trustee,
together with principal and interest due on or with respect to the Contracts
after the Cut-off Date specified in the related Prospectus Supplement. Each
Contract will be identified in a loan schedule ("Contract Loan Schedule")
appearing as an exhibit to the related pooling or sale agreement.
In addition, with respect to each Contract, the Issuer will deliver or
cause to be delivered to the Trustee, the original Contract and copies of
documents and instruments related to each Contract and the security interest in
the Manufactured Home securing each Contract. To give notice of the right, title
and interest of the Certificateholders to the Contracts, the Issuer will cause a
UCC-1 financing statement to be filed identifying the Trustee as the secured
party and identifying all Contracts as collateral. Unless otherwise specified in
the related Prospectus Supplement, the Contracts will not be stamped or
otherwise marked to reflect their assignment from the Issuer to the Trustee.
Therefore, if a subsequent purchaser were able to take physical possession of
the Contracts without notice of such assignment, the interest of the Holders of
the Certificates of the applicable Series in the Contracts could be defeated.
See "Certain Legal Aspects of the Mortgage Assets."
Unless otherwise specified in the Prospectus Supplement, the Issuer
will provide limited representations and warranties to the Trustee concerning
the Contracts. Such representations and warranties will include: (i) that the
information contained in the Contract Loan Schedule provides an accurate listing
of the Contracts and that the information respecting such Contracts set forth in
such Contract Loan Schedule is true and correct in all material respects at the
date or dates respecting which such information is furnished; (ii) that,
immediately prior to the conveyance of the Contracts, the Issuer had good title
to, and was sole owner of, each such Contract; and (iii) that there has been no
other sale by it of such Contract and that the Contract is not subject to any
lien, charge, security interest or other encumbrance.
Assignment of Multifamily Loans
The Issuer will cause the Multifamily Loans constituting the
Multifamily Loan Pool to be assigned to the Trustee, together with principal and
interest due on or with respect to the Multifamily Loans after the Cut-off Date
specified in the related Prospectus Supplement. The Trustee will, concurrently
with such assignment, authenticate and deliver the Certificates. Each
Multifamily Loan will be identified in a schedule appearing as an exhibit to the
pooling or sale agreement (the "Multifamily Loan Schedule").
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In addition, the Issuer, will, as to each Multifamily Loan, deliver or
cause to be delivered to the Trustee, the mortgage note endorsed without
recourse, the mortgage or deed of trust with evidence of recording indicated
thereon and an assignment of the instrument in recordable from (but not
recorded).
The Trustee will review and hold such documents in trust for the
benefit of the Holders of the Certificates of the applicable Series. Unless
otherwise provided in the related Prospectus Supplement, if any such document is
found to be defective in any material respect and the Issuer, the entity from
which the Company acquired such Multifamily Loan (the "Multifamily Loan Seller")
or the Administrator, as the case may be, does not cure such a defect with 60
days, or within such other period specified in the related Prospectus
Supplement, the Company, the Multifamily Loan Seller or the Administrator, as
the case may be, will, not later than 90 days or within such other period
specified in the related Prospectus Supplement, after the Trustee's notice to
the Company, the Multifamily Loan Seller or the Administrator of the defect,
repurchase the related Multifamily Loan or any property acquired in respect
thereof from the Trustee. Unless otherwise specified in the related Prospectus
Supplement, such repurchase shall be at a price equal to the remaining unpaid
principal balance of such Multifamily Loan (or, in the case of a foreclosed
Multifamily Loan, the unpaid principal balance of such Multifamily Loan
immediately prior to foreclosure), plus accrued but unpaid interest to the date
of the next scheduled payment on such Multifamily Loan at the related Remittance
Rate, less any unreimbursed Advances made with respect to such Multifamily Loan.
Unless otherwise provided in the related Prospectus Supplement, the repurchase
obligation constitutes the sole remedy available to the Holders of the
applicable Series of Certificates or the Trustee for material defect in a
Multifamily Loan document.
Unless otherwise specified in the related Prospectus Supplement, the
Issuer will, at the time of delivery of the Certificates of a Series, cause the
assignment to the Trustee of the Multifamily Loans constituting a Multifamily
Loan Pool to be recorded in the appropriate public office for real property
records. If specified in the related Prospectus Supplement, the Issuer will
cause such assignments to be so recorded within the time after delivery of the
Certificates as is specified in the related Prospectus Supplement, in which
event, the Pooling Agreement or Deposit Trust Agreement may, as specified in the
Prospectus Supplement, require the Multifamily Loan Seller or the Administrator
to repurchase from the Trustee any Multifamily Loan required to be recorded but
not recorded within such time, at the price described above with respect to
repurchase by any reason of defective documentation. Unless otherwise provided
in the related Prospectus Supplement, the repurchase obligation would constitute
the sole remedy to the Holders of the applicable Series of Certificates or the
Trustee for the failure of a Multifamily Loan to be recorded.
Unless otherwise specified in the related Prospectus Supplement, each
Multifamily Loan Seller will have represented, among other things, that (i)
immediately prior to the transfer and assignment of the Multifamily Loans, such
Multifamily Loan Seller had good title to, and was the sole owner of, each
Multifamily Loan and there has been no other sale or assignment thereof, (ii) as
of the date of such transfer, the Multifamily Loans are subject to no offsets,
defenses or counterclaims, (iii) each Multifamily Loan at the time it was made
complied in all material respects with applicable state and federal laws,
including usury, and disclosure laws, (iv) a lender's policy of title insurance
was issued on the date of the origination of each Multifamily Loan and each such
policy is valid and remains in full force and effect, (v) as of the date of such
transfer, each mortgage note subject to the agreement is a valid first lien on
the related Multifamily Project (subject only to (a) the lien of current real
property taxes and assessments, (b) covenants, conditions and restrictions,
rights of way, easements and other matters of public record as of the date of
recording of such instrument of indebtedness, such exceptions appearing of
record and either being acceptable to mortgage lending institutions generally or
specifically reflected in the appraisal made in
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connection with the origination of the related Multifamily Loan and (c) other
matters to which like properties are commonly subject which do not materially
interfere with the benefits of the security intended to be provided by the
instrument of indebtedness) and such property is free of material damage and is
in good repair, (vi) as of the date of such transfer, no Multifamily Loan is
more than 30 days delinquent in payment and there are no delinquent tax or
assessment liens against the related apartment project, and (vii) with respect
to each Multifamily Loan, if the Multifamily Project is located in an area
identified by the Secretary of Housing and Urban Development as having special
flood hazards and subject in certain circumstances to the availability of flood
insurance under the National Flood Insurance Act of 1968, as amended, such
Multifamily Project is covered by flood insurance if applicable regulations at
the time such Multifamily Loan was originated required that such flood insurance
coverage be obtained.
All of the representations and warranties of a Multifamily Loan Seller
in respect of a Multifamily Loan will have been made as of the date on which
such Multifamily Loan Seller sold the Multifamily Loan to the Company or its
affiliate; the date as of which such representations and warranties were made
may be a date prior to the date of the initial issuance of the related Series of
Certificates. A substantial period of time may have elapsed between the date as
of which the representations and warranties were made and the later date of
initial issuance of the related Series of Certificates. Since the
representations and warranties referred to in the preceding paragraph, unless
otherwise specified in the related Prospectus Supplement, are the only
representations and warranties that will be made by a Multifamily Loan Seller,
the Multifamily Loan Seller's repurchase obligations described below will not
arise if, during the period commencing on a date of sale of a Multifamily Loan
by the Multifamily Loan Seller to the Company or its affiliate, the relevant
event occurs that would have given rise to such an obligation had the event
occurred prior to the sale of the affected Multifamily Loan. Nothing, however,
has come to the Company's attention that would cause it to believe that the
representations and warranties referred to in the preceding paragraph will not
be accurate and complete in all material respects in respect of Multifamily
Loans as of the date of initial issuance of the related Series of Certificates.
Assignment of Agency Securities, Non-Agency Certificates, and Private
Mortgage-Backed Securities
With respect to each Series, unless otherwise specified in the related
Prospectus Supplement, the Issuer will cause any Agency Securities, Non-Agency
Certificates, and Private Mortgage-Backed Securities included in the related
Trust Property to be registered in the name of the Trustee. The Trustee (or its
custodian) will have possession of any certificated Agency Securities and
Private Mortgage-Backed Securities. Unless otherwise specified in the related
Prospectus Supplement, the Trustee will not be in possession of or be assignee
of record of any underlying assets for an Agency Security, Non-Agency
Certificate, or Private Mortgage-Backed Security. Each Agency Security,
Non-Agency Certificate, and Private Mortgage-Backed Security will be identified
in a schedule appearing as an exhibit to the related pooling or sale agreement.
The Issuer will represent and warrant to the Trustee, among other things, the
information contained in such schedule is true and correct and that immediately
prior to the transfer of the related securities to the Trustee, the Issuer had
good title to, and was the sole owner of, each such security.
REPURCHASE OR SUBSTITUTION OF MORTGAGE LOANS, CONTRACTS AND MULTIFAMILY LOANS
The Trustee will review the documents delivered to it with respect to
the Mortgage Loans, Contracts and Multifamily Loans included in the related
Trust Property. Unless otherwise specified in the related Prospectus Supplement,
if any document is not delivered or is found to be defective in any material
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respect and the Issuer cannot deliver such document or cure such defect within
90 days after notice thereof (which the Trustee will undertake to give within 45
days of the delivery of such documents), and if any other party obligated to
deliver such document or cure such defect has not done so and has not
substituted or repurchased the affected Mortgage Loan, Multifamily Loan or
Contract, then the Issuer will, not later than the first date designated for the
deposit of payments into the Certificate Account (a "Deposit Date") which is
more than ten days after such 90-day period, (a) if so provided in the
Prospectus Supplement remove the affected Mortgage Loan, Multifamily Loan or
Contract from the Trust Property and substitute one or more other Mortgage
Loans, Multifamily Loans or Contracts therefor or (b) repurchase the Mortgage
Loan, Multifamily Loan or Contract from the Trustee for a price equal to 100% of
its principal balance plus one month's interest thereon at the applicable
Remittance Rate. Such purchase price will be deposited in the Certificate
Account on such Deposit Date. Unless otherwise specified in the Prospectus
Supplement, this repurchase and, if applicable, substitution obligation
constitutes the sole remedy available to Holders of the Certificates of the
applicable Series or the Trustee against the Issuer for a material defect in a
document relating to a Mortgage Loan, Multifamily Loan or Contract.
Unless otherwise specified in the related Prospectus Supplement, the
Issuer will agree to either (a) cure any breach of any representation or
warranty that materially and adversely affects the interests of the Holders of
the Certificates of the applicable Series in a Mortgage Loan, Multifamily Loan
or Contract within 90 days of its discovery by the Company or its receipt of
notice thereof from the Trustee, (b) repurchase such Mortgage Loan, Multifamily
Loan or Contract not later than the first Deposit Date which is more than ten
days after such 90-day period for a price equal to 100% of its principal balance
plus one month's interest thereon at the applicable Remittance Rate, or (c) if
so specified in the Prospectus Supplement, remove such Mortgage Loan,
Multifamily Loan or Contract from the Trust Property and substitute one or more
other mortgage loans or contracts therefor. Such purchase price will be
deposited in the Certificate Account on such Deposit Date. Unless otherwise
specified in the related Prospectus Supplement, this repurchase and, if
applicable, substitution obligation will constitute the sole remedies available
to Holders of the Certificates of the applicable Series or the Trustee for any
such breach.
If the Prospectus Supplement for a Series of Certificates so provides,
then in lieu of agreeing to repurchase or substitute Mortgage Loans, Contracts
or Multifamily Loans as described above, the Issuer may obtain such an agreement
from the entity which sold such Mortgage Loans, Contracts or Multifamily Loans
to the Issuer, which agreement will be assigned to the Trustee for the benefit
of the holders of the Certificates of such series.
If a REMIC election is to be made with respect to all or a portion of
the Trust Property, there may be federal income tax limitations on the right to
substitute Mortgage Loans, Multifamily Mortgage Loans or Contracts as described
above.
EVIDENCE AS TO COMPLIANCE
On or before a specified date in each year, beginning the first such
date that is at least a specified number of months after the Cut-off Date, a
firm of independent public accountants will furnish a statement to the Trustee
to the effect that, based on an examination of certain specified documents and
records relating to the servicing of the Administrator's mortgage loan portfolio
conducted substantially in compliance with the audit program for mortgages
serviced for FNMA or FHLMC, the United States Department of Housing and Urban
Development Mortgage Audit Standards or the Uniform Single Audit Program for
Mortgage Bankers (the "Applicable Accounting Standards"), such firm is of the
opinion that
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such servicing has been conducted in compliance with the Applicable Accounting
Standards except for (a) such expenses as such firm shall believe to be
immaterial and (b) such other exceptions as shall be set forth in such
statement.
LIST OF CERTIFICATEHOLDERS
Upon written request of the Trustee, the Registrar for a Series of
Certificates will provide to the Trustee, within fifteen days after receipt of
such request, a list of the names and addresses of all Holders of record of such
Series as of the most recent Record Date for payment of distributions to Holders
of that Series. Upon written request of three or more Holders of record of a
Series of Certificates for purposes of communicating with other Holders with
respect to their rights under the Pooling Agreement or the Deposit Trust
Agreement for such Series, the Trustee will afford such Holders access during
business hours to the most recent list of Holders of that Series held by the
Trustee. With respect to Book Entry Certificates, the only named Holder on the
Certificate Register will be the Clearing Agency.
Neither the Pooling Agreement or the Deposit Trust Agreement will
provide for the holding of any annual or other meetings of Holders of
Certificates.
ADMINISTRATION OF THE CERTIFICATE ACCOUNT
The Pooling Agreement or the Deposit Trust Agreement with respect to a
Series will require that the Certificate Account be any of the following: (i) an
account maintained with a depository institution the debt obligations of which
(or, in the case of a depository institution which is a part of a holding
company structure, the debt obligations of the holding company of which) have a
long-term or short-term rating acceptable to each rating agency that rated the
Certificates, (ii) an account or accounts the deposits in which are fully
insured by either the Bank Insurance Fund (the "BIF") or the Federal Deposit
Insurance Corporation (the "FDIC") or the Savings Association Insurance Fund (as
successor to the Federal Savings and Loan Insurance Corporation) ("SAIF") of the
FDIC, (iii) an account maintained with and in the name of the Trustee, in trust,
and in respect of which the amounts from time to time on deposit therein are
insured by the BIF or the SAIF (to the limits established by the FDIC), provided
that all funds in such account are invested in Permitted Instruments (as defined
below) within one business day of receipt or are remitted to the Holders within
one business day of receipt therein; (iv) a trust account maintained with the
corporate trust department of a federal or state chartered depository
institution or trust company with trust powers and acting in its fiduciary
capacity for the benefit of the Trustee, or (v) an account which will not cause
any rating agency rating the Certificates of such Series to downgrade or
withdraw its then-current rating assigned to the Certificates. The instruments
in which amounts in the Certificate Account may be invested are limited to
Permitted Instruments. Unless otherwise specified in the related Prospectus
Supplement, a Certificate Account may be maintained as an interest bearing
account, or the funds held therein may be invested pending each succeeding
Distribution Date in Permitted Instruments. Unless otherwise specified in the
related Prospectus Supplement, the Administrator or the Trustee will be entitled
to receive any such interest or other income earned on funds in the Certificate
Account as additional compensation. Unless otherwise specified in the related
Prospectus Supplement, the following payments and collections received or made
subsequent to the Cut-off Date (including scheduled payments of principal and
interest due after the Cut-off Date but received on or before the Cut-off Date)
will be deposited in the Certificate Account:
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(i) all Mortgagor payments on account of principal, including
Principal Prepayments and, if specified in the related Prospectus
Supplement, prepayment penalties;
(ii) all Mortgagor payments on account of interest, subject
to exclusions or adjustments as described in the related Prospectus
Supplement adjusted to the Remittance Rate;
(iii) all Liquidation Proceeds net of certain amounts
reimbursed to the Servicers or the Administrator, as described above;
(iv) all Insurance Proceeds, other than proceeds to be applied
to the restoration or repair of the related property or released to the
Mortgagor and net of certain amounts reimbursed to the Servicers or the
Administrator, as described above;
(v) all condemnation awards or settlements which are not
released to the Mortgagor in accordance with normal servicing
procedures;
(vi) any Advances made as described under "Servicing of the
Mortgage Loans, Multifamily Loans and Contracts -- Advances" and
certain other amounts required to be deposited in the Certificate
Account;
(vii) all proceeds of any Mortgage Loan, Multifamily Loan or
Contract or property acquired in respect thereof repurchased by the
Administrator, the Company, the Seller or the Servicer or otherwise as
described above or under "Termination" below;
(viii) all amounts, if any, required to be transferred to the
Certificate Account from any Credit Enhancement for the related Series;
and
(ix) all other amounts required to be deposited in the
Certificate Account pursuant to the related Pooling Agreement or
Deposit Trust Agreement.
REPORTS TO HOLDERS OF CERTIFICATES
Concurrently with each distribution on the Certificates of a Series,
unless otherwise specified in the related Prospectus Supplement, the Trustee
will furnish to Holders of such Certificates a statement generally setting
forth, to the extent applicable to such Series, among other things:
(i) the aggregate amount of such distribution allocable to
principal, separately identifying the amount allocable to each Class;
(ii) the amount of such distribution allocable to interest,
separately identifying the amount allocable to each Class;
(iii) the aggregate principal balance of each Class of the
Certificates after giving effect to distributions on such Distribution
Date;
(iv) the aggregate principal balance of any Class Certificates
which are Compound Interest Securities after giving effect to any
increase in such principal balance that results from the accrual of
interest that is not yet distributable thereon;
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(v) if applicable, the amount otherwise distributable to
Holders of any Class of Certificates that was distributed to Holders of
other Classes of Certificates;
(vi) if any Class of Certificates has priority in the right to
receive Principal Prepayments, the amount of Principal Prepayments in
respect of the related Mortgage Assets;
(vii) the aggregate principal balance and number of Mortgage
Loans, Multifamily Loans and Contracts which were delinquent as to a
total of two installments of principal and interest; and
(viii) as of the most recent date for which information was
available, the aggregate principal balances of Mortgage Loans,
Multifamily Loans and Contracts which (a) were delinquent 30-59 days,
60-89 days, and 90 days or more, and (b) were in foreclosure; and
(ix) the amount of coverage then remaining under any Credit
Enhancement.
The Administrator or the Trustee will also furnish annually customary
information deemed necessary for Holders of such Certificates to prepare their
tax returns.
EVENTS OF DEFAULT
"Events of Default" with respect to a Series will consist of (i) any
failure by the Administrator to duly observe or perform in any material respect
any of its covenants or agreements in the Pooling Agreement or Deposit Trust
Agreement materially affecting the rights of Holders of the Certificates of such
Series which continues unremedied for 60 days after the giving of written notice
of such failure to the Company by the Trustee or to the Administrator and the
Trustee by the Holders of such Certificates evidencing interests aggregating not
less than 25% of the affected Class of Certificates; and (ii) certain events of
insolvency, readjustment of debt, marshaling of assets and liabilities or
similar proceedings and certain actions by the Administrator indicating its
insolvency, reorganization or inability to pay its obligations.
RIGHTS UPON EVENT OF DEFAULT
As long as an Event of Default remains unremedied by the Administrator,
the Trustee, or Holders of Certificates of each Class of Certificates affected
thereby evidencing, as to each such Class interests aggregating not less than
51%, may terminate all of the rights and obligations of the Administrator,
whereupon the Trustee, or a new Administrator appointed pursuant to the Pooling
Agreement or Deposit Trust Agreement, will succeed to all the responsibilities,
duties and liabilities of the Administrator under the Pooling Agreement or
Deposit Trust Agreement, as applicable, and will be entitled to similar
compensation arrangements. Notwithstanding its termination as Administrator, the
Administrator will be entitled to receive amounts earned by it under the Pooling
Agreement or Deposit Trust Agreement prior to such termination. Following such
termination, the Company shall appoint any established housing finance
institution having a net worth of not less than $10,000,000 to act as successor
to the Administrator. If no such successor shall have been appointed within 30
days following such termination, then either the Company or the Trustee may
petition a court of competent jurisdiction for the appointment of a successor
Administrator. Pending the appointment of a successor Administrator, the Trustee
shall act as Administrator. The Trustee, the Company and such successor
Administrator may agree upon the compensation to be paid to such successor
Administrator, which in no event may be greater than the
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compensation previously paid to the terminated Administrator under such Pooling
Agreement or Deposit Trust Agreement.
No Holder of Certificates will have any right under the Pooling
Agreement or Deposit Trust Agreement to institute any proceeding with respect to
the Pooling Agreement or Deposit Trust Agreement, unless such Holder previously
has given to the Trustee written notice of default and unless the Holders of
Certificates as specified in the Prospectus Supplement have made written request
to the Trustee to institute such proceeding in its own name as Trustee
thereunder and have offered to the Trustee reasonable indemnity and the Trustee
for 60 days has neglected or refused to institute any such proceedings. However,
the Trustee is under no obligation to exercise any of the trusts or powers
vested in it by the Pooling Agreement or Deposit Trust Agreement or to make any
investigation of matters arising thereunder or to institute, conduct or defend
any litigation thereunder or in relation thereto at the request, order or
direction of any of the Holders, unless such Holders have offered to the Trustee
reasonable security or indemnity against the costs, expenses and liabilities
which may be incurred therein or thereby.
AMENDMENT
The Pooling Agreement or Deposit Trust Agreement with respect to a
Series may be amended by the Company, the Administrator and the Trustee without
the consent of the Holder of the Certificates of such Series, to cure any
ambiguity, to correct or supplement any provision therein which may be defective
or inconsistent with any other provision therein or to add any other provisions
with respect to matters or questions arising under the Pooling Agreement or
Deposit Trust Agreement provided that such amendment is not materially
inconsistent with the provisions of the Pooling Agreement or Deposit Trust
Agreement and that in each case, subject as stated in the next sentence, such
action will not adversely affect in any material respect the interests of any
Holders of that Series. An amendment described above shall not be deemed to
adversely affect in any material respect the interests of the Holders of that
Series if either (a) an opinion of counsel satisfactory to the Trustee is
obtained to such effect, or (b) the person requesting the amendment obtains a
letter from the rating agency then rating the Certificates of that Series that
the amendment would not result in a downgrading or withdrawal of the rating then
assigned by it to such Certificates. Notwithstanding the foregoing, the Company,
the Administrator and the Trustee may amend each Pooling Agreement and Deposit
Trust Agreement without the consent of the Holders of the Certificates of the
relevant Series in order to modify, eliminate or add to any of its provisions to
such extent as may be appropriate or necessary to maintain REMIC status of all
or any portion of the Trust Property as to which a REMIC election has been made
with respect to the applicable Certificates or to avoid or minimize the risk of
the imposition of any tax on the Trust created by such agreement that would be a
claim against the Trustee at any time prior to final redemption of the
Certificates, provided that the Trustee has obtained the opinion of independent
counsel to the effect that such action is necessary or appropriate to maintain
REMIC status or to avoid or minimize the risk of the imposition of such a tax.
Unless otherwise specified in the Prospectus Supplement, the Pooling Agreement
and Deposit Trust Agreement may also be amended by the Company, the
Administrator, and the Trustee with the consent of the Holders of Certificates
evidencing interests aggregating not less than 66% of the aggregate principal
balance of the Certificates of the applicable Series for the purpose of adding
any provisions to or changing in any manner or eliminating any of the provisions
of such agreement or of modifying in any manner the rights of Holders of
Certificates of that Series; provided, however, that no such amendment may (i)
reduce in any manner the amount of, or delay the timing of, collections of
payments received on the related Mortgage Assets or distributions which are
required to be made on any Certificate without the consent of the Holder of such
Certificate, (ii) adversely affect in any material respect the interests of the
Holders of
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any Class of Certificates in any manner other than as described in clause (i),
without the consent of the Holders of Certificates of such Class evidencing at
least 66% of the interests of such Class or (iii) reduce the aforesaid
percentage of Certificates of any Class required to consent to any such
amendment, without the consent of the Holders of all Certificates of such Class
then outstanding.
TERMINATION
Unless otherwise specified in the related Prospectus Supplement, the
obligations of the Company, as depositor, the Administrator, as servicer, and
the Trustee created by the Pooling Agreement or Deposit Trust Agreement with
respect to a Series will terminate upon the payment to Holders of the
Certificates of such series of all amounts held by the Administrator or in the
Certificate Account and required to be paid to them pursuant to the Pooling
Agreement or Deposit Trust Agreement after the later of (i) the maturity or
other liquidation of the last Mortgage Loan, Multifamily Loan or Contract
subject thereto or the disposition of all property acquired upon foreclosure of
any such Mortgage Loan, Multifamily Loan or Contract or (ii) the repurchase by
the Company from the Trust of all the outstanding Certificates or all remaining
Assets in the Trust Property. The pooling or sales agreement will establish the
repurchase price for the Assets in the Trust and the allocation of such purchase
price among the Classes of Certificates. The exercise of such right will effect
early retirement of the Certificates of that Series, but the Company's right so
to repurchase will be subject to the conditions set forth in the related
Prospectus Supplement. If a REMIC election is to be made with respect to all or
a portion of Trust Property, there may be additional conditions to the
termination of such Trust which will be described in the related Prospectus
Supplement. In no event, however, will the Trust created by the Pooling
Agreement or Deposit Trust Agreement continue beyond the expiration of 21 years
from the death of the survivor of certain persons named in such agreement. The
Trustee will give written notice of termination of the Trust to each Holder of
Certificates of the applicable Certificates, and the final distribution will be
made only upon surrender and cancellation of the Certificates at an office or
agency of the Trustee specified in such notice of termination.
