<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: October 25, 1996
(Date of earliest event reported)
CMC SECURITIES CORPORATION II
(Exact name of Registrant as specified in its charter)
Delaware 33-68930 75-2473215
(State of Incorporation) (Commission File No.) (I.R.S. Employer
Identification No.)
2711 N. Haskell Avenue
Suite 1000
Dallas, Texas 75204
(Address of Principal executive offices) (Zip Code)
Registrant's Telephone Number, Including Area Code: (214) 874-2500
<PAGE>
Item 5. Other Events.
------------
Reference is hereby made to the Registrant's Registration Statement on
Form S-11 (File No. 33-68930) filed with the Securities and Exchange Commission
(the "Commission") on September 16, 1993, as amended by Amendment No. 1 thereto
filed with the Commission on September 21, 1993, as further amended by Post
Effective Amendment No. 1 thereto filed with the Commission on September 23,
1993 and as further amended by Post Effective Amendment No. 2 on Form S-3
thereto, filed with the Commission on December 7, 1995 (collectively, the
"Registration Statement"), pursuant to which the Registrant registered
$2,000,000,000 aggregate principal amount of its pass-through certificates,
issuable in various series, for sale in accordance with the provisions of the
Securities Act of 1933, as amended (the "Act"). Reference is also hereby made
to the Prospectus and related Prospectus Supplement (collectively, the
"Prospectus"), which will be filed with the Commission pursuant to Rule
424(b)(5), with respect to the Registrant's REMIC Pass-Through Certificates,
Series 1996-C (the "Certificates").
The Registrant is filing this Current Report on Form 8-K to provide
prospective investors with certain materials which constitute "Collateral Term
Sheets" as described in the no-action letter dated February 27, 1995 issued by
the Division of Corporation Finance of the Commission to the Public Securities
Association (the "PSA Letter"), the filing of which materials is a condition of
the relief granted in such letters (such materials being the "Collateral Term
Sheets"). The Collateral Term Sheets were prepared solely by PaineWebber
Incorporated in connection with the offering of the Certificates, and the
Registrant did not prepare or participate in the preparation of the Collateral
Term Sheets. The Collateral Term Sheets are set forth in Exhibit 28.1 hereto.
------------
The assumptions used in preparing the Collateral Term Sheets were
based upon a preliminary compilation of the underlying collateral and the
estimated principal amount and other features of the Certificates. The actual
features of the Certificates and a detailed description of the final
constituency of the underlying collateral will be set forth in the Prospectus.
Due to the preliminary nature of the collateral and Certificate
information used in preparing the Collateral Term Sheets, no assurance can be
given as to either the Collateral Term Sheets' or the underlying assumptions'
accuracy, appropriateness or completeness in any particular context; nor can
assurance be given as to whether the Collateral Term Sheets and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Collateral Term Sheets should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any yields or weighted average lives shown in the Collateral Term
Sheets are based on prepayment assumptions, and changes in such prepayment
assumptions may dramatically affect such yields or weighted average lives. In
addition, it is possible that prepayments on the collateral will occur at rates
slower or faster than the rates shown in the Collateral Term Sheets.
Furthermore, unless otherwise provided, the Collateral Term Sheets assume no
losses on the collateral and no interest shortfall. The specific
characteristics of the Certificates may differ from those shown in the
Collateral Term Sheets due to differences between the actual collateral and the
hypothetical
-2-
<PAGE>
collateral used in preparing the Collateral Term Sheets. As noted above, the
principal amount and designation of any security described in the Collateral
Term Sheets are subject to change prior to issuance.
Please be advised that mortgage-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, mortgage prepayments, yield curve
and interest rate risks. Investors should make every effort to consider the
risks of these securities.
Any statement or information contained in the Collateral Term Sheets
shall be deemed to be modified or superseded for purposes of the Prospectus and
the Registration Statement by statements or information contained in the
Prospectus.
Item 7. Financial Statements and Exhibits.
---------------------------------
(c) Exhibits
Exhibit No. Description
----------- -----------
28.1 Collateral Term Sheets provided by PaineWebber
Incorporated
-3-
<PAGE>
Signature
---------
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this Report to be signed on its behalf by the
undersigned hereunto duly authorized.
CMC SECURITIES CORPORATION II
October 25, 1996 By: /s/ STEPHANIE BRENTLINGER
-------------------------------------------
Stephanie Brentlinger,
Vice President - Asset and Liability Management
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<PAGE>
EXHIBIT 28.1
PaineWebber Incorporated
PRELIMINARY
BACKGROUND INFORMATION
CMC SECURITIES CORPORATION II
SERIES 1996-C
[$268,710,079] (APPROXIMATE) CLASS A VARIABLE-RATE CERTIFICATES
DISCLAIMER
- -------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as underwriter for the CMC Securities
Corporation II 1996-C transaction, and not by or as agent for CMC Securities
Corporation II or any of its affiliates (collectively, the "Depositor"). The
Depositor has not prepared, reviewed or participated in the preparation hereof,
is not responsible for the accuracy hereof and has not authorized the
dissemination hereof. The analysis in this report is accurate to the best of
PW's knowledge and is based on information provided by the Depositor. PW makes
no representations as to the accuracy of such information provided by the
Depositor.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and prospectus and by any other information subsequently
filed with the Securities and Exchange Commission.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may
be differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or
their officers, directors, analysts or employees may have positions in
securities, commodities or derivative instruments thereon referred to herein,
and may, as principal or agent, buy or sell such securities, commodities or
derivative instruments. In addition, PW may make a market in the securities
referred to herein. Neither the information nor the opinions expressed shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. Finally, PW has not addressed the legal, accounting and tax
implications of the analysis with respect to you and PW strongly urges you to
seek advice from your counsel, accountant and tax advisor.
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<PAGE>
CMC Securities Corporation II
Series 1996-C
PRICING INFORMATION
<TABLE>
<CAPTION>
<S> <C>
OFFERED CLASS: A
APPROXIMATE FACE AMOUNT: [$268,710,079]
INDEX: One Month Libor
EXPECTED SPREAD: [32-34 bps]
PRICE: [100-00]
FIXED CAP: 11.00%
AVAILABLE FUNDS: Yes
CATCHUP FEATURE: Yes
AVERAGE LIFE TO MATURITY: [4.1] years
AVERAGE LIFE TO 10% CALL: [3.8] years
EXPECTED MATURITY: [4/25/2024]
EXPECTED MATURITY TO 10% CALL: [7/25/2006]
STATED MATURITY: [6/25/2031]
PRICING SPEED: 20% CPR
1ST PAYMENT DATE: 11/25/96
SETTLEMENT DATE: 10/30/96
CUT-OFF DATE: 10/1/96
PAYMENT DELAY: None
INTEREST PAYMENT: Actual/360
PAYMENT TERMS: Monthly
RATINGS: AAAr from S&P/Aaa from Moody's
</TABLE>
<TABLE>
<CAPTION>
AVERAGE LIFE TABLE (IN YEARS)
-----------------------------
CPR SCENARIO
<S> <C> <C> <C> <C> <C> <C> <C>
10% 15% 20% 25% 30% 35% 40%
- -----------------------------------------------------------------------------------------
To Call: 7.2 5.1 3.8 3.0 2.4 2.0 1.7
- -----------------------------------------------------------------------------------------
To Maturity: 7.6 5.5 4.1 3.3 2.7 2.2 1.9
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</TABLE>
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
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<PAGE>
CMC Securities Corporation II
Series 1996-C
SUMMARY OF TERMS
Title of Securities: CMC Securities Corporation II REMIC Pass-
Through Certificates, Series 1996-C One Senior
Certificate (the "Senior Certificate" or "Class
A Certificate") and two Reserve Funds.
Underwriter: PaineWebber Incorporated
Depositor: CMC Securities Corporation II
Master Servicer: Capstead Mortgage Corp.
Originators: Various, as described below
Underlying Mortgage Collateral: The Certificates will be secured, in part, by
"A" quality, first lien mortgage loans,
including:
(i) approximately [$130.5 MM] of Capstead
Mortgage Corporation 6 month LIBOR Adjustable
Rate Weighted Average Pass-Through Certificates
(the "Underlying Certificates") (ii)
approximately [$37.4 MM] of CMT Adjustable Rate
Loans originated by GMAC;
(iii) approximately [$78.0 MM] of CMT
Adjustable Rate Loans originated by First
Nationwide;
(iv) approximately [$18.8 MM] of CMT Adjustable
Rate Loans originated by Imperial Credit
Industries;
(v) approximately [$3.7 MM] of COFI Adjustable
Rate Loans originated by California Federal;
and
(vi) approximately [$0.3 MM] of 6 month LIBOR
Adjustable Rate Loans originated by First
California Mortgage Company ((ii) - (vi), the
"Underlying Mortgage Loans").
Trustee and Back-up Servicer: Texas Commerce Bank, N.A.
FSA Guaranty: The Class A Certificates will have the benefit
of a 100% FSA guarantee with respect to
principal and interest (subject to the
Available Funds Cap). FSA's claims-paying
ability is rated AAA by S&P and Aaa by Moody's.
Offered Certificate Balances: Class A Certificates [$268,710,079]
Securities Offered: Class A
Offering: Public shelf offering - a prospectus and
prospectus supplement will be distributed after
pricing.