USE OF PROCEEDS
Unless otherwise specified in an applicable Prospectus Supplement,
substantially all of the net proceeds to be received from the sale of each
Series of Securities will be applied to the simultaneous purchase of the
Mortgage Assets related to such Series or to reimburse the amounts previously
used to effect such a purchase, the costs of carrying such Mortgage Assets until
sale of the Certificates and other expenses connected with pooling the Mortgage
Assets and issuing the Securities.
THE ISSUER
THE COMPANY
Fund America Investors Corporation II (the "Company") was incorporated
in the State of Delaware on December 14, 1992 as a limited purpose finance
corporation. All of its outstanding capital stock is owned by Steven B. Chotin.
The Company maintains its principal office at 6400 S. Fiddler's Green Circle,
Suite 1200B, Englewood, Colorado 80111. Its telephone number is (303) 290-6025.
As specified in the related Prospectus Supplement, the Administrator
with respect to any series of Certificates evidencing interests in Mortgage
Loans, Multifamily Loans or Contracts, and the Non-Agency
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Administrator with respect to any Non-Agency Certificate, may be an affiliate of
the Company. The Company anticipates that it will acquire Mortgage Loans,
Multifamily Loans, Agency Securities, Non-Agency Certificates, Private
Mortgage-Backed Securities and Contracts in the open market or in privately
negotiated transactions, which may be through or from an affiliate.
Neither the Company nor any of its affiliates will insure or guarantee
the Securities of any Series. See "Special Considerations -- Limited Assets."
OWNER TRUST ISSUER
Any Owner Trust established to act as an Issuer of one or more Series
of Securities will be created pursuant to a Deposit Trust Agreement between
Steven B. Chotin or the Company (the "Initial Depositor"), acting as depositor,
and the related Owner Trustee. The Initial Depositor (if Steven B. Chotin) will
transfer all of the certificates representing beneficial ownership of each such
Owner Trust ("Certificates of Beneficial Ownership") to the Company prior to any
issuance of Securities by such Owner Trust. The Company may sell or assign such
Certificates of Beneficial Ownership, in whole or in part, to another entity or
entities at the time of, or subsequent to, the issuance of any Securities by
such Owner Trust.
The Owner Trust issuing a Series of Bonds will pledge the Assets
securing such Series of Bonds to the Trustee under the Indenture for such
Series. Each Indenture will prohibit such Owner Trust from incurring debt
obligations other than Bonds and similar Series of Bonds unless (i) the
debtholder's sole recourse with respect to such obligations is to collateral
other than the Assets pledged to secure such Bonds or (ii) such obligations are
subordinate to the Bonds.
Each Deposit Trust Agreement will provide that the Owner Trust created
under such agreement may not engage in any activities other than (i) issuing and
selling one or more series of Securities and other similar series of securities,
(ii) purchasing, owning, holding, pledging, or selling Mortgage Assets;
provided, however, that any indebtedness incurred in connection with such
transactions shall be secured only by collateral other than the Assets pledged
to secure the Securities or shall be subordinate to the Securities, and (iii)
other activities which are necessary or convenient to accomplish the foregoing
and are incidental thereto.
No Deposit Trust Agreement will be subject to amendment without the
prior written consent of the related Owner Trustee and holders representing 50%
of the Certificates of Beneficial Ownership of the Owner Trust. In addition, the
amendment of certain provisions of a Deposit Trust Agreement may require the
consent of the Owner Trustee with respect to each Series of Securities issued by
the related Owner Trust. The holders of Certificates of Beneficial Ownership of
an Owner Trust will not be liable for payment of principal or interest on the
Bonds of any series issued by such Owner Trust and each of the holders of the
Bonds of such series will be deemed to have released such holders of
Certificates of Beneficial Ownership from any such claim, liability or
obligation on or with respect to such Bonds.
Each Deposit Trust Agreement will provide that the holders of
Certificates of Beneficial Ownership of the Owner Trust created under such
agreement shall indemnify the related Owner Trustee against all losses and
liability suffered by it in acting upon the holders' instructions, except in the
case of willful misconduct or gross negligence on the part of such Owner
Trustee. The Owner Trustee will have no liability for action taken by it in good
faith in reliance upon direction to it for the disposition of monies or
collateral pursuant to a Deposit Trust Agreement.
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MANAGEMENT AGREEMENT
The Issuer with respect to a Series of Bonds may enter into a
management agreement (the "Management Agreement") with Fund America Management
Corporation ("FAMC") or another entity (FAMC or such other entity which has
entered into a Management Agreement with the Issuer being referred to herein as
the "Manager"), pursuant to which the Manager will, among other things, prepare
and make such reports as are required to be delivered by the Issuer to the
Trustee and provide advisory, accounting, administrative, clerical and other
services required in the conduct of the Issuer's business. As compensation for
its services, the Issuer will pay the Manager a management fee. The Manager will
not assume any responsibility under the Management Agreement other than to
render services called for thereunder and may subcontract to a third party all
or a portion of its duties thereunder. The Manager and its affiliates,
shareholders, directors, officers and employees will not be liable to the
Issuer, the Holders of Bonds or others, except by reason of acts constituting
bad faith, gross negligence or willful misconduct. The Manager and its
affiliates will be indemnified with respect to all expenses, losses, damages,
liabilities, demands, charges and claims of any nature in respect of acts or
omissions performed or omitted by it in accordance with the standards set forth
in the preceding sentence.
All of the outstanding common stock of FAMC is owned by Steven B.
Chotin, who also owns all of the outstanding common stock of the Company and who
may act as Initial Depositor with respect to the formation of any Trust Issuers.
See "The Issuer -- The Company" and "-- Owner Trust Issuer."
THE TRUSTEE
Any commercial bank or trust company serving as Trustee may have normal
banking relationships with the Company or the Administrator. In addition, the
Trustee will have the power and the responsibility for appointing co-trustees or
separate trustees of all or any part of the Trust Property relating to a
particular Series of Securities. In the event of such appointment, all rights,
powers, duties and obligations conferred or imposed upon the Trustee by the
Indenture or Pooling Agreement, as applicable, shall be conferred or imposed
upon the Trustee and such separate trustee or co-trustee jointly, or in any
jurisdiction in which the Trustee shall be incompetent or unqualified to perform
certain acts, singly upon such separate trustee or co-trustee who shall exercise
and perform such rights, powers, duties and obligations solely at the direction
of the Trustee.
The Trustee will make no representations as to the validity or
sufficiency of the applicable Indenture or Pooling Agreement, the related
Securities or of any Mortgage Loan, Agency Security, Contract, Multifamily Loan
or related document, and will not be accountable for the use or application by
the Company or an Issuer of any funds paid to the Company or such Issuer in
respect of the Securities or the related Assets, or amounts deposited in the
related Collection Account, Certificate Account or deposited into any other
account for purposes of making payments or distributions to Holders. If no Event
of Default has occurred, the Trustee will be required to perform only those
duties specifically required of it under the applicable Indenture or Pooling
Agreement. However, upon receipt of the various certificates, reports or other
instruments required to be furnished to it, the Trustee will be required to
examine them to determine whether they conform to the requirements of the
applicable Indenture or Pooling Agreement.
The Trustee may resign at any time and the Company or the Issuer, as
applicable, may remove the Trustee if the Trustee ceases to be eligible to
continue as such under the applicable Indenture or Pooling Agreement, if the
Trustee becomes insolvent or in such other instances, if any, as are set forth
in
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the applicable Indenture or Pooling Agreement. Following any resignation or
removal of the Trustee, the Company, the Issuer or Administrator, as applicable,
will be obligated to appoint a successor Trustee. Any resignation or removal of
the Trustee and appointment of a successor Trustee does not become effective
until acceptance of the appointment by the successor Trustee.
Pursuant to the Trust Indenture Act of 1939, as amended, the Trustee
may have a "conflicting interest" if any Event of Default occurs with respect to
one or more Classes of Bonds which are Special Allocation Securities issued
under the Indenture. In such event, the Trustee may be required to resign its
trusteeship with respect to one or more Classes of such Bonds and a successor
Trustee would be appointed for such Classes.
CERTAIN LEGAL ASPECTS OF THE MORTGAGE ASSETS
The following discussion contains summaries of certain legal aspects of
residential and multi-family mortgage loans which are general in nature. Because
such legal aspects are governed primarily by applicable state law (which laws
may differ substantially), the summaries do not purport to be complete nor to
reflect the laws of any particular state, nor to encompass the laws of all
states in which the security for the Mortgage Loans or Multifamily Loans is
situated. The summaries are qualified in their entirety be reference to the
applicable federal and state laws governing the Mortgage Loans and Multifamily
Loans.
In addition, the following discussion also contains a summary of the
Title I Program, which may be applicable to certain of the Mortgage Loans,
Multifamily Loans and Contracts. With respect to each Series for which the
related Trust Property includes Non-Agency Certificates backed by Contracts or
for which the related Trust includes Contracts, the related Prospectus
Supplement will contain a discussion of certain legal aspects of manufactured
housing contracts.
THE MORTGAGE LOANS AND MULTIFAMILY LOANS
General
Mortgages. The Mortgage Loans and Multifamily Loans will be secured
either by deeds of trust or mortgages. A mortgage creates a lien upon the real
property encumbered by the mortgage. It is not prior to the lien for real estate
taxes and assessments. Priority between mortgages depends on their terms and
generally on the order of filing with a state or county office. There are two
parties to a mortgage: the mortgagor, who is the borrower and homeowner or the
land trustee (as described below), and the mortgagee, who is the lender. Under
the mortgage instrument, the mortgagor delivers to the mortgagee a note or bond
and the mortgage. In the case of a land trust, there are three parties because
title to the property is held by a land trustee under a land trust agreement of
which the borrower/homeowner is the beneficiary; at origination of a mortgage
loan, the borrower executes a separate undertaking to make payments on the
mortgage note. Although a deed of trust is similar to a mortgage, a deed of
trust formally has three parties, the borrower-homeowner called the trustor
(similar to a mortgagor), a lender (similar to a mortgagee) called the
beneficiary, and a third-party grantee called the trustee. Under a deed of
trust, the borrower grants the property, irrevocably until the debt is paid, in
trust and generally with a power of sale, to the trustee to secure payment of
the obligation. The trustee's authority under a deed of trust and the mortgagees
authority under a mortgage are governed by law, the express provisions of the
deed of trust or mortgage and, in some cases, the directions of the beneficiary.
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Cooperative Loans. Certain of the Mortgage Loans may be Cooperative
Loans. The private, non-profit, cooperative apartment corporation owns all the
real property that comprises the project, including the land, separate dwelling
units and all common areas. The cooperative is directly responsible for project
management and, in most cases, payment of real estate taxes and hazard and
liability insurance. If there is a blanket mortgage on the cooperative apartment
building and/or underlying land, as is generally the case, the cooperative, as
project mortgagor, is also responsible for meeting these mortgage obligations. A
blanket mortgage is ordinarily incurred by the cooperative in connection with
the construction or purchase of the cooperative's apartment building. The
interest of the occupant under proprietary leases or occupancy agreements to
which that cooperative is a party are generally subordinate to the interest of
the holder of the blanket mortgage in that building. If the cooperative is
unable to meet the payment obligations arising under its blanket mortgage, the
mortgagee holding the blanket mortgage could foreclose on that mortgage and
terminate all subordinate proprietary leases and occupancy agreements. In
addition, the blanket mortgage on a cooperative may provide financing in the
form of a mortgage that does not fully amortize with a significant portion of
principal being due in one lump sum at final maturity. The inability of the
cooperative to refinance this mortgage and its consequent inability to make such
final payment could lead to foreclosure by the mortgagee providing the
financing. A foreclosure in either event by the holder of the blanket mortgage
could eliminate or significantly diminish the value of any collateral held by
the lender who financed the purchase by an individual tenant-stockholder of
cooperative shares or, in the case of a pool of Mortgage Loans including
Cooperative Loans, the collateral securing the Cooperative Loans.
The cooperative is owned by tenant-stockholders who, through ownership
of stock shares or membership certificates in the corporation, receive
proprietary leases or occupancy agreements which confer exclusive rights to
occupy specific units. Generally, a tenant-stockholder of a cooperative must
make a monthly payment to the cooperative representing such tenant-stockholder's
pro rata share of the cooperative's payments for its blanket mortgage, real
property taxes, maintenance expenses and other capital or ordinary expenses. An
ownership interest in a cooperative and accompanying occupancy rights is
financed through a cooperative share loan evidenced by a promissory note and
secured by a security interest in the occupancy agreement or proprietary lease
and in the related cooperative shares. The lender takes possession of the share
certificate and a counterpart of the proprietary lease or occupancy agreement
and a financing statement covering the proprietary lease or occupancy agreement
and the cooperative shares is filed in the appropriate state and local offices
to perfect the lender's interest in its collateral. Subject to the limitations
discussed below, upon default of the tenant-stockholder, the lender may sue for
judgment on the promissory note, dispose of the collateral at a public or
private sale or otherwise proceed against the collateral or tenant-stockholder
as an individual as provided in the security agreement covering the assignment
of the proprietary lease or occupancy agreement and the pledge of cooperative
shares.
Foreclosure
Mortgages. Foreclosure of a deed of trust is generally accomplished by
a non-judicial trustee's sale under a specific provision in the deed of trust
that authorizes the trustee to sell the property to a third party upon any
default by the borrower under the terms of the note or deed of trust. In some
states, the trustee must record a notice of default and send a copy to the
borrower-trustor and any person who has recorded a request for a copy of a
notice of default and notice of sale. In addition, the trustee must provide
notice in some states to any other individual having an interest in the real
property, including any junior lien holders. The borrower, or any other person
having a junior encumbrance on the real estate, may, during a reinstatement
period, cure the default by paying the entire amount in arrears plus the costs
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and expenses incurred in enforcing the obligation. Generally, state law controls
the amount of foreclosure expenses and costs, including attorney's fees, which
may be recovered by a lender. If the deed of trust is not reinstated, a notice
of sale must be posted in a public place and, in most states, published for a
specific period of time in one or more newspapers. In addition, some state laws
require that a copy of the notice of sale be posted on the property and sent to
all parties having an interest in the real property.
Foreclosure of a mortgage is generally accomplished by judicial action.
The action is initiated by the service of legal pleadings upon all parties
having an interest in the real property. Delays in completion of the foreclosure
may occasionally result from difficulties in locating necessary parties
defendant. Judicial foreclosure proceedings are often not protested by any of
the parties defendant. However, when the mortgagees right to foreclose is
contested, the legal proceedings necessary to resolve the issue can be time
consuming. After the completion of judicial foreclosure, the court generally
issues a judgment of foreclosure and appoints a referee or other court officer
to conduct the sale of the property.
In case of foreclosure under either a mortgage or a deed of trust, the
sale by the referee or other designated officer or by the trustee is a public
sale. However, because of the difficulty a potential buyer at the sale would
have in determining the exact status of title and because the physical condition
of the property may have deteriorated during foreclosure proceedings, it is
uncommon for a third party to purchase the property at the foreclosure sale.
Rather, it is common for the lender to purchase the property from the trustee or
referee for an amount equal to the principal amount of the mortgage or deed of
trust, accrued and unpaid interest and expenses of foreclosure. Thereafter, the
lender will assume the burdens of ownership, including obtaining casualty
insurance and making such repairs at its own expense as are necessary to render
the property suitable for sale. The lender will commonly obtain the services of
a real estate broker and pay the broker's commission in connection with the sale
of the property. Depending upon market conditions, the ultimate proceeds of the
sale of the property may not equal the lender's investment in the property. Any
loss may be reduced by the receipt of any mortgage insurance proceeds.
When the beneficiary under a junior deed of trust cures the default and
state law allows the beneficiary to reinstate or redeem by paying the full
amount of the senior deed of trust, then in those states the amount paid by the
beneficiary to so cure or redeem generally becomes a part of the indebtedness
secured by the junior deed of trust. See "Junior Liens; Rights of Senior
Mortgagors or Beneficiaries" below.
A sale conducted in accordance with the terms of the power of sale
contained in a mortgage or deed of trust is generally presumed to be conducted
regularly and fairly, and a conveyance of the real property by the trustee
confers, in most states, legal title to the real property to the purchaser, free
of all junior mortgages or deeds of trust and free of all other liens and claims
subordinate to the mortgage or deed of trust under which the sale is made (with
the exception of certain governmental liens). The purchaser's title is, however,
subject to all senior liens, encumbrances and mortgages and may be subject to
mechanic's and materialman's liens in some states. Thus, if the mortgage or deed
of trust being foreclosed is a junior mortgage or deed of trust, the sheriff or
trustee will convey title to the purchaser of the real property, subject to any
existing first mortgages or deed of trust and any other prior liens and claims.
The foreclosure of a junior mortgage or deed of trust, generally, will have an
effect on the first mortgage or deed of trust, if the senior mortgage or deed of
trust grants to the senior mortgagee or beneficiary the right to accelerate its
indebtedness under a "due-on-sale" clause or "due on further encumbrance" clause
contained in the senior mortgage or deed of trust. See "Anti-Deficiency
Legislation and Other Limitations on Lenders" below.
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The proceeds received by the sheriff or trustee from the sale are
applied pursuant to the terms of the deed of trust, which may require
application first to the costs, fees and expenses of sale and then in
satisfaction of the indebtedness secured by the mortgage or deed of trust under
which the sale was conducted. In some states, any surplus money remaining may be
available to satisfy claims of the holders of junior mortgages or deeds of trust
and other junior liens and claims in order of their priority, whether or not the
mortgagor or trustee is in default, while in some states, any surplus money
remaining may be payable directly to the mortgagor or trustor. Any balance
remaining is generally payable to the mortgagor or trustor. Following the sale,
in some states the mortgagee or beneficiary following a foreclosure of a
mortgage or deed of trust may not obtain a deficiency judgment against the
mortgagor or trustor. A junior lienholder whose rights in the property are
terminated by the foreclosure by a senior lienholder will not share in the
proceeds from the subsequent disposition of the property.
Cooperative Loans. The cooperative shares owned by the
tenant-stockholder and pledged to the lender are, in almost all cases, subject
to restrictions on transfer as set forth in the cooperative's Certificate of
Incorporation and Bylaws, as well as the proprietary lease or occupancy
agreement, and may be canceled by the cooperative for failure by the
tenant-stockholder to pay rent or other obligations or charges owned by such
tenant-stockholder, including mechanics' liens against the cooperative apartment
building incurred by such tenant-stockholder, The proprietary lease or occupancy
agreement generally permits the cooperative to terminate such lease or agreement
in the event an obligor fails to make payments or defaults in the performance of
covenants required thereunder. Typically, the lender and the cooperative enter
into a recognition agreement which establishes the rights and obligations of
both parties in the event of a default by the tenant-stockholder on its
obligations under the proprietary lease or occupancy agreement. A default by the
tenant-stockholder under the proprietary lease or occupancy agreement will
usually constitute a default under the security agreement between the lender and
the tenant-stockholder.
The recognition agreement generally provides that, in the event that
the tenant-stockholder has defaulted under the proprietary lease or occupancy
agreement, the cooperative will take no action to terminate such lease or
agreement until the lender has been provided with an opportunity to cure the
default. The recognition agreement typically provides that if the proprietary
lease or occupancy agreement is terminated, the cooperative will recognize the
lender's lien against proceeds from a sale of the cooperative apartment,
subject, however, to the cooperative's right to sums due under such proprietary
lease or occupancy agreement. The total amount owed to the cooperative by the
tenant-stockholder, which the lender generally cannot restrict and does not
monitor, could reduce the value of the collateral below the outstanding
principal balance of the cooperative loan and accrued and unpaid interest
thereon.
Recognition agreements also provide that in the event of a foreclosure
on a cooperative loan, the lender must obtain the approval or consent of the
cooperative as required by the proprietary lease before transferring the
cooperative shares or assigning the proprietary lease. Generally, the lender is
not limited in any rights it may have to dispossess the tenant-stockholders.
In some states, foreclosure on the cooperative shares is accomplished
by a sale in accordance with the provisions of Article 9 of the Uniform
Commercial Code (the "UCC") and the security agreement relating to those shares.
Article 9 of the UCC requires that a sale be conducted in a "commercially
reasonable" manner. Whether a foreclosure sale has been conducted in a
"commercially reasonable" manner will depend on the facts in each case. In
determining commercial reasonableness, a court will look to the notice given the
debtor and the method, manner, time, place and terms of the foreclosure.
Generally, a sale conducted according to the usual practice of banks selling
similar collateral will be
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considered reasonably conducted. Article 9 of the UCC provides that the proceeds
of the sale will be applied first to pay the costs and expenses of the sale and
then to satisfy the indebtedness secured by the lender's security interest. The
recognition agreement, however, generally provides that the lender's right to
reimbursement is subject to the right of the cooperative corporation to receive
sums due under the proprietary lease or occupancy agreement. If there are
proceeds remaining, the lender must account to the tenant-stockholder for the
surplus. Conversely, if a portion of the indebtedness remains unpaid, the
tenant-stockholder is generally responsible for the deficiency. See
"Anti-Deficiency Legislation and Other Limitations on Lenders" below.
Junior Liens; Rights of Senior Mortgagees or Beneficiaries
Certain of the Mortgage Loans, including Title I Loans, may be secured
by mortgages or deeds of trust providing for junior (i.e. second, third, etc.)
liens on the related Mortgaged Properties which are junior to the other
mortgages or deeds of trust held by other lenders or institutional investors.
The rights of the beneficiary under a junior deed of trust or as mortgagee under
a junior mortgage are subordinate to those of the mortgagee or beneficiary under
the senior mortgage or deed of trust, including the prior rights of the senior
mortgagee or beneficiary to receive hazard insurance and condemnation proceeds
and to cause the property securing the Mortgage Loans to be sold upon default of
the mortgagor or trustor. As discussed more fully below, a junior mortgagee or
beneficiary in some states may satisfy a defaulted senior loan in full and in
some states may cure such default and bring the senior loan current, in either
event adding the amounts expended to the balance due on the junior loan. In most
states, absent a provision in the mortgage or deed of trust, no notice of
default is required to be given to a junior mortgagee or beneficiary.
The forms of the mortgage or deed of trust used by most institutional
lenders generally confer on the mortgagee or beneficiary the right both to
receive all proceeds collected under any hazard insurance policy and all awards
made in connection with any condemnation proceedings, and to apply such proceeds
and awards to any indebtedness secured by the mortgage or deed of trust, in such
order as the mortgagee or beneficiary may determine. Thus, in the event
improvements on the property are damaged or destroyed by fire or other casualty,
or in the event the property is taken by condemnation, the mortgagee or
beneficiary under the underlying first mortgage or deed of trust may have the
prior right to collect any insurance proceeds payable under a hazard insurance
policy and any award of damages in connection with the condemnation and to apply
the same to the indebtedness secured by the first mortgage or deed of trust. In
those situations, proceeds in excess of the amount of first mortgage
indebtedness generally may be applied to the indebtedness of a junior mortgage
or trust deed.
Other provisions typically found in the form of the mortgagee or deed
of trust generally used by most institutional lenders obligates the mortgagor or
trustor to pay before delinquency all taxes and assessments on the property and,
when due, all encumbrances, charges and liens on the property which appear prior
to the mortgage or deed of trust, to provide and maintain fire insurance on the
property, to maintain and repair the property and not to commit or permit any
waste thereof, and to appear in and defend any action or proceeding purporting
to affect the property or the rights of the mortgagee or beneficiary under the
mortgage or deed of trust. Upon a failure of the mortgagor or trustor to perform
any of these obligations, the mortgagee or beneficiary typically is given the
right under the mortgage or deed of trust to perform the obligation itself, at
its election, with the mortgagor or trustor agreeing to reimburse the mortgagee
or beneficiary for any sums expended by the mortgagee or beneficiary on behalf
of the trustor. All sums so expended by the mortgagee or beneficiary generally
become part of the indebtedness secured by the mortgage or deed of trust.
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Right of Redemption
In some states, after sale pursuant to a deed of trust or foreclosure
of a mortgage, the borrower and foreclosed junior lienors are given a statutory
period in which to redeem the property from the foreclosure sale. In some
states, redemption may occur only upon payment of the entire principal balance
of the loan, accrued interest and expenses of foreclosure. In other states,
redemption may be authorized if the former borrower pays only a portion of the
sums due. The effect of a statutory right of redemption is to diminish the
ability of the lender to sell the foreclosed property. The rights of redemption
would defeat the title of any purchaser from the lender subsequent to
foreclosure or sale under a deed of trust. Consequently, the practical effect of
the redemption right is to force the lender to retain the property and pay the
expenses of ownership until the redemption period has run.
Anti-Deficiency Legislation and Other Limitations on Lenders
Certain states have imposed statutory prohibitions that limit the
remedies of a beneficiary under a deed of trust or a mortgagee under a mortgage.
In some states, statutes limit the right of the beneficiary or mortgagee to
obtain a deficiency judgment against the borrower following foreclosure or sale
under a deed of trust. A deficiency judgment would be a personal judgment
against the former borrower equal in most cases to the difference between the
net amount realized upon the public sale of the real property and the amount due
to the lender. Other statutes require the beneficiary or mortgagee to exhaust
the security afforded under a deed of trust or mortgage by foreclosure in an
attempt to satisfy the full debt before bringing a personal action against the
borrower. Finally, other statutory provisions limit any deficiency judgment
against the former borrower following a judicial sale to the excess of the
outstanding debt over the fair market value of the property at the time of the
public sale. The purpose of these statutes is generally to prevent a beneficiary
or a mortgagee from obtaining a large deficiency judgment against the former
borrower as a result of low or no bids at the judicial sale.
In addition to laws limiting or prohibiting deficiency judgments,
numerous other statutory provisions, including the federal bankruptcy laws and
state laws affording relief to debtors, may interfere with or affect the ability
of the secured mortgage lender to realize upon collateral and/or enforce a
deficiency judgment. For example, with respect to federal bankruptcy law, a
court with federal bankruptcy jurisdiction may permit a debtor through his or
her Chapter 11 or Chapter 13 rehabilitative plan to cure a monetary default in
respect of a mortgage loan on a debtor's residence by paying arrearages within a
reasonable time period and reinstating the original mortgage loan payment
schedule even though the lender accelerated the mortgage loan and final judgment
of foreclosure had been entered in state court (provided no sale of the
residence had yet occurred) prior to the filing of the debtor's petition. Some
courts with federal bankruptcy jurisdiction have approved plans, based on the
particular fact of the reorganization case, that effected the curing of a
mortgage loan default by paying arrearages over a number of years.
Courts with federal bankruptcy jurisdiction have also indicated that
the terms of a mortgage loan secured by property of the debtor may be modified.
These courts have suggested that such modifications may include reducing the
amount of each monthly payment, changing the rate of interest, altering the
repayment schedule and reducing the lender's security interest to the value of
the residence, thus leaving the lender a general unsecured creditor for the
difference between the value of the residence and the outstanding balance of the
loan.
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The Internal Revenue Code of 1986, as amended, provides priority to
certain tax liens over the lien of the mortgage. In addition, substantive
requirements are imposed upon mortgage lenders in connection with the
origination and the servicing of mortgage loans by numerous federal and some
state consumer protection laws. These laws include the federal Truth-in-Lending
Act, Real Estate Settlement Procedures Act, Equal Credit Opportunity Act, Fair
Credit Billing Act, Fair Credit Reporting Act and related statutes. These
federal laws impose specific statutory liabilities upon lenders who originate
mortgage loans and who fail to comply with the provisions of the law. In some
cases, this liability may affect assignees of the mortgage loans.
Generally, Article 9 of the UCC governs foreclosure on cooperative
shares and the related proprietary lease or occupancy agreement. Some courts
have interpreted section 9-504 of the UCC to prohibit a deficiency award unless
the creditor establishes that the sale of the collateral (which, in the case of
a Cooperative Loan, would be the shares of the cooperative and the related
proprietary lease or occupancy agreement) was conducted in a commercially
reasonable manner.
Enforceability of Certain Provisions
Certain of the Mortgage Loans will contain due-on-sale clauses. These
clauses permit the lender to accelerate the maturity of a loan if the borrower
sells, transfers, or conveys the property. The enforceability of these clauses
was the subject of legislation or litigation in many states, and in some cases
the enforceability of these clauses was limited or denied. However, the Garn-St.
Germain Depository Institutions Act of 1982 (the "Garn-St. Germain Act")
preempts state constitutional, statutory and case law prohibiting the
enforcement of due-on-sale clauses and permits lenders to enforce these clauses
in accordance with their terms, subject to certain limited exceptions. The
Garn-St. Germain Act does "encourage" lenders to permit assumption of loans at
the original rate of interest or at some other rate less than the average of the
original rate and the market rate.
Exempted from the general rule of enforceability of due-on-sale clauses
were mortgage loans (originated other than by federal savings and loan
associations and federal savings banks) that were made or assumed during the
period beginning on the date a state, by statute or final appellate court
decision having statewide effect, prohibited the exercise of due-on-sale clauses
and ending on October 15, 1982 ("Window Period Loans"). However, this exception
applied only to transfers of property underlying Window Period Loans occurring
between October 15, 1982 and October 15, 1985 and does not restrict enforcement
of a due-on-sale clause in connection with current transfers of property
underlying Window Period Loans. Due-on-sale clauses contained in mortgage loans
originated by federal savings and loan associations or federal savings banks are
fully enforceable pursuant to regulations of the Office of Thrift Supervision
(the "OTS"), as successor to the Federal Home Loan Bank Board which preempt
state law restrictions on the enforcement of due-on-sale clauses.
The Garn-St. Germain Act also sets forth nine instances in which a
mortgage lender covered by the Garn-St. Germain Act (including federal savings
and loan associations and federal savings banks) may not exercise a due-on-sale
clause, notwithstanding the fact that a transfer of the property may have
occurred. These include intra-family transfers, certain transfers by operation
of law, leases of fewer than three years and the creation of a junior
encumbrance. Regulations promulgated under the Garn-St. German Act by the
Federal Home Loan Bank Board as succeeded by the OTS, also prohibit the
imposition of a prepayment penalty upon the acceleration of a loan pursuant to a
due-on-sale clause. If interest rates were to rise above the interest rates on
the Mortgage Loans, then any inability of the Administrator to enforce
due-on-sale clauses may result in the Trust Property including a greater number
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of loans bearing below-market interest rates than would otherwise be the case,
since a transferee of the property underlying a Mortgage Loan would have a
greater incentive in such circumstances to assume the transferor's Mortgage
Loan. Any inability to enforce due-on-sale clauses may affect the average life
of the Mortgage Loans and the number of Mortgage Loans that may be outstanding
until maturity.
Upon foreclosure, courts have imposed general equitable principles.
These equitable principles are generally designed to relieve the borrower from
the legal effect of his defaults under the loan documents. Examples of judicial
remedies that have been fashioned include requirements that the lender undertake
affirmative and expensive actions to determine the causes for the borrower's
default and the likelihood that the borrower will be able to reinstate the loan.
In some cases, courts have substituted their judgment for the lender's judgment
and have required that lenders reinstate loans or recast payment schedules in
order to accommodate borrowers who are suffering from temporary financial
disability. In other cases, courts have limited the right of the lender to
foreclose if the default under the mortgage instrument is not monetary, such as
the borrower failing to adequately maintain the property or the borrower
executing a second mortgage or deed of trust affecting the property. Finally,
some courts have been faced with the issue of whether or not federal or state
constitutional provisions reflecting due process concerns for adequate notice
require that borrowers under deeds of trust or mortgages receive notices in
addition to the statutorily-prescribed minimum. For the most part, these cases
have upheld the notice provisions as being reasonable or have found that the
sale by a trustee under a deed of trust, or under a mortgage having a power of
sale, does not involve sufficient state action to afford constitutional
protections to the borrower.
The standard forms of note, mortgage and deed of trust generally
contain provisions obligating the borrower to pay a late charge if payments are
not timely made, and in some circumstances may provide for prepayment fees or
penalties if the obligation is paid prior to maturity. In certain states, there
are or may be specific limitations upon late charges which a lender may collect
from a borrower for delinquent payments. Certain states also limit the amounts
that a lender may collect from a borrower as an additional charge if the loan is
prepaid. Late charges (to the extent permitted by law and not waived) will be
retained by the Administrator, the Non-Agency Administrator, the Servicer or the
Non-Agency Servicer as additional servicing compensation.
Adjustable Rate Loans
The laws of certain states may provide that mortgage notes relating to
adjustable rate loans are not negotiable instruments under the Uniform
Commercial Code. In such event, the Trustee will not be deemed to be a "holder
in due course" within the meaning of the Uniform Commercial Code and may take
such a mortgage note subject to certain restrictions on its ability to foreclose
and to certain contractual defenses available to a mortgagor.
Environmental Legislation
Certain states impose a statutory lien for associated costs on property
that is the subject of a cleanup action by the state on account of hazardous
wastes or hazardous substances released or disposed of on the property. Such a
lien will generally have priority over all subsequent liens on the property and,
in certain of these states, will have priority over prior recorded liens
including the lien of a mortgage. In addition, under federal environmental
legislation and under state law in a number of states, a secured party which
takes a deed in lieu of foreclosure or acquires a mortgaged property at a
foreclosure sale or assumes active control over the operation or management of a
property so as to be deemed an "owner" or
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"operator" of the property may be liable for the costs of cleaning up a
contaminated site. Although such costs could be substantial, it is unclear
whether they would be imposed on a secured lender (such as a Certificate
Trustee, a PMBS Trustee, or a Trust) to homeowners. In the event that title to a
property securing a Mortgage Loan or Multifamily Loan in a pool of Mortgage
Loans was acquired by a Certificate trustee, a PMBS Trustee, or a Trust and
cleanup costs were incurred in respect of the property, the Holders of the
related Securities might realize a loss if such costs were required to be paid.
In addition, the presence of certain environmental contamination, including, but
not limited to, lead-based paint, asbestos and leaking underground storage tanks
could result in the holders of the related Securities realizing a loss if
associated costs were required to be paid. The Company, the Administrator, the
Underwriters, the Sellers, the Servicers, the Non-Agency Administrator, the
Non-Agency Servicers and any of their respective affiliates (i) have not caused
any environmental site assessments or evaluations to be conducted with respect
to any properties securing the Mortgage Loans or Multifamily Loans, (ii) are not
required to make any such assessments or evaluations and (iii) make no
representations or warranties and assume no liability with respect to the
absence or effect of hazardous wastes or hazardous substances on any property or
any casualty resulting from the presence or effect of hazardous wastes or
hazardous substances.
Applicability of Usury Laws
Title V of the Depository Institutions Deregulation and Monetary
Control Act of 1980, enacted in March 1980 ("Title V"), provides that state
usury limitations shall not apply to certain types of residential first mortgage
loans originated by certain lenders after March 31, 1980. The OTS, as successor
to the Federal Home Loan Bank Board, is authorized to issue rules and
regulations and to publish interpretations governing implementation of Title V.
The statute authorized any state to reimpose interest rate limits by adopting,
before April 1, 1983, a law or constitutional provision which expressly rejects
application of the federal law. Certain states have enacted legislation
rejecting the federal law. In addition, even where Title V is not so rejected,
any state is authorized by the law to adopt a provision limiting discount points
or other charges on mortgage loans covered by Title V.
With respect to Title I Loans, Section 529 of the National Housing Act
(12 U.S.C. Section 1735f-7) provides that state usury limitations are not
applicable to any loan, mortgage or advance which is insured under Title I. The
statute authorized any state to reimpose interest rate limits by adopting a
provision of law. No state has enacted any reported statute to reimpose interest
rate limits with respect to any loan, mortgage or advance that is insured under
Title I.
Soldiers' and Sailors' Civil Relief Act
Generally, under the terms of the Soldiers' and Sailors' Civil Relief
Act of 1940, as amended (the "Relief Act"), a borrower who enters military
service after the origination of such borrower's Mortgage Loan (including a
borrower who is a member of the National Guard or is in reserve status at the
time of the origination of the Mortgage Loan and is later called to active duty)
may not be charged interest above an annual rate of 6% during the period of such
borrower's active duty status, unless a court orders otherwise upon application
of the lender. It is possible that such interest rate limitation or similar
limitations under state law could have an effect, for an indeterminate period of
time, on the ability of the Servicers to collect full amounts of interest on
certain of the Mortgage Loans. In addition, the Relief Act imposes limitations
which would impair the ability of the Servicers to foreclose on an affected
Mortgage Loan during the borrower's period of active duty status. Thus, in the
event that such a Mortgage Loan goes into
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default there may be delays and losses occasioned by the inability to realize
upon the related Mortgaged Property in a timely fashion.
Unless otherwise specified in the Prospectus Supplement for a Series of
Securities, any shortfalls in interest collections resulting from application of
the Relief Act to the related Mortgage Loans would result in losses to the
holders of such Certificates.
CONSUMER PROTECTION LAWS WITH RESPECT TO CONTRACTS
Numerous Federal and state consumer protection laws impose substantial
requirements upon creditors involved in consumer finance. These laws include the
Federal Truth-in-Lending Act, Regulation "Z", the Equal Credit Opportunity Act,
Regulation "B", the Fair Credit Reporting Act, and related statutes. These laws
can impose specific statutory liabilities upon creditors who fail to comply with
their provisions and may affect the enforceability of the contract.
Courts have imposed general equitable principles upon repossession and
litigation involving deficiency balances. These equitable principles are
generally designed to relieve a consumer from the legal consequences of a
default.
In several cases, consumers have asserted that the remedies provided
secured parties under the UCC and related laws violate the due process
protections provided under the 14th Amendment to the Constitution of the United
States. For the most part, courts have upheld the notice provisions of the UCC
and related laws as reasonable or have found that the repossession and resale by
the creditor does not involve sufficient state action to afford constitutional
protection to consumers.
The so-called "Holder-in-Due Course" rule of the Federal Trade
Commission is intended to defeat the ability of the transferor of a consumer
credit contract which is the seller of goods which gave rise to the transaction
(and certain related lenders and assignees) to transfer such contract free of
notice of claims by the debtor thereunder. The effect of this rule is to subject
the assignee of a Contract to all claims and defenses which the debtor could
assert against the related contractor. Liability under this rule is limited to
amounts paid under a Contract; however, the obligor also may be able to assert
the rule to set off remaining amounts due as a defense against a claim brought
by the Trust against such obligor.
The obligations of the obligor under each Unsecured Contract are not
secured by an interest in the related real estate or otherwise, and the related
Issuer, as the owner of an Unsecured Contract, will be a general unsecured
creditor as to such obligations. As a consequence, in the event of a default
under an Unsecured Contract, the related Issuer will have recourse only against
the obligor's assets generally, along with all other general unsecured creditors
of the obligor. In a bankruptcy or insolvency proceeding relating to an obligor
on an Unsecured Contract, the obligations of the obligor under such Unsecured
Contract may be discharged in their entirety, notwithstanding the fact that the
portion of such obligor's assets made available to the Issuer as a general
unsecured creditor to pay amounts due and owing thereunder are insufficient to
pay all such amounts.
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THE TITLE I PROGRAM
General
Certain of the Mortgage Loans or Contracts contained in Trust Property
with respect to a Series may be loans insured under the FHA Title I credit
insurance program created pursuant to Sections 1 and 2(a) of the National
Housing Act of 1934 (the "Title I Program"). Under the Title I Program, the FHA
is authorized and empowered to insure qualified lending institutions against
losses on eligible loans. The Title I Program operates as a coinsurance program
in which the FHA insures up to 90% of certain losses incurred on an individual
insured loan, including the unpaid principal balance of the loan, but only to
the extent of the insurance coverage available in the lender's FHA insurance
coverage reserve account. The owner of the loan bears the uninsured loss on each
loan.
The types of loans, which are eligible for insurance by the FHA under
the Title I Program, include property improvement loans ("Property Improvement
Loans" or "Title I Loans") and manufactured home loans ("Manufactured Home
Loans" or "Title I Contracts"). A Property Improvement Loan or Title I Loan is a
loan made to finance actions or items that substantially protect or improve the
basic livability or utility of a property and includes: (1) single family,
multifamily and nonresidential property improvement loans; (2) manufactured home
improvement loans, where the home is classified as personalty; (3) historic
preservation loans; and (4) fire safety equipment loans in existing health care
facilities. A Manufactured Home Loan or Title I Contract is a loan for the
purchase or refinancing of a manufactured home and/or the lot on which to place
such home and includes: (1) manufactured home purchase loans; (2) manufactured
home lot loans; and (3) combination loans.
In addition to these types of loans, there are two basic methods of
lending or originating loans which include a "direct loan" or a "dealer loan".
With respect to a direct loan, the borrower makes application directly to a
lender without any assistant from a dealer, which application may be filled out
by the borrower or by a person acting at the direction of the borrower who does
not have a financial interest in the loan transaction, and the lender may
disburse the loan proceeds solely to the borrower or jointly to the borrower and
other parties to the transaction. With respect to a dealer loan, the dealer, who
has a direct or indirect financial interest in the loan transaction, assists the
borrower in preparing the loan application or otherwise assists the borrower in
obtaining the loan from the lender and the lender may disburse proceeds solely
to the dealer or the borrower or jointly to the borrower and the dealer or other
parties. With respect to a dealer Title I Loan, a dealer may include a seller, a
contractor or supplier of goods or services, and with respect to a dealer Title
I Contract, a dealer is a person engaged in the business of manufactured home
retail sales.
Loans insured under the Title I Program are required to have fixed
interest rates and, generally, provide for equal installment payments due
weekly, biweekly, semi-monthly, or monthly, except that a loan may be payable
quarterly or semi-annually in order to correspond with the borrower's irregular
flow of income. The first or last payments (or both) may vary in amount but may
not exceed 150% of the regular installment payment, and the first payment may be
due no later than two months from the date of the loan. The note must contain a
provision permitting full or partial prepayment of the loan. The interest rate
may be established by the lender and must be fixed for the term of the loan and
recited in the note. Interest on an insured loan must accrue from the date of
the loan and be calculated according to the actuarial method. The lender must
assure that the note and all other documents evidencing the loan are in
compliance with applicable Federal, state and local laws.
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Each insured lender is required to use prudent lending standards in
underwriting individual loans and to satisfy the applicable loan underwriting
requirements under the Title I Program prior to its approval of the loan and
disbursement of loan proceeds. Generally, the lender must exercise prudence and
diligence to determine whether the borrower and any co-maker is solvent and an
acceptable credit risk, with a reasonable ability to make payments on the loan
obligation. The lender's credit application and review must determine whether
the borrower's income will be adequate to meet the periodic payments required by
the loan, as well as the borrower's other housing and recurring expenses, which
determination must be made in accordance with the expense-to-income ratios
published by the Secretary of HUD.
Under the Title I Program, the FHA does not review or approve for
qualification for insurance the individual loans insured thereunder at the time
of approval by the lending institution (as is typically the case with other
federal loan programs). If, after a loan has been made and reported for
insurance under the Title I Program, the lender discovers any material
misstatement of fact or that the loan proceeds have been misused by the
borrower, dealer or any other party, it shall promptly report this to the FHA.
In such case, provided that the validity of any lien on the property has not
been impaired, the insurance of the loan under the Title I Program will not be
affected unless such material misstatement of fact or misuse of loan proceeds
was caused by (or was knowingly sanctioned by) the lender or its employees.
Requirements for Title I Loans
The maximum principal amounts for Title I Loans must not exceed the
actual cost of the project plus any applicable fees and charges allowed under
the Title I Program; provided that such maximum principal amount does not exceed
the following loan amounts: (i) $25,000 for a single family property improvement
loan and nonresidential property improvement loans; (ii) the lesser of $60,000
or an average of $12,000 per dwelling unit for multifamily property improvement
loans; and (iii) $17,500 for a manufactured home improvement loan when the
manufactured home qualifies as real property. Generally, the term of a Title I
Loan may not be less than six months nor greater than 20 years and 32 days,
except that the maximum term of a single family property improvement loan on a
manufactured home is limited to 15 years and 32 days and the maximum term of a
manufactured home improvement loan is limited to 12 years and 32 days. A
borrower may obtain multiple Title I Loans with respect to multiple properties,
and a borrower may obtain more than one Title I Loan with respect to a single
property, in each case as long as the total outstanding balance of all Title I
Loans on the same property does not exceed the maximum loan amount for the type
of Title I Loan thereon having the highest permissible loan amount.
Borrower eligibility for a Title I Loan requires that the borrower have
at least a one-half interest in either fee simple title to the real property, a
lease thereof for a term expiring at least six months after the final maturity
of the Title I Loan or a recorded land installment contract for the purchase of
the real property, and that the borrower have equity in the property being
improved at least equal to the amount of the Title I Loan if such loan amount
exceeds $15,000. Any Title I Loan in excess of $5,000 must be secured by a
recorded lien on the improved property which is evidenced by a mortgage or deed
of trust executed by the borrower and all other owners in fee simple.
The proceeds from a Title I Loan may be used only to finance property
improvements which substantially protect or improve the basic livability or
utility of the property as disclosed in the loan application. The Secretary of
HUD has published a list of items and activities which cannot be financed with
proceeds from any Title I Loan and from time to time the Secretary of HUD may
amend such list of items and activities. With respect to any dealer Title I
Loan, before the lender may disburse funds, the lender must have in its
possession a completion certificate on a HUD-approved form, signed by the
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borrower and the dealer. With respect to any direct Title I Loan, the lender is
required to obtain, promptly upon completion of the improvements but not later
than six months after disbursement of the loan proceeds with one six month
extension if necessary, a completion certificate, signed by the borrower. The
lender is required to conduct an on-site inspection on any Title I Loan where
the principal obligation is $7,500 or more, and on any direct Title I Loan where
the borrower fails to submit a completion certificate.
Requirements for Title I Contracts
The maximum principal amount for any Title I Contract must not exceed
the sum of certain itemized amounts, which include a specified percentage of the
purchase price of the manufactured home depending on whether it is a new or
existing home; provided that such maximum amount does not exceed the following
loan amounts: (i) $48,600 for a new or existing manufactured home purchase loan;
(ii) $16,200 for a manufactured home lot purchase; and (iii) $64,800 for a
combination loan (i.e. a loan to purchase a new or existing manufactured home
and the lot for such home). Generally, the term of a Title I Contract may not be
less than six months nor greater than 20 years and 32 days, except that the
maximum term of a manufactured home lot loan is limited to 15 years and 32 days
and the maximum term of a multimodule manufactured home and lot in combination
is limited to 25 years and 32 days.
Borrower eligibility for a Title I Contract requires that the borrower
become the owner of the property to be financed with such loan and occupy the
manufactured home as the borrower's principal residence, except for a
manufactured home lot loan which allows six months from the date of the loan to
occupy the home as the borrower's principal residence. If a manufactured home is
classified as realty, then ownership of the home must be in fee simple, and
also, the ownership of the manufactured home lot must be in fee simple, except
for a lot which consists of a share in a cooperative association that owns and
operates a manufactured home park. The borrower's minimum cash down payment
requirement to obtain financing through a Title I Contract is as follows: (i) at
least 5% of the first $5,000 and 10% of the balance of the purchase price of a
new manufactured home and at least 10% of the purchase price of an existing
manufactured home for a manufactured home purchase loan, or in lieu of a full or
partial cash down payment, the trade-in of the borrower's equity in an existing
manufactured home; (ii) at least 10% of the purchase price and development costs
of a lot for a manufactured home lot loan; and (iii) at least 5% of the first
$5,000 and 10% of the balance of the purchase price of the manufactured home and
lot for a combination loan.
Any manufactured home financed by a Title I Contract must be certified
by the manufacturer to have been constructed in compliance with the National
Manufactured Housing Construction and Safety Standards Act of 1974 (42 U.S.C.
Sections 5401-5426), so as to conform to all applicable Federal construction and
safety standards, and with respect to the purchase of a new manufactured home,
the manufacturer must furnish the borrower with a one year written warranty on a
HUD approved form which obligates the manufacturer to correct any nonconformity
with all applicable Federal construction and safety standards or any defects in
materials or workmanship which become evident within one year after the date of
delivery. The regulations under the Title I Program set forth certain additional
requirements relating to the construction, transportation and installation of
any manufactured home and standards for the manufactured homesite financed by
any Title I Contract. The proceeds from a Title I Contract may be used as
follows: the purchase or refinancing of a manufactured home, a suitably
developed lot for a manufactured home already owned by the borrower or a
manufactured home and suitably developed lot for the home in combination; or the
refinancing of an existing manufactured home already owned by the borrower in
connection with the purchase of a manufactured home lot or an existing lot
already owned by the borrower in connection with the purchase of a manufactured
home. In addition, the proceeds for a Title I
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Contract which is a manufactured home purchase loan may be used for the
purchase, construction or installation of a garage, carport, patio or other
comparable appurtenance to the manufactured home, and the proceeds for a Title I
Contract which is a combination loan may be used for the purchase, construction
or installation of a foundation, garage, carport, patio or other comparable
appurtenance to the manufactured home. The proceeds from a Title I Contract
cannot be used for the purchase of furniture or the financing of any items and
activities which are set forth on the list published by the Secretary of HUD as
amended from time to time.
Any Title I Contract must be secured by a recorded lien on the
manufactured home (or lot or home and lot, as appropriate), its furnishings,
equipment, accessories and appurtenance, which lien must be a first lien,
superior to any other lien on the property which is evidenced by a properly
recorded financing statement, a properly recorded security instrument executed
by the borrower and any other owner of the property or other acceptable
instrument. With respect to any Title I Contract involving a manufactured home
purchase loan or combination loan and the sale of the manufactured home by a
dealer, the lender or its agent (other than a manufactured home dealer) must
conduct a site-of-placement inspection within 60 days after the date of the loan
to verify that the terms and conditions of the purchase contract have been met,
the manufactured home and any options and appurtenances included in the purchase
price or financed with the loan have been delivered and installed and the
placement certificate executed by the borrower and the dealer is in order.
FHA Insurance Coverage
Under the Title I Program the FHA establishes an insurance coverage
reserve account for each lender which has been granted a Title I insurance
contract. The amount of insurance coverage in this account is a maximum of 10%
of the amount disbursed, advanced or expended by the lender in originating or
purchasing eligible loans registered with the FHA for Title I insurance, with
certain adjustments permitted or required by the Title I regulations. The
balance in the insurance coverage reserve account is the maximum amount of
insurance claims the FHA is required to pay to the related lender. Loans to be
insured under the Title I Program will be registered for insurance by the FHA,
and the increase in Title I insurance coverage to which the lender is entitled
by reason of the reporting of such loans under the lender's contract of
insurance will be included in the insurance coverage reserve account for the
originating or purchasing lender following the receipt and acknowledgment by the
FHA of a loan report on the prescribed form pursuant to the Title I regulations.
The FHA charges a fee, which is the equivalent of an insurance premium, of 0.50%
of the related loan amount, multiplied by the number of years of the loan term.
Although the total insurance premium charged by the FHA is 0.50%, the annual
installment varies depending upon the type and maturity of the loan. Thus, the
effective cost of the insurance premium charge may vary between 0.50% and 1.0%
per annum, unless the loan is held to maturity. The FHA bills the related lender
in advance for the applicable insurance premium charge on each loan insured
under the Title I Program, on approximately the anniversary date of the date the
Secretary of HUD acknowledges the loan report. If a loan insured under the Title
I Program is prepaid during the year, the FHA will not refund or abate the
insurance premium.
Under the Title I Program the FHA will reduce the insurance coverage
available in the lender's FHA insurance coverage reserve account with respect to
loans insured under the lender's contract of insurance by (i) the amount of the
FHA insurance claims approved for payment relating to such insured loans, (ii)
prior to October 1, 1995, the amount of the Annual Reductions attributable to
the contract of insurance and (iii) the amount of reduction of the lender's FHA
insurance coverage reserve account by reason of the sale, assignment or transfer
of loans registered under the lender's contract of insurance.
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Such insurance coverage also may be reduced for any FHA insurance claims
previously disbursed to the lender that are subsequently rejected by the FHA.