Settlement Date: 10/30/96
First Payment Date: 11/25/96
Form of Offered Certificates: Book-Entry form, same-day funds through DTC for
the Class A Certificates.
Interest Rate: 1 Month LIBOR+ [32-34 bps] on Class A
Certificates subject to the Available Funds Cap
and the Life Cap.
Life Cap: 11% Fixed Cap.
Available Funds Cap: The "Available Funds Cap" will equal the net
collateral interest less the sum of (i) the FSA
premium, (ii) the trustee fees and other fees,
and (iii) the carve out to the extent needed
for credit enhancement (defined to be 25 bps
annually on the Class A Certificate balance).
Catch Up Feature: Shortfalls of interest due to the Available
Funds Cap will be tracked and paid in current
or future months by way of the Reserve Funds to
the extent excess cash is available. Such
shortfall carry-forwards accrue interest at the
then current Class A Interest Rate.
Pricing Assumption: 20% CPR
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
Page 3
<PAGE>
CMC Securities Corporation II
Series 1996-C
SUMMARY OF TERMS (CONTINUED)
Credit Enhancement: Over-Collateralization Levels
-----------------------------
Percent of Original: 1.50%
Percent of Current: 3.00%
Floor: 0.50%
First Step-Down: 30 months
The "Over-Collateralization Target" will be
1.50% of the cut-off Underlying Mortgage Loan
Balance for the first 30 periods. After such
time the Over-Collateralization Target will
equal the minimum of 1.50% of the cut-off
Underlying Mortgage Loan Balance and 3.00% of
the current Underlying Mortgage Loan Balance.
The Over-Collateralization Target will at no
time be less than 0.50% of the cut-off the
Underlying Mortgage Loan Balance. The levels
described in this paragraph assume that certain
loss and delinquency triggers are met. (N.B. no
Over-Collateralization is calculated on the
Underlying Certificates)
"Excess Interest" will equal the net collateral
interest less the sum of (i) the bond interest
payment, (ii) the FSA premium, (iii) the
trustee fees and other fees, and (iv) the carve
out to the extent needed for credit enhancement
(defined to be 25 bps annually on the Class A
Certificate balance). The Excess Interest is
first available to cover losses.
The "Allocated Excess Interest" for the first
10 periods will be 60% of the Excess Interest
and for the remaining periods will be 100% of
the Excess Interest.
The "Allocated Excess Interest" is used to
accelerate the Class A Certificates to increase
Over-Collateralization to the Over-
Collateralization Target. When the Over-
Collateralization Target is allowed to step-
down, principal payments will be released as
Excess Interest up to the amount of the step-
down to the extent principal is available.
The Over-Collateralization is increased by
applying Allocated Excess Interest as principal
payments to the Class A Certificates.
Payment Date: The 25th day of each month (or, if any such
date is not a business day, the next business
day thereafter) commencing on November 25,
1996.
Interest Accrual Period: Interest will accrue on the Class A
Certificates at the variable rate per annum
described herein for such class during each
one-month period ending on the day prior to the
related Distribution Date, provided, however,
the Interest Accrual Period for the November
1996 Distribution Date will commence on the
Closing Date and will end on the day prior to
such Distribution Date.
Optional Cleanup Call: The Master Servicer may call the Certificates
on any Remittance Date on which the aggregate
principal balance of the Mortgage Loans is
equal to or less than 10% of the aggregate
principal balance thereof on the Cut-off Date.
Servicing and Other Fees: The collateral is subject to certain fees,
including, as applicable, a servicing fee, a
fee for the FSA guarantee, pool insurance fees,
a trustee fee and a master servicing fee. See
the collateral description herein for details.
ERISA Considerations: The Class A Certificates will be ERISA
eligible. However, investors should consult
with their counsel with respect to the
consequences under ERISA and the Internal
Revenue Code of the Plan's acquisition and
ownership of such certificates.
Tax Election: REMIC
Legal Investment: The Class A Certificates will be
SMMEA-eligible.
Senior Certificate Ratings: "AAAr" by S&P and "Aaa" by Moody's
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
Page 4
<PAGE>
CMC Securities Corporation II
Series 1996-C
SUMMARY OF TERMS (CONTINUED)
Prospectus: The Certificates are being offered pursuant to
a Prospectus which includes a Prospectus
Supplement (together, the "Prospectus").