After a lender has held its Title I contract of insurance for five years, the
lender's FHA insurance coverage reserve account is subject to an annual
reduction (the "Annual Reduction") on each October 1 in an amount equal to 10%
of the insurance coverage reserves available on such date with respect to such
contract of insurance; provided that such Annual Reduction shall not reduce the
insurance coverage to an amount less than $50,000. On June 5, 1995 the FHA
announced the elimination of such annual reductions, effective as of October 1,
1995.
Upon the receipt and acknowledgment by the FHA of a loan report,
originations of new loans will increase a lender's insurance coverage reserve
account balance by 10% of the amount disbursed, advanced or expended in
originating such loans registered with the FHA for insurance under the Title I
Program. A lender is permitted to sell or otherwise transfer loans reported for
insurance under the Title I Program only to another lender. Upon any such
transfer, except a transfer with recourse or under a guaranty or repurchase
agreement, the seller is required to file a transfer report with the FHA
reporting the transfer of such loans. Upon notification and approval of such
transfer, the insurance coverage reserve account of the selling lender is
reduced, and the insurance coverage reserve account of the purchasing lender is
increased, by an amount equal to the lesser of 10% of the actual purchase price
of the loans or the net unpaid principal balance of the loans, up to the total
amount of the selling lender's insurance coverage reserve account. Thus, in the
event the selling lender's insurance coverage reserve account was less than 10%
of the unpaid principal balance of its portfolio of loans reported for insurance
under the Title I Program prior to the sale, the seller's insurance coverage
reserve account may be exhausted as the result of a sale of only a portion of
its total portfolio, with the result that its remaining Title I Program
portfolio may be ineligible for Title I Program benefits until the lender
originates or otherwise acquires additional loans reported for insurance under
the Title I Program. Accordingly, the insurance coverage reserves transferred to
the purchasing lender in such case will be less than 10% of the lesser of the
purchase price or the principal balance of the portfolio of loans purchased,
Additionally, pursuant to FHA regulations, not more than $5,000 in insurance
coverage shall be transferred to or from a lender's insurance coverage reserve
account during any October 1 to September 30 fiscal year without the approval of
the Secretary of HUD. Such HUD approval is generally viewed as automatic,
provided the formal requirements for transfer are satisfied, but HUD does have
the right under FHA regulations to withhold approval.
Unlike most other FHA insurance programs, the obligation of the FHA to
reimburse a lender for losses in the portfolio of insured loans held by such
lender is limited to the amount in an insurance coverage reserve account
maintained on a lender-by-lender basis and not on a loan-by-loan basis. Except
when to do so would be in HUD's best interest (for instance, to prevent HUD from
paying out claims in excess of 10% of the aggregate original loan balance for a
pool of poorly underwritten loans), the FHA does not track or "earmark" the
loans within a lender's portfolio to determine whether the lender's insurance
coverage reserve account, reduced as the result of an insurance claim by the
lender, are, in fact, attributable to the insured loan with respect to which the
claim was made. For this reason, if a lender is holding insured loans as a
fiduciary on behalf of multiple non-affiliated beneficiaries, in order for such
a lender to cause its insurance coverage reserve account to be reduced only by
an amount to which a particular beneficiary is entitled by reason of the insured
loans beneficially held by it, the lender must segregate or "earmark" its
insurance coverage reserve account on its own books and records according to
which beneficiary is entitled to what portion of the insurance coverage in the
lender's insurance coverage reserve account as if the insurance coverage were
not commingled by the FHA in such insurance coverage reserve account. In this
way the lender can determine at what point the portion of insurance coverage in
such insurance coverage reserve account "earmarked" for a given beneficiary has
been
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exhausted and stop submitting additional insurance claims on behalf of such
beneficiary. In the event that, for any reason, such lender continues to submit
claims with respect to loans held on behalf of a beneficiary whose portion of
insurance coverage in its insurance coverage reserve account has been exhausted,
the FHA will continue to honor such claims until all insurance coverage in such
lender's insurance coverage reserve account has been exhausted, even though such
insurance coverage reserve account may, in fact, be held by the lender for the
benefit of a different beneficiary than the beneficiary of the insured loans to
which the claims relate under a separate contractual agreement.
Claims Procedures Under Title I
The term "default" is defined under FHA regulations as the failure of
the borrower to make any payment due under the note for a period of 30 days
after such payment is due. The "date of default" is considered to be the date 30
days after the borrower's first failure to make an installment payment on the
note that is not covered by subsequent payments applied to overdue installments
in the order they became due. When a loan reported for insurance under the Title
I Program goes into default, the lender is required to contact the borrower and
any co-maker and co-signer by telephone or in person to determine the reasons
for the default and to seek a cure. If such lender is not able to effect a cure
after diligent efforts, it may provide the borrower with a notice of default
stating that the loan will be accelerated in 30 days if the loan is not brought
current or the borrower does not enter into a loan modification agreement or
repayment plan. The notice of default must meet certain requirements set forth
in the FHA regulations and must conform to applicable state law provisions. Such
lender is permitted to rescind the acceleration of maturity of the loan only if
the borrower brings the loan current, executes a modification agreement or
agrees to an acceptable repayment plan.
Following acceleration of maturity of a secured property improvement
loan, the lender has the option to proceed against the security or make a claim
under its contract of insurance. If the lender chooses to proceed against the
mortgaged property under a security instrument (or if it accepts a voluntary
conveyance or surrender of the mortgaged property), (i) the lender must proceed
against the loan security by foreclosure and acquire good, marketable title to
the property securing the loan and (ii) the lender must take all actions
necessary under applicable law to preserve its rights, if any, to obtain a
deficiency judgment against the borrower, provided however, the lender may still
file an FHA insurance claim, but only with the prior approval of the Secretary
of HUD.
If a lender files an insurance claim with the FHA under the Title I
Program, the FHA reviews the claim, the complete loan file, certification of
compliance with applicable state and local laws in carrying out any foreclosure
or repossession and, where the borrower is in bankruptcy or deceased, evidence
that the lender has properly filed proofs of claims. Generally, a lender must
file its claim of insurance with the FHA no later than (i) for any Title I Loan,
nine months after the date of default of such loan or (ii) for any Title I
Contract, three months after the date of sale of the property securing the loan,
but not to exceed 18 months after the date of default of such loan. Concurrently
with filing the insurance claim, the lender is required to assign to the United
States of America it's entire interest in the note (or a judgment in lieu of the
note), in any securities held and in any claims filed in any legal proceedings.
If, at the time the note is assigned to the United States, the Secretary of HUD
has reason to believe that the note is not valid or enforceable against the
borrower, the FHA may deny the claim and reassign the note to the lender. If
either such defect is discovered after the FHA has paid a claim, the FHA may
require the lender to repurchase the paid claim and to accept an assignment of
the loan note. If the lender subsequently obtains a valid and enforceable
judgment against the borrower, the lender may resubmit a new insurance claim
with an assignment of the judgment. The FHA may contest any insurance claim
previously paid by it and
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make a demand for repurchase of the loan with respect to which the claim was
paid at any time up to two years from the date the claim was certified for
payment and may do so thereafter in the event of fraud or misrepresentation on
the part of the lender.
A claim for reimbursement of loss with respect to a loan eligible for
insurance under the Title I Program is required to be made on an FHA-approved
form executed by a duly qualified officer of the lender and must be accompanied
by copies of certain relevant documents and documentation specified in the FHA
regulations to support the claim. The lender is required, among other things, to
document its efforts to effect recourse against any dealer in accordance with
any recourse agreement with such dealer. If the loan is subject to an
unsatisfied dealer recourse agreement claim, the lender is also required to
assign its rights under such recourse agreement. The FHA has the right to deny
any claim for insurance in whole or in part based upon a violation of the FHA
regulations unless a waiver of compliance is granted. The lender is permitted to
appeal any such claim denial and resubmit the claim within six months of the
date of the claim denial, subject to a reprocessing fee.
Under the Title I Program the amount of an FHA insurance claim payment,
when made, is equal to the Claimable Amount, up to the amount of insurance
coverage in the lender's insurance coverage reserve account. The "Claimable
Amount" is equal to 90% of the sum of: (a) the unpaid loan obligation (net
unpaid principal and the uncollected interest earned to the date of default)
with adjustments thereto if the lender has proceeded against property securing
such loan; (b) the interest on the unpaid amount of the loan obligation from the
date of default to the date of the claim's initial submission for payment plus
15 calendar days (the total period not to exceed nine months from the date of
default), calculated at the rate of 7% per annum; (c) the uncollected court
costs; (d) the attorneys' fees not to exceed $500; (e) the expenses for
recording the assignment of the security to the United States; and (f) if the
loan is a Title I Contract, certain costs incurred in connection with the
foreclosure or repossession of the manufactured home and/or lot.
LEGAL INVESTMENT MATTERS
Unless otherwise specified in the related Prospectus Supplement, the
Securities of a Series constitute "mortgage related securities" for purposes of
the Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA") so long as they
are rated in one of the two highest rating categories established for such
Securities by at least one nationally recognized statistical rating
organization. As "mortgage related securities," such Securities will constitute
legal investments for persons, trusts, corporations, partnerships, associations,
business trusts and business entities (including but not limited to
state-chartered savings banks, commercial banks, savings and loan associations
and insurance companies, as well as trustees and state government employee
retirement systems) created pursuant to or existing under the laws of the United
States or any State (including the District of Columbia and Puerto Rico) whose
authorized investments are subject to State regulation to the same extent that,
under applicable law, obligations issued by or guaranteed as to principal and
interest by the United States or any agency or instrumentality thereof
constitute legal investments for such entities. Pursuant to SMMEA, Alaska,
Arkansas, Colorado, Connecticut, Delaware, Florida, Georgia, Illinois, Kansas,
Louisiana, Maryland, Michigan, Missouri, Nebraska, New Hampshire, New York,
North Carolina, Ohio, South Dakota, Utah, Virginia, and West Virginia each
enacted legislation prior to the October 4, 1991 deadline for such enactments,
limiting to varying extends the ability of certain entities (in particular,
insurance companies) to invest in "mortgage related securities," in most cases
by requiring the affected investors to rely upon
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existing state law, and not SMMEA. Accordingly, the investors affected by such
legislation will be authorized to invest in the Securities only to the extent
provided in such legislation.
Institutions whose investment activities are subject to legal
investment laws or regulations or review by certain regulatory authorities may
be subject to restrictions on investment in certain Classes of the Securities.
Any financial institution which is subject to the jurisdiction of the
Comptroller of the Currency, the Board of Governors of the Federal Reserve
System, the Federal Deposit Insurance Corporation ("FDIC"), the Office of Thrift
Supervision ("OTS"), the National Credit Union Administration ("NCUA"), or other
federal or state agencies with similar authority should review any applicable
rules, guidelines and regulations prior to purchasing the Securities.
Notwithstanding SMMEA, there may be other restrictions on the ability
of certain investors, including depository institutions, either to purchase
Securities or to purchase Securities representing more than a specified
percentage of the investors' assets.
The foregoing does not take into consideration the applicability of
statutes, rules, regulations, orders, guidelines or agreements generally
governing investments made by a particular investor, including, but not limited
to "prudent investor" provisions, percentage-of-assets limits and provisions
which may restrict or prohibit investment in securities which are not "interest
bearing" or "income paying", or in securities which are issued in book-entry
form.
If specified in the related Prospectus Supplement, other Classes of
Securities offered pursuant to this Prospectus will not constitute "mortgage
related securities" under SMMEA. The appropriate characterization of those
Securities under various legal investment restrictions, and thus the ability of
investors subject to these restrictions to purchase the Securities, may be
subject to significant interpretive uncertainties. No representation is made as
to the proper characterization of Securities not qualifying as "mortgage related
securities" for legal investment or financial institution regulatory purposes,
or as to the ability of particular investors to purchase such Securities under
applicable legal investment restrictions. The uncertainties described above (and
any unfavorable future determination concerning legal investment or financial
institution regulatory characteristics of such Certificates) may adversely
affect the liquidity of such Securities.
Investors should consult their own legal advisors in determining
whether and to what extent the Certificates constitute legal investments for
such investors.
ERISA CONSIDERATIONS
The Employee Retirement Income Security Act of 1974, as amended
("ERISA"), and Section 4975 of the Code impose requirements on employee benefit
plans (and on certain other retirement plans and arrangements, including
individual retirement accounts and annuities, Keogh plans and collective
investment funds and separate accounts in which such plans, accounts or
arrangements are invested) (collectively, "Plans") subject to ERISA and Section
4975 of the Code and on persons who are fiduciaries with respect to such Plans.
Among other things, ERISA requires that the assets of Plans be held in trust and
that the trustee, or other duly authorized fiduciary, have exclusive authority
and discretion to manage and control the assets of such Plans. ERISA also
imposes certain duties on persons who are fiduciaries of Plans. Under ERISA, any
person who exercises any authority or control respecting the management or
disposition of the assets of a Plan is considered to be a fiduciary of such Plan
(subject to certain
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exceptions not here relevant). In addition to the imposition of general
fiduciary standards of investment prudence and diversification, ERISA prohibits
a broad range of transactions ("Prohibited Transactions") involving Plan assets
and persons ("Parties in Interest") having certain specified relationships to a
Plan and imposes additional prohibitions where Parties in Interest are
fiduciaries with respect to such Plan. Section 4975 of the Code provides many
requirements and prohibitions similar to those under ERISA and applies excise
taxes on persons engaged in Prohibited Transactions.
The United States Department of Labor (the "DOL") has issued
regulations concerning the definition of what constitutes the assets of a Plan
(DOL Reg. Section 2510.3-101, the "Plan Asset Regulations") Under the Plan Asset
Regulations, the underlying assets and properties of corporations, partnerships
and certain other entities in which a Plan makes an "equity" investment could be
deemed for purposes of ERISA to be assets of the investing Plan in certain
circumstances. In such case, the fiduciary making such an investment for the
Plan could be deemed to have delegated his or her asset management
responsibility, and the underlying assets and properties could be subject to
ERISA reporting and disclosure. The Certificates of a Series will, and the Bonds
of a Series could, be treated as "equity" for purposes of ERISA. Certain
exceptions to the regulation may apply in the case of a Plan's investment in the
Securities that constitute "equity" investments, but the Company cannot predict
in advance whether such exceptions apply due to the factual nature of the
conditions to be met. Accordingly, because the Mortgage Loans or Agency
Securities may be deemed Plan assets of each Plan that purchases such
Securities, an investment in such Securities by a Plan might give rise to a
prohibited transaction under ERISA Sections 406 and 407 and be subject to an
excise tax under Code Section 4975 unless a statutory or administrative
exemption applies.
DOL Prohibited Transaction Class Exemption 83-1 ("PTCE 83-1") exempts
from ERISA's prohibited transaction rules certain transactions relating to the
operation of residential mortgage pool investment trusts and the purchase, sale
and holding of "mortgage pool pass-through certificates" in the initial issuance
of such certificates. PTCE 83-1 permits, subject to certain conditions,
transactions which might otherwise be prohibited between Plans and Parties in
Interest with respect to those Plans involving the origination, maintenance and
termination of mortgage pools consisting of mortgage loans secured by first or
second mortgages or deeds of trust on single-family residential property, and
the acquisition and holding of certain mortgage pool pass-through certificates
representing an interest in such mortgage pools by Plans.
PTCE 83-1 sets forth three general conditions which must be satisfied
for any transaction to be eligible for exemption: (i) the maintenance of a
system of insurance or other protection for the pooled mortgage loans and
property securing such loans, and for indemnifying certificateholders against
reductions in pass-through payments due to property damage or defaults in loan
payments in an amount not less than the greater of one percent of the aggregate
principal balance of all covered pooled mortgage loans or the principal balance
of the largest covered pooled mortgage loan; (ii) the existence of a pool
trustee who is not an affiliate of the pool sponsor; and (iii) a limitation on
the amount of the payments retained by the pool sponsor, together with other
funds inuring to its benefit, to not more than adequate consideration for
selling the mortgage loans plus reasonable compensation for services provided by
the pool sponsor to the Mortgage Pool.
Although the Trustee for any series of Certificates will be
unaffiliated with the Company, there can be no assurance that the system of
insurance or subordination will meet the general or specific conditions referred
to above. In addition, the nature of a Trust's assets or the characteristics of
one or more classes of the related series of Certificates may not be included
within the scope of PTCE 83-1 or
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any other class exemption under ERISA. The Prospectus Supplement will provide
additional information with respect to the application of ERISA and the Code to
the related Certificates.
Several underwriters of mortgage-backed securities have applied for and
obtained ERISA prohibited transactions exemptions which are in some respects
broader than PTCE 83-1. Such exemptions can only apply to mortgage-backed
securities which, among other conditions, are sold in an offering with respect
to which such underwriter serves as the sole or a managing underwriter, or as a
selling or placement agent. Several other underwriters have applied for similar
exemptions. If such an exemption might be applicable to a Series of Securities,
the related Prospectus Supplement will refer to such possibility.
Each Plan fiduciary who is responsible for making the investment
decisions whether to purchase or commit to purchase and to hold Securities must
make its own determination as to whether the general and the specific conditions
of PTCE 83-1 have been satisfied, or as to the availability of any other
prohibited transaction exemptions. Each Plan fiduciary should also determine
whether, under the general fiduciary standards of investment prudence and
diversification, an investment in the Securities is appropriate for the Plan,
taking into account the overall investment policy of the Plan and the
composition of the Plan's investment portfolio.
Any Plan proposing to invest in Securities should consult with its
counsel to confirm that such investment will not result in a Prohibited
Transaction and will satisfy the other requirements of ERISA and the Code.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
The following general discussion of the anticipated material federal
income tax consequences of the purchase, ownership and disposition of Securities
of any Series, to the extent it relates to matters of law or legal conclusions
with respect thereto, represents the opinion of counsel to the Company with
respect to that Series on the material matters associated with such
consequences, subject to any qualifications set forth herein. Counsel to the
Company for each Series will be Andrews & Kurth L.L.P. or Hunton & Williams, as
specified in the Prospectus Supplement ("Counsel to the Company"). The
discussion below does not purport to address all federal income tax consequences
that may be applicable to particular categories of investors, some of which may
be subject to special rules. The authorities on which this discussion is based
are subject to change or differing interpretations, and any such change or
interpretation could apply retroactively. The discussion focuses primarily on
investors who will hold the Securities as "capital assets" (generally, property
held for investment) within the meaning of Section 1221 of the Internal Revenue
Code of 1986, as amended (the "Code"), although much of the discussion is
applicable to other investors as well. Investors should note that, although the
Treasury has issued final regulations under the REMIC provision of the Code (the
"REMIC Regulations"), no currently effective regulations or other administrative
guidance has been issued with respect to certain provisions of the Code that are
or may be applicable to Securityholders, particularly the provisions dealing
with market discount and stripped debt securities. Although the Treasury has
issued final regulations dealing with original issue discount and premium, those
regulations do not address directly the treatment of REMIC Regular Securities
and certain other types of securities. Furthermore, the REMIC Regulations do not
address many of the issues that arise in connection with the formation and
operation of a REMIC. Hence, definitive guidance cannot be provided with respect
to many aspects of the tax treatment of Securityholders, particularly Residual
Securityholders (as described below).
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Moreover, this summary and the opinion referred to below are based on
current law, and there can be no assurance that the Service will not take
positions that would be materially adverse to investors. Finally, the summary
does not purport to address the anticipated state income tax consequences to
investors of owning and disposing of the Securities. Consequently, investors
should consult their own tax advisors in determining the federal, state,
foreign, and any other tax consequences to them of the purchase, ownership, and
disposition of the Securities.
For purposes of this discussion, where the applicable Prospectus
Supplement provides for a fixed retained yield with respect to the Mortgage
Loans, Agency Securities, Private Mortgage-Backed Securities, Multifamily Loans
or Contracts underlying a Series of Securities, references to the Mortgage
Loans, Agency Securities, Private Mortgage-Backed Securities, Multifamily Loans
or Contracts will be deemed to refer to that portion of the Mortgage Loans,
Agency Securities, Private Mortgage-Backed Securities, Multifamily Loans or
Contracts held by the Trust Fund or Trust Estate which does not include the
fixed retained yield.
FEDERAL INCOME TAX CONSEQUENCES FOR REMIC SECURITIES
GENERAL
With respect to a particular Series of Securities, an election may be
made to treat the Trust Property or one or more trusts or segregated pools of
assets therein as one or more REMICs within the meaning of Code Section 860D.
Trust Fund, Trust Estate or a portion or portions thereof as to which a REMIC
election will be made will be referred to as a "REMIC Pool." For purposes of
this discussion, Securities of a Series as to which one or more REMIC elections
are made are referred to as "REMIC Securities" and will consist of one or more
Classes of "Regular Securities" and one Class of "Residual Securities" in the
case of each REMIC Pool. Qualification as a REMIC requires ongoing compliance
with certain conditions. Upon the issuance of each Series of REMIC Securities,
counsel to the Company will give its opinion generally to the effect that,
assuming (i) the making of an appropriate election, (ii) compliance with the
Agreement or Indenture, as applicable, and (iii) continuing compliance with the
applicable provisions of the Code, as it may be amended from time to time, and
any applicable Treasury regulations adopted thereunder, each REMIC Pool will
qualify as a REMIC. The following general discussion of the anticipated federal
income tax consequences of the purchase, ownership and disposition of REMIC
Securities, to the extent it relates to matters of law or legal conclusions with
respect thereto, represents the opinion of counsel to the Company, subject to
any qualifications set forth herein. In addition, counsel to the Company has
prepared or reviewed the statements in this Prospectus under the heading
"Certain Federal Income Tax Consequences -- Federal Income Tax Consequences for
REMIC Securities," and is of the opinion that such statements are correct in all
material respects. Such statements are intended as an explanatory discussion of
the possible effects of the classification of any Trust Fund, Trust Estate (or
applicable portion thereof) as a REMIC for federal income tax purposes on
investors generally and of related tax matters affecting investors generally,
but do not purport to furnish information in the level of detail or with the
attention to an investor's specific tax circumstances that would be provided by
an investor's own tax advisor. Accordingly, each investor is advised to consult
its own tax advisors with regard to the tax consequences to it of investing in
REMIC Securities. With respect to each Series of REMIC Securities, the Regular
Securities will be considered to be "regular interests" in the REMIC Pool and
generally will be treated for federal income tax purposes as debt instruments,
and the Residual Securities will be considered to be "residual interests" in the
REMIC Pool. The Prospectus Supplement for each Series of Securities will
indicate whether one or more REMIC elections with respect to the related Trust
Fund, Trust Estate will be made, in which event references to "REMIC" or "REMIC
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Pool" herein shall be deemed to refer to each such REMIC Pool. For purposes of
this discussion, unless otherwise specified herein or in the applicable
Prospectus Supplement, the term "Mortgage Loans" will be used to refer to
Mortgage Loans, Agency Securities, Private Mortgage-Backed Securities (other
than residual interests and collateralized mortgage loans), Multifamily Loans
and Contracts.
STATUS OF REMIC SECURITIES
REMIC Securities held by a thrift institution taxed as a mutual savings
bank or a domestic building and loan association (a "Thrift Institution") would
be treated as "loans" secured by an interest in real property" within the
meaning of Code Section 7701(a)(19)(C)(v) or as other assets described in Code
Section 7701(a)(19)(C) in the same proportion that the assets of the REMIC Pool
would so qualify REMIC Securities held by a real estate investment trust (a
"REIT") will constitute "real estate assets" within the meaning of Code Section
856(c)(4)(A), and interest on the REMIC Securities will be considered "interest
on obligations secured by mortgages on real property or on interests in real
property" within the meaning of Code Section 856(c)(3)(B) in the same proportion
that, for both purposes, the assets of the REMIC Pool would be so treated.
However, if at all times 95% or more of the assets of the REMIC Pool constitute
qualifying assets for Thrift Institutions and REITs, the REMIC Securities will
be treated entirely as qualifying assets for such entities (and the income will
be treated entirely as qualifying income). Moreover, the REMIC Regulations
provide that, for purposes of Code Section 856(c)(4)(A), payments of principal
and interest on the Mortgage Loans that are reinvested pending distribution to
holders of REMIC Securities constitute qualifying assets for such entities.
Where two REMIC Pools are part of a tiered structure they will be treated as one
REMIC for purposes of the tests described above respecting asset ownership of
more or less than 95%. Notwithstanding the foregoing, however, REMIC income
received by a REIT owning a residual interest in a REMIC Pool could be treated
in part as non-qualifying REIT income if the REMIC Pool holds Mortgage Loans
with respect to which income is contingent on mortgagor profits or property
appreciation. In addition, if the assets of the REMIC include buy-down Mortgage
Loans, it is possible that the percentage of such assets constituting
"loans . . . secured by an interest in real property" for purposes of Code
Section 7701(a)(19)(C)(v) may be required to be reduced by the amount of the
related buy-down funds. REMIC Securities held by a regulated investment company
or a REIT will not constitute "Government securities". REMIC Securities held by
certain financial institutions will constitute an "evidence of indebtedness"
within the meaning of Code Section 582(c)(1). However, Regular Securities
acquired by another REMIC on its Startup Day (as defined below) in exchange for
regular or residual interests in the REMIC will constitute "qualified mortgages"
within the meaning of Code Section 860G(a)(3). Regular Securities held by a
financial asset securitization investment trust ("FASIT") generally will qualify
for treatment as "permitted assets" under section 860L(c)(1)(G) of the Code.
QUALIFICATION AS A REMIC
In order for the REMIC Pool to qualify as a REMIC, there must be
ongoing compliance on the part of the REMIC Pool with the requirements set forth
in the Code. The REMIC Pool must fulfill an asset test, which requires that no
more than a de minimis amount of the assets of the REMIC Pool, as of the close
of the third calendar month beginning after the "Startup Day" (which for
purposes of this discussion is the date of issuance of the REMIC Securities) and
at all times thereafter, may consist of assets other than "qualified mortgages"
and "permitted investments." The REMIC Regulations provide a "safe harbor"
pursuant to which the de minimis requirement will be met if at all times the
aggregate adjusted basis of any nonqualified assets (i.e., assets other than
qualified mortgages and permitted investments) is less than 1% of the aggregate
adjusted basis of all the REMIC Pool's assets.
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If a REMIC Pool fails to comply with one or more of the requirements of
the Code for REMIC status during any taxable year, the REMIC Pool will not be
treated as a REMIC for such year and thereafter. In this event, the
classification of the REMIC for federal income tax purposes is uncertain. The
REMIC Pool might be entitled to treatment as a grantor trust under the rules
described in "Federal Income Tax Consequences for Securities as to Which No
REMIC Election Is Made" herein. In that case, no entity-level tax would be
imposed on the REMIC Pool. Alternatively, the Regular Securities may continue to
be treated as debt instruments for federal income tax purposes; but the REMIC
Pool could be treated as a taxable mortgage pool (a "TMP"). If the REMIC Pool is
treated as a TMP, any residual income of the REMIC Pool (i.e., income from the
Mortgage Loans less interest and original issue discount expense allocable to
the Regular Securities and any administrative expenses of the REMIC Pool) would
be subject to corporate income tax at the REMIC Pool level. On the other hand,
an entity with multiple classes of ownership interests may be treated as a
separate association taxable as a corporation under Treasury regulations, and
the Regular Securities may be treated as equity interests therein. The Code,
however, authorizes the Treasury Department to issue regulations that address
situations where failure to meet one or more of the requirements for REMIC
status occurs inadvertently and in good faith, and disqualification of the REMIC
Pool would occur absent regulatory relief. Investors should be aware, however,
that the Conference Committee Report to the 1986 Act (the "Committee Report")
indicates that the relief may be accompanied by sanctions, such as the
imposition of a corporate tax on all or a portion of the REMIC Pool's income for
the period of time in which the requirements for REMIC status are not satisfied.
TAXATION OF REGULAR SECURITIES
General
Payments received by holders of Regular Securities generally should be
accorded the same tax treatment under the Code as payments received on ordinary
taxable corporate debt instruments. In general, interest, original issue
discount and market discount on a Regular Security will be treated as ordinary
income to a holder of the Regular Security (the "Regular Securityholder") as
they accrue, and principal payments on a Regular Security will be treated as a
return of capital to the extent of the Regular Securityholder's basis in the
Regular Security allocable thereto. Regular Securityholders must use the accrual
method of accounting with regard to Regular Securities, regardless of the method
of accounting otherwise used by such Regular Securityholders.
Original Issue Discount
Regular Securities may be issued with "original issue discount" within
the meaning of Code Section 1273(a). Holders of any class of Regular Securities
having original issue discount generally must include original issue discount in
ordinary income for federal income tax purposes as it accrues, in accordance
with a constant interest method that takes into account the compounding of
interest, in advance of receipt of the cash or a portion of the cash
attributable to such income. Based in part on Treasury regulations governing
original issue discount (the "OID Regulations") and in part on the provisions of
the 1986 Act, the Company anticipates that the amount of original issue discount
required to be included in a Regular Securityholder's income in any taxable year
will be computed in a manner substantially as described below. Regular
Securityholders should be aware, however, that the OID Regulations either do not
address, or are subject to varying interpretations with regard to, several
issues relevant to securities, such as the Regular Securities, that are subject
to prepayment. The 1986 Act requires that the amount and rate of accrual of
original issue discount be calculated based on a reasonable
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assumed prepayment rate for the Mortgage Loans in a manner prescribed by
regulations not yet issued ("Prepayment Assumption") and provides for adjusting
the amount and rate of accrual of such discount where the actual prepayment rate
differs from the Prepayment Assumption. The Committee Report indicates that the
regulations will require that the Prepayment Assumption be the prepayment
assumption that is used in determining the initial offering price of such
Securities. The Prospectus Supplement for each Series of such Securities will
specify the Prepayment Assumption determined by the Company for the purposes of
determining the amount and rate of accrual of original issue discount. No
representation is made that the Securities will prepay at the Prepayment
Assumption or at any other rate. Moreover, the OID Regulations include an
anti-abuse rule allowing the Internal Revenue Service ("IRS") to apply or depart
from the OID Regulations where necessary or appropriate to ensure a reasonable
tax result in light of the applicable statutory provisions. A tax result will
not be considered unreasonable under the anti-abuse rule in the absence of a
substantial effect on the present value of a taxpayer's tax liability. Investors
are advised to consult their own tax advisors as to the discussion herein and
the appropriate method for reporting interest and original issue discount with
respect to the Regular Securities.
Under the OID Regulations, each Regular Security (except to the extent
described below with respect to a Regular Security on which distributions of
principal are made in a single installment or upon an earlier distribution by
lot of a specified principal amount upon the request of a Regular Securityholder
or by random lot (a "Retail Class Security")) will be treated as a single
installment obligation for purposes of determining the original issue discount
includible in a Regular Securityholder's income. The total amount of original
issue discount on a Regular Security is the excess of the "stated redemption
price at maturity" of the Regular Security over its "issue price." The issue
price of a Regular Security is the first price at which a substantial amount of
Regular Securities of that class are first sold (other than to bond houses,
brokers, underwriters and wholesalers). Unless specified otherwise in the
Prospectus Supplement, the Company will determine original issue discount by
including the amount paid by an initial Regular Securityholder for accrued
interest that relates to a period prior to the issue date of the Regular
Security in the issue price of a Regular Security and will include in the stated
redemption price at maturity any interest paid on the first Distribution Date
(or Payment Date) to the extent such interest is attributable to a period in
excess of the number of days between the issue date and such first Distribution
Date (or Payment Date). The stated redemption price at maturity of a Regular
Security always includes the original principal amount of the Regular Security,
but generally will not include distributions of stated interest if such interest
distributions constitute "qualified stated interest." Under the OID Regulations,
qualified stated interest generally means stated interest that is
unconditionally payable in cash or in property (other than debt instruments of
the issuer), or that will be constructively received, at least annually at a
single fixed rate or at a permissible variable rate. The special rules
applicable to variable rate Regular Securities are described below. Any stated
interest in excess of the qualified stated interest is included in the stated
redemption price at maturity. If the amount of original issue discount is "de
minimis" as described below, the amount of original issue discount is treated as
zero, and all stated interest is treated as qualified stated interest.
Distributions of interest on Regular Securities with respect to which deferred
interest will accrue may not constitute qualified stated interest, in which case
the stated redemption price at maturity of such Regular Securities includes all
distributions of interest as well as principal thereon. Moreover, if the
interval between the issue date and the first Distribution Date (or Payment
Date) on a Regular Security is longer than the interval between subsequent
Distribution Dates (or Payment Dates) (and interest paid on the first
Distribution Date (or Payment Date) is less than would have been earned if the
stated interest rate were applied to outstanding principal during each day in
such interval), the stated interest distributions on such Regular Security
technically do not constitute qualified stated interest. The OID Regulations
provide that in such case a special rule, applying solely for the purpose of
determining whether original issue discount is de minimis, provides that the
interest shortfall for the long first period (i.e., the interest
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that would have been earned if interest had been paid on the first Distribution
Date (or Payment Date) for each day the Regular Security was outstanding) is
treated as original issue discount assuming the stated interest would otherwise
be qualified stated interest. Also in such case the stated redemption price at
maturity is treated as equal to the issue price plus the greater of the amount
of foregone interest or the excess, if any, of the Security's stated principal
amount over its issue price. The OID Regulations indicate that all interest on a
long first period Regular Security that is issued with non-de minimis original
issue discount will be included in the Regular Security's stated redemption
price at maturity. Regular Securityholders should consult their own tax advisors
to determine the issue price and stated redemption price at maturity of a
Regular Security.
Under a de minimis rule, original issue discount on a Regular Security
will be considered to be zero if such original issue discount is less than 0.25%
of the stated redemption price at maturity of the Regular Security multiplied by
the weighted average maturity of the Regular Security. For this purpose, the
weighted average maturity of the Regular Security is computed as the sum of the
amounts determined by multiplying the number of full years (i.e., rounding down
partial years) from the issue date until each distribution in reduction of
stated redemption price at maturity is scheduled to be made by a fraction, the
numerator of which is the amount of each distribution included in the stated
redemption price at maturity of the Regular Security and the denominator of
which is the stated redemption price at maturity of the Regular Security.
Although currently unclear, it appears that the schedule of such distributions
should be determined in accordance with the Prepayment Assumption. In addition,
if the original issue discount is de minimis all stated interest (including
stated interest that would otherwise be treated as original issue discount) is
treated as qualified stated interest. Unless the Holder of a Regular Security
elects to accrue all discount under a constant yield to maturity method, as
described below, the holder of Regular Security will include any de minimis
original issue discount in income on a pro rata basis as stated principal
payments on the Regular Security are made, or, if earlier, upon anticipation of
the Regular Security. If a subsequent Holder of a Regular Security issued with
de minimis original issue discount purchases the Regular Security at a premium,
the subsequent Holder does not include any original issue discount in income. If
a subsequent Holder purchases such Regular Security at a discount all discount
is reported as market discount, as described below.
Of the total amount of original issue discount on a Regular Security,
the Regular Securityholder generally must include in gross income for any
taxable year the sum of the "daily portions," as defined below, of the original
issue discount on the Regular Security accrued during an accrual period for each
day on which he holds the Regular Security, including the date of purchase but
excluding the date of disposition. With respect to each Regular Security, a
calculation will be made of the original issue discount that accrues during each
full accrual period (or shorter period from the date of original issue) that
ends on the day before the related Distribution Date or Payment Date for the
Regular Security. In the case of an original holder or a Regular Security, the
daily portions of the original issue discount with respect to such Regular
Security generally will be determined by allocating to each day in any accrual
period the regular security ratable portion of the excess, if any, of (i) the
sum of (a) the present value of all of the remaining distributions to be made on
the Regular Security as of the end of that accrual period that are included in
the Regular Security's stated redemption price at maturity and (b) the
distributions made on the Regular Security during the accrual period that are
included in the Regular Security's stated redemption price at maturity, over
(ii) the adjusted issue price of the Regular Security at the beginning of the
accrual period. The present value of the remaining distributions referred to in
the preceding sentence is calculated based on (i) the yield to maturity of the
Regular Security at the issue date giving effect to the Prepayment Assumption,
(ii) events (including actual prepayments) that have occurred prior to the end
of the accrual period and (iii) the Prepayment Assumption. The effect of these
rules is to adjust the rate of original issue
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discount accrual to correspond to the actual prepayment experience. For these
purposes, the adjusted issue price of a Regular Security at the beginning of any
accrual period equals the issue price of the Regular Security, increased by the
aggregate amount of original issue discount with respect to the Regular Security
that accrued in all prior accrual periods and reduced by the amount of
distributions included in the Regular Security's stated redemption price at
maturity that were made on the Regular Security in such prior periods.
Under the method described above, the daily portions of original issue
discount required to be included in income by a Regular Securityholder generally
will increase to take into account prepayments on the Regular Securities as a
result of prepayments on the Mortgage Loans that exceed the Prepayment
Assumption, and generally will decrease (but not below zero for any period) if
the prepayments are slower than the Prepayment Assumption. To the extent
specified in the applicable Prospectus Supplement, an increase in prepayments on
the Mortgage Loans with respect to a Series of Regular Securities can result in
both a change in the priority of principal payments with respect to certain
Classes of Regular Securities and either an increase or decrease in the daily
portions of original issue discount with respect to such Regular Securities.
In the case of a Retail Class Security, the yield to maturity of such
Security will be determined based upon the anticipated payment characteristics
of the Class as a whole under the Prepayment Assumption. In general, the
original issue discount accruing on each Retail Class Security in a full accrual
period would be its allocable share of the original issue discount with respect
to the entire Class, as determined in accordance with the preceding paragraph.
However, in the case of a distribution of the entire principal amount of any
Retail Class Security (or portion thereof), (a) the remaining unaccrued original
issue discount allocable to such Security (or to such portion) will accrue at
the time of such distribution, and (b) the accrual of original issue discount
allocable to each remaining Security of such Class (or the remaining principal
amount of a Retail Class Security after a distribution in reduction of a portion
of its principal amount has been received) will be adjusted by reducing the
present value of the remaining payments on such Class and the adjusted issue
price of such Class to the extent attributable to the portion of the principal
amount thereof that was distributed.
In many cases, Regular Securities will be subject to optional
redemption before their stated maturity dates. Under the OID Regulations, the
Company will be presumed to exercise its option to redeem for purposes of
computing the accrual of original issue discount if, and only if, by using the
optional redemption date as the maturity date and the optional redemption price
as the stated redemption price at maturity, the yield to maturity of the
Security is lower than it would be if the Security were not redeemed early. If
the Company is presumed to exercise its option to redeem the Securities,
original issue discount on such Securities will be calculated as if the
redemption date were the maturity date and the optional redemption price were
the stated redemption price at maturity. In cases in which all of the Securities
of a particular Series are issued at par or at a discount, the Company will not
be presumed to exercise its option to redeem the Securities because a redemption
by the Company would not lower the yield to maturity of the Securities. If,
however, some Securities of a particular Series are issued at a premium, the
Company may be able to lower the yield to maturity of the Securities by
exercising its redemption option. In determining whether the Company will be
presumed to exercise its option to redeem Securities when one or more Classes of
the Securities is issued at a premium, the Trustee will take into account all
Classes of Securities that are subject to the optional redemption to the extent
that they are expected to remain outstanding as of the optional redemption date,
based on the Prepayment Assumption. If, determined on a combined weighted
average basis, the Securities of such Classes were issued at a premium, the
Trustee will presume that the Company will exercise its option. However, the OID
Regulations are unclear as to
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how the redemption presumption rules should apply to instruments such as the
Securities, and there can be no assurance that the IRS will agree with the
Trustee's position.
A subsequent holder of a Regular Security issued with original issue
discount who purchases the Regular Security at a cost less than the remaining
stated redemption price at maturity will also be required to include in gross
income the sum of the daily portions of original issue discount on the Regular
Security. In computing the daily portions of original issue discount for a
subsequent purchaser (as well as an initial purchaser who purchases a Regular
Security at a price higher than the issue price but less than the stated
redemption price at maturity), however, the daily portion for any day is reduced
by the amount that would be the daily portion for such day (computed in
accordance with the rules set forth above) multiplied by a fraction, the
numerator of which is the amount, if any, by which the price paid by such
purchaser for the Regular Security exceeds the excess of (i) the sum of its
issue price and the aggregate amount of original issue discount that would have
been includible in the gross income of an original holder of the Regular
Security who purchased the Regular Security at its issue price, over (ii) the
amount of any prior distributions included in the stated redemption price at
maturity, and the denominator of which is the sum of the daily portions for such
Regular Security (computed in accordance with the rules set forth above) for all
days beginning on the date after the date of purchase and ending on the date on
which the remaining principal amount of such Regular Security is expected to be
reduced to zero under the Prepayment Assumption. Alternatively, such a
subsequent holder may accrue original issue discount by treating the purchase as
a purchase at original issuance and applying the constant yield to maturity
method.
The OID Regulations provide that a holder that acquires a Regular
Security may elect to include in gross income all stated interest, original
issue discount, de minimis original issue discount, market discount (as
described below under "Market Discount"), de minimis market discount and
unstated interest (as adjusted for any amortizable bond premium or acquisition
premium) currently as it accrues using the constant yield to maturity method. If
such an election were made with respect to a Regular Security with market
discount, the Regular Securityholder would be deemed to have made an election to
include in income currently market discount with respect to all other debt
instruments having market discount that such Regular Securityholder acquires
during the year of the election or thereafter. Similarly, a Regular
Securityholder that makes this election for a Regular Security that is acquired
at a premium will be deemed to have made an election to amortize bond premium
with respect to all debt instruments having amortizable bond premium that such
Regular Securityholder owns or acquires. The election to accrue interest,
discount and premium on a constant yield method with respect to a Regular
Security can not be revoked without the consent of the IRS.
Regular Securities may provide for interest based on a variable rate.
The OID Regulations provide special rules for variable rate instruments that
meet three requirements. First, the issue price must not exceed the
noncontingent principal payments by more than the lesser of (i) 1.5% of the
product of the noncontingent principal payments and the weighted average
maturity or (ii) 15% of the noncontingent principal payments. Second, the
instrument must provide for stated interest (compounded or paid at least
annually) at (i) one or more qualified floating rates, (ii) a single fixed rate
and a single objective rate that is a qualified inverse floating rate, (iii) a
single fixed rate and one or more qualified floating rates; or (iv) a single
objective rate. Third, the instrument must provide that each qualified floating
rate or objective rate in effect during the term of the Regular Security is set
at a current value of that rate (one occurring in the interval beginning three
months before and ending one year after the rate is first in effect on the
Regular Security). If interest on a Regular Security is stated at a fixed rate
for an initial period of less than 1 year followed by a variable rate that is
either a qualified floating rate or an objective rate and the value of the
variable rate on the issue date is intended to approximate the fixed rate, the
fixed rate and the variable rate
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together constitute a single qualified floating rate or objective rate. A rate
is a qualified floating rate if variations in the rate can reasonably be
expected to measure contemporaneous variations in the cost of newly borrowed
funds in the Regular Security's currency denomination. A multiple of a qualified
floating rate is not a qualified floating rate unless it is a rate equal to (i)
the product of a qualified floating rate as described in the previous sentence
and a fixed multiple greater than 0.65 but no greater than 1.35 or (ii) a
product described in clause (i) increased or decreased by a fixed rate. A
variable rate is not a qualified floating rate if it is subject to a cap, floor
or a restriction on the amount of increase or decrease in stated interest rate
(governor) unless: (i) the cap, floor or governor is fixed throughout the
Regular Security's term, (ii) the cap or floor is not reasonably expected to
cause the yield on the Regular Security to be significantly less or more,
respectively, than the expected yield without the cap or floor, or (iii) the
governor is not reasonably expected to cause the yield to be significantly more
or less than the expected yield without the governor. An objective rate is a
rate (other than a qualified floating rate) that (i) is determined using a
single fixed formula (ii) is based on objective financial or economic
information that either is within the control of the issuer (or a related party)
or is unique to the circumstances of the issuer (or related party), such as
dividends, profits, or the value of the issuer's (or related party's) stock.
That definition would include, in addition to a rate that is based on one or
more qualified floating rates or on the yield of actively traded personal
property, a rate that is based on changes in a general inflation index. In
addition, a rate would not fail to be an objective rate merely because it is
based on the credit quality of the issuer.
If a variable rate Regular Security provides for stated interest at a
single qualified floating rate or objective rate that is unconditionally payable
in cash or property at least annually (i) all stated interest is qualified
stated interest, (ii) the amount of original issue discount, if any, is
determined as if the Regular Security had a fixed rate equal to (A) in the case
of a qualified floating rate or qualified inverse floating rate, the value on
the issue date of the qualified floating rate or qualified inverse floating rate
or (B) in the case of any other objective rate, a fixed rate that reflects the
yield that is reasonably expected for the Regular Security. If a variable rate
Regular Security is not described in the previous sentence, the Regular Security
is treated as a fixed rate Regular Security with a fixed rate substitute or
substitutes equal to the value of the qualified floating rates or qualified
inverse floating rate at the date of issue or, in the case of a Regular Security
having an objective rate at a fixed rate that reflects the yield reasonably
expected for the Regular Security. Qualified stated interest or original issue
discount allocable to an accrual period is adjusted to reflect differences in
the interest actually accrued or paid compared to the interest accrued or paid
at the fixed rate substitute. If a variable rate Regular Security provides for
stated interest either at one or more qualified floating rates or at a qualified
inverse floating rate and also provides for interest at an initial fixed rate
that is not intended to approximate the related floating rate or is fixed for a
period of one year or more, original issue discount is determined as described
in the previous two sentences except that the Regular Security is treated as if
it provided for a qualified floating rate or qualified inverse floating rate, as
applicable, rather than a fixed rate. The substitute rate must be one such that
the fair market value of the Regular Security would be approximately the same as
the fair market value of the hypothetical security.
A variable rate Regular Security not qualifying for treatment under the
variable rate rules described above (a "Contingent Payment Obligation") is
subject to the contingent payment provisions of the OID Regulations (the
"Contingent Payment Regulations"). The Contingent Payment Regulations, by their
terms do not apply to REMIC regular interests and other instruments that are
subject to section 1272(a)(6) of the Code. However, in the absence of further
guidance, the Administrator will account for securities that are Contingent
Payment Obligations in accordance with Code section 1272(a)(6) and the
accounting methodology described in this paragraph. Income will be accrued on
such securities based on
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a constant yield that is derived from a projected payment schedule as of the
Closing Date. The projected payment schedule will take into account the
Prepayment Assumption and the interest payments that are expected to be made
based on the value of any relevant indices on the issue date. To the extent that
actual payments differ from projected payments for a particular taxable year,
appropriate adjustments to interest income and expense accruals will be made for
that year.
The method described in the foregoing paragraph for accounting for
Contingent Payment Obligations is consistent with Code section 1272(a)(6) and
the legislative history thereto. Because of the uncertainty with respect to the
treatment of such securities under the OID Regulations, however, there can be no
assurance that the Service will not assert successfully that a method less
favorable to Regular Securityholders should apply. In view of the complexities
and the current uncertainties as to income inclusions with respect to Contingent
Payment obligations, each investor should consult his or her own tax advisor to
determine the appropriate amount and method of income inclusion on such
securities for federal income tax purposes.
Market Discount
A purchaser of a Regular Security also may be subject to the market
discount rules of Code Sections 1276 through 1278. Under these sections and the
principles applied by the OID Regulations in the context of original issue
discount, "market discount" is the amount by which a subsequent purchaser's
initial basis in the Regular Security (i) is exceeded by the stated redemption
price at maturity of the Regular Security or (ii) in the case of a Regular
Security having original issue discount, is exceeded by the sum of the issue
price of such Regular Security plus any original issue discount that would have
previously accrued thereon if held by an original Regular Securityholder (who
purchased the Regular Security at its issue price), in either case less any
prior distributions included in the stated redemption price at maturity of such
Regular Security. Such purchaser generally will be required to recognize accrued
market discount as ordinary income as distributions includible in the stated
redemption price at maturity of such Regular Security are received, in an amount
not exceeding any such distribution. That recognition rule would apply
regardless of whether the purchaser is a cash-basis or accrual-basis taxpayer.
Such market discount would accrue in a manner to be provided in Treasury
regulations and should take into account the Prepayment Assumption. The
Committee Report provides that until such regulations are issued, such market
discount would accrue either (i) on the basis of a constant interest rate or
(ii) in the ratio of stated interest allocable to the relevant period to the sum
of the interest for such period plus the remaining interest as of the end of
such period, or in the case of a Regular Security issued with original issue
discount, in the ratio of original issue discount accrued for the relevant
period to the sum of the original issue discount accrued for such period plus
the remaining original issue discount as of the end of such period. Such
purchaser also generally will be required to treat a portion of any gain on a
sale or exchange of the Regular Security as ordinary income to the extent of the
market discount accrued to the date of disposition under one of the foregoing
methods, less any accrued market discount previously reported as ordinary income
as partial distributions in reduction of the stated redemption price at maturity
were received. Such purchaser will be required to defer deduction of a portion
of the excess of the interest paid or accrued on indebtedness incurred to
purchase or carry a Regular Security over the interest distributable thereon.
The deferred portion of such interest expense in any taxable year generally will
not exceed the accrued market discount on the Regular Security for such year.
Any such deferred interest expense is, in general, allowed as a deduction not
later than the year in which the related market discount income is recognized or
the Regular Security is disposed of. As an alternative to the inclusion of
market discount in income on the foregoing basis, the Regular Securityholder may
elect to include market discount in income currently as it accrues on all market
discount instruments acquired by such Regular Securityholder in that
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taxable year or thereafter, in which case the interest deferral rule will not
apply. In Revenue Procedure 92-67, the IRS set forth the manner in which an
election may be made to accrue market discount on the basis of a constant
interest rate.
By analogy to the OID Regulations, market discount with respect to a
Regular Security will be considered to be zero if such market discount is less
than 0.25% of the remaining stated redemption price at maturity of such Regular
Security multiplied by the weighted average maturity of the Regular Security
(determined as described above under "Original Issue Discount") remaining after
the date of purchase. Treasury regulations implementing the market discount
rules have not yet been issued, and therefore investors should consult their own
tax advisors regarding the application of these rules as well as the
advisability of making any of the elections with respect thereto.
Premium
A Regular Security purchased at a cost greater than its remaining
stated redemption price at maturity generally is considered to be purchased at a
premium. If the Regular Securityholder holds such Regular Security as a "capital
asset" within the meaning of Code Section 1221, the Regular Securityholder may
elect under Code Section 171 to amortize such premium under a constant yield
method that reflects compounding based on the interval between payments on the
Regular Securities. The Committee Report indicates a Congressional intent that
the same rules that apply to the accrual of market discount on installment
obligations will also apply to amortizing bond premium under Code Section 171 on
installment obligations such as the Regular Securities, although it is unclear
whether the alternatives to the constant interest method described above under
"Market Discount" are available. Under Treasury regulations, such amortizable
bond premium will be treated as an offset to interest income on a Regular
Security rather than as a separate deduction item. This election, once made,
applies to all taxable obligations held by the taxpayer at the beginning of the
first taxable year to which such election applies and to all taxable debt
obligations thereafter acquired and is binding on such taxpayer in all
subsequent years. Purchasers who pay a premium for their Regular Securities
should consult their tax advisors regarding the election to amortize premium and
the method to be employed.