Complete information with respect to the
offered Certificates and the Collateral is
contained in the Prospectus. The foregoing is
qualified in its entirety by the information
appearing in the Prospectus. To the extent that
the foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in all
respects. Sales of the offered Certificates may
not be consummated unless the purchaser has
received the Prospectus.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
Page 5
<PAGE>
CMC Securities Corporation II
Series 1996-C
COLLATERAL SUMMARY
Collateral Statistics for Loans as of the Cut-Off Date
<TABLE>
<CAPTION>
Collateral by Originator: Type of Loan Count Balance Percentage Total Fees
------------------- ------- ------------- ----------- -----------------------------
<S> <C> <C> <C> <C> <C>
Capstead Certificates: 6 Month LIBOR 523 $130,466,769 48.55% 93-103.7 bps
First Nationwide: 1 Year CMT 245 78,005,506 29.03% 52bps*
GMAC: 6 month CMT 122 35,350,982 13.16% 39.5 bps
3/1 (CMT) ARM 7 2,077,134 0.77% 39.5 bps
California Federal: 11th District COFI 9 3,594,513 1.34% 52 bps
1 Year CMT 2 86,848 0.03% 52 bps
First California Mortgage Co.: 6 Month LIBOR 1 325,234 0.12% 52 bps
ICI: 1 Year CMT 104 18,803,093 7.00% 39.5 bps
------- ------------
TOTAL: 1,013 $268,710,079
*ONE LOAN HAS 102BPS IN FEES
Average Loan Principal Balance: $265,262 Range: $4,994 - $978,066
Weighted Average Coupon (Gross): 7.9652% Range: 5.5% - 9.25%
Weighted Average Original Term: 360 Ranges: (= 180 - 0.23%
(months) 181-240 - 0.08%
241-360 - 99.39%
361-480 - 0.30%
Weighted Avg Stated Remaining 337 Ranges: (= 180 - 0.31%
Term: (months) 181-240 - 0.05%
241-264 - 0.06%
265-288 - 0.80%
289-312 - 0.43%
313-336 - 60.89%
337-360 - 37.16%
361-480 - 0.30%
Weighted Average LTV: 78.55% Ranges: 12.56% - 95.44%
Property Type:
Single Family (1-4): 83.47%
PUD: 11.56%
Condo: 4.97%
Occupancy Status:
Primary Home: 98.52%
Other: 1.48%
Geographic Distribution:
California: 81.95%
New Jersey: 2.25%
Texas: 1.78%
Other: 14.02%
Age in Years:
0-1 years: 29.83%
1-2 years: 12.03%
2+ yrs: 58.14%
</TABLE>
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
Page 6
<PAGE>
CMC Securities Corporation II
Series 1996-C
COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
<S> <C>
Document Type:
Full: 81.63%
Alternate or Reduced 18.37%
Purpose:
Purchase: 45.43%
Cash Out Refi: 5.54%
Rate/Term Refi: 49.02%
ARM Index Types:
CMT 1 Year: 36.06%
CMT 6 Month: 13.16%
6 Month LIBOR: 48.67%
Other: 2.11%
ARM Rate Reset Month:
November 1996: 14.23%
December 1996: 9.81%
January 1997: 15.83%
February 1997: 15.89%
March 1997: 9.88%
April 1997: 18.35%
May 1997: 14.78%
June 1997-July 1999: 1.23%
Convertible to Fixed Rate: 10.85%
</TABLE>
<TABLE>
<CAPTION>
Additional ARM Information: Weighted Average Weighted Average Weighted Average Weighted Average Weighted
Gross Interest Rate Gross Margin Gross Life Cap Gross Life Floor Average
Stated
Maturity
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Capstead: 8.5020% 2.862% 11.197% 3.366% 330 months
- ------------------------------------------------------------------------------------------------------------------------------------
Range:7.625-9.250% Range: 2.125-3.500% Range: 9.625-14.125% Range:2.125-6.125% Range:151-339
months
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First Nationwide: 7.0007% 2.994% 12.991% 2.994% 352 months
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Range:5.875-7.750% Range:2.750-4.000% Range:11.875-13.750% Range:2.750-4.000% Range:172-355
months
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GMAC: 8.1034% 2.868% 11.266% 2.868% 338 months
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Range:7.250-8.500% Range:2.750-2.875% Range:10.500-15.750% Range:2.750-2.875% Range:334-357
months
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California Federal: 7.2478% 2.389% 13.227% 2.389% 310 months
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Range:7.125-8.375% Range:2.250-2.750% Range:10.000-16.250% Range:2.250-2.750% Range:213-404
months
- ------------------------------------------------------------------------------------------------------------------------------------
First California
Mortgage*: 8.250% 3.000% 10.875% 3.000% 319 months
- ------------------------------------------------------------------------------------------------------------------------------------
*ONE LOAN Range: N/A Range: N/A Range: N/A Range: N/A Range: N/A
- ------------------------------------------------------------------------------------------------------------------------------------
ICI: 8.1018% 2.927% 11.076% 2.949% 323 months
- ------------------------------------------------------------------------------------------------------------------------------------
Range:5.500-9.125% Range:2.500-3.250% Range:9.500-15.250% Range:2.750-4.250% Range:92-349
months
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
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