Amortizable premium on a Regular Security that is subject to redemption
at the option of the Trust generally must be amortized as if the optional
redemption price and date were the Security's principal amount and maturity date
if doing so would result in a smaller amount of premium amortization during the
period ending with the optional redemption date. Thus, a Securityholder would
not be able to amortize any premium on a Regular Security that is subject to
optional redemption at a price equal to or greater than the Securityholder's
acquisition price unless and until the redemption option expires. In cases where
premium must be amortized on the basis of the price and date of an optional
redemption, the Security will be treated as having matured on the redemption
date for the redemption price and then having been reissued on that date for
that price. Any premium remaining on the Security at the time of the deemed
reissuance will be amortized on the basis of (i) the original principal amount
and maturity date or (ii) the price and date of any succeeding optional
redemption, under the principles described above.
Sale or Exchange of Regular Securities
If a Regular Securityholder sells or exchanges a Regular Security, the
Regular Securityholder will recognize gain or loss equal to the difference, if
any, between the amount received and his adjusted basis in the Regular Security.
The adjusted basis of a Regular Security generally will equal the cost of the
Regular Security to the seller, increased by any original issue discount or
market discount previously
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included in the seller's gross income with respect to the Regular Security and
reduced by amounts included in the stated redemption price at maturity of the
Regular Security that were previously received by the seller and by any
amortized premium.
Except as described in this paragraph, under "Original Issue Discount"
and under "Market Discount," any gain or loss on the sale or exchange of a
Regular Security realized by an investor who holds the Regular Security as a
capital asset will be capital gain or loss and will be long-term or short-term
depending on whether the Regular Security has been held for the applicable
long-term capital gain holding period. Gain from the disposition of a Regular
Security that might otherwise be capital gain will be treated as ordinary income
(i) if a Regular Security is held as part of a "conversion transaction" as
defined in Code Section 1258(c), up to the amount of interest that would have
accrued on the Regular Securityholder's net investment in the conversion
transaction at 120% of the appropriate applicable Federal rate under Code
Section 1274(d) in effect at the time the taxpayer entered into the transaction
minus any amount previously treated as ordinary income with respect to any prior
disposition of property that was held as part of such transaction, (ii) in the
case of a noncorporate taxpayer, to the extent such taxpayer has made an
election under Code Section 163(d)(4) to have net capital gains taxed as
investment income at ordinary income rates, or (iii) in the case of a Regular
Security (issued by a REMIC) to the extent that such gain does not exceed the
excess, if any, of (a) the amount that would have been includible in the gross
income of the holder if his yield on such Regular Security were 110% of the
applicable Federal rate under Code Section 1274(d) as of the date of purchase,
over (b) the amount of income actually includible in the gross income of such
holder with respect to the Regular Security. Although the legislative history to
the 1986 Act indicates that the portion of the gain from disposition of a
Regular Security that will be recharacterized as ordinary income under clause
(iii) is limited to the amount of original issue discount (if any) on the
Regular Security that was not previously includible in income, the applicable
Code provision contains no such limitation. In addition, gain or loss recognized
from the sale of a Regular Security by certain banks or thrift institutions will
be treated as ordinary income or loss pursuant to Code Section 582(c).
The Taxpayer Relief Act of 1997 reduced the maximum rates on long-term
capital gains recognized on capital assets held by individual taxpayers for more
than one year as of the date of disposition (and further reduces the maximum
rates on such gains in the year 2001 and thereafter for certain individual
taxpayers who meet specified conditions). Prospective investors should consult
their own tax advisors concerning these tax law changes.
TAXATION OF RESIDUAL SECURITIES
Taxation of REMIC Income
Generally, the "daily portions" of REMIC taxable income or net loss
will be includible as ordinary income or loss in determining the federal taxable
income of holders of Residual Securities ("Residual Securityholders"), and will
not be taxed separately to the REMIC Pool. The daily portions of REMIC taxable
income or net loss of a Residual Securityholder are determined by allocating the
REMIC Pools taxable income or net loss for each calendar quarter ratably to each
day in such quarter and by allocating such daily portion among the Residual
Securityholders in proportion to their respective holdings of Residual
Securities in the REMIC Pool on such day. REMIC taxable income is generally
determined in the same manner as the taxable income of an individual using a
calendar year and the accrual method of accounting, except that (i) the
limitation on deductibility of investment interest expense and expenses for the
production of income do not apply, (ii) all bad loans will be deductible as
business bad debts and (iii) the limitation on
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the deductibility of interest and expenses related to tax-exempt income will
apply. REMIC taxable income generally means the REMIC Pool's gross income,
including interest, original issue discount income and market discount income,
if any, on the Mortgage Loans, plus income on reinvestment of cash flows and
reserve assets, minus deductions, including interest and original issue discount
expense on the Regular Securities, servicing fees on the Mortgage Loans and
other administrative expenses of the REMIC Pool, amortization of premium, if
any, with respect to the Mortgage Loans, and any tax imposed on the REMIC's
income from foreclosure property. The requirement that Residual Securityholders
report their pro rata share of taxable income or net loss of the REMIC Pool will
continue until there are no Securities of any Class of the related Series
outstanding.
The taxable income recognized by a Residual Securityholder in any
taxable year will be affected by, among other factors, the relationship between
the timing of recognition of interest and original issue discount or market
discount income or amortization of premium with respect to the Mortgage Loans,
on the one hand, and the timing of deductions for interest (including original
issue discount) on the Regular Securities, on the other hand. Because of the way
REMIC taxable income is calculated, a Residual Securityholder may recognize
"phantom" income (i.e., income recognized for tax purposes in excess of income
as determined under financial accounting or economic principles) which will be
matched in later years by a corresponding tax loss or reduction in taxable
income, but which could lower the yield to Residual Securityholders due to the
lower present value of such loss or reduction. For example, if an interest in
the Mortgage Loans is acquired by the REMIC Pool at a discount, and one or more
of such Mortgage Loans is prepaid, the Residual Securityholder may recognize
taxable income without being entitled to receive a corresponding amount of cash
because (i) the prepayment may be used in whole or in part to make distributions
in reduction of principal on the Regular Securities and (ii) the discount income
on the Mortgage Loans which is includible in the REMIC's taxable income may
exceed the interest and discount deduction allowed to the REMIC upon such
distributions on the Regular Securities. When there is more than one class of
Regular Securities that distribute principal sequentially, this mismatching of
income and deductions is particularly likely to occur in the early years
following issuance of the Regular Securities when distributions in reduction of
principal are being made in respect of earlier maturing classes of Regular
Securities to the extent that such classes are not issued with substantial
discount. If taxable income attributable to such a mismatching is realized, in
general, losses would be allowed in later years as distributions on the later
classes of Regular Securities are made. Taxable income may also be greater in
earlier years than in later years as a result of the fact that interest expense
deductions, expressed as a percentage of the outstanding principal amount of
such a Series of Regular Securities, may increase over time as distributions in
reduction of principal are made on the lower yielding classes of Regular
Securities, whereas interest income with respect to any given Mortgage Loan will
remain constant over time as a percentage of the outstanding principal amount of
that loan. Consequently, Residual Securityholders must have sufficient other
sources of cash to pay any federal, state or local income taxes due as a result
of such mismatching or unrelated deductions against which to offset such income.
Prospective investors should be aware, however, that a portion of such income
may be ineligible for offset by such investor's unrelated deductions. See the
discussion of "excess inclusions" below under "-- Treatment of Certain Items of
REMIC Income and Expense -- Limitations on Offset or Exemption of REMIC Income;
Excess Inclusions." The timing of such mismatching of income and deductions
described in this paragraph, if present with respect to a Series of Securities,
may have a significant adverse effect upon the Residual Securityholder's
after-tax rate of return. In addition, a Residual Securityholder's taxable
income during certain periods may exceed the income reflected by such Residual
Securityholder for such periods in accordance with generally accepted accounting
principles. Investors should consult their own advisors concerning the proper
tax and accounting treatment of their investment in Residual Securities.
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Basis and Losses
The amount of any net loss of the REMIC Pool that may be taken into
account by the Residual Securityholder is limited to the adjusted basis of the
Residual Security as of the close of the quarter (or time of disposition of the
Residual Security if earlier), determined without taking into account the net
loss for the quarter. The initial adjusted basis of a purchaser of a Residual
Security is the amount paid for such Residual Security. Such adjusted basis will
be increased by the amount of taxable income of the REMIC Pool reportable by the
Residual Securityholder and decreased by the amount of loss of the REMIC Pool
reportable by the Residual Securityholder. A cash distribution from the REMIC
Pool also will reduce such adjusted basis (but not below zero). Any loss that is
disallowed on account of this limitation may be carried over indefinitely with
respect to the Residual Securityholder as to whom such loss was disallowed and
may be used by such Residual Securityholder only to offset any income generated
by the same REMIC Pool. The ability of a Residual Securityholder to deduct net
losses with respect to a Residual Security may be subject to additional
limitations under the Code, as to which Residual Securityholders should consult
their tax advisors.
Although the law is unclear in certain respects, a Residual
Securityholder effectively should be able to recover some or all of the basis in
his Residual Security as the related REMIC recovers the basis of its assets
through either the amortization of premium on such assets or the allocation of
basis to principal payments received on such assets. A REMIC's initial aggregate
basis in its assets generally will equal the sum of the issue prices of its
Regular Securities and Residual Securities. In general, the issue price of a
Regular Security of a particular Class is the initial price at which a
substantial amount of the securities of such Class is sold to the public. In the
case of a Regular Security of a Class not offered to the public in substantial
amounts, the issue price is either the price paid by the first purchaser of such
Securities or the fair market value of the property received in exchange for
such Security, as appropriate. The REMIC's aggregate basis will be allocated
among its assets in proportion to their respective fair market values.
Treatment of Certain Items of REMIC Income and Expense
Original Issue Discount. Generally, the REMIC Pool's deductions for
original issue discount will be determined in the same manner as original issue
discount income on Regular Securities as described above under "Taxation of
Regular Securities -- Original Issue Discount", without regard to the de minimis
rule described therein.
Market Discount. The REMIC Pool will have market discount income in
respect of Mortgage Loans if, in general, the basis of the REMIC Pool in such
Mortgage Loans is exceeded by their unpaid principal balances.
The REMIC Pool's basis in such Mortgage Loans is generally the fair
market value of the Mortgage Loans immediately after the transfer thereof to the
REMIC Pool. The REMIC Regulations provide that such basis is equal in the
aggregate to the issue prices of all regular and residual interests in the REMIC
Pool. In respect of Mortgage Loans that have market discount to which Code
Section 1276 applies, the accrued portion of such market discount would be
recognized currently by the REMIC as an item of ordinary income. Market discount
income generally should accrue in the manner described above under "Taxation of
Regular Securities -- Market Discount."
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Premium. Generally, if the basis of the REMIC Pool in the Mortgage
Loans exceeds the unpaid principal balances thereof, the REMIC Pool will be
considered to have acquired such Mortgage Loans at a premium equal to the amount
of such excess. As stated above, the REMIC Pool's basis in Mortgage Loans is the
fair market value of the Mortgage Loans, based on the aggregate of the issue
prices of the regular and residual interests in the REMIC Pool immediately after
the transfer thereof to the REMIC Pool. In a manner analogous to the discussion
above under "Taxation of Regular Securities -- Premium," a person that holds a
Mortgage Loan as a capital asset under Code Section 1221 may elect under Code
Section 171 to amortize premium on Mortgage Loans originated after September 27,
1985 under a constant yield method. Amortizable bond premium will be treated as
an offset to interest income on the Mortgage Loans, rather than as a separate
deduction item. Because substantially all of the mortgagors with respect to the
Mortgage Loans are expected to be individuals, Code Section 171 will not be
available for premium on Mortgage Loans originated on or prior to September 27,
1985. Premium with respect to such Mortgage Loans may be deductible in
accordance with a reasonable method regularly employed by the holder thereof.
The allocation of such premium pro rata among principal payments should be
considered a reasonable method; however, the IRS may argue that such premium
should be allocated in a different manner, such as allocating such premium
entirely to the final payment of principal.
Limitations on Offset or Exemption of REMIC Income; Excess Inclusions
A portion of the income allocable to a Residual Security (referred to
in the Code as an "excess inclusion") for any calendar quarter will be subject
to federal income tax in all events. Thus, for example, an excess inclusion (i)
cannot be offset by any unrelated losses or loss carryovers of a Residual
Securityholder, (ii) will be treated as "unrelated business taxable income"
within the meaning of Code Section 512 if the Residual Securityholder is a
pension fund or any other organization that is subject to tax only on its
unrelated business taxable income and (iii) is not eligible for any reduction in
the rate of withholding tax in the case of a Residual Securityholder that is a
foreign investor, as further discussed in "Taxation of Certain Foreign Investors
- -- Residual Securities" below.
For any Residual Securityholder, the excess inclusion for any calendar
quarter is the excess, if any, of (i) the income of such Residual Securityholder
for that calendar quarter from its Residual Security, over (ii) the sum of the
"daily accruals" (as defined below) for all days during the calendar quarter on
which the Residual Securityholder holds such Residual Security. For this
purpose, the daily accruals with respect to a Residual Security are determined
by allocating to each day in the calendar quarter its ratable portion of the
product of the "adjusted issue price" (as defined below) of the Residual
Security at the beginning of the calendar quarter and 120 percent of the
"Federal long-term rate" in effect at the time the Residual Security is issued.
For this purpose, the "adjusted issue price" of a Residual Security at the
beginning of any calendar quarter equals the issue price of the Residual
Security (adjusted for contributions), increased by the amount of daily accruals
for all prior quarters, and decreased (but not below zero) by the aggregate
amount of payments made on the Residual Security before the beginning of such
quarter.
Under Treasury regulations to be promulgated, a portion of the
dividends paid by a REIT which owns a Residual Security are to be designated as
excess inclusions in an amount corresponding to the Residual Security's
allocable share of the excess inclusions. Similar rules apply in the case of
regulated investment companies, common trust funds and cooperatives. Thus,
investors in such entities which own a Residual Security will be subject to the
limitations on excess inclusions described above. The REMIC Regulations do not
provide guidance on this issue.
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Mark to Market Rules
Residual Securityholders that are dealers in securities should be aware
that, under Treasury regulations (the "Mark-to-Market Regulations") relating to
the requirement under section 475 of the Code that dealers in securities use
mark-to-market accounting for federal income tax purposes, dealers in securities
are not permitted to mark to market any REMIC residual interests acquired on or
after January 4, 1995. Prospective purchasers of Residual Certificates should
consult with their tax advisors regarding the possible application of the
Mark-to-Market Regulations to such Certificates.
Tax-Related Restrictions on Transfer of Residual Securities
Disqualified Organizations. If legal title or beneficial interest in a
Residual Security is transferred to a Disqualified Organization (as defined
below), a tax would be imposed in an amount equal to the product of (i) the
present value of the total anticipated excess inclusions with respect to such
Residual Security for periods after the transfer and (ii) the highest marginal
federal income tax rate applicable to corporations. The REMIC Regulations
provide that the anticipated excess inclusions are based on actual prepayment
experience to the date of the transfer and projected payments based on the
Prepayment Assumption. The present value discount rate equals the applicable
Federal rate under Code Section 1274(d) that would apply to a debt instrument
that was issued on the date the Disqualified Organization acquired the Residual
Security and whose term ended on the close of the last quarter in which excess
inclusions were expected to accrue with respect to the Residual Security. Such a
tax generally would be imposed on the transferor of the Residual Security,
except that where such transfer is through an agent (including a broker,
nominee, or other middleman) for a Disqualified Organization, the tax would
instead be imposed on such agent. However, a transferor of a Residual Security
would in no event be liable for such tax with respect to a transfer if the
transferee furnishes to the transferor an affidavit that the transferee is not a
Disqualified Organization and, as of the time of the transfer, the transferor
does not have actual knowledge that such affidavit is false. The tax also may be
waived by the Treasury Department if the Disqualified Organization promptly
disposes of the Residual Security and the transferor pays income tax at the
highest corporate rate on the excess inclusions for the period the Residual
Security is actually held by the Disqualified Organization.
In addition, if a "Pass-Through Entity" (as defined below) has excess
inclusion income with respect to a Residual Security during a taxable year and a
Disqualified Organization is the record holder of an equity interest in such
entity, then a tax is imposed on such entity equal to the product of (i) the
amount of excess inclusions that are allocable to the interest in the
Pass-Through Entity during the period such interest is held by such Disqualified
Organization, and (ii) the highest marginal federal corporate income tax rate.
Such tax would be deductible from the ordinary gross income of the Pass-Through
Entity for the taxable year. The Pass-Through Entity would not be liable for
such tax if it has received an affidavit from such record holder that (i) states
under penalty of perjury that it is not a Disqualified Organization or (ii)
furnishes a social security number and states under penalties of perjury that
the social security number is that of the transferee, provided that during the
period such person is the record holder of the Residual Security, the
Pass-Through Entity does not have actual knowledge that such affidavit is false.
For these purposes, (i) "Disqualified Organization" means the United
States, any state or political subdivision thereof, any foreign government, any
international organization, any agency or instrumentality of any of the
foregoing (provided, that such term does not include an instrumentality if all
of its activities are subject to tax and a majority of its board of directors is
not selected by any such governmental entity), any cooperative organization
furnishing electric energy or providing telephone service to persons in rural
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areas as described in Code Section 1381(a)(2)(C), and any organization (other
than a farmers' cooperative described in Code Section 521) that is exempt from
taxation under the Code unless such organization is subject to the tax on
unrelated business income imposed by Code Section 511, and (ii) "Pass-Through
Entity" means any regulated investment company, real estate investment trust,
common trust fund, partnership, trust or estate and certain corporations
operating on a cooperative basis. Except as may be provided in Treasury
regulations yet to be issued, any person holding an interest in a Pass-Through
Entity as a nominee for another will, with respect to such interest, be treated
as a Pass-Through Entity. For taxable years beginning on or after January 1,
1998, if an "electing large partnership" holds a Residual Security, all
interests in the electing large partnership are treated as held by Disqualified
Organizations for purposes of the tax on Pass-Through Entities.
The Agreement or the Indenture, as applicable, with respect to a Series
of Securities will provide that neither legal title nor beneficial interest in a
Residual Security may be transferred or registered unless (i) the proposed
transferee provides to the Company and the Trustee an affidavit to the effect
that such transferee is not a Disqualified Organization, is not purchasing such
Residual Securities on behalf of a Disqualified Organization (i.e., as a broker,
nominee or middleman thereof) and is not an entity that holds REMIC residual
securities as nominee to facilitate the clearance and settlement of such
securities through electronic book-entry changes in accounts of participating
organizations and (ii) the transferor provides a statement in writing to the
Company and the Trustee that it has no actual knowledge that such affidavit is
false. Moreover, the Agreement or Indenture, as applicable, will provide that
any attempted or purported transfer in violation of these transfer restrictions
will be null and void and will vest no rights in any purported transferee. Each
Residual Security with respect to a Series will bear a legend referring to such
restrictions on transfer, and each Residual Securityholder will be deemed to
have agreed, as a condition of ownership thereof, to any amendments to the
related Agreement or Indenture, as applicable, required under the Code or
applicable Treasury regulations to effectuate the foregoing restrictions.
Information necessary to compute an applicable excise tax must be furnished to
the IRS and to the requesting party within 60 days of the request, and the
Company or the Trustee may charge a fee for computing and providing such
information.
Noneconomic Residual Interests. The REMIC Regulations would disregard
certain transfers of Residual Securities, in which case the transferor would
continue to be treated as the owner of the Residual Securities and thus will
continue to be subject to tax on its allocable portion of the net income of the
REMIC Pool. Under the REMIC Regulations, a transfer of a "noneconomic residual
interest" (defined below) to a Residual Securityholder (other than a Residual
Securityholder who is not a U.S. Person, as defined below under "Foreign
Investors") is disregarded for all federal income tax purposes unless no
significant purpose of the transfer is to enable the transferor to impede the
assessment or collection of tax. A residual interest in a REMIC (including a
residual interest with a positive value at issuance) is a "noneconomic residual
interest" unless, at the time of the transfer, (i) the present value of the
expected future distributions on the residual interest at least equals the
product of the present value of the anticipated excess inclusions and the
highest corporate income tax rate in effect for the year in which the transfer
occurs, and (ii) the transferor reasonably expects that the transferee will
receive distributions from the REMIC at or after the time at which taxes accrue
on the anticipated excess inclusions in an amount sufficient to satisfy the
accrued taxes. The anticipated excess inclusions and the present value rate are
determined in the same manner as set forth above under "Disqualified
Organizations." A significant purpose to impede the assessment or collection of
tax exists if the transferor, at the time of the transfer, either knew or should
have known (had "improper knowledge") that the transferee would be unwilling or
unable to pay taxes due on its share of the taxable income of the REMIC. Under
the REMIC Regulations, a transferor is presumed not to have improper knowledge
if (i) the transferor conducted, at
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the time of the transfer, a reasonable investigation of the financial condition
of the transferee and, as a result of the investigation, the transferor found
that the transferee had historically paid its debts as they came due and found
no significant evidence to indicate that the transferee will not continue to pay
its debts as they come due in the future; and (ii) the transferee represents to
the transferor that it understands that, as the holder of the noneconomic
residual interest, the transferee may incur tax liabilities in excess of any
cash flows generated by the residual interest and that the transferee intends to
pay taxes associated with holding of residual interest as they become due. The
Agreement or Indenture, as applicable, will require the transferee of a Residual
Security to state as part of the affidavit described above under the heading
"Disqualified Organizations" that such transferee (i) has historically paid its
debts as they come due, (ii) intends to continue to pay its debts as they come
due in the future, (iii) understands that, as the holder of a noneconomic
Residual Security, it may incur tax liabilities in excess of any cash flows
generated by the Residual Security, and (iv) intends to pay any and all taxes
associated with holding the Residual Security as they become due. The transferor
must have no reason to believe that such statement is untrue.
Foreign Investors. The REMIC Regulations provide that the transfer of a
Residual Security that has "tax avoidance potential" to a "foreign person" will
be disregarded for all federal tax purposes. The rules appear intended to apply
to a transferee who is not a "U.S. Person" (as defined below), unless such
transferee's income is effectively connected with the conduct of a trade or
business within the United States. A Residual Security is deemed to have tax
avoidance potential unless, at the time of the transfer, the transferor
reasonably expects that, for each excess inclusion, (i) the REMIC Pool will
distribute to the transferee residual interest holder an amount that will equal
at least 30% of the excess inclusions and (ii) that each such amount will be
distributed at or after the time at which the excess inclusion accrues and not
later than the close of the calendar year following the calendar year of
accrual. If the non-U.S. Person transfers the Residual Security back to a U.S.
Person, the transfer will be disregarded and the foreign transferor will
continue to be treated as the owner unless arrangements are made so that the
transfer does not have the effect of allowing the transferor to avoid tax on
accrued excess inclusions.
The Prospectus Supplement relating to a Series of Securities may
provide that a Residual Security may not be purchased by or transferred to any
person that is not a U.S. Person or may describe the circumstances and
restrictions pursuant to which such a transfer may be made. The term "U.S.
Person" means a citizen or resident of the United States, a corporation,
partnership or other entity created or organized in or under the laws of the
United States or any political subdivision thereof, an estate that is subject
to U.S. federal income tax regardless of the source of its income, or a trust
with respect to which the United States is able to exercise primary supervision
over the administration of such trust and one or more U.S. Persons have the
authority to control all substantial decisions of such trust.
Sale or Exchange of a Residual Security
Upon the sale or exchange of a Residual Security, the Residual
Securityholder will recognize gain or loss equal to the excess, if any, of the
amount realized over the adjusted basis (as described above under "Basis and
Losses") of such Residual Securityholder in such Residual Security at the time
of the sale or exchange. In addition to reporting the taxable income of the
REMIC Pool, a Residual Securityholder will have taxable income to the extent
that any cash distribution to him from the REMIC Pool exceeds such adjusted
basis on that Distribution Date or Payment Date. Such income will be treated as
gain from the sale or exchange of the Residual Security. It is possible that the
termination of the REMIC Pool may be treated as a sale or exchange of a Residual
Securityholder's Residual Security, in which case, if the Residual
Securityholder has an adjusted basis in his Residual Security remaining when his
interest in the REMIC Pool terminates, and if he holds such Residual Security as
a capital asset under
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Code Section 1221, then he will recognize a capital loss at that time in the
amount of such remaining adjusted basis. In the case of banks, thrifts, and
certain financial institutions, however, gain or loss on the disposition of a
Residual security generally will be treated as ordinary gain or loss.
A special version of the wash sale rules of Code Section 1091 will
apply to dispositions of Residual Securities. Consequently, losses on
dispositions of Residual Securities will be disallowed where the seller of the
Residual Security, during the period beginning six months before the sale or
disposition of the Residual Security and ending six months after such sale or
disposition, acquires (or enters into any other transaction that results in the
application of Code Section 1091) any residual interest in any REMIC or any
interest in a "taxable mortgage pool" (such as a non-REMIC owner trust) that is
economically comparable to a Residual Security. In any event, any loss realized
by a Residual Securityholder on the sale will not be deductible, but, instead,
will increase such Residual Securityholder's adjusted basis in the newly
acquired assets.
Taxes That May Be Imposed on the REMIC Pool
Prohibited Transactions. Net income from certain transactions by the
REMIC Pool, called prohibited transactions, will not be part of the calculation
of income or loss includible in the federal income tax returns of Residual
Securityholders, but rather will be taxed directly to the REMIC Pool at a 100%
rate. Prohibited transactions generally include (i) the disposition of a
qualified mortgage other than for (a) substitution within two years of the
Startup Day for a defective (including a defaulted) obligation (or repurchase in
lieu of substitution of a defective (including a defaulted) obligation at any
time) or for any qualified mortgage within three months of the Startup Day, (b)
foreclosure, default or imminent default of a qualified mortgage, (c) bankruptcy
or insolvency of the REMIC Pool or (d) a qualified (complete) liquidation, (ii)
the receipt of income from assets that are not the type of mortgages or
investments that the REMIC Pool is permitted to hold, (iii) the receipt of
compensation for services or (iv) the receipt of gain from disposition of cash
flow investments other than pursuant to a qualified liquidation. Notwithstanding
(i) and (iv), it is not a prohibited transaction to sell REMIC Pool property to
prevent a default on Regular Securities as a result of a default on qualified
mortgages or to facilitate a clean-up call (generally, an optional termination
to save administrative costs when no more than a small percentage of the
Securities is outstanding). The REMIC Regulations indicate that the modification
of a Mortgage Loan generally will not be treated as a disposition if it is
occasioned by a default or reasonably foreseeable default, an assumption of the
Mortgage Loan, the waiver of a due-on-sale or encumbrance clause or the
conversion of an interest rate by a mortgagor pursuant to the terms of a
convertible adjustable rate Mortgage Loan.
Contributions to the REMIC Pool After the Startup Day. In general, the
REMIC Pool will be subject to a tax at a 100% rate on the value of any property
contributed to the REMIC Pool after the Startup Day. Exceptions are provided for
cash contributions to the REMIC Pool (i) during the three months following the
Startup Day, (ii) made to a qualified reserve fund by a Residual Securityholder,
(iii) in the nature of a guarantee, (iv) made to facilitate a qualified
liquidation or clean-up call and (v) as otherwise permitted in Treasury
regulations yet to be issued.
Net Income from Foreclosure Property. The REMIC Pool will be subject to
federal income tax at the highest corporate rate on "net income from foreclosure
property," determined by reference to the rules applicable to real estate
investment trusts. Generally, property acquired by the REMIC Pool through
foreclosure or deed in lieu of foreclosure would be treated as "foreclosure
property" for a period of three years, with possible extensions. Net income from
foreclosure property generally means (i) gain from the
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sale of a foreclosure property that is inventory property and (ii) gross income
from foreclosure property other than qualifying rents and other qualifying
income for a real estate investment trust.
Liquidation of the REMIC Pool
If a REMIC Pool and the Trustee adopt a plan of complete liquidation,
within the meaning of Code Section 860F(a)(4)(A)(i) and sell all of the REMIC
Pools assets (other than cash) within a 90-day period beginning on the date of
the adoption of the plan of liquidation, any gain on the sale of its assets will
not result in a prohibited transaction tax, provided that the REMIC Pool credits
or distributes in liquidation all of the sale proceeds plus its cash (other than
amounts retained to meet claims against the REMIC Pool) to holders of Regular
Securities and Residual Securityholders within the 90-day period.
Administrative Matters
The REMIC Pool will be required to maintain its books on a calendar
year basis and to file federal income tax returns for federal income tax
purposes in a manner similar to a partnership. The form for such income tax
return is Form 1066, U.S. Real Estate Mortgage Investment Conduit Income Tax
Return. Treasury regulations provide that, except where there is a single
Residual Securityholder for an entire taxable year, the REMIC Pool generally
will be subject to the procedural and administrative rules of the Code
applicable to partnerships, including the determination by the IRS of any
adjustments to, among other things, items of REMIC income, gain, loss, deduction
or credit in a unified administrative proceeding. Generally, the Company or the
Trustee will be obligated to act as "tax matters person," as defined in
applicable Treasury regulations, with respect to the REMIC Pool, in its capacity
as either Residual Securityholder or agent of the Residual Securityholders. If
the Code or applicable Treasury regulations do not permit the Company or the
Trustee to act as tax matters person in its capacity as agent of the Residual
Securityholders, the Residual Securityholder chosen by the Residual
Securityholders or such other person specified pursuant to Treasury regulations
will be required to act as tax matters person.
Treasury regulations provide that a holder of a Residual Security is
not required to treat items on its return consistently with their treatment on
the REMIC Pool's return if a holder owns 100% of the Residual Securities for the
entire calendar year. Otherwise, each holder of a Residual Security is required
to treat items on its return consistently with their treatment on the REMIC
Pool's return, unless the holder of a Residual Security either files a statement
identifying the inconsistency or establishes that the inconsistency resulted
from incorrect information received from the REMIC Pool. The IRS may assess a
deficiency resulting from a failure to comply with the consistency requirement
without instituting an administrative proceeding at the REMIC Pool level.
LIMITATIONS ON DEDUCTION OF CERTAIN EXPENSES
An investor who is an individual, estate or trust will be subject to
limitation with respect to certain itemized deductions described in Code Section
67, to the extent that such itemized deductions, in the aggregate, do not exceed
2% of the investor's adjusted gross income. In addition, Code Section 68
provides that itemized deductions otherwise allowable for a taxable year of an
individual taxpayer will be reduced by the lesser of (i) 3% of the excess, if
any, of adjusted gross income over $121,200 for 1997 and adjusted yearly for
inflation ($60,600 for 1997 and adjusted yearly for inflation, in the case of a
married individual filing a separate return), or (ii) 80% of the amount of
itemized deductions otherwise allowable for such year. In the case of a REMIC
Pool, such deductions may include deductions under Code Section 212 for
servicing fees and all administrative and other expenses relating to the REMIC
Pool or any similar
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expenses allocated to the REMIC Pool with respect to a regular interest it holds
in another REMIC. Such investors who hold REMIC Securities either directly or
indirectly through certain pass-through entities may have their pro rata share
of such expenses allocated to them as additional gross income, but may be
subject to such limitation on deductions. In addition, such expenses are not
deductible at all for purposes of computing the alternative minimum tax, and may
cause such investors to be subject to significant additional tax liability.
Treasury regulations provide that the additional gross income and corresponding
amount of expenses generally are to be allocated entirely to the holders of
Residual Securities in the case of a REMIC Pool that would not qualify as a
fixed investment trust in the absence of a REMIC election. However, such
additional gross income and limitation on deductions will apply to the allocable
portion of such expenses to holders of Regular Securities, as well as holders of
Residual Securities, where such Regular Securities are issued in a manner that
is similar to pass-through certificates in a fixed investment trust. In general,
such allocable portion will be determined based on the ratio that a REMIC
Securityholder's income, determined on a daily basis, bears to the income of all
holders of Regular Securities and Residual Securities with respect to a REMIC
Pool. As a result, individuals, estates or trusts holding REMIC Securities
(either directly or indirectly through a grantor trust, partnership, S
corporation, REMIC, or certain other pass-through entities described in the
foregoing Treasury regulations) may have taxable income in excess of the
interest income at the pass-through rate or Bond interest rate on Regular
Securities that are issued in a single class or otherwise consistently with
fixed investment trust status or in excess of cash distributions for the related
period on Residual Securities.
TAXATION OF CERTAIN FOREIGN INVESTORS
Regular Securities
Interest, including original issue discount, distributable to Regular
Securityholders who are nonresident aliens, foreign corporations, or other
Non-U.S. Persons (as defined below), will be considered "portfolio interest" and
therefore, generally will not be subject to 30% United States withholding tax,
provided that such Non-U.S. Person (i) such interest is not effectively
connected with a trade or business in the United States of the securityholder
and (ii) provides the Trustee, or the person who would otherwise be required to
withhold tax from such distributions under Code Section 1441 or 1442, with an
appropriate statement, signed under penalties of perjury, identifying the
beneficial owner and stating, among other things, that the beneficial owner of
the Regular Security is a Non-U.S. Person. If such statement, or any other
required statement, is not provided, 30% withholding will apply unless reduced
or eliminated pursuant to an applicable tax treaty or unless the interest on the
Regular Security is effectively connected with the conduct of a trade or
business within the United States by such Non-U.S. Person. In the latter case,
such Non-U.S. Person will be subject to United States federal income tax at
regular rates. Investors who are Non-U.S. Persons should consult their own tax
advisors regarding the specific tax consequences to them of owning a Regular
Security. The term "Non-U.S. Person" means any person who is not a U.S. Person.
Payments on Regular Securities may subject a Non-U.S. Person to U.S. federal
income and withholding tax where such foreign person also owns, actually or
constructively, Residual Securities issued by the same REMIC, notwithstanding
compliance with the certification requirements discussed above. After December
31, 2000, any foreign investor that seeks the protection of an income tax treaty
with respect to the imposition of United States withholding tax generally will
be required to obtain a taxpayer identification number from the IRS in advance
and provide verification that such investor is entitled to the protection of the
relevant income tax treaty. Foreign tax-exempt investors generally will be
required to provide verification of their tax-exempt status. Foreign investors
are urged to consult with their tax advisors with respect to those new
withholding rules.
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Residual Securities
The Committee Report indicates that amounts paid to Residual
Securityholders who are Non-U.S. Persons are treated as interest for purposes of
the 30% (or lower treaty rate) United States withholding tax. Treasury
regulations provide that amounts distributed to Residual Securityholders qualify
as "portfolio interest," subject to the conditions described in "Regular
Securities" above, but only to the extent that (i) the Mortgage Loans were
issued after July 18, 1984 and (ii) the Trust Fund, Trust Estate or segregated
pool of assets therein (as to which a separate REMIC election will be made), to
which the Residual Security relates, consists of obligations issued in
"registered form" within the meaning of Code Section 163(f)(1). Generally,
Mortgage Loans will not be, but certificated regular interests in another REMIC
Pool will be, considered obligations issued in registered form. Furthermore, a
Residual Securityholder will not be entitled to any exemption from the 30%
withholding tax (or lower treaty rate) to the extent of that portion of REMIC
taxable income that constitutes an "excess inclusion." See "Taxation of Residual
Securities -- Limitations on Offset or Exemption of REMIC Income; Excess
Inclusions." If the amounts paid to Residual Securityholders who are Non-U.S.
Persons are effectively connected with the conduct of a trade or business within
the United States by such Non-U.S. Persons, 30% (or lower treaty rate)
withholding will not apply. Instead, the amounts paid to such Non-U.S. Persons
will be subject to United States federal income tax at regular rates. If 30% (or
lower treaty rate) withholding is applicable, such amounts generally will be
taken into account for purposes of withholding only when paid or otherwise
distributed (or when the Residual Security is disposed of) under rules similar
to withholding upon disposition of debt instruments that have original issue
discount. See "Taxation of Residual Securities -- Tax-Related Restrictions on
Transfer of Residual Securities -- Foreign Investors" above concerning the
disregard of certain transfers having "tax avoidance potential." Investors who
are Non-U.S. Persons should consult their own tax advisors regarding the
specific tax consequences to them of owning Residual Securities.
BACKUP WITHHOLDING
Distributions made on the Regular Securities, and proceeds from the
sale of the Regular Securities to or through certain brokers, may be subject to
a "backup" withholding tax under Code Section 3406 of 31% on "reportable
payments" (including interest distributions, original issue discount, and, under
certain circumstances, principal distributions) unless the Regular
Securityholder complies with certain reporting and/or certification procedures,
including the provision of its taxpayer identification number to the Trustee,
its agent or the broker who effected the sale of the Regular Security, or such
Securityholder is otherwise an exempt recipient under applicable provisions of
the Code. Any amounts to be withheld from distribution on the Regular Securities
would be refunded by the IRS or allowed as a credit against the Regular
Securityholders federal income tax liability.
REPORTING REQUIREMENTS
Reports of accrued interest and original issue discount will be made
annually to the IRS and to individuals, estates, non-exempt and non-charitable
trusts, and partnerships who are either holders of record of Regular Securities
or beneficial owners who own Regular Securities through a broker or middleman as
nominee. All brokers, nominees and all other non-exempt holders of record of
Regular Securities (including corporations, noncalendar year taxpayers,
securities or commodities dealers, real estate investment trusts, investment
companies, common trust funds, thrift institutions and charitable trusts) may
request such information for any calendar quarter by telephone or in writing by
contacting the person designated in IRS Publication 938 with respect to a
particular Series of Regular Securities. Holders
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through nominees must request such information from the nominee. Treasury
regulations provide that information necessary to compute the accrual of any
market discount on the Regular Securities must also be furnished.
The IRS's Form 1066 has an accompanying Schedule Q, Quarterly Notice to
Residual Interest Holders of REMIC Taxable Income or Net Loss Allocation.
Treasury regulations require that Schedule Q be furnished by the REMIC Pool to
each Residual Securityholder by the end of the month following the close of each
calendar quarter (41 days after the end of a quarter under proposed Treasury
regulations) in which the REMIC Pool is in existence.
Treasury regulations require that, in addition to the foregoing
requirements, information must be furnished quarterly to Residual
Securityholders, furnished annually, if applicable, to holders of Regular
Securities, and filed annually with the IRS concerning Code Section 67 expenses
(see "-- Limitations on Deduction of Certain Expenses" above) allocable to such
holders. Furthermore, under such regulations, information must be furnished
quarterly to Residual Securityholders, furnished annually to holders of Regular
Securities, and filed annually with the IRS concerning the percentage of the
REMIC Pool's assets meeting the qualified asset tests described above under
"Status of REMIC Securities."
FEDERAL INCOME TAX CONSEQUENCES FOR SECURITIES
AS TO WHICH NO REMIC ELECTION IS MADE
NON-REMIC BONDS
With respect to each Series of Bonds for which the Issuer does not make
a REMIC election, ("Non-REMIC Bonds"), no regulations, published rulings, or
judicial decisions exist that discuss the characterization for federal income
tax purposes of securities with terms substantially the same as the Non-REMIC
Bonds. Counsel to the Company, however, will deliver their opinion that the
Non-REMIC Bonds will be treated for federal income tax purposes as indebtedness,
and not as an ownership interest in the Mortgage Assets, or as an equity
interest in the Issuer or in a separate association taxable as a corporation.
The following general discussion of the anticipated federal income tax
consequences of the purchase, ownership and disposition of Non-REMIC Bonds, to
the extent it relates to matters of law or legal conclusions with respect
thereto, represents the opinion of counsel to the Company, subject to any
qualifications set forth herein. In addition, counsel to the Company has
prepared or reviewed the statements in this Prospectus under the heading
"Certain Federal Income Tax Consequences -- Federal Income Tax Consequences for
Securities as to Which No REMIC Election Is Made -- Non-REMIC Bonds," and is of
the opinion that such statements are correct in all material respects. Such
statements do not purport to furnish information in the level of detail or with
the attention to an investor's specific tax circumstances that would be provided
by an investor's own tax advisor. Accordingly, each investor is advised to
consult its own tax advisors with regard to the tax consequences to it of
investing in Non-REMIC Bonds.
For federal income tax purposes, (i) Non-REMIC Bonds held by a thrift
institution taxed as a "mutual savings bank" or "domestic building and loan
association" will not represent interests in "qualifying real property loans"
within the meaning of Code Section 593(d)(1); (ii) Non-REMIC Bonds held by a
thrift institution taxed as a domestic building and loan association will not
constitute "loans . . . secured by an interest in real property" within the
meaning of Code Section 7701(a)(19)(C)(v); (iii) interest on Non-REMIC Bonds
held by a real estate investment trust will not be treated as "interest on
obligations secured by mortgages on real property or on interests in real
property" within the meaning of Code Section 856(c)(3)(B); (iv) Non-REMIC Bonds
held by a real estate investment trust will not constitute "real estate
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assets" or "Government securities" within the meaning of Code Section
856(c)(4)(A); and (v) Non-REMIC Bonds held by a regulated investment company
will not constitute "Government securities" within the meaning of Code Section
851(b)(4)(A)(I).
Non-REMIC Bonds will be subject to the same rules of taxation as
Regular Securities issued by a REMIC, as described above, except that income
reportable on Non-REMIC Bonds is not required to be reported under the accrual
method unless the Holder otherwise uses the accrual method and the special rule
treating a portion of the gain on sale or exchange of a Regular Security as
ordinary income is not applicable to Non-REMIC Bonds.
TAXABLE MORTGAGE POOLS
Corporate income tax can be imposed on the net income of certain
entities issuing non-REMIC debt obligations secured by real estate mortgages
("Taxable Mortgage Pools"). Any entity other than a REMIC, a FASIT or a REIT
will be considered to be a Taxable Mortgage Pool if (i) substantially all of the
assets of the entity consist of debt obligations and more than 50% of such
obligations consist of real estate mortgages, (ii) such entity is the obligor
under debt obligations with two or more maturities, and (iii) under the terms of
the debt obligations on which the entity is obligor, payments on such
obligations bear a relationship to payment on the obligations held by the
entity. Furthermore, a group of assets held by an entity can be treated as a
separate Taxable Mortgage Pool if the assets are expected to produce significant
cash flow that will support one or more of the entity's issues of debt
obligations. The Depositor generally will structure offerings of non-REMIC Bonds
to avoid the application of the Taxable Mortgage Pool rules.
STANDARD CERTIFICATES
General
With respect a Series of Certificates issued under an Agreement for
which no election is made to treat the related Trust Fund (or a segregated pool
of assets therein) as a REMIC, counsel to the Company will deliver its opinion
to the effect that, assuming compliance with all provisions of the related
Agreement, the related Trust Fund will be classified as a grantor trust under
subpart E, Part 1 of subchapter J of Chapter 1 of Subtitle A of the Code and not
as an association taxable as a corporation. The following general discussion of
the anticipated federal income tax consequences of the purchase, ownership and
disposition of Standard Certificates, to the extent it relates to matters of law
or legal conclusions with respect thereto, represents the opinion of counsel to
the Company, subject to any qualifications set forth herein. In addition,
counsel to the Company has prepared or reviewed the statements in this
Prospectus under the heading "Certain Federal Income Tax Consequences -- Federal
Income Tax Consequences for Securities as to Which No REMIC Election is Made --
Standard Certificates," and is of the opinion that such statements are correct
in all material respects. Such statements are intended as an explanatory
discussion of the possible effects of the classification of any Trust Fund as a
grantor trust for federal income tax purposes on investors generally and of
related tax matters affecting investors generally, but do not purport to furnish
information in the level of detail or with the attention to an investor's
specific tax circumstances that would be provided by an investor's own tax
advisor. Accordingly, each investor is advised to consult its own tax advisors
with regard to the tax consequences to it of investing in Standard Certificates.
Where there is no fixed retained yield with respect to the Mortgage Loans
underlying the Certificates of such a Series, and where such Certificates are
not designated as "Stripped Securities," the holder of each such Certificates in
such Series will be treated as the owner of a pro rata undivided interest in the
ordinary income and corpus portions of the Trust Fund represented by his
Certificate and will be
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considered the beneficial owner of a pro rata undivided interest in each of the
Mortgage Loans, subject to the discussion below under "Premium and Discount --
Recharacterization of Servicing Fees." Accordingly, the holder of a Certificate
of a particular Series will be required to report on its federal income tax
return its pro rata share of the entire income from the Mortgage Loans
represented by its Certificate, including interest at the coupon rate on such
Mortgage Loans, original issue discount (if any), prepayment fees, assumption
fees, and late payment charges received by the Company or another service
provider, in accordance with such Certificateholder's method of accounting. A
Certificateholder generally will be able to deduct its share of servicing fees
and all administrative and other expenses of the Trust Fund in accordance with
his method of accounting, provided that such amounts are reasonable compensation
for services rendered to that Trust Fund. However, investors who are
individuals, estates or trusts who own Certificates, either directly or
indirectly through certain pass-through entities, will be subject to limitation
with respect to certain itemized deductions described in Code Section 67,
including deductions under Code Section 212 for servicing fees and all such
administrative and other expenses of the Trust Fund, to the extent that such
deductions, in the aggregate, do not exceed two percent of an investor's
adjusted gross income. In addition, Code Section 68 provides that itemized
deductions otherwise allowable for a taxable year of an individual taxpayer will
be reduced by the lesser of (i) 3% of the excess, if any, of adjusted gross
income over $121,200 for 1997, adjusted yearly for inflation $60,600 for 1997,
adjusted yearly for inflation in the case of a married individual filing a
separate return, or (ii) 80% of the amount of itemized deductions otherwise
allowable for such year. As a result such investors holding Certificates,
directly or indirectly through a pass-through entity, may have aggregate taxable
income in excess of the aggregate amount of cash received on such Certificates
with respect to interest at the pass-through rate on such Certificates or
discount thereon. In addition, such expenses are not deductible at all for
purposes of computing the alternative minimum tax, and may cause such investors
to be subject to significant additional tax liability. Moreover, where there is
fixed retained yield with respect to the Mortgage Loans underlying a Series of
Certificates or where the servicing fees are in excess of reasonable servicing
compensation, the transaction will be subject to the application of the
"stripped bond" and "stripped coupon" rules of the Code, as described below
under "Stripped Certificates" and "Premium and Discount -- Recharacterization of
Servicing Fees," respectively.
Tax Status
Unless otherwise described in the related Prospectus Supplement,
Certificates described under this subsection "Standard Certificates" generally
will be treated as follows:
1. A Certificate owned by a "domestic building and loan
association" within the meaning of Code Section 7701(a)(19) will be
considered to represent "loans . . . secured by an interest in real
property" within the meaning of Code Section 7701(a)(19)(C)(v),
provided that the real property securing the Mortgage Loans represented
by that Certificate is of the type described in such section of the
Code.
2. A Certificate owned by a real estate investment trust will
be considered to represent "real estate assets" within the meaning of
Code Section 856(c)(4)(A) to the extent that the assets of the related
Trust consist of qualified assets, and interest income on such assets
will be considered "interest on obligations secured by mortgages on
real property" within the meaning of Code Section 856(c)(3)(B).
3. A Certificate owned by a REMIC will be considered to
represent an "obligation (including any participation or certificate of
beneficial ownership therein) which is principally
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secured by an interest in real property" within the meaning of Code
Section 860G(a)(3)(A) to the extent that the assets of the related
Trust Fund consist of "qualified mortgages" within the meaning of Code
Section 860G(a)(3).
Premium and Discount
Certificateholders are advised to consult with their tax advisors as to
the federal income tax treatment of premium and discount arising either upon
initial acquisition of Certificates or thereafter.
Premium. The treatment of premium incurred upon the purchase of a
Certificate will be determined generally as described above under "Federal
Income Tax Consequences for REMIC Securities -- Taxation of Residual Securities
- -- Treatment of Certain Items of REMIC Income and Expense -- Premium."
Original Issue Discount. The IRS has stated in published rulings that,
in circumstances similar to those described herein, the original issue discount
rules will be applicable to a Certificateholder's interest in those Mortgage
Loans as to which the conditions for the application of those sections are met.
Rules regarding periodic inclusion of original issue discount income are
applicable to mortgages of corporations originated after May 27, 1969, mortgages
of noncorporate mortgagors (other than individuals) originated after July 1,
1982, and mortgages of individuals originated after March 2, 1984. Such original
issue discount could arise by the charging of points by the originator of the
mortgages in an amount greater than a statutory de minimis exception, to the
extent that the points are not for services provided by the lender. It is
generally not anticipated that adjustable rate Mortgage Loans will be treated as
issued with original issue discount. However, the application of the OID
Regulations to adjustable rate mortgage loans with incentive interest rates or
annual or lifetime interest rate caps may result in original issue discount.
Original issue discount must generally be reported as ordinary gross
income as it accrues under a constant yield method that takes into account the
compounding of interest, in advance of the cash attributable to such income.
However, Code Section 1272 provides for a reduction in the amount of original
issue discount includible in the income of a holder of an obligation that
acquires the obligation after its initial issuance at a price greater than the
sum of the original issue price and the previously accrued original issue
discount, less prior payments of principal. Accordingly, if such Mortgage Loans
acquired by a Certificateholder are purchased at a price equal to the then
unpaid principal amount of such Mortgage Loans, no original issue discount
attributable to the difference between the issue price and the original
principal amount of such Mortgage Loans (i.e., points) will be includible by
such holder.
Market Discount. Certificateholders also will be subject to the market
discount rules to the extent that the conditions for application of those
sections are met. Market discount on the Mortgage Loans will be determined and
will be reported as ordinary income generally in the manner described above
under "Federal Income Tax Consequences for REMIC Securities -- Taxation of
Residual Securities -- Treatment of Certain Items of REMIC Income and Expense --
Market Discount."
Recharacterization of Servicing Fees. If the servicing fees paid to
Servicers were deemed to exceed reasonable servicing compensation, the amount of
such excess would be nondeductible under Code Section 162 or 212. In this
regard, there are no authoritative guidelines for federal income tax purposes as
to either the maximum amount of servicing compensation that may be considered
reasonable in the context of this or similar transactions or whether, in the
case of the Certificates, the reasonableness of servicing compensation should be
determined on a weighted average or loan-by-loan basis. If a loan-
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by-loan basis is appropriate, the likelihood that such amount would exceed
reasonable servicing compensation as to some of the Mortgage Loans would be
increased. Recently issued IRS guidance indicates that a servicing fee in excess
of reasonable compensation ("excess servicing") will cause the Mortgage Loans to
be treated under the "stripped bond" rules. Such guidance provides safe harbors
for servicing deemed to be reasonable and requires taxpayers to demonstrate that
the value of servicing fees in excess of such amounts is not greater than the
value of the services provided.
Accordingly, if the IRS's approach is upheld, a servicer that receives
a servicing fee in excess of such amounts would be viewed as retaining an
ownership interest in a portion of the interest payments on the Mortgage Loans.
Under the rules of Code Section 1286, the separation of ownership of the right
to receive some or all of the interest payments on an obligation from the right
to receive some or all of the principal payments on the obligation would result
in treatment of such Mortgage Loans as "stripped coupons" and "stripped bonds."
While Certificateholders would still be treated as owners of beneficial
interests in a grantor trust for federal income tax purposes, the corpus of such
trust could be viewed as excluding the portion of the Mortgage Loans the
ownership of which is attributed to a servicer, or as including such portion as
a second class of equitable interest. Applicable Treasury regulations treat such
an arrangement as a fixed investment trust, since the multiple classes of trust
interests should be treated as merely facilitating direct investments in the
trust assets and the existence of multiple classes of ownership interests is
incidental to that purpose. In general, such a recharacterization should not
have any significant effect upon the timing or amount of income reported by a
Certificateholder, except that the income reported by a cash method holder may
be slightly accelerated. See "Stripped Certificates" below for a further
description of the federal income tax treatment of stripped bonds and stripped
coupons.
In the alternative, the amount, if any, by which the servicing fees
paid to the servicers are deemed to exceed reasonable compensation for servicing
could be treated as deferred payments of purchase price by the
Certificateholders to purchase an undivided interest in the Mortgage Loans. In
such event, the present value of such additional payments might be included in
the Certificateholder's basis in such undivided interests for purposes of
determining whether the Certificate was acquired at a discount, at par, or at a
premium. Under this alternative, Certificateholders may also be entitled to a
deduction for unstated interest with respect to each deferred payment. The
Internal Revenue Service may take the position that the specific statutory
provisions of Code Section 1286 described above override the alternative
described in this paragraph. Certificateholders are advised to consult their tax
advisors as to the proper treatment of the amounts paid to the servicers as set
forth herein as servicing compensation or under either of the alternatives set
forth above.
Sale or Exchange of Certificates
Upon sale or exchange of a Certificate, a Certificateholder will
recognize gain or loss equal to the difference between the amount realized on
the sale and its aggregate adjusted basis in the Mortgage Loans and other assets
represented by the Certificate. In general, the aggregate adjusted basis will
equal the Certificateholder's cost for the Certificate, increased by the amount
of any income previously reported with respect to the Certificate and decreased
by the amount of any losses previously reported with respect to the Certificate
and the amount of any distributions received thereon. Except as provided above
with respect to original issue discount and market discount on any Mortgage
Loans, and except for certain financial institutions subject to the provisions
of Code Section 582(c), any such gain or loss would be capital gain or loss if
the Certificate was held as a capital asset.
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STRIPPED CERTIFICATES
General
The following general discussion of the anticipated federal income tax
consequences of the purchase, ownership and disposition of Stripped
Certificates, to the extent it relates to matters of law or legal conclusions
with respect thereto, represents the opinion of counsel to the Company, subject
to any qualifications set forth herein. In addition, counsel to the Company has
prepared or reviewed the statements in this Prospectus under the heading
"Certain Federal Income Tax Consequences -- Federal Income Tax Consequences for
Securities as to Which No REMIC Election is Made -- Stripped Certificates," and
is Of the opinion that such statements are correct in all material respects.
Such statements are intended as an explanatory discussion of the possible
effects of the classification of any Trust as a grantor trust for federal income
tax purposes on investors generally and of related tax matters affecting
investors generally, but do not purport to furnish information in the level of
detail or with the attention to an investor's specific tax circumstances that
would be provided by an investor's own tax advisor. Accordingly, each investor
is advised to consult its own tax advisors with regard to the tax consequences
to it of investing in Stripped Certificates.
Pursuant to Code Section 1286, the separation of ownership of the right
to receive some or all of the principal payments on an obligation from ownership
of the right to receive some or all of the interest payments results in the
creation of "stripped bonds" with respect to principal payments and "stripped
coupons" with respect to interest payments. For purposes of this discussion,
Certificates for which no REMIC election is made and that are subject to those
rules will be referred to as "Stripped Certificates." The Certificates will be
subject to those rules if (i) the Company or any of its affiliates retains (for
its own account or for purposes of resale), in the form of fixed retained yield
or otherwise, an ownership interest in a portion of the payments on the Mortgage
Loans, (ii) the Company, any of its affiliates or a servicer is treated as
having an ownership interest in the Mortgage Loans to the extent it is paid (or
retains) servicing compensation in an amount greater than reasonable
consideration for servicing the Mortgage Loans (See "Standard Certificates --
Premium and Discount -- Recharacterization of the Servicing Fees" above) or
(iii) Classes of Certificates are issued in two or more Classes or subclasses
representing the right to non-pro-rata percentages of the interest and principal
payments on the Mortgage Loans.
In general, a holder of a Stripped Certificate will be considered to
own "stripped bonds" with respect to its pro rata share of all or a portion of
the principal payments on each Mortgage Loan and/or "stripped coupons" with
respect to its pro rata share of all or a portion of the interest payments on
each Mortgage Loan, including the Stripped Certificate's allocable share of the
servicing fees paid, to the extent that such fees represent reasonable
compensation for services rendered. See discussion above under "Standard
Certificates -- Premium and Discount -- Recharacterization of Servicing Fees."
For this purpose the servicing fees will be allocated to the Stripped
Certificates in proportion to the respective offering price of each class (or
subclass) of Stripped Certificates. The holder of a Stripped Certificate
generally will be entitled to a deduction each year in respect of the servicing
fees, as described above under "Standard Certificates -- General," subject to
the limitation described therein.
Code Section 1286 treats a stripped bond or a stripped coupon generally
as a new obligation issued (i) on the date that the stripped interest is
purchased and (ii) at a price equal to its purchase price or, if more than one
stripped interest is purchased, the share of the purchase price allocable to
such stripped interest. Each stripped interest generally will have original
issue discount equal to the excess of its stated redemption price at maturity
(or, in the case of a stripped coupon, the amount payable on the due date of
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such coupon) over its issue price. Although the treatment of Stripped
Certificates for federal income tax purposes is not clear in certain respects at
this time, particularly where such Stripped Certificates are issued with respect
to a Trust Fund containing variable-rate Mortgage Loans. Each Stripped
Certificate should be treated as a single installment obligation for purposes of
calculating original issue discount and gain or loss on disposition. This
treatment is based on the interrelationship of Code Section 1286 and the
regulations thereunder, Code Sections 1272 through 1275, and the OID
Regulations. While under Code Section 1286 computations with respect to Stripped
Certificates arguably should be made in one of the ways described below under
"Taxation of Stripped Certificates -- Possible Alternative Characterizations,"
the OID Regulations state, in general, that all debt instruments issued in
connection with the same transaction must be treated as a single debt
instrument. The Trustee will make and report all computations described below
using this aggregate approach, unless substantial legal authority requires
otherwise.
Furthermore, Treasury regulations support the treatment of a Stripped
Certificate as a single debt instrument issued on the date it is originated for
purposes of calculating any original issue discount. The preamble to such
regulations states that such regulations are premised on the assumption that an
aggregation approach is appropriate in determining whether original issue
discount on a stripped bond or stripped coupon is de minimis. In addition, under
these regulations, a Stripped Certificate that represents a right to payments of
both interest and principal may be viewed either as issued with original issue
discount or market discount (as described below), at a de minimis original issue
discount, or, presumably, at a premium. The preamble to such regulations also
provide that such regulations are premised on the assumption that generally the
interest component of such a Stripped Certificate would be treated as stated
interest under the OID Regulations.
Status of Certificates
Even if Certificates evidence an interest in a Trust Fund consisting of
Mortgage Loans that are "real estate assets" within the meaning of Code Section
856(c)(A), and "loans . . . secured by an interest in real property" within the
meaning of Code Section 7701(a)(19)(C)(v), and the interest (including original
issue discount) income on which is an "interest on obligations secured by
mortgages on real property" within the meaning of Code Section 856(c)(3)(B), it
is unclear whether the Certificates, and the income therefrom, will be so
characterized. However, the policies underlying such sections (namely, to
encourage or require investments in mortgage loans by thrift institutions and
real estate investment trusts) may suggest that such characterization is
appropriate. Counsel to the Company will not deliver any opinion on these
questions. Prospective purchasers to which such characterization of an
investment in Certificates in material should consult their tax advisors
regarding whether the Certificates, and the income therefrom, will be so
characterized.
The Certificates will be "obligation[s] (including any participation or
Certificate of Beneficial ownership therein) which . . . [are] principally
secured by an interest in real property" within the meaning of Section
860G(a)(3)(A) of the Code.
Taxation of Stripped Certificates
Original Issue Discount. Except as described above under "General,"
each Stripped Certificate will be considered to have been issued (i) on the date
that the stripped interest is purchased and (ii) at a price equal to its
purchase price or, if more than one stripped interest is purchased, the share of
the purchase price allocable to such stripped interest. Each stripped interest
generally will have original issue discount equal to the excess of its stated
redemption price at maturity (or, in the case of a stripped coupon,
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<PAGE> 626
the amount payable on the due date of such coupon) over its issue price.
Original issue discount with respect to a Stripped Certificate must be included
in ordinary income as it accrues, in accordance with a constant yield method
that takes into account the compounding of interest, which may be prior to the
receipt of the cash attributable to such income. Based in part on the OID
Regulations and the amendments to the original issue discount sections of the
Code made by the 1986 Act, it appears that the amount of original issue discount
required to be included in the income of a holder of a Stripped Certificate
(referred to in this discussion as a "Stripped Certificateholder") in any
taxable year likely will be computed generally as described above under "Federal
Income Tax Consequences for REMIC Securities -- Taxation of Regular Securities
- -- Original Issue Discount." However, with the apparent exception of a Stripped
Certificate issued with de minimis original issue discount, as described above
under "General," the issue price of a Stripped Certificate will be the purchase
price paid by each holder thereof, and the stated redemption price at maturity
will include the aggregate amount of the payments to be made on the Stripped
Certificate to such Stripped Certificateholder, presumable under the Prepayment
Assumption, other than amounts treated as qualified stated interest.
If the Mortgage Loans prepay at a rate either faster or slower than
that under the Prepayment Assumption, a Stripped Certificateholder's recognition
of original issue discount will be either accelerated or decelerated and the
amount of such original issue discount will be either increased or decreased
depending on the relative interests in principal and interest on each Mortgage
Loan represented by such Stripped Certificateholder's Stripped Certificate.
While the matter is not free from doubt, the holder of a Stripped Certificate
should be entitled in the year that it becomes certain (assuming no further
prepayments) that the holder will not recover a portion of its adjusted basis in
such Stripped Certificate to recognize an ordinary loss equal to such portion of
unrecoverable basis.
Possible Alternative Characterizations. As an alternative to the method
described above, the fact that some or all of the interest payments with respect
to the Stripped Certificates will not be made if the Mortgage Loans are prepaid
could lead to the interpretation that such interest payments are "contingent"
within the meaning of the OID Regulations. Under the rules of the OID
Regulations relating to contingent payments, a projected payment schedule for
the Stripped Certificates would be constructed by the Company. Interest accrual
and adjustments relating to the Stripped Certificates would be determined under
the general rules of the noncontingent bond method described above. While not
free from doubt, counsel for the Company believes that uncertainty as to the
payment of interest arising as a result of the possibility of prepayment of the
Mortgage Loans should not cause the contingent payment rules under the OID
Regulations to apply to interest with respect to the Stripped Certificates.
Sale or Exchange of Stripped Certificates. Sale or exchange of a
Stripped Certificate prior to its maturity will result in gain or loss equal to
the difference, if any, between the amount received and the Stripped
Certificateholder's adjusted basis in such Stripped Certificate, as described
above under "Federal Income Tax Consequences for REMIC Securities -- Taxation of
Regular Securities -- Sale or Exchange of Regular Securities." To the extent
that a subsequent purchaser's purchase price is exceeded by the remaining
payments on the Stripped Certificates, such subsequent purchaser will be
required for federal income tax purposes to accrue and report such excess as if
it were original issue discount in the manner described above. It is not clear
for this purpose whether the assumed prepayment rate that is to be used in the
case of a Stripped Certificateholder other than original Stripped
Certificateholder should be the Prepayment Assumption or a new rate based on the
circumstances at the date of subsequent purchase.
Purchase of Complimentary Classes of Stripped Certificates. Stripped
Certificates of certain Classes of the same Series ("Complementary
Certificates"), when held in combination, may provide an
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<PAGE> 627
aggregate economic effect equivalent to that of a pass-through security based
upon the same assets in the Trust. When an investor purchases Complementary
Certificates, it appears that, for federal income tax purposes, each Certificate
should be treated separately and should be subject to the rules described above.
The IRS could assert, however, that Complementary Certificates held in
combination should be treated as a single pass-through type instrument, with the
result that the rules governing stripped bonds and stripped coupons under
Section 1286 of the Code would not be applied. Consequently, investors who
acquire Complementary Certificates should consult their own tax advisors as to
the proper treatment of such Certificates.
Because of these possible varying characterizations of Stripped
Certificates and the resultant differing treatment of income recognition,
Stripped Certificateholders are urged to consult their own tax advisors
regarding the proper treatment of Stripped Certificates for federal income tax
purposes.
REPORTING REQUIREMENTS AND BACKUP WITHHOLDING
The Trustee will furnish, within a reasonable time after the end of
each calendar year, to each Certificateholder or Stripped Certificateholder at
any time during such year, such information (prepared on the basis described
above) as the Trustee deems to be necessary or desirable to enable such
Certificateholders to prepare their federal income tax returns. Such information
will include the amount of original issue discount accrued on Certificates held
by persons other than Certificateholders exempted from the reporting
requirements. The amounts required to be reported by the Trustee may not be
equal to the proper amount of original issue discount required to be reported as
taxable income by a Certificateholder, other than an original Certificateholder.
The Trustee will also file such original issue discount information with the
IRS. If a Certificateholder fails to supply an accurate taxpayer identification
number or if the Secretary of the Treasury determines that a Certificateholder
has not reported all interest and dividend income required to be shown on his
federal income tax return, 31% backup withholding may be required in respect of
any reportable payments, as described above under "Federal Income Tax
Consequences for REMIC Securities -- Backup Withholding."
TAXATION OF CERTAIN FOREIGN INVESTORS
To the extent that a Certificate evidences ownership in Mortgage Loans
that are issued on or before July 18, 1984, interest or original issue discount
paid by the person required to withhold tax under Code Section 1441 or 1442 to
nonresident aliens, foreign corporations, or other Non-U.S. Persons generally
will be subject to 30% United States withholding tax, or such lower rate as may
be provided for interest by an applicable tax treaty. Accrued original issue
discount recognized by the Certificateholder on the sale or exchange of such a
Certificate also will be subject to federal income tax at the same rate.
Treasury regulations provide that interest or original issue discount
paid by the Trustee or other withholding agent to a Non-U.S. Person evidencing
ownership interest in Mortgage Loans issued after July 18, 1984 will be
"portfolio interest" and will be treated in the manner, and such persons will be
subject to the same certification requirements described above under "Federal
Income Tax Consequences for REMIC Securities -- Taxation of Certain Foreign
Investors -- Regular Securities."
PLAN OF DISTRIBUTION
Certificates are being offered hereby in series through one or more
underwriters or groups of underwriters (the "Underwriters"). The related
Prospectus Supplement will set forth the terms of offering
-122-
<PAGE> 628
of a Series of Securities, including the public offering or purchase price of
each Class of Securities of such Series being offered thereby or the method by
which such price will be determined and the net proceeds to the Issuer (in the
case of a Series of Bonds) or to the Company (in the case of a Series of
Certificates) from the sale of each such Class. Such Securities will be acquired
by the Underwriters for their own account and may be resold from time to time in
one or more transactions including negotiated transactions, at fixed public
offering prices or at varying prices to be determined at the time of sale or at
the time of commitment therefor. The managing Underwriter or Underwriters with
respect to the offer and sale of a particular Series of Securities will be set
forth on the cover of the Prospectus Supplement relating to such Series and the
members of the underwriting syndicate, if any, will be named in such Prospectus
Supplement.
In connection with the Sale of the Securities, Underwriters may receive
compensation from the related Issuer or the Company or from purchasers of the
Securities in the form of discounts, concessions or commissions. Underwriters
and dealers participating in the distribution of the Securities may be deemed to
be Underwriters in connection with such Certificates, and any discounts or
commissions received by them from the related Issuer or the Company and any
profit on the resale of Securities by them may be deemed to be underwriting
discounts and commissions under the Securities Act of 1933, as amended. The
Prospectus Supplement will describe any such compensation paid by the related
Issuer or the Company.
It is anticipated that the underwriting agreement pertaining to the
sale of any Series of Securities will provide that the obligations of the
Underwriters will be subject to certain conditions precedent, that the
Underwriters will be obligated to purchase all such Securities if any are
purchased and that the related Issuer or the Company will indemnify the
underwriters against certain civil liabilities, including liabilities under the
Securities Act of 1933, as amended.
LEGAL MATTERS
The legality of the Securities and certain federal income tax matters
will be passed upon for the Company by Andrews & Kurth L.L.P., Dallas, Texas.
FINANCIAL INFORMATION AND ADDITIONAL INFORMATION
A new Trust will be formed with respect to each Series of Certificates
and, unless otherwise specified in the Prospectus Supplement, a new Owner Trust
will be formed with respect to each Series of Bonds issued by an Owner Trust.
Unless otherwise specified in the Prospectus Supplement for a Series of
Securities, no Trust will engage in any business activities or have any assets
or obligations prior to the issuance of the related Series of Securities.
Accordingly, no financial statements with respect to any Trust will be included
in this Prospectus or in the related Prospectus Supplement.
Copies of the Registration Statement to which this Prospectus forms a
part and the exhibits thereto are on file at the offices of the Securities and
Exchange Commission in Washington, D.C., and may be obtained at rates prescribed
by the Commission upon request to the Commission and inspected, without charge,
at the offices of the Commission.
Copies of FHLMC's most recent Offering Circular for FHLMC Certificates,
FHLMC's Information Statement and most recent Supplement thereto and any
quarterly report made available by
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<PAGE> 629
FHLMC can be obtained in writing or calling FHLMC's Investor Relations
Department at 8200 Jones Branch Drive, McLean, Virginia 22102 (800-336-FMPC).
The Company did not participate in the preparation of FHLMC's Offering Circular,
Information Statement or any Supplement thereto or any such quarterly report.
Copies of FNMA's most recent Prospectus for FNMA Certificates and
FNMA's annual report and quarterly financial statements as well as other
financial information are available from the Vice President for Investor
Relations of FNMA, 3900 Wisconsin Avenue, N.W., Washington, D.C. 20016
(202-752-7585). The Company did not participate in the preparation of FNMA's
Prospectus or any such report, financial statement or other financial
information.
EXPERTS
The financial statements incorporated in this prospectus by reference
from the Company's Annual Report (Form 10-K) for the year ended December 31,
1997, have been audited by Deloitte & Touche LLP, independent auditors, as
stated in their report which is incorporated herein by reference and have been
so incorporated in reliance upon the report of such firm given upon their
authority as experts in accounting and auditing.
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INDEX OF PRINCIPAL TERMS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Administrator.................................................................45
Advance Account...............................................................54
Annual Reduction..............................................................84
Applicable Accounting Standards...............................................63
APR...........................................................................36
Assumed........................................................................2
Bankruptcy Bond...............................................................44
Beneficial Owners.............................................................24
BIF...........................................................................64
Book Entry Registration.......................................................20
Book Entry Securities.........................................................24
Certificate Account...........................................................20
Certificate Trustee...........................................................33
Certificates of Beneficial Ownership..........................................68
Clearing Agency...............................................................24
Clearing Agency Participants..................................................24
Collateral Value..............................................................36
Collection Account............................................................20
Companion Securities..........................................................19
Company.......................................................................68
Compound Interest Securities..................................................19
Contract Loan Schedule........................................................60
Contract Pool.................................................................36
Contracts.....................................................................36
Cooperative Loans.............................................................25
Cooperatives..................................................................25
CPTs..........................................................................38
Credit Enhancement............................................................40
Custodial Account.............................................................46
Cut-off Date..................................................................19
Deposit Date..................................................................62
Deposit Trust Agreement.......................................................17
Disqualified Organization...............................................104, 105
DOL...........................................................................88
ERISA.........................................................................87
Event of Default..............................................................56
FAMC..........................................................................69
FDIC..................................................................46, 64, 87
FHA Loans.....................................................................27
FHLMC Certificate Group.......................................................31
FHLMC Certificates............................................................34
FLTs..........................................................................38
FmHA Loans....................................................................27
FNMA Certificates.............................................................34
Funding Agreement.............................................................33
Funding Agreement Trustee.....................................................33
Garn-St. Germain Act..........................................................76
GNMA Certificates.............................................................34
</TABLE>
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<TABLE>
<S> <C>
GNMA Issuer...................................................................27
Guaranty Agreement............................................................27
Holder-in-Due Course..........................................................79
Initial Depositor.............................................................68
Insurance Proceeds............................................................46
Interest Only Securities......................................................19
INVs..........................................................................38
IOs...........................................................................38
IRS...........................................................................93
Issuer....................................................................16, 17
Liquidation Proceeds..........................................................46
Loan-to-Value Ratio...........................................................26
Management Agreement..........................................................69
Manager.......................................................................69
Manufactured Home.............................................................36
Manufactured Home Loans.......................................................80
Manufacturer's Invoice Price..................................................36
Market Discount...........................................................96, 98
Monthly Advance...............................................................47
Mortgage Loans................................................................90
Mortgage Notes................................................................25
Mortgage Pool Insurance Policy................................................42
Mortgage Rates................................................................26
Mortgaged Properties..........................................................25
Mortgages.....................................................................25
Mortgagors....................................................................46
Multifamily Loan Pool.........................................................35
Multifamily Loan Schedule.....................................................60
Multifamily Loan Seller.......................................................60
NCUA......................................................................46, 87
Non-Agency Administrator......................................................33
Non-Agency Pooling and Administration Agreement...............................33
Non-Agency Servicers..........................................................34
Non-Priority Securities.......................................................20
Non-REMIC Bonds..............................................................110
Notional Principal Balance....................................................17
Original Issue Discount.......................................................92
Original Value................................................................26
OTS.......................................................................77, 87
Owner Trustee.................................................................17
PACs..........................................................................38
Parties in Interest...........................................................88
Pass-Through Entity..........................................................104
Permitted Instruments.........................................................40
Plan Asset Regulations........................................................88
Plans.........................................................................87
PMBS Agreement................................................................37
PMBS Issuer...................................................................37
PMBS Servicer.................................................................37
PMBS Trustee..................................................................37
Pool Insurer..................................................................42
POs...........................................................................38
Pre-Funding Account...........................................................39
Pre-Funding Arrangement.......................................................39
</TABLE>
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<PAGE> 632
<TABLE>
<S> <C>
Prepayment Assumption.........................................................92
Principal Only Securities.....................................................19
Principal Prepayments.........................................................22
Priority Securities...........................................................20
Prohibited Transactions...................................................18, 88
Property Improvement Loans....................................................80
Record Date...................................................................20
Registrar.....................................................................18
Regular Securityholder........................................................92
REIT..........................................................................91
Relief Act....................................................................79
REMIC.........................................................................90
REMIC Pool....................................................................90
REMIC Securities..............................................................90
Remittance Date...............................................................47
Remittance Rate...............................................................47
Reserve Fund..................................................................44
Residual Securities...........................................................90
Residual Securityholders.....................................................100
Residuals.....................................................................38
Retail Class Security.........................................................93
SAIF..........................................................................64
Scheduled Amortization Securities.............................................19
Scheduled Principal...........................................................32
Secured Contract..............................................................36
Seller........................................................................24
Senior Securities.............................................................40
Servicers.................................................................45, 46
Servicing Agreement.......................................................45, 46
SMMEA.........................................................................86
Special Hazard Insurance Policy...............................................42
Stated.........................................................................2
Stripped Certificateholder...................................................117
Stripped Certificates...................................................114, 115
Subordinated Securities.......................................................40
Subsequent Loan Assets........................................................39
TACs..........................................................................38
Title I Contracts.............................................................80
Title I Loans.................................................................80
Title I Program...............................................................80
Title V.......................................................................78
TMP...........................................................................92
Trust.........................................................................16
Trustee.......................................................................45
U.S. Person.............................................................105, 106
UCC...........................................................................74
Underwriters.................................................................119
Unsecured Contract............................................................36
VA Loans......................................................................27
Window Period Loans...........................................................77
Zs............................................................................38
</TABLE>
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<PAGE> 633
================================================================================
No one is authorized to give information or to make representations in
connection with the Notes other than the information and representations
contained in this prospectus supplement and the accompanying prospectus. You
must not rely on any unauthorized information or representation. This prospectus
supplement and the accompanying prospectus do not constitute an offer or a
solicitation of an offer with respect to the Notes if it is illegal to make such
an offer or solicitation to you under state law. By delivering this prospectus
supplement and the accompanying prospectus at any time, no one implies that the
information contained herein or therein is correct after the date hereof or
thereof.
--------------------------------
TABLE OF CONTENTS
PROSPECTUS SUPPLEMENT
<TABLE>
<CAPTION>
PAGE
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<S> <C>
Summary of Terms...........................................................S-5
Risk Factors...............................................................S-10
Summary of Transaction.....................................................S-13
Use of Proceeds............................................................S-13
The Issuer.................................................................S-13
Assets of the Issuer and Security for the Notes............................S-14
The Agency Securities and Assets of the Underlying Pools...................S-15
Description of the Notes...................................................S-19
Yield, Average Life and Prepayment Considerations..........................S-23
Description of the Indenture...............................................S-27
Governing Law..............................................................S-32
Certain Federal Income Tax Considerations..................................S-32
Certain ERISA Considerations...............................................S-35
Legal Investment Considerations............................................S-37
Underwriting...............................................................S-37
Legal Matters..............................................................S-38
Ratings....................................................................S-38
</TABLE>
PROSPECTUS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Summary of Prospectus.........................................................1
Risk Factors..................................................................6
Description of the Securities................................................17
Assets Securing or Underlying the Securities.................................25
Credit Enhancement...........................................................42
Servicing of the Mortgage Loans, Multifamily Loans and Contracts.............47
The Indenture................................................................57
The Pooling Agreement and Deposit Trust Agreement............................60
Use of Proceeds..............................................................70
The Issuer...................................................................70
The Trustee..................................................................72
Certain Legal Aspects of the Mortgage Assets.................................73
Legal Investment Matters.....................................................89
ERISA Considerations.........................................................90
Certain Federal Income Tax Consequences......................................92
Plan of Distribution........................................................122
Legal Matters...............................................................123
Financing Information and Additional Information............................123
Experts.....................................................................124
Index of Principal Terms....................................................124
</TABLE>
$2,750,400
FAIC II ISSUER TRUST 2000-1
ASSET BACKED NOTES, SERIES 2000-1
DUE DECEMBER 1, 2029
FUND AMERICA INVESTORS
CORPORATION II
Depositor
--------------------------------
PROSPECTUS SUPPLEMENT
--------------------------------
MERRILL LYNCH & CO.
JANUARY 19, 2000
================================================================================